Published on 4/25/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.2 million callable dual range accrual notes on Libor, S&P 500
By Marisa Wong
Madison, Wis., April 25 - Barclays Bank plc priced $1.2 million of principal-at-risk callable fixed-rate range accrual notes due April 29, 2024 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 6% per year multiplied by the proportion of days on which Libor is 6% or less and the index closes at or above the index barrier, which is 65% of the initial index level. Interest is payable quarterly.
The payout at maturity will be par if the index finishes at or above the barrier level, which is 50% of the initial level. Otherwise, investors will be fully exposed to the index's decline from its initial level.
Beginning April 29, 2015, the notes will be callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Principal-at-risk callable fixed-rate range accrual notes
|
| Underlyings: | Six-month Libor and S&P 500 index
|
| Amount: | $1.2 million
|
| Maturity: | April 29, 2024
|
| Coupon: | 6% per year multiplied by proportion of days on which Libor is 6% or less and index closes at or above index barrier; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par if index finishes at or above barrier level; otherwise, full exposure to index's decline from its initial level
|
| Call option: | At par on any interest payment date beginning April 29, 2015
|
| Initial index level: | 1,878.61
|
| Index barrier: | 1,221.10, 65% of initial level
|
| Barrier level: | 939.31, 50% of initial level
|
| Pricing date: | April 24
|
| Settlement date: | April 29
|
| Agent: | Barclays
|
| Fees: | 3%
|
| Cusip: | 06741UBT0
|
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