Published on 4/13/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $6.26 million contingent income callable securities on indexes
By Tali Rackner
Norfolk, Va., April 13 – Barclays Bank plc priced $6.26 million of contingent income callable securities due April 16, 2018 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.05% if each index closes at or above its downside threshold level, 65% of its initial level, on a determination date for that quarter.
The notes are callable at par on any contingent payment date other than the final one.
The payout at maturity will be par plus the final contingent coupon unless any index finishes below the downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent. Morgan Stanley Smith Barney LLC is a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $6,262,000
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| Maturity: | April 16, 2018
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| Coupon: | 9.05% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus contingent coupon; otherwise, full exposure to losses of worst performing index
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| Call: | At par on any contingent payment date other than the final date
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| Initial levels: | 2,047.60 for S&P, 1,097.314 for Russell and 2,924.23 for Euro Stoxx
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| Downside threshold levels: | 1,330.94 for S&P, 713.254 for Russell and 1,900.75 for Euro Stoxx; 65% of initial levels
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| Pricing date: | April 11
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| Settlement date: | April 14
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| Agent: | Barclays
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 06741U7H1
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