Published on 5/18/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $12.44 million contingent income autocallables tied to three indexes
By Susanna Moon
Chicago, May 18 – Barclays Bank plc priced $12.44 million of contingent income autocallable securities due Nov. 15, 2019 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 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 8% if each index closes at or above its 75% coupon barrier on an observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on a quarterly observation date other than the final date.
The payout at maturity will be par unless any index finishes below its 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent with Morgan Stanley Wealth Management as the 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, Euro Stoxx 50
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| Amount: | $12,436,000
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| Maturity: | Nov. 15, 2019
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| Coupon: | 8%, payable quarterly if each index closes at or above 75% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below 65% threshold, in which case full exposure to any losses of the worst performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly determination date other than the final date
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| Initial levels: | 2,390.90 for S&P, 1,382.77 for Russell, 3,637.52 for Stoxx
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| Coupon barrier: | 1,793.175 for S&P, 1,037.078 for Russell, 2,728.14 for Stoxx; 75% of initial levels
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| Downside threshold: | 1,554.085 for S&P, 898.801 for Russell, 2,364.388 for Stoxx; 65% of initial levels
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| Pricing date: | May 12
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| Settlement date: | May 17
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| Agent: | Barclays with Morgan Stanley Wealth Management as dealer
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| Fees: | 1.75%
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| Cusip: | 06741VVM1
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