Published on 8/28/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $24.33 million autocallable step-up notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Aug. 28 – Barclays Bank plc priced $24.33 million of 0% autocallable market-linked step-up notes due Aug. 25, 2023 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call premium of 5.35% per year if the index closes at or above the initial index level on any annual call observation date.
If the notes are not called and the final index level is greater than the step-up value, 135% of the initial index level, the payout at maturity will be par plus the index return.
If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 35%.
If the final index level is less than the initial level but greater than or equal to the threshold value, 85% of the initial index level, the payout will be par.
If the final index level is less than the threshold value, investors will lose 1% for every 1% that the index declines beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | S&P 500
|
| Amount: | $24,334,330
|
| Maturity: | Aug. 25, 2023
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 35%; if final index level is less than initial level but greater than or equal to threshold value, par; if final index level is less than threshold value, 1% loss for every 1% that index declines beyond 15%
|
| Call: | Automatically at par plus 5.35% per year if index closes at or above initial index level on Sept. 7, 2018, Aug. 23, 2019, Aug. 21, 2020, Aug. 20, 2021 or Aug. 19, 2022
|
| Initial index level: | 2,438.97
|
| Step-up value: | 3,292.61, 135% of initial level
|
| Threshold value: | 2,073.12, 85% of initial level
|
| Pricing date: | Aug. 24
|
| Settlement date: | Aug. 31
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 06746L653
|
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