Published on 10/13/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $800,000 of phoenix autocallables linked to two funds
By Susanna Moon
Chicago, Oct. 13 – Barclays Bank plc priced $800,000 of phoenix autocallable notes due Oct. 6, 2022 linked to the lesser performing of the SPDR S&P 500 fund and the iShares Russell 2000 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 5.75% if each fund closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any observation date other than the final date.
The payout at maturity will be par unless either fund finishes below its 60% barrier level, in which case investors will be fully exposed to any losses to the worse performing fund.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Phoenix autocallable notes
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Underlying funds: | SPDR S&P 500 fund and iShares Russell 2000 ETF
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Amount: | $800,000
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Maturity: | Oct. 6, 2022
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Coupon: | 5.75% per year, payable quarterly if each fund closes at or above 60% coupon barrier on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par plus contingent coupon unless either fund finishes 60% barrier level, in which case 1% loss for each 1% decline of worse performing fund
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Call: | At par plus contingent coupon if each fund closes at or above initial level on any review date other than final date
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Initial levels: | $251.23 for S&P fund, $148.18 for Russell fund
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Trigger levels: | $150.74 for S&P fund, $88.91 for Russell fund, 60% of initial levels
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Pricing date: | Sept. 29
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Settlement date: | Oct. 6
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Agent: | Barclays
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Fees: | 1.2%
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Cusip: | 06744C5Y3
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