Published on 12/13/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $3.72 million step-down annual autocallables tied to S&P, Stoxx 50
By Susanna Moon
Chicago, Dec. 13 – Barclays Bank plc priced $3.72 million of 0% step-down annual autocallable notes due Nov. 27, 2020 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call return of 10.55% if each index closes at or above its call level on an annual observation date. The call level will be 100% of the initial level on the first observation date, stepping down to 95% of the initial level for the second observation date and then to 90% of the initial level for the third observation date.
If the notes are not called, the payout at maturity will be par plus the return of the worse performing index with full exposure to any losses.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Step-down annual autocallable notes
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| Underlying indexes: | Euro Stoxx 50, S&P 500
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| Amount: | $3,715,000
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| Maturity: | Nov. 27, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 10.55% annualized if each index closes at or above call threshold level on any call observation date; call threshold is 100% of initial level on first observation date, stepping down to 95% for second observation date and then to 90% for final observation date
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| Payout at maturity: | Par plus return of worse performing index with full exposure to any losses
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| Initial levels: | 3,562.65 for Stoxx, 2,597.08 for S&P
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| Barrier levels: | 2,493.86 for Stoxx, 1,817.96 for S&P; 70% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 28
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| Underwriter: | Barclays
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| Fees: | 2.25%
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| Cusip: | 06744CMA6
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