Published on 2/28/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $6.66 million 10.75% contingent income autocallables tied to indexes
By Susanna Moon
Chicago, Feb. 28 – Barclays Bank plc priced $6.66 million of contingent income autocallable notes due Feb. 14, 2023 linked to the lesser performing of the Russell 2000 index, Nikkei 225 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 10.75% if each index closes at or above its 75% coupon barrier on each day during that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly determination 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 distribution through Morgan Stanley Wealth Management.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and Nikkei 225
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| Amount: | $6,659,000
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| Maturity: | Feb. 14, 2023
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| Coupon: | 10.75% annualized, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly determination date other than the final date
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| Initial levels: | 1,477.836 for Russell, 3,325.99 for Stoxx and 21,382.62 for Nikkei
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| Coupon barriers: | 1,108.377 for Russell, 2,494.493 for Stoxx and 16,036.965 for Nikkei; 75% of initial levels
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| Downside thresholds: | 960.593 for Russell, 2,161.894 for Stoxx and 13,898.703 for Nikkei; 65% of initial levels
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| Pricing date: | Feb. 9
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| Settlement date: | Feb. 14
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| Agent: | Barclays
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 06744CV99
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