Published on 3/7/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $7.49 million 10% contingent income autocalls tied to indexes
By Susanna Moon
Chicago, March 7 – Barclays Bank plc priced $7.49 million of contingent income autocallable securities due Aug. 20, 2020 linked to the least performing of the Russell 2000 index, 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 pay a contingent quarterly coupon at an annual rate of 10% if each index closes at or above its 70% coupon barrier on the determination date that quarter.
The notes will be called at par if each index closes at or above its initial level on any call review 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: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $7.49 million
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| Maturity: | Aug. 20, 2020
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| Coupon: | 10% annualized, payable quarterly if each index closes at or above 70% coupon barrier on determination date for 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 call date other than final date
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| Initial levels: | 1,543.551 for Russell, 3,426.80 for Stoxx and 2,732.22 for S&P
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| Coupon barriers: | 1,080.486 for Russell, 2,398.76 for Stoxx and 1,912.554 for S&P, 70% of initial levels
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| Downside thresholds: | 1,003.308 for Russell, 1,775.943 for Stoxx and 2,227.42 for S&P, 65% of initial levels
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| Pricing date: | Feb. 16
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| Settlement date: | Feb. 22
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| Agent: | Barclays with Morgan Stanley Wealth Management as a distributor
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| Fees: | 1.75%
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| Cusip: | 06744CWQ0
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