By Marisa Wong
Morgantown, W.Va., Nov. 21 – Barclays Bank plc priced $2.65 million of callable high/low coupon notes due Nov. 21, 2018 linked to the lowest performing of three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying ETFs are the Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Consumer Staples Select Sector SPDR fund.
A knock-in event occurs if any underlying fund closes below its barrier price, 60% of its initial share price, on any day during the life of the notes.
Each quarter, the notes will pay a coupon at the rate of 10.75% per year if a knock-in event does not occur during that quarter and has not occurred during any previous quarter. If a knock-in event occurs during the observation period, the coupon for that interest period and each subsequent interest period will be 1% per year.
The notes are callable at par on any coupon payment date beginning in May 2017.
If the notes are not called, the payout at maturity will be par unless a knock-in event has occurred and the final price of the lowest-performing fund is less than its initial price, in which case investors will be fully exposed to the decline of the lowest-performing fund.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Callable high/low coupon notes
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| Underlying ETFs: | Financial Select Sector SPDR fund, Materials Select Sector SPDR fund and Consumer Staples Select Sector SPDR fund
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| Amount: | $2.65 million
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| Maturity: | Nov. 21, 2018
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| Coupon: | 10.75% per year unless knock-in event occurs during quarter, in which case coupon for that quarter and each subsequent quarter will be 1% per year
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless a knock-in event has occurred and the final price of the lowest-performing fund is less than its initial price, in which case investors will be fully exposed to the decline of the lowest-performing fund
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| Knock-in event: | Any underlying fund closes below its barrier price on any day during the life of the notes
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| Call option: | At par on any coupon payment date beginning in May 2017
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| Initial prices: | $22.16 for financials ETF, $48.39 for materials ETF, $50.68 for consumer staples ETF
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| Barrier prices: | $13.30 for financials ETF, $29.03 for materials ETF, $30.41 for consumer staples ETF; 60% of initial prices
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 22
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| Agent: | Barclays
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| Fees: | 0.25%
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| Cusip: | 06741VEE8
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