Published on 4/3/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $6.45 million 9% contingent income autocalls on funds
By Susanna Moon
Chicago, April 3 – Barclays Bank plc priced $6.45 million of contingent income autocallable securities due March 21, 2019 linked to the worst performing of the Energy Select Sector SPDR Fund, the Financial Select Sector SPDR Fund and the Technology Select Sector SPDR 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 9% if each underlying fund closes at or above its 65% coupon barrier on the determination date that quarter.
The notes will be called at par if each fund closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless any fund finishes below its 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing fund.
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 assets: | Energy Select Sector SPDR Fund, Financial Select Sector SPDR Fund and Technology Select Sector SPDR Fund
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| Amount: | $6,451,400
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| Maturity: | March 19, 2021
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| Coupon: | 9% annualized, payable quarterly if each fund closes at or above 65% coupon barrier on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing fund
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| Call: | At par if each fund closes at or above initial level on any determination date other than the final date
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| Initial levels: | $67.31 for energy fund, $28.87 for financial fund and $69.61 for tech fund
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| Downside thresholds: | $43.752 for energy fund, $18.766 for financial fund and $45.247 for tech fund, 65% of initial levels
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| Pricing date: | March 16
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| Settlement date: | March 21
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| Agent: | Barclays with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2%
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| Cusip: | 06746Q348
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