Published on 2/26/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.86 million step-up callable contingent payment notes on two indexes
By Toni Weeks
San Luis Obispo, Calif., Feb. 26 – Barclays Bank plc priced $1.86 million of step-up callable contingent payment notes due Feb. 27, 2025 linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon at the applicable rate if each underlying index closes at or above its coupon barrier level, 70% of the initial level, on a quarterly valuation date. Otherwise, no coupon will be paid that quarter. The applicable rate is 9% for the first 16 quarterly observation dates, 11% for observation dates 17 through 32 and 13% for observation dates 33 through 40.
The notes are callable at par plus the contingent coupon on any interest payment date after one year.
The payout at maturity will be par unless the least-performing index finishes below the trigger level, 50% of the initial level, in which case investors will be fully exposed to the decline of the least-performing index.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Step-up callable contingent payment notes
|
| Underlying indexes: | Russell 2000 and Euro Stoxx 50
|
| Amount: | $1.86 million
|
| Maturity: | Feb. 27, 2025
|
| Coupon: | Equal to the applicable rate, payable quarterly if each index closes at or above coupon barrier level on valuation date for that quarter; applicable rate is 9% for first 16 quarterly observation dates, 11% for observation dates 17 through 32 and 13% for observation dates 33 through 40
|
| Price: | Par
|
| Payout at maturity: | Par unless lowest-performing index finishes below trigger level, in which case full exposure to decline of lowest-performing index
|
| Call option: | At par on any interest payment date beginning Feb. 24, 2016
|
| Initial index levels: | 1,233.98 for Russell, 3,547.1 for Euro Stoxx
|
| Coupon barrier levels: | 863.79 for Russell, 2,482.97 for Euro Stoxx; 70% of initial levels
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| Trigger levels: | 616.99 for Russell, 1,773.55 for Euro Stoxx; 50% of initial levels
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 27
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| Agent: | Barclays
|
| Fees: | 4%
|
| Cusip: | 06741UQH0
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