Published on 7/22/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.62 million high/low coupon autocallables on indexes
By Susanna Moon
Chicago, July 22 – Barclays Bank plc priced $2.62 million of autocallable high/low coupon notes due Oct. 21, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index ever closes below its knock-in level, 65% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 6% unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%.
The notes will be called at par if each index closes at or above initial level on any quarterly observation date.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst performing index, up to a maximum payout of par.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | High/low coupon autocallable notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,615,000
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| Maturity: | Oct. 21, 2016
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| Coupon: | 6% if index never dips below knock-in level; otherwise, 1% for that interest period and each subsequent interest period; payable quarterly
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| Price: | Par
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| Payout at maturity: | If index ever dips below knock-in level, par plus return of worst performing index, capped at par; otherwise, par
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| Call: | At par if each index close at or above initial level on any quarterly observation date
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| Initial levels: | 2,128.28 for S&P and 1,260.23 for Russell
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| Knock-in levels: | 1,383.38 for S&P and 819.15 for Russell; 65% of initial levels
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| Pricing date: | July 20
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| Settlement date: | July 23
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| Agent: | Barclays
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| Fees: | 0.25%
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| Cusip: | 06741UB45
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