Published on 1/14/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $4.03 million contingent income autocallables tied to three indexes
By Susanna Moon
Chicago, Jan. 14 – Barclays Bank plc priced $4.03 million of contingent income autocallable securities due Jan. 17, 2018 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annual rate of 10.4% if each index closes at or above its barrier level, 65% of its initial index level, on the determination date for that quarter.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial index level on any quarterly determination date other than the final one.
The payout at maturity will be par plus the final contingent coupon unless any index finishes below the 65% barrier level, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent Morgan Stanley Wealth Management with handling distribution.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50 and Russell 2000
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| Amount: | $4.03 million
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| Maturity: | Jan. 17, 2018
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| Coupon: | 10.4% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above barrier level, par plus contingent coupon; otherwise, full exposure to any losses of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly determination date other than final one
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| Initial levels: | 1,922.03 for S&P, 3,027.49 for Stoxx and 1,046.202 for Russell
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| Barrier levels: | 1,249.32 for S&P, 1,967.869 for Stoxx and 680.031 for Russell; 65% of initial levels
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| Pricing date: | Jan. 11
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| Settlement date: | Jan. 14
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| Agent: | Barclays
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| Distributor: | Morgan Stanley Wealth Management
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| Fees: | 1.5%
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| Cusip: | 06741U3L6
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