Published on 2/10/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $725,000 contingent income callable securities linked to three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – Barclays Bank plc priced $725,000 of contingent income callable securities due Feb. 13, 2018 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 17% if each index closes at or above its downside threshold level, 75% of its initial level, on a determination date for that quarter.
The notes are callable at par on any contingent payment date other than the final date.
The payout at maturity will be par plus the final contingent coupon unless any index finishes below the downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent. Morgan Stanley Smith Barney LLC is a dealer.
| 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: | $725,000
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| Maturity: | Feb. 13, 2018
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| Coupon: | 17% 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 $1,000
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus contingent coupon; otherwise, full exposure to loss of worst performing index
|
| Call: | Callable at par on any quarterly payment date other than the final one
|
| Initial levels: | 1,880.05 for S&P, 2,785.17 for Stoxx and 985.618 for Russell
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| Barrier levels: | 1,410.038 for S&P, 2,088.878 for Stoxx and 739.214 for Russell; 75% of initial levels
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| Pricing date: | Feb. 8
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| Settlement date: | Feb. 11
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| Agent: | Barclays
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 1.5%
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| Cusip: | 06741U4Z4
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