By Tali Rackner
Norfolk, Va., Feb. 18 – Barclays Bank plc priced $3.11 million of contingent income autocallable securities due Feb. 15, 2019 linked to the worst performing of the Russell 2000 index and the S&P 500 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 12% if each index closes at or above its downside threshold level, 80% of its initial level, on a determination date for that quarter.
The notes are callable at par if each index closes at or above its initial level on any determination payment date other than the final one.
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: | Russell 2000 and S&P 500
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| Amount: | $3,112,000
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| Maturity: | Feb. 15, 2019
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| Coupon: | 12% 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 downside threshold, par plus contingent coupon; otherwise, full exposure to losses of worst performing index
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| Call: | At par if each index closes at or above its initial level on any determination payment date other than the final one
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| Initial levels: | 971.99 for Russell and 1,864.78 for S&P
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| Downside threshold levels: | 777.592 for Russell and 1,491.824 for S&P; 80% of initial levels
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| Pricing date: | Feb. 12
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| Settlement date: | Feb. 18
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| Agent: | Barclays
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 06740Q880
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