Published on 6/20/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2 million contingent income autocallables on indexes
By Susanna Moon
Chicago, June 17 – Barclays Bank plc priced $2 million of contingent income autocallable securities due June 20, 2023 linked to the worst performing of the S&P 500 index, 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 quarterly coupon at an annual rate of 11.35% if each index closes at or above its 75% coupon barrier level on the determination date for that quarter.
The notes will be callable at par on any quarterly coupon payment date other than the final date.
The payout at maturity will be par unless any index finishes below its 65% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $1,996,450
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| Maturity: | June 20, 2023
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| Coupon: | 11.35% annualized, payable quarterly if each index closes at or above its 75% coupon barrier on the determination date for that quarter
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worse performing index
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| Call option: | At par on any quarterly interest payment date other than the final date
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| Initial index levels: | 2,071.50 for S&P, 1,149.302 for Russell, 1,839.695 for Stoxx
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| Downside thresholds: | 1,346.475 for S&P, 747.046 for Russell, 2,830.30 for Stoxx; 65% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 20
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| Agent: | Barclays with Morgan Stanley Wealth Management as dealer
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| Fees: | 3%
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| Cusip: | 06744K244
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