Published on 11/22/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $9.15 million contingent income callable notes linked to Russell, S&P
By Angela McDaniels
Tacoma, Wash., Nov. 22 – Barclays Bank plc priced $9.15 million of contingent income callable securities due Nov. 21, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at an annual rate of 6.35% if each index closes at or above its downside threshold level, 60% of its initial index level, on each day during that quarter.
Beginning May 23, 2017, the notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.
Barclays is the agent. Morgan Stanley Wealth Management is acting as a dealer.
| Issuer: | Barclays Bank plc
|
| Issue: | Contingent income callable securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $9,154,000
|
| Maturity: | Nov. 21, 2019
|
| Coupon: | 6.35% per year, payable quarterly if each index closes at or above its downside threshold level on each day during that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of either index is less than downside threshold level, full exposure to decline of lesser-performing index
|
| Call option: | Beginning May 23, 2017, at par on any quarterly determination date other than final one
|
| Initial index levels: | 1,315.642 for Russell 2000 and 2,181.90 for S&P 500
|
| Downside threshold: | 789.385 for Russell 2000 and 1,309.140 for S&P 500; 60% of initial index levels
|
| Pricing date: | Nov. 18
|
| Settlement date: | Nov. 23
|
| Agent: | Barclays
|
| Selected dealer: | Morgan Stanley Wealth Management
|
| Fees: | 2.5%
|
| Cusip: | 06745R768
|
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