Published on 1/17/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.5 million contingent interest callable notes tied to three indexes
By Susanna Moon
Chicago, Jan. 17 – Barclays Bank plc priced $1.5 million of callable contingent interest notes due July 18, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Stoxx Europe 600 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 8.1% if each index closes at or above its coupon barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be callable at par plus the contingent coupon on any review date.
The payout at maturity will be par unless any index finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will be the placement agents.
| Issuer: | Barclays Bank plc
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Callable contingent interest notes
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| Underlying indexes: | S&P 500 index, the Russell 2000 index and the Stoxx Europe 600 index
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| Amount: | $1,504,000
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| Maturity: | July 18, 2018
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| Issue price: | Par
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| Coupon: | 8.1% annualized, payable quarterly if each underlying index closes at or above 70% coupon barrier on review date for that quarter
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| Payout at maturity: | Par plus final coupon unless any index finishes below 70% trigger, in which case 1% loss for each 1% decline of worst performing index
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| Call option: | At par plus contingent coupon on any review date
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| Initial levels: | 2,270.44 for S&P, 1,361.066 for Russell, 362.51 for Stoxx
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| Trigger levels: | 1,589.31 for S&P, 952.746 for Russell, 253.76 for Stoxx; 70% of initial levels
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| Pricing date: | Jan. 12
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| Settlement date: | Jan. 18
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| Agents: | Barclays with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.25%
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| Cusip: | 06741VH96
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