Published on 1/19/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $23.15 million contingent income autocallables linked to three indexes
By Susanna Moon
Chicago, Jan. 19 – Barclays Bank plc priced $23.15 million of contingent income autocallable securities due Jan. 16, 2020 linked to the worst performing of the Russell 2000 index, the Euro Stoxx 50 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 annualized rate of 10% if each index closes at or above the coupon barrier level, 70% of the initial level, on each trading day during that determination period for that quarter.
The notes will be called at par plus the contingent coupon if each index close at or above its initial level on any quarterly determination date other than the final date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $23,148,000
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| Maturity: | Jan. 16, 2020
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| Coupon: | 10% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day during that determination period for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to any losses of worst performing index
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| Call: | At par plus contingent coupon if each index close at or above initial level on any quarterly determination date other than final determination date
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| Initial levels: | 1,372.047 for Russell, 2,274.64 for S&P, 3,324.34 for Stoxx
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| Coupon barriers: | 960.433 for Russell, 1,592.248 for S&P, 2,327.038 for Stoxx; 70% of initial levels
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| Downside thresholds: | 823.228 for Russell, 1,364.784 for S&P, 1,994.604 for Stoxx; 60% of initial levels
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| Pricing date: | Jan. 13
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| Settlement date: | Jan. 19
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| Agent: | Barclays
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| Fees: | 1.8%
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| Cusip: | 06741VH47
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