Published on 3/10/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $3.67 million of contingent income autocallables linked to indexes
By Devika Patel
Knoxville, Tenn., March 10 – Barclays Bank plc priced $3.67 million of contingent income autocallable securities due March 13, 2019 linked to the worst performing of the Nasdaq-100 index, 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 10.35% on the determination date for that quarter if each index closes at or above the 80% coupon barrier level on each trading day of the determination period.
Starting on June 8, 2017, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the quarterly determination dates other than the final one.
The payout at maturity will be par plus the final coupon unless any index finishes below the 80% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index.
Barclays is the agent, with Morgan Stanley Wealth Management handling distribution.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Nasdaq-100, Russell 2000 and S&P 500
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| Amount: | $3.67 million
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| Maturity: | March 13, 2019
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| Coupon: | 10.35% annualized for each quarter that all indexes close at or above barrier levels on each trading day of the quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the determination dates other than the final one, starting June 8, 2017
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| Initial levels: | 5,359.805 for Nasdaq, 1,366.039 for Russell and 2,362.98 for S&P
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| Coupon/downside thresholds: | 4,287.844 for Nasdaq, 1,092.831 for Russell and 1,890.384 for S&P, 80% of initial levels
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| Pricing date: | March 8
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| Settlement date: | March 13
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| Agent: | Barclays
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| Fees: | 1.5%
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| Cusip: | 06741VNJ7
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