Published on 6/1/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.5 million buffered callable contingent coupon notes tied to indexes, fund
By Susanna Moon
Chicago, June 1 – Barclays Bank plc priced $1.5 million of buffered callable contingent coupon notes due May 28, 2020 linked to the Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annual rate of 8% if each component closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any component falls by more than 40%, in which case investors will lose 1.66667% for each 1% decline of the worst performing component beyond 40%.
The notes are callable at par on any quarterly observation date after one year.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Buffered callable contingent coupon notes
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| Underlying assets: | Russell 2000 index, Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF
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| Amount: | $1.5 million
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| Maturity: | May 28, 2020
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| Coupon: | 8% annualized, per quarter that each component closes at or above 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component falls by more than 40%, in which case 1.66667% loss for each 1% decline of worst performing component beyond 40%
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| Call option: | At par on any observation date beginning May 2018
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| Initial levels: | 1,377.14 for Russell, 3,576.53 for Stoxx, $41.19 for fund
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| Coupon barriers: | 964.00 for Russell, 2,503.57 for Stoxx, $28.83 for fund; 70% of initial levels
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| Downside barriers: | 60% of initial levels
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| Pricing date: | May 22
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| Settlement date: | May 25
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| Agent: | Barclays
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| Fees: | 0.45%
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| Cusip: | 06741VW57 / US06741VW573
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