Published on 2/6/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $11.6 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 6 – Barclays Bank plc priced $11.6 million of trigger callable contingent yield notes due Feb. 3, 2021 linked to the least performing of the Euro Stoxx 50 index, 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 if each index closes at or above its coupon barrier, 70% of its initial level, on each trading day that quarter. The contingent coupon rate is 9.25% per year.
The notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its coupon barrier level, the payout at maturity will be par plus the contingent coupon.
If any index falls below the coupon barrier but not below its 60% downside threshold, the payout will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and Barclays are the agents.
Issuer: | Barclays Bank plc
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Issue: | Trigger callable contingent yield notes
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Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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Amount: | $11,595,000
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Maturity: | Feb. 3, 2021
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Coupon: | 9.25% per year, payable quarterly if each index closes at or above its coupon barrier on each day that quarter
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above coupon barrier, par plus contingent coupon; if any index falls below coupon barrier but not below threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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Call option: | At par on each quarterly observation date other than final one
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Initial index levels: | 3,643.04 for Stoxx, 1,598.109 for Russell, 2,853.53 for S&P
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Coupon barriers: | 2,550.13 for Stoxx, 1,118.676 for Russell and 1,997.47 for S&P; 70% of initial levels
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Thresholds: | 2,185.82 for Stoxx, 958.865 for Russell and 1,712.12 for S&P; 60% of initial levels
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Pricing date: | Jan. 29
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Settlement date: | Jan. 31
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Agents: | UBS Financial Services Inc. and Barclays
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Fees: | 1%
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Cusip: | 06746Q405
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