Published on 5/10/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $635,000 contingent income autocallables on three indexes
By Wendy Van Sickle
Columbus, Ohio, May 10 – Barclays Bank plc priced $635,000 of contingent income autocallable securities due Nov. 6, 2020 linked to the least performing of the Nasdaq-100 index, Russell 2000 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent payment at an annual rate of 9.6% if each index closes at or above its 80% coupon barrier level on the observation date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date other than the final date.
If each index finishes at or above its 70% downside threshold level, the payout at maturity will be par plus the final contingent coupon, if any.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.
Barclays is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Nasdaq-100, Russell 2000, S&P 500
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| Amount: | $635,000
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| Maturity: | Nov. 6, 2020
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| Coupon: | 9.6% annualized, payable each quarter that each index closes at or above coupon barrier on review date 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 plus contingent coupon, if any; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | Automatically at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date other than the final date
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| Initial levels: | 6,643.479 for Nasdaq, 1,546.558 for Russell, 2,629.73 for S&P
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| Coupon barriers: | 5,314.783 for Nasdaq, 1,237.246 for Russell, 2,103.784 for S&P; 80% of initial levels
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| Downside thresholds: | 4,650.435 for Nasdaq, 1,082.591 for Russell, 1,840.811 for S&P; 70% of initial levels
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| Pricing date: | May 3
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| Settlement date: | May 8
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| Agent: | Barclays
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| Fees: | 2.5%
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| Cusip: | 06746XBN2
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