Published on 5/27/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1 million callable contingent payment notes tied to fund, indexes
By Susanna Moon
Chicago, May 27 – Barclays Bank plc priced $1 million of callable contingent payment notes due Nov. 25, 2016 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 11% if each component closes at or above its barrier level, 75% of the initial level, on a valuation date for that quarter.
The notes are callable at par plus the contingent coupon on any interest payment date.
The payout at maturity will be par unless any component finishes below the 75% barrier level, in which case investors will be fully exposed to any losses of the worst performing component.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Callable contingent payment notes
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| Underlying components: | S&P 500 index, Russell 2000 index and the iShares MSCI Emerging Markets ETF
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| Amount: | $1 million
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| Maturity: | Nov. 25, 2016
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| Coupon: | 11% per year, payable quarterly if each component closes at or above barrier level on valuation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component finishes below barrier level, in which case full exposure to losses of worst performing index
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| Call option: | At par on any interest payment date
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| Initial index levels: | 2,130.82 for S&P, 1,256.74 for Russell, $42.60 for MSCI EM fund
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| Barrier levels: | 1,598.12 for S&P, 942.56 for Russell, $31.95 for MSCI EM fund; 75% of initial levels
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| Pricing date: | May 21
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| Settlement date: | May 27
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| Agent: | Barclays
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| Fees: | 1.75%
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| Cusip: | 06741UWT7
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