Published on 1/18/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $5.43 million contingent income autocallables on indexes
By Susanna Moon
Chicago, Jan. 18 – Barclays Bank plc priced $5.43 million of contingent income autocallable securities due Jan. 17, 2019 linked to the worse performing of 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 annualized rate of 8.55% if each index closes at or above the downside threshold, 80% of the initial level, on a determination date for that quarter.
The notes will be called at par of $10 plus the contingent coupon if each index close at or above the initial share price on any quarterly determination date other than the final determination date.
The payout at maturity will be par unless any index finishes below its 80% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Barclays is the agent with Morgan Stanley Wealth Management as a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $5,428,000
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| Maturity: | Jan. 17, 2019
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| Coupon: | 8.55% per year, payable quarterly if each index closes at or above downside threshold on determination date for that quarter
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| Price: | Par of $10.00
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to any losses of worst performing index
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| Call: | At par plus contingent coupon if each index close at or above initial share price on any quarterly determination date other than final date
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| Initial levels: | 1,372.047 for Russell, 2,274.64 for S&P
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| Downside thresholds: | 1,097.638 for Russell, 1,819.712 for S&P; 80% of initial levels
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| Pricing date: | Jan. 13
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| Settlement date: | Jan. 19
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| Agent: | Barclays with Morgan Stanley Wealth Management
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| Fees: | 1.5%
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| Cusip: | 06745R362
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