Published on 5/10/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $35.05 million step down trigger autocallables on Russell, S&P
New York, May 10 – Barclays Bank plc priced $35.05 million of 0% step down trigger autocallable notes due May 11, 2022 linked to the lesser 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 be automatically called at par of $10 plus 7.05% per year if each index closes at or above its initial level on any quarterly observation date after one year. For the final call, the notes will be called on the maturity date at par plus 7.05% per year if each index is at or above its downside threshold, 60% of its initial value.
If the notes are not subject to an automatic call, then the final level of at least one index will be less than its downside threshold, 60% of its initial level, and investors will be exposed to the decline of the lesser performing index from its initial level.
Barclays and UBS Financial Services Inc. are the underwriters.
| Issuer: | Barclays Bank plc
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| Issue: | Step down trigger autocallable notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $35,045,000
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| Maturity: | May 11, 2022
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Full exposure to decline of least-performing index from initial level
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| Call: | At par plus 7.05% per year if each index closes at or above its initial level on any quarterly observation date starting after one year, except that for the final observation date the call is at par plus 7.05% per year if each index closes at or above its downside threshold
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| Initial index levels: | 1,396.995 for Russell 2000, 2,399.29 for S&P 500
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| Downside thresholds: | 838.197 for Russell 2000, 1,439.57 for S&P 500; 60% of initial levels
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| Pricing date: | May 8
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| Settlement date: | May 12
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| Underwriters: | Barclays and UBS Financial Services Inc.
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| Fees: | 1.65%
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| Cusip: | 06746J138
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