Published on 7/24/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.98 million callable contingent payment notes tied to fund, indexes
By Susanna Moon
Chicago, July 24 – Barclays Bank plc priced $1.98 million of callable contingent payment notes due July 26, 2018 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 8% if each component closes at or above its barrier level, 60% of the initial level, on the 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 60% 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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Underlyings: | S&P 500 index, Russell 2000 index and the iShares MSCI Emerging Markets ETF
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Amount: | $1,975,000
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Maturity: | July 26, 2018
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Coupon: | 8% per year, payable quarterly if each component closes at or above barrier level on quarterly valuation date
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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 levels: | 2,114.15 for S&P, 1,258.35 for Russell, $37.97 for EM fund
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Barrier levels: | 1,268.49 for S&P, 755.01 for Russell, $22.78 for EM fund; 60% of initial levels
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Pricing date: | July 22
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Settlement date: | July 27
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Agent: | Barclays
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Fees: | 1.75%
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Cusip: | 06741UB78
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