Published on 3/20/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $13.07 million trigger callable contingent yield notes on indexes
By Marisa Wong
Morgantown, W.Va., March 20 – Barclays Bank plc priced $13.07 million of trigger callable contingent yield notes due March 23, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 10.24% if each index’s closing level remains at or above its coupon barrier level, 65% of its initial level, on each day during that quarter.
The notes will be callable at par of $10 on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the contingent coupon, if any. Otherwise, investors will lose 1% for every 1% decline of the least-performing index from its initial level.
UBS Financial Services Inc. and Barclays are the agents.
Issuer: | Barclays Bank plc
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Issue: | Trigger callable contingent yield notes
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Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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Amount: | $13.07 million
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Maturity: | March 23, 2020
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Coupon: | 10.24% per year, payable quarterly if each index closes at or above its barrier level each day for that quarter
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Price: | Par
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Payout at maturity: | Par plus coupon, if any, unless any index finishes below downside threshold, in which case 1% loss for every 1% decline of worst performing index from initial level
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Call option: | At par on any quarterly observation date other than the final one
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Initial levels: | 1,382.830 for Russell, 2,385.26 for S&P, 3,409.32 for Stoxx
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Coupon barrier: | 898.840 for Russell, 1,550.42 for S&P, 2,216.06 for Stoxx; 65% of initial levels
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Downside threshold: | 829.698 for Russell, 1,431.16 for S&P, 2,045.59 for Stoxx; 60% of initial levels
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Pricing date: | March 16
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Settlement date: | March 22
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Agents: | UBS Financial Services Inc. and Barclays
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Fees: | 1%
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Cusip: | 06745T186
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