Published on 4/9/2020 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1.68 million contingent interest callables on indexes
By Devika Patel
Knoxville, Tenn., April 9 – Barclays Bank plc priced $1.68 million of contingent income callable securities due April 5, 2022 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 pay a contingent coupon at an annual rate of 11.1% if each index closes at or above its downside threshold level, 65% of its initial index level, on each trading day of that quarter.
The notes are callable at par on any quarterly interest payment date other than the final one beginning on July 6, 2020.
If each index finishes at or above its 65% downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Barclays is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $1.68 million
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| Maturity: | April 5, 2022
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| Coupon: | 11.1% per year, payable quarterly if each index closes at or above coupon barrier level on each day of that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, 1% loss for each 1% decline of lowest-performing index from initial level
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| Call option: | At par on any quarterly interest payment date other than final one beginning July 6, 2020
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| Initial index levels: | 1,153.103 for Russell, 2,584.59 for S&P and 2,786.90 for Stoxx
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| Downside thresholds: | 749.517 for Russell, 1,679.984 for S&P and 1,811.485 for Stoxx; 65% of initial levels
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| Pricing date: | March 31
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| Settlement date: | April 3
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| Agent: | Barclays
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| Fees: | 2%
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| Cusip: | 06747PKP3
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