By Tali Rackner
Minneapolis, Nov. 30 – Barclays Bank plc priced $3.41 million of contingent income autocallable securities due Nov. 20, 2020 linked to the least performing of the Energy Select Sector SPDR fund, the Financial Select Sector SPDR fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 8.6% if each fund closes at or above its 70% downside threshold on the determination date for that quarter.
The notes will be callable at par on any quarterly determination date other than the final date.
The payout at maturity will be par plus the final coupon unless any fund finishes below its 70% downside threshold, in which case investors will be fully exposed to the decline of the least-performing fund.
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 funds: | Energy Select Sector SPDR, Financial Select Sector SPDR and Technology Select Sector SPDR
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| Amount: | $3,407,000
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| Maturity: | Nov. 20, 2020
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| Coupon: | 8.6% per year, payable quarterly if each fund closes at or above 70% downside threshold on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, full exposure to decline of least-performing fund
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| Call: | At par if each fund closes at or above its initial level on any quarterly determination date
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| Initial levels: | $67.43 for Energy Select, $26.16 for Financial Select and $63.35 for Technology Select
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| Downside thresholds: | $47.201 for Energy Select, $18.312 for Financial Select and $44.345 for Technology Select; 70% of initial levels
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 22
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| Agent: | Barclays
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 06746N881
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