Published on 9/11/2020 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $7.5 million step-down trigger autocallable notes on MSCI EAFE, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 11 – Barclays Bank plc priced $7.5 million 0% step-down trigger autocallable notes due Sept. 8, 2025 linked to the least performing of the Russell 2000 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call return rate if each index closes above its initial level on any annual observation date after one year or above its 80% final call level on the maturity date. The call return rate is 8.2% per year.
If the notes are not called, the worst performing index has finished below 60% of its initial level and investors will be fully exposed to the losses of the worst performing index.
UBS Financial Services Inc. and Barclays are the agents.
| Issuer: | Barclays Bank plc
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| Issue: | Step-down trigger autocallable notes
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| Underlying indexes: | Russell 2000 index and MSCI EAFE index
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| Amount: | $7.5 million
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| Maturity: | Sept. 8, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Call return of par plus 41% if both indexes finish above their 80% call level; par if least performing index finishes below final call level but above downside threshold price, otherwise full exposure to losses of worst performing index
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| Call: | Par of $10 plus annualized call return of 8.2% if both indexes close above initial level on any annual observation date or above the final call level on final observation date
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| Initial levels: | 1,544.68 for Russell 2000 and 1,899.02 for MSCI EAFE
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| Final call levels: | 1,235.744 for Russell 2000 and 1,519.22for MSCI EAFE, 80% of initial levels
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| Downside threshold levels: | 926.808 for Russell 2000 and 1,139.41 for MSCI EAFE, 60% of initial levels
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| Pricing date: | Sept. 8
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| Settlement date: | Sept. 11
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| Agents: | UBS Financial Services Inc. and Barclays
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| Fees: | 0%
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| Cusip: | 06747K613
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