Published on 7/23/2020 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $2.09 million contingent market-linked autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, July 23 – Barclays Bank plc priced $2.09 million of market-linked securities due July 22, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.25% if each index closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC and Barclays are the agents.
| Issuer: | Barclays Bank plc
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $2,092,000
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| Maturity: | July 22, 2024
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| Coupon: | 8.25% annualized, payable quarterly if each index closes at or above 70% coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 30%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date after six months
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| Initial levels: | 26,671.95 for Dow, 1,473.319 for Russell, 3,224.73 for S&P
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| Downside thresholds: | 18,670.365 for Dow, 1,031.3233 for Russell, 2,257.311 for S&P; 70% of initial levels
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| Pricing date: | July 17
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| Settlement date: | July 22
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| Agents: | Wells Fargo Securities, LLC and Barclays
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| Fees: | 2.175%
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| Cusip: | 06747Q6T9
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