New Issue: Barclays sells $1.38 million autocallable step down notes tied to Russell, S&P, Nasdaq

By William Gullotti

Buffalo, N.Y., Dec. 9 – Barclays Bank plc priced $1.38 million of 0% autocallable step down notes due June 10, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus 9.7% per year if each index closes at or above its call threshold level on any monthly observation date after one year. Call threshold level starts equal to the initial index level and steps down by approximately 5.83% after each observation.

If each index finishes at or above its buffer level, 75% of initial level, the payout at maturity will be par plus the 14.55% maturity premium.

If the worst performer finishes below the buffer but at or above its 65% redemption threshold, investors will receive the maturity premium but also lose 1.33333% of their principal amount for every 1% decline of the worst performer beyond 25%.

Otherwise, investors will lose 1.33333% for each 1% decline of the worst performer below buffer level.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Autocallable step down notes
Underlying indexes:	S&P 500 index, Russell 2000 index, Nasdaq-100 index
Amount:	$1,375,000
Maturity:	June 10, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above buffer level, par plus 14.55% maturity premium; if worst performer finishes below buffer level but at or above redemption threshold, 1.33333% loss per 1% decline of worst performer beyond 25% plus the maturity premium; otherwise, 1.33333% loss per 1% decline of worst performer beyond 25%
Call:	At par plus 9.7% per year if each index closes at or above its call threshold level on any monthly observation date after one year
Initial index levels:	3,998.84 for S&P, 1,840.222 for Russell, 11,786.8 for Nasdaq
Call threshold levels:	Starts at 100% of initial level and steps down by approximately 5.83% after each subsequent review date
Buffer levels:	2,999.13 for S&P, 1,380.17 for Russell, 8,840.1 for Nasdaq; 75% of initial levels
Redemption thresholds:	2,599.25 for S&P, 1,196.14 for Russell, 7,661.42 for Nasdaq; 65% of initial levels
Pricing date:	Dec. 5
Settlement date:	Dec. 8
Agent:	Barclays
Fees:	0.6%
Cusip:	06749NBK7

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