New Issue: Barclays prices $115,000 digital plus notes tied to Russell 2000, S&P 500

By Wendy Van Sickle

Columbus, Ohio, Feb. 28 – Barclays Bank plc priced $115,000 of 0% digital plus notes due Feb. 28, 2022 linked to the lowest performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above its 60% barrier level, the payout at maturity will be par plus the greater of the 25% digital return and the gain of the worse performing index.

Otherwise, investors will lose 1% for each 1% decline of the worse performing index.

The exact deal terms will be set at pricing.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Digital plus notes
Underlying indexes:	S&P 500, Russell 2000
Amount:	$115,000
Maturity:	Feb. 28, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If final level of each index is greater than or equal to barrier level, par plus greater of lesser-performing index return and 25%; otherwise, 1% loss for each 1% decline of worse-performing index from initial level
Initial levels:	2,363.81 for S&P, 1,394.62 for Russell
Barrier levels:	1,418.29 for S&P, 836.77 for Russell, 60% of initial levels
Pricing date:	Feb. 23
Settlement date:	Feb. 28
Agent:	Barclays
Fees:	3.5%
Cusip:	06741VJX1

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