By Sarah Lizee
Olympia, Wash., April 16 – Barclays Bank plc priced $1.55 million of contingent income autocallable securities due April 15, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.6% if each index closes at or above the 80% coupon barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the quarterly determination dates other than the final one.
The payout at maturity will be par plus the final coupon, if any, unless either index finishes below the 80% downside threshold level, in which case investors will lose 1% for each 1% decline of the worse performing index.
Barclays is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | Barclays Bank plc
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $1,552,000
|
| Maturity: | April 15, 2021
|
| Coupon: | 8.6% annualized for each quarter that each index closes at or above the coupon barrier level on the determination date
|
| Price: | Par
|
| Payout at maturity: | Par plus coupon if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worse performing index
|
| Call: | At par plus contingent payment if each index closes at or above initial level on quarterly determination dates other than the final one
|
| Initial levels: | 1,584.802 for Russell and 2,907.41 for S&P
|
| Coupon barriers/downside thresholds: | 1,267.842 for Russell and 2,325.928 for S&P, 80% of initial levels
|
| Pricing date: | April 12
|
| Settlement date: | April 17
|
| Agent: | Barclays
|
| Distributor: | Morgan Stanley Wealth Management
|
| Fees: | 2%
|
| Cusip: | 06747MMS2
|
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