By Devika Patel
Knoxville, Tenn., June 21 – Barclays Bank plc priced $3.45 million of contingent income autocallable securities due Sept. 3, 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 9.25% on the determination date for that quarter if each index closes at or above the 80% downside threshold level on each trading day of the determination period.
Starting on Aug. 30, 2019, 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 worst performing index from its initial level.
Barclays is the agent, with Morgan Stanley Wealth Management handling distribution.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $3.45 million
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| Maturity: | Sept. 3, 2021
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| Coupon: | 9.25% annualized for each quarter that both indexes close at or above barrier levels on each trading day of the quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus any contingent coupon if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the determination dates other than the final one, starting Aug. 30, 2019
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| Initial levels: | 1,465.487 for Russell and 2,752.06 for S&P
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| Downside thresholds: | 1,172.390 for Russell and 2,201.648 for S&P, 80% of initial levels
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| Pricing date: | May 31
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| Settlement date: | June 5
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| Agent: | Barclays
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| Fees: | 2.5%
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| Cusip: | 06747MYC4
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