New Issue: Barclays sells $21.45 million contingent income autocallables on Southwest, JetBlue, Delta

By Wendy Van Sickle

Columbus, Ohio, Jan. 21 – Barclays Bank plc priced $21.45 million of contingent income autocallable securities due Jan. 20, 2023 linked to the worst performing of the Delta Air Lines, Inc., the Southwest Airlines Co. and the JetBlue Airways Corp., according to a 424B2 filing with the Securities and Exchange Commission.

Investors will receive a contingent quarterly payment of 8.2% per annum if each stock closes at or above the barrier level, which is 55% of the initial stock level, on a quarterly determination date.

The notes will be automatically redeemed at par plus the contingent quarterly coupon if each stock closes at or above the initial stock level on any quarterly redemption determination date after six months.

If the notes are not called and the final stock level is greater than or equal to the 55% downside threshold level, the payout at maturity will be par plus the final contingent quarterly coupon. Otherwise, investors will be fully exposed to the worst performing stock's decline from its initial level.

Barclays is the agent. Morgan Stanley Wealth Management is a dealer.

Issuer:	Barclays Bank plc
Issue:	Contingent income autocallable securities
Underlying stocks:	Southwest Airlines Co., JetBlue Airways Corp., Delta Air Lines, Inc.
Amount:	$21,445,050
Maturity:	Jan. 20, 2023
Coupon:	8.2% annual rate, if each stock closes at or above barrier level on a quarterly determination date
Price:	Par
Payout at maturity:	If final stock level of each stock is greater than or equal to downside threshold level, par plus final contingent quarterly coupon; otherwise, investors will be fully exposed to worst performing stock's decline from its initial level
Call:	At par plus contingent quarterly coupon if each stock closes at or above initial stock level on any quarterly redemption determination date after six months
Initial stock levels:	$39.98 for Delta, $14.93 for JetBlue and $46.66 for Southwest
Coupon barrier levels:	$21.989 for Delta, $8.212 for JetBlue and $25.663 for Southwest, 55% of initial level
Downside threshold levels:	$21.989 for Delta, $8.212 for JetBlue and $25.663 for Southwest, 55% of initial level
Pricing date:	Jan. 15
Settlement date:	Jan. 21
Agent:	Barclays
Selected dealer:	Morgan Stanley Wealth Management
Fees:	2%
Cusip:	06747L165

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