By Susanna Moon
Chicago, May 22 – Barclays Bank plc priced $11.08 million of 0% autocallable market-linked step-up notes due May 24, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 6.33% if the index closes at or above its initial level on any annual observation date.
If the index finishes above the step-up level – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.
Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond the buffer.
BofA Merrill Lynch is the agent.
Issuer: | Barclays Bank plc
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | S&P 500
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Amount: | $11,083,430
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Maturity: | May 24, 2024
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Coupon: | 0%
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Price: | Par of $10.00
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Payout at maturity: | If index gains by more than 30%, par plus return; if index gains by up to 30%, par plus 30%; par if index falls by up to 15%; exposure to any losses beyond 15%
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Call: | At par plus 6.33% per year if the index closes at or above its initial level on any annual observation date
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Initial level: | 2,723.07
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Step-up value: | 3,539.99, 130% of initial level
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Pricing date: | May 10
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Settlement date: | May 17
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 06746R452
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