By Marisa Wong
Morgantown, W.Va., June 3 – Barclays Bank plc priced $1.5 million of 0% knock-out absolute return market-linked securities with daily barrier observation due Nov. 13, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event will occur if the index closes below the lower barrier, 75% of the initial level, on any trading day during the life of the notes.
The payout at maturity will be par plus 0.65% unless a barrier event has not occurred and the index return is negative, in which case the payout will be par plus the greater of 0.65% and the absolute value of the index return, which will be limited to a maximum possible return of 25%.
Barclays is the agent with Morgan Stanley Wealth Management as a dealer.
| Issuer: | Barclays Bank plc
|
| Issue: | Knock-out absolute return market-linked securities with daily barrier observation
|
| Underlying index: | S&P 500 index
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| Amount: | $1.5 million
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| Maturity: | Nov. 13, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus 0.65% unless index never closes below lower barrier during the life of the notes but finishes below its initial level, in which case par plus the greater of 0.65% and the absolute value of the index return
|
| Initial level: | 2,879.42
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| Lower barrier: | 2,159.565, 75% of initial level
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| Pricing date: | May 8
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| Settlement date: | May 13
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| Agent: | Barclays
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| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 1.75%
|
| Cusip: | 06747B803
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