By Angela McDaniels
Tacoma, Wash., Aug. 4 – Barclays Bank plc priced $20 million of contingent income autocallable securities due Aug. 5, 2024 linked to the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
If the ETF closes at or above the downside threshold level, 87% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 9.6% plus any previously unpaid coupons
The notes will be called at par plus the contingent coupon if the ETF closes at or above the initial share price on any quarterly determination date other than the final determination date.
If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1.14943% for every 1% that the ETF declines beyond 13%.
Barclays is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying ETF: | SPDR S&P 500 ETF trust
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| Amount: | $20 million
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| Maturity: | Aug. 5, 2024
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| Coupon: | 9.6% per year, payable quarterly if ETF closes at or above downside threshold level on determination date for that quarter; previously unpaid coupons will also be paid
|
| Price: | Par
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| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1.14943% loss for every 1% that ETF declines beyond 13%
|
| Call: | At par plus contingent coupon if ETF closes at or above initial share price on any quarterly determination date other than final determination date
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| Initial share price: | $452.49
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| Downside threshold: | $393.666, or 87% of initial share price
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| Strike date: | July 27
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| Pricing date: | July 28
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| Settlement date: | Aug. 2
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| Agent: | Barclays
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 0.1%
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| Cusip: | 06745MXF0
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