By Susanna Moon
Chicago, July 31 – Barclays Bank plc priced $1.46 million of phoenix autocallable notes due Aug. 1, 2022 linked to the least performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 7% if each underlying fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any observation date other than the final date.
The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing fund.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Phoenix autocallable notes
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| Underlying assets: | SPDR S&P 500 ETF and iShares Russell 2000 ETF
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| Amount: | $1,455,000
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| Maturity: | Aug. 1, 2022
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| Coupon: | 7% annualized payable semiannually if fund closes at or above 70% coupon barrier on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either fund falls below its 60% trigger, in which case 1% loss for each 1% decline of worse performing fund
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| Call: | At par plus contingent coupon if fund closes at or above initial level on any semiannual observation date other than final date
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| Initial levels: | $247.42 for S&P fund, $144.05 for Russell fund
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| Coupon barriers: | $173.19 for S&P fund, $100.84 for Russell fund; 70% of initial levels
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| Trigger levels: | $148.45 for S&P fund, $86.43 for Russell fund; 60% of initial levels
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| Pricing date: | July 25
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| Settlement date: | Aug. 1
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| Agent: | Barclays
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| Fees: | 1%
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| Cusip: | 06744CDH1
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