Published on 9/27/2020 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1 million digital notes linked to S&P 500
By Marisa Wong
Los Angeles, Sept. 28 – Barclays Bank plc priced $1 million of 0% digital notes due Oct. 19, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than or equal to the buffer value, 85% of the initial index level, the payout at maturity will be par plus the digital return of 6.85%.
If the final index level is less than the buffer value, investors will lose 1.17647% for every 1% that the index declines beyond 15%.
Barclays is the agent, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA as placement agents.
Issuer: | Barclays Bank plc
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Issue: | Digital notes
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Underlying index: | S&P 500 index
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Amount: | $1 million
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Maturity: | Oct. 19, 2021
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 6.85% unless index falls by more than 15%, in which case 1.17647% loss for every 1% that index declines beyond 15%
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Initial level: | 3,357.01
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Buffer value: | 2,853.46, 85% of initial index level
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Final level: | Average of index closing levels on five trading days ending Oct. 14, 2021
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Pricing date: | Sept. 18
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Settlement date: | Sept. 23
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Agents: | Barclays with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA as placement agents
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Fees: | 0.7%
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Cusip: | 06747QJR9
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