New York, Jan. 10 – Barclays Bank plc priced $10 million of contingent income autocallable securities due Jan. 10, 2024 linked to the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 12.99996% per year, paid monthly, if the ETF closes at or above its 87% downside threshold on the relevant observation date. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
The securities will be called automatically at par if the closing price of the underlying ETF is greater than or equal to its initial price on any monthly review date.
At maturity, the payout will be par unless the ETF finishes below its downside threshold level, in which case investors will lose 1.14943% for every 1% decline beyond 13%.
Barclays is the agent. Morgan Stanley Wealth Management is the dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying fund: | SPDR S&P 500 ETF Trust (Ticker: SPY)
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| Amount: | $10 million
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| Maturity: | Jan. 10, 2024
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| Coupon: | 12.99996% per year, paid monthly if the ETF closes at or above downside threshold on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons
|
| Price: | Par
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| Payout at maturity: | Par unless the ETF finishes below its downside threshold level, in which case investors will lose 1.14943% for each 1% decline beyond 13%
|
| Call: | Automatically at par if the closing price of the underlying ETF is greater than or equal to its initial price on any monthly review date
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| Initial level: | $383.76
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| Downside threshold: | $333.871, 87% of initial level
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| Strike date: | Jan. 4
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| Pricing date: | Jan. 5
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| Settlement date: | Jan. 10
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| Agent: | Barclays
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 0.2%
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| Cusip: | 06749NFZ0
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