By Susanna Moon
Chicago, Oct. 23 – Barclays Bank plc priced $3.9 million of contingent income autocallable securities due Dec. 31, 2020 linked to the lesser performing of the MSCI Emerging Markets index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.65% if each index closes at or above its 75% coupon barrier on each trading day during that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless either index finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.
Barclays Securities (USA) LLC is the underwriter with Morgan Stanley Wealth Management as the dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | MSCI Emerging Markets index and Nikkei 225 index
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| Amount: | $3.9 million
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| Maturity: | Dec. 31, 2020
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| Coupon: | 8.65% annualized, payable quarterly if each index closes at or above 75% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any determination date other than final date
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| Initial levels: | 1,047.91 for MSCI EM and 24,120.04 for Nikkei
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| Downside thresholds: | 785.933 for MSCI EM and 18,090.03 for Nikkei, 75% of initial levels
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| Pricing date: | Sept. 28
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| Settlement date: | Oct. 3
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| Agent: | Barclays
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| Fees: | 2%
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| Cusip: | 06746XSL8
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