Published on 2/13/2020 in the Prospect News Structured Products Daily.
Barclays changes coupon barrier for $1.45 million phoenix autocalls on index, ETF
By Sarah Lizee
Olympia, Wash., Feb. 13 – Barclays Bank plc changed the coupon barrier level of its $1.45 million of phoenix autocallable notes due May 31, 2023 linked to the least performing of the S&P 500 index and the SPDR S&P Biotech ETF, according to an amended 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9% if each underlying asset closes at or above its 65% coupon barrier on the observation date for that period. The coupon barrier level was previously 70% of each asset’s initial level.
After six months, the notes will be called at par plus the contingent coupon if each asset closes at or above its initial level on any quarterly call valuation date before the final valuation date.
The payout at maturity will be par unless either asset finishes below its 65% barrier level, in which case investors will be fully exposed to the loss of the least performing asset.
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 Biotech ETF, S&P 500 index
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| Amount: | $1,448,000
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| Maturity: | May 31, 2023
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| Coupon: | 9% annualized, payable each quarter that each asset closes at or above coupon barrier on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon, if any, unless either asset finishes below barrier level, in which case 1% loss per 1% decline of the worst performing asset
|
| Call: | At par plus contingent coupon if each asset closes at or above initial level on any quarterly valuation date other than final date after six months
|
| Initial levels: | 3,133.64 for S&P, $91.89 for ETF
|
| Coupon barriers: | 2,036.87 for S&P, $59.73 for ETF; 65% of initial levels
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| Barrier levels: | 2,036.87 for S&P, $59.73 for ETF; 65% of initial levels
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| Pricing date: | Nov. 25
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| Settlement date: | Nov. 29
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| Amendment date: | Feb. 5
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| Agent: | Barclays
|
| Fees: | 2.85%
|
| Cusip: | 06747NND2
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