Published on 7/3/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $4.76 million market-linked callables with contingent coupon and downside on indexes
By Wendy Van Sickle
Columbus, Ohio, July 3 – Barclays Bank plc priced $4.76 million of market-linked securities due June 26, 2026 – callable with contingent coupon with daily observation and contingent downside linked to the lowest performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A contingent coupon at an annualized rate of 10.1% will be paid on a quarterly basis if each index closes at or above its coupon threshold, 70% of its initial level, on every day that quarter.
The notes will be callable at par plus on any quarterly observation date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
Issuer: | Barclays Bank plc
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Issue: | Market linked securities – callable with contingent coupon with daily observation and contingent downside
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Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx 50 index
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Amount: | $4,761,000
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Maturity: | June 26, 2026
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Coupon: | 10.1%, payable quarterly if each index closes at or above its coupon threshold on every day that quarter
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Price: | Par
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Payout at maturity: | Par unless any index falls by more than 40%, in which case 1% loss per 1% decline of the worst performing index from its initial level
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Call: | At par on any quarterly observation date
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Initial levels: | 4,348.33 for S&P, 1,821.635 for Russell, 4,271.61 for Stoxx
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Coupon thresholds: | 3,043.831 for S&P, 1,275.1445 for Russell, 2,990.127 for Stoxx; 70% of initial levels
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Downside thresholds: | 2,608.998 for S&P, 1,092.981 for Russell, 2,562.966 for Stoxx; 60% of initial levels
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Pricing date: | June 23
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Settlement date: | June 28
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Agent: | Wells Fargo Securities, LLC
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Fees: | 1.525%
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Cusip: | 06745ML89
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