Published on 2/13/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.1 million capped barrier notes tied to a performance-weighted basket
By William Gullotti
Buffalo, N.Y., Feb. 13 – Barclays Bank plc priced $1.1 million of 0% capped barrier notes due Feb. 11, 2027 linked to a performance-weighted basket of assets consisting of the iShares MSCI Emerging Markets ETF, the iShares MSCI EAFE ETF and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.
At maturity, the weights of the basket components will be weighted by performance, with the best-performing underlier weighted at 80%, the next at 20% and the worst at 0%
If the basket return is positive, the payout at maturity will be par plus the basket return, subject to a maximum payout of par plus 54%.
Investors will receive par if the basket declines by no more than 20% and lose 1% for every 1% of basket decline if it finishes below its 80% barrier level.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Capped barrier notes
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Underlying basket: | iShares MSCI Emerging Markets ETF, iShares MSCI EAFE ETF, Euro Stoxx 50 index; weighted by performance with best-performing underlier weighted at 80%, the next at 20% and worst at 0%
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Amount: | $1.1 million
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Maturity: | Feb. 11, 2027
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus any basket gain, capped at par plus 54%; if basket falls by no more than 20%, par; otherwise, full exposure to basket decline from initial level
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Initial levels: | $39.41 for EM ETF, $75.04 for EAFE ETF, 4,710.78 for Stoxx
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Barrier level: | 80% of initial level
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Pricing date: | Feb. 8
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Settlement date: | Feb. 13
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Agent: | Barclays
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Fees: | 0.85%
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Cusip: | 06745PTL5
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