Published on 2/27/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $11.44 million contingent income autocalls on S&P, Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Feb. 27 – Barclays Bank plc priced $11.44 million of contingent income autocallable securities due Feb. 20, 2026 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 10.05% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on every trading day that quarter.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any observation date other than the first and final ones.
If each index finishes at or above its 65% downside threshold level, the payout at maturity will be par plus the final coupon, if any. Otherwise, investors will lose 1% for every 1% that the least performing index declines from its initial level.
Barclays is the agent. Morgan Stanley Wealth Management is acting as a selected dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $11.44 million
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| Maturity: | Feb. 20, 2026
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| Coupon: | 10.05% per year, payable quarterly if each index closes at or above coupon barrier level on every trading day that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final coupon, if any; otherwise, 1% loss for every 1% that least performing index declines from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any observation date other than final one
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| Initial index levels: | 4,079.09 for S&P, 12,358.18 for Nasdaq, 1,946.356 for Russell
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| Coupon barrier levels: | 2,855.363 for S&P, 8,650.726 for Nasdaq, 1,362.449 for Russell; 70% of initial levels
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| Downside threshold levels: | 2,651.409 for S&P, 8,032.817 for Nasdaq, 1,265.131 for Russell; 65% of initial levels
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| Pricing date: | Feb. 17
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| Settlement date: | Feb. 23
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| Agent: | Barclays
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 06749NRF1
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