Published on 3/23/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1.87 million 9% autocallable step down fixed coupon notes on three stocks
By William Gullotti
Buffalo, N.Y., March 23 – Barclays Bank plc priced $1.87 million of 9% autocallable step down fixed coupon notes due Sept. 9, 2024 linked to the stock performance of Alphabet Inc., Procter & Gamble Co. and Rio Tinto plc, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be paid monthly.
The notes will be automatically called at par plus the coupon if each stock closes at or above its call threshold level on any monthly observation date after three months. Call threshold level will be equal to 95% of initial level for the first three call dates, stepping down to 90% of initial level for the next three subsequent call dates and stepping down to 85% of initial level for the remaining call dates.
If each stock finishes at or above its barrier level, 50% of initial level, the payout at maturity will be par plus the final coupon.
Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial level or, at the issuer’s option, the cash equivalent.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Autocallable step down fixed coupon notes
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Underlying stocks: | Alphabet Inc., Procter & Gamble Co., Rio Tinto plc
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Amount: | $1,865,000
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Maturity: | Sept. 9, 2024
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Coupon: | 9% per year, paid monthly
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Price: | Par
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Payout at maturity: | If each stock finishes at or above barrier level, par plus final coupon; otherwise, receive a number of shares of the worst performer equal to its equity ratio or, at the issuer’s option, the cash equivalent
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Call: | At par plus coupon if each stock closes at or above its call threshold level on any monthly observation date after three months; call threshold level will be 95% of initial level for the first three call dates, stepping down to 90% of initial level for the next three subsequent call dates and stepping down to 85% of initial level for the remaining call dates
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Initial levels: | $100.32 for Alphabet, $142.89 for Procter & Gamble, $64.73 for Rio Tinto
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Barrier levels: | $50.16 for Alphabet, $71.45 for Procter & Gamble, $32.37 for Rio Tinto; 50% of initial levels
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Equity ratios: | 9.9681 for Alphabet, 6.99839 for Procter & Gamble, 15.44879 for Rio Tinto; shares delivered per note
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Strike date: | March 16
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Pricing date: | March 17
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Settlement date: | March 22
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Agent: | Barclays
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Fees: | 2.5%
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Cusip: | 06741WZZ6
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