Published on 2/15/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $2.5 million leveraged market-linked autocalls with downside on indexes
By William Gullotti
Buffalo, N.Y., Feb. 15 – Barclays Bank plc priced $2.5 million of 0% market-linked securities – autocallable with leveraged upside participation and contingent downside due Feb. 4, 2027 linked to the performance of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will be called automatically at par plus a 14.65% call premium if each index closes at or above its initial level on Feb. 5, 2025.
If the notes are not called and each index finishes at or above its initial level, the payout at maturity will be par plus 150% of the return of the worst performer.
If any index falls by up to 30%, the payout will be par.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
Wells Fargo Securities, LLC and Barclays Capital Inc. are the agents.
| Issuer: | Barclays Bank plc.
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| Issue: | Market-linked securities – autocallable with leveraged upside participation and contingent downside
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $2,503,000
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| Maturity: | Feb. 4, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 150% times the gain of least-performing index; if worst performer falls but finishes at or above threshold level, par; otherwise, 1% loss for every 1% decline of worst performer from its initial level
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| Call: | Automatically at par plus a 14.65% call premium if each index closes at or above initial level on Feb. 5, 2025
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| Initial levels: | 17,137.24 for Nasdaq, 1,947.342 for Russell, 4,845.65 for S&P
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| Threshold levels: | 11,996.068 for Nasdaq, 1,363.1394 for Russell, 3,391.955 for S&P; 70% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | Barclays Capital Inc. and Wells Fargo Securities LLC
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| Fees: | 2.575%
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| Cusip: | 06745PQ53
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