Published on 2/18/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $865,000 market-linked callables with daily observation on indexes
By Kiku Steinfeld
Chicago, Feb. 19 – Barclays Bank plc priced $865,000 of market-linked securities – callable with contingent coupon with daily observation and contingent downside due Dec. 29, 2026 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at par plus 10% yearly if each index closes at or above 70% of its initial level every trading day of that quarter.
The notes will be callable at par on any quarterly observation date.
If the notes are not called and each index finishes at or above its 60% downside threshold, the payout at maturity 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 are the agents.
| 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: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $865,000
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| Maturity: | Dec. 29, 2026
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| Coupon: | 10% annualized, payable quarterly, if each index closes at or above its coupon barrier level every trading day of that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of worst performer from initial level
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| Call option: | 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 barrier levels: | 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 threshold levels: | 2,608.998 for S&P, 1,092.98 for Russell, 2,562.966 for Stoxx, 60% of initial levels
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| Pricing date: | June 23, 2023
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| Settlement date: | June 28, 2023
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| Agents: | Wells Fargo Securities, LLC and Barclays
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| Fees: | 1.525%
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| Cusip: | 06745MLC0
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