Published on 3/1/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $4.7 million contingent income callable securities on three indexes
Chicago, March 1 – Barclays Bank plc priced $4.7 million contingent income callable securities due Aug. 6, 2026 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate 9.25% if each index closes at or above its coupon barrier level, 75% of its initial index level, every day that quarter.
The notes will be callable at par plus any coupon due on any quarterly payment date.
If each index finishes at or above its downside threshold level, 70% of its initial index level, the payout at maturity will be par plus the final contingent coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Barclays is the agent. Morgan Stanley Wealth Management is the selected dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx 50 index
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| Amount: | $4,700,000
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| Maturity: | Aug. 6, 2026
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| Coupon: | 9.25% per year, payable quarterly if each index closes at or above coupon barrier on every day that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final coupon; if final level of any index is less than downside threshold, full exposure to decline of lowest-performing index
|
| Call option: | At par plus any coupon due on any quarterly determination date
|
| Initial levels: | 1,962.731 for Russell, 4,958.61 for S&P, 4,654.55 for Stoxx
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| Coupon barrier: | 1,472.048 for Russell, 3,718.958 for S&P, 3,490.913 for Stoxx; 75% of initial levels
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| Downside thresholds: | 1,373.912 for Russell, 3,471.027 for S&P, 3,258.185 for Stoxx; 70% of initial levels
|
| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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| Agent: | Barclays
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| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 2.25%
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| Cusip: | 06745PR52
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