Published on 3/14/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1 million phoenix autocallable notes on three ETFs
By William Gullotti
Buffalo, N.Y., March 14 – Barclays Bank plc priced $1 million of phoenix autocallable notes due Jan. 30, 2026 linked to the least performing of the SPDR S&P 500 ETF Trust, the Invesco QQQ Trust, Series 1 and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 8.65% if each ETF closes at or above its 65% coupon barrier on a related observation date.
The notes will be called at par plus the contingent coupon if each ETF closes at or above its initial level on any semiannual call observation date.
If each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 60% final barrier, the payout will be par. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that ETF’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: | Phoenix autocallable notes
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Underlying funds: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF, Invesco QQQ Trust, Series 1
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Amount: | $1 million
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Maturity: | Jan. 30, 2026
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Coupon: | 8.65% annualized, payable semiannually if each ETF closes at or above coupon barrier on related observation date
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Price: | Par
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Payout at maturity: | If each ETF finishes at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, receive a number of shares of the worst performer per note equal to that ETF’s equity ratio or, at the issuer’s option, the cash equivalent
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Call: | Automatically at par plus contingent coupon if each ETF closes at or above initial level on any semiannual call observation date
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Initial levels: | $405.68 for SPDR, $189.58 for iShares, $296.26 for QQQ
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Coupon barriers: | $263.69 for SPDR, $123.23 for iShares, $192.57 for QQQ; 65% of initial levels
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Final barriers: | $243.41 for SPDR, $113.75 for iShares, $177.76 for QQQ; 60% of initial levels
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Equity ratios: | 2.465 for SPDR, 5.27482 for iShares, 3.37541 for QQQ; shares delivered per note
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Strike date: | Jan. 27
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Pricing date: | Jan. 30
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Settlement date: | Feb. 2
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Agent: | Barclays
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Fees: | 1.5%
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Cusip: | 06741WZ37
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