Published on 8/16/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $2.67 million callable contingent market-linked notes on three indexes
By William Gullotti
Buffalo, N.Y., Aug. 16 – Barclays Bank plc priced $2.67 million of market-linked securities due Jan. 29, 2026 – callable with contingent coupon with daily observation and contingent downside linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.25% if each index closes at or above its 70% coupon threshold on every trading day during the observation period.
The notes may be called at par plus any coupon otherwise due on any quarterly valuation date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, in which case investors will be fully exposed to the decline of the worst performing index 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 – callable with contingent coupon with daily observation and contingent downside
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| Underlying indexes: | Russell 2000 index, Dow Jones industrial average, Nasdaq-100 index
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| Amount: | $2,666,000
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| Maturity: | Jan. 29, 2026
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| Coupon: | 9.25% annualized, payable quarterly if each index closes at or above coupon threshold on every trading day during the observation period
|
| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 40%, in which case 1% loss per 1% decline of the worst performing index from its initial level
|
| Call option: | At par plus any coupon otherwise due on any quarterly valuation date
|
| Initial levels: | 2,003.177 for Russell, 35,559.53 for Dow, 15,757.0 for Nasdaq
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| Coupon threshold: | 1,402.2239 for Russell, 24,891.671 for Dow, 11,029.9 for Nasdaq; 70% of initial levels
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| Downside threshold: | 1,201.9062 for Russell, 21,335.718 for Dow, 9,454.2 for Nasdaq; 60% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agents: | Wells Fargo Securities, LLC and Barclays Capital Inc.
|
| Fees: | 1.575%
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| Cusip: | 06745MNK0
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