Published on 4/12/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $5 million callable contingent coupon notes on SPDR ETFs
By Kiku Steinfeld
Chicago, April 12 – Barclays Bank plc priced $5 million callable contingent coupon notes due July 11, 2028 linked to the worst performing of the SPDR S&P Regional Banking ETF, the Energy Select Sector SPDR Fund and the Real Estate Select Sector SPDR Fund, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate 16.45% if each ETF closes at or above its downside threshold level, 60% of its initial ETF level, on the corresponding observation date.
The notes will be callable at par plus any coupon otherwise due on any monthly call valuation date starting after six months.
If each ETF finishes at or above its 60% downside threshold, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for each 1% decline of the least-performing ETF from its initial level.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Callable contingent coupon notes
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Underlying funds: | SPDR S&P Regional Banking ETF, Energy Select Sector SPDR Fund and Real Estate Select Sector SPDR Fund
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Amount: | $5 million
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Maturity: | July 11, 2028
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Coupon: | 16.45% per year, payable monthly if each ETF closes at or above downside threshold on the corresponding determination date
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Price: | Par
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Payout at maturity: | If each ETF finishes at or above downside threshold, par plus final coupon; otherwise, full exposure to decline of lowest-performing ETF from initial level
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Call option: | At par plus any coupon otherwise due on any monthly determination date starting after six months
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Initial levels: | $40.59 for banking, $79.09 for Energy, $37.97 for Real Estate
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Downside thresholds: | $24.35 for banking, $47.45 for Energy, $22.78 for Real Estate; 60% of initial levels
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Pricing date: | July 14, 2023
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Settlement date: | July 19, 2023
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Agent: | Barclays
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Fees: | 1.125%
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Cusip: | 06745MR34
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