Published on 4/10/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.33 million callable contingent coupon notes on sector funds
By Kiku Steinfeld
Chicago, April 10 – Barclays Bank plc priced $1.33 million callable contingent coupon notes due July 17, 2026 linked to the worst performing of the Energy Select Sector SPDR Fund, the Health Care Select Sector SPDR Fund and the Industrial 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 12% 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 three 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: | Energy Select Sector SPDR Fund, Health Care Select Sector SPDR Fund and Industrial Select Sector SPDR Fund
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Amount: | $1,334,000
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Maturity: | July 17, 2026
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Coupon: | 12% 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 three months
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Initial levels: | $131.70 for Health Care, $81.45 for Energy, $108.61 for Industrial
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Downside thresholds: | $79.02 for Health Care, $48.87 for Energy, $65.17 for Industrial; 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: | 0.7%
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Cusip: | 06745MQE1
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