Published on 7/14/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.2 million phoenix autocallable notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., July 14 – Barclays Bank plc priced $1.2 million of phoenix autocallable notes due July 3, 2026 linked to the least performing of the iShares Russell 2000 Value ETF, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 9.5% if each underlier closes at or above its 70% coupon barrier on a related observation date.
The notes will be called at par plus the contingent coupon if each underlier closes at or above its initial level on any monthly call observation date after six months.
The payout at maturity will be par plus the final coupon if each underlier finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above 60% of its initial value, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Phoenix autocallable notes
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| Underlying assets: | iShares Russell 2000 Value ETF, S&P 500 index, Russell 2000 index
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| Amount: | $1.2 million
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| Maturity: | July 3, 2026
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| Coupon: | 9.5% annualized, payable monthly if each underlier closes at or above coupon barrier on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each underlier finishes at or above its coupon barrier; if worst performer finishes below its coupon barrier but at or above its final barrier, par; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Call: | Automatically at par plus contingent coupon if each underlier closes at or above initial level on any monthly call observation date after six months
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| Initial levels: | 1,888.734 for Russell, 4,450.38 for S&P, $140.80 for ETF
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| Coupon barriers: | 1,322.11 for Russell, 3,115.27 for S&P, $98.56 for ETF; 70% of initial levels
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| Final barriers: | 1,133.24 for Russell, 2,670.23 for S&P, $84.48 for ETF; 60% of initial levels
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | Barclays
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| Fees: | 0.7%
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| Cusip: | 06745MM70
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