Published on 12/30/2022 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1.34 million buffered autocallable contingent coupon notes on indexes
By William Gullotti
Buffalo, N.Y., Dec. 30 – Barclays Bank plc priced $1.34 million of buffered autocallable contingent coupon notes due Dec. 27, 2024 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of at a 5.5% annualized rate if each index closes at or above its 75% coupon barrier value on the related observation date.
The notes will be automatically called at par plus coupon if each index closes at or above its call level, 95% of initial level, on any quarterly call observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above 75% of initial level. Otherwise, investors will lose 1% for each 1% decline of the worst performer beyond 25%.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Buffered autocallable contingent coupon notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $1,339,000
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Maturity: | Dec. 27, 2024
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Contingent coupon: | 5.5% annual rate, payable quarterly if each index closes at or above coupon barrier level on related observation date
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Price: | Par
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Payout at maturity: | Par plus final coupon unless an index finishes below buffer level; in which case 1% loss for each 1% decline of the worst performer beyond the 25% buffer
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Call: | At par plus coupon if each index closes at or above call level on any quarterly observation date after six months
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Initial levels: | 3,878.44 for S&P, 1,776.941 for Russell
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Call levels: | 3,684.52 for S&P, 1,688.09 for Russell; 95% of initial levels
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Coupon barrier levels: | 2,908.83 for S&P, 1,332.71 for Russell; 75% of initial levels
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Buffer levels: | 2,908.83 for S&P, 1,332.71 for Russell; 75% of initial levels
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Pricing date: | Dec. 21
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Settlement date: | Dec. 27
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Agent: | Barclays
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Fees: | 2.7%
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Cusip: | 06749NCU4
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