Published on 4/12/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3.55 million callable contingent market-linked notes on three indexes
By William Gullotti
Buffalo, N.Y., April 12 – Barclays Bank plc priced $3.55 million of market-linked securities – callable with contingent coupon and contingent downside due March 29, 2028 linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the S&P 500 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 8.35% if each index closes at or above its 75% coupon threshold on the relevant observation date.
After six months, the notes may be called at par plus any coupon otherwise due on any quarterly valuation date.
The payout at maturity will be par plus the final coupon unless any index finishes below its 75% 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 and contingent downside
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Underlying indexes: | Russell 2000 index, Dow Jones industrial average, S&P 500 index
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Amount: | $3,552,000
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Maturity: | March 29, 2028
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Coupon: | 8.35% annualized, payable quarterly if each index closes at or above coupon threshold on the relevant observation date
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Price: | Par
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Payout at maturity: | Par plus final coupon unless any index finishes below downside threshold, in which case 1% loss per 1% decline of the worst performing index from its initial level
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Call option: | At par plus any coupon otherwise due on any quarterly valuation date after six months
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Initial levels: | 2,124.547 for Russell, 39,807.37 for Dow, 5,254.35 for S&P
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Coupon threshold: | 1,593.41025 for Russell, 29,855.5275 for Dow, 3,940.7625 for S&P; 75% of initial levels
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Downside threshold: | 1,593.41025 for Russell, 29,855.5275 for Dow, 3,940.7625 for S&P; 75% of initial levels
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Pricing date: | March 28
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Settlement date: | April 2
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Agents: | Wells Fargo Securities, LLC and Barclays Capital Inc.
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Fees: | 2.325%
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Cusip: | 06745PZ46
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