Published on 7/7/2023 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.16 million callable contingent coupon notes linked to three ETFs
By William Gullotti
Buffalo, N.Y., July 7 – Barclays Bank plc priced $2.16 million of callable contingent coupon notes due July 5, 2028 linked to the worst performing of the iShares MSCI Emerging Markets ETF, the SPDR S&P MidCap 400 ETF and the Invesco S&P 500 Equal Weight ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at an annualized rate of 10.7% if each ETF closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
After six months, the notes will be callable in whole at par plus any coupon due on any monthly call date.
If the notes are not redeemed early and each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 65% final barrier level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst performer 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 ETFs: | SPDR S&P MidCap 400 ETF, iShares MSCI Emerging Markets ETF, Invesco S&P 500 Equal Weight ETF
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Amount: | $2,156,000
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Maturity: | July 5, 2028
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Contingent coupon: | 10.7% per year, payable monthly if each ETF closes at or above coupon barrier on the observation date for that period
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Price: | Par
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Payout at maturity: | Par plus final coupon if each ETF finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, 1% loss for each 1% decline of worst performer from initial level
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Call option: | In whole at par plus any coupon due on any monthly call date after six months
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Initial levels: | $148.33 for Invesco, $475.63 for SPDR, $39.25 for iShares
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Coupon barriers: | $103.83 for Invesco, $332.94 for SPDR, $27.48 for iShares; 70% of initial levels
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Final barrier levels: | $96.41 for Invesco, $309.16 for SPDR, $25.51 for iShares; 65% of initial levels
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Strike date: | June 29
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Pricing date: | July 3
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Settlement date: | July 7
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Agent: | Barclays
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Fees: | 0.35%
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Cusip: | 06745MPE2
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