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Published on 10/7/2022 in the Prospect News Structured Products Daily.

New Issue: Barclays sells $2.29 million autocallable contingent coupon notes on three indexes

By William Gullotti

Buffalo, N.Y., Oct. 7 – Barclays Bank plc priced $2.29 million of autocallable contingent coupon notes due Oct. 3, 2025 linked to the least performing of the Nasdaq-100 index, 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 11.7% if each index closes at or above its coupon barrier level, 80% of its initial level, on the review date for that period. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any monthly review date after six months.

If the notes have not been called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus all unpaid coupons.

If the worst performer finishes below its coupon barrier but at or above the 60% trigger level, the payout 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
Issue:Autocallable contingent coupon notes
Underlying indexes:Russell 2000 index, Nasdaq-100 index, S&P 500 index
Amount:$2,292,000
Maturity:Oct. 3, 2025
Coupon:11.7% annual rate, payable monthly if each index closes at or above coupon barrier level on review date for that period; coupon payment events will automatically include any previously unpaid coupons
Price:Par
Payout at maturity:If each index finishes at or above coupon barrier, par plus all unpaid coupons; if worst performer finishes below coupon barrier but not below trigger level, par; otherwise, full exposure to decline of worst performer from initial level
Call:Automatically at par plus contingent coupon if each index closes at or above initial level on any monthly review date after six months
Initial levels:3,585.62 for S&P, 10,971.22 for Nasdaq, 1,664.716 for Russell
Coupon barrier:2,868.5 for S&P, 8,776.98 for Nasdaq, 1,331.77 for Russell; 80% of initial levels
Trigger levels:2,151.37 for S&P, 6,582.73 for Nasdaq, 998.83 for Russell; 60% of initial levels
Pricing date:Sept. 30
Settlement date:Oct. 5
Agent:Barclays
Fees:0.75%
Cusip:06748XTH4

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