Published on 8/20/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3 million buffered callable contingent coupon notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Aug. 20 – Barclays Bank plc priced $3 million of buffered callable contingent coupon notes due Aug. 21, 2024 linked to the performance of the iShares MSCI Emerging Markets ETF, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at an annualized rate of 8.1% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that period.
The notes will be callable in whole at par on any monthly call valuation date after three months.
If each underlier finishes at or above its buffer level, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1.428571% for each 1% decline of the worst performer beyond the 30% buffer.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Buffered callable contingent coupon notes
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| Underlying assets: | iShares MSCI Emerging Markets ETF, Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $3 million
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| Maturity: | Aug. 21, 2024
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| Contingent coupon: | 8.1% per year, payable monthly if each underlier closes at or above coupon barrier level observation date for that period
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| Price: | Par
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| Payout at maturity: | If each underlier finishes at or above buffer level, par; otherwise, 1.428571% loss for each 1% decline beyond buffer of the worst performer
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| Call option: | At par on any monthly call observation date after three months
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| Initial index levels: | $51.73 for ETF, 4,229.7 for Stoxx, 2,223.11 for Russell
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| Coupon barrier levels: | $38.80 for ETF, 3,172.27 for Stoxx, 1,667.33 for Russell; 75% of initial levels
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| Buffer levels: | $36.21 for ETF, 2,960.79 for Stoxx, 1,556.18 for Russell; 70% of initial levels
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| Pricing date: | Aug. 16
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| Settlement date: | Aug. 19
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| Agent: | Barclays
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| Fees: | 0.125%
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| Cusip: | 06748WD91
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