Published on 2/11/2022 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1 million callable contingent coupon notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Feb. 11 – Barclays Bank plc priced $1 million of callable contingent coupon notes due Sept. 8, 2023 linked to the performance of the S&P 500 index, the Russell 2000 index and the Financial Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 5.25% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be callable in whole at par plus any coupon due on any quarterly call date after six months.
If the notes are not redeemed early and each underlier finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer falls below the coupon barrier but finishes at or above its 60% final barrier level, the payout at maturity 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 assets: | Russell 2000 index, S&P 500 index, Financial Select Sector SPDR Fund
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| Amount: | $1 million
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| Maturity: | Sept. 8, 2023
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| Contingent coupon: | 5.25% per year, payable quarterly if each underlier 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: | If the final level of each underlier is greater than or equal to its coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | In whole at par plus any coupon due on any quarterly call date after six months
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| Initial levels: | $38.31 for ETF, 2,304.02 for Russell, 4,536.95 for S&P
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| Coupon barriers: | $28.73 for ETF, 1,728.01 for Russell, 3,402.71 for S&P; 75% of initial levels
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| Final barrier levels: | $22.99 for ETF, 1,382.41 for Russell, 2,722.17 for S&P; 60% of initial levels
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| Pricing date: | Sept. 2, 2021
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| Settlement date: | Sept. 8, 2021
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| Agent: | Barclays
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| Fees: | 1.9%
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| Cusip: | 06748WEU3
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