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Published on 2/3/2021 in the Prospect News Structured Products Daily.

New Issue: Barclays prices $45.27 million contingent income callable notes linked to indexes

By Wendy Van Sickle

Columbus, Ohio, Feb. 3 – Barclays Bank plc priced $45.27 million of contingent income callable securities due Feb. 1, 2023 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes pay a contingent coupon at the rate of 9.5% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the determination date for that quarter.

The notes are callable at par plus the coupon, if any, on any quarterly coupon payment date other than the final one.

If each index finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par plus the coupon. Otherwise, investors will be fully exposed to decline of the least-performing index from its initial level.

Barclays is the underwriter. Morgan Stanley Wealth Management is the dealer.

Issuer:Barclays Bank plc
Issue:Contingent income callable securities
Underlying indexes:Nasdaq-100 index, S&P 500 and Russell 2000
Amount:$45,272,000
Maturity:Feb. 1, 2023
Coupon:9.5% per year, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter
Price:Par
Payout at maturity:If each index finishes at or above downside threshold level, par plus coupon; otherwise, full exposure to least-performing index’s decline from initial level
Call option:Callable at par plus coupon on any quarterly coupon payment date
Initial levels:3,750.77 for S&P, 2,108.696 for Russell and 13,112.65 for Nasdaq
Coupon barriers:2,625.539 for S&P, 1,476.087 for Russell and 9,178.855 for Nasdaq; 70% of initial levels
Downside thresholds:2,625.539 for S&P, 1,476.087 for Russell and 9,178.855 for Nasdaq; 70% of initial levels
Pricing date:Jan. 27
Settlement date:Feb. 1
Underwriter:Barclays
Dealer:Morgan Stanley Wealth Management
Fees:2%
Cusip:06747QYQ4

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