Published on 3/3/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $20.7 million callable contingent income notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 3 – Barclays Bank plc priced $20.7 million of callable contingent income securities due March 2, 2023 tied to the worst performing of the S&P 500 index, Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at the rate of 8% per year if each index closes at or above its coupon barrier level, 65% of its initial level, on the observation date that period.
The notes will be callable at par quarterly.
If the lowest-performing index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par plus the final coupon. If the lowest-performing index finishes below its downside threshold level, investors will be fully exposed to the decline of the lowest-performing index from its initial level.
Barclays is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average, Russell 2000 index
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| Amount: | $20,702,000
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| Maturity: | March 2, 2023
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| Coupon: | 8% per year, payable quarterly if each index closes at or above coupon barrier level on observation date that period
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par; if any index finishes below downside threshold level, full exposure to decline of lowest-performing index from its initial level
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| Call option: | At par on any quarterly redemption date
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| Initial levels: | 30,923.37 for Dow, 2,201.051 for Russell, 3,811.15 for S&P 500
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| Coupon barrier levels: | 20,160.041 for Dow, 1,430.683 for Russell, 2,477.248 for S&P 500; 65% of initial levels
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| Downside threshold levels: | 20,160.041 for Dow, 1,430.683 for Russell, 2,477.248 for S&P 500; 65% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | March 3
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| Agent: | Barclays with Morgan Stanley Wealth Management as dealer
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| Fees: | 2%
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| Cusip: | 06748E7E7
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