Published on 9/21/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $750,000 million callable contingent coupon notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Sept. 21 – Barclays Bank plc priced $750,000 million of callable contingent coupon notes due July 6, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at an annualized rate of 8.15% 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.
If the notes are not redeemed early, the payout at maturity will be par plus the final coupon if each underlier finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 65% 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, iShares MSCI Emerging Markets ETF
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Amount: | $750,000
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Maturity: | July 6, 2023
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Contingent coupon: | 8.15% per year, payable monthly 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 each underlier finishes at or above its coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above final barrier, par; otherwise, investors will 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
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Initial levels: | $55.15 for ETF, 2,310.55 for Russell, 4,297.5 for S&P
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Coupon barriers: | $41.36 for ETF, 1,732.91 for Russell, 3,223.13 for S&P; 75% of initial levels
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Final barrier levels: | $35.85 for ETF, 1,501.86 for Russell, 2,793.38 for S&P; 65% of initial levels
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Pricing date: | June 30
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Settlement date: | July 6
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Agent: | Barclays
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Fees: | 0.5%
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Cusip: | 06748EYV9
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