Published on 3/28/2022 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1.58 million callable contingent coupon notes on two ETFs
By William Gullotti
Buffalo, N.Y., March 28 – Barclays Bank plc priced $1.58 million of callable contingent coupon notes due May 2, 2024 linked to the worst performing of the SPDR S&P 500 ETF trust and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 6.5% if each ETF closes at or above its coupon barrier level, 65% of its initial level, on the valuation date for that period.
The notes will be callable at par plus any coupon due on any quarterly observation date.
If the notes are not redeemed early, the payout at maturity will be par plus the coupon unless either ETF finishes below 65% of its initial value. In this case, investors will be fully exposed to the losses of the least performer, payable either as shares of the ETF or cash at the issuer’s option.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Callable contingent coupon notes
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| Underlying ETFs: | SPDR S&P 500 ETF trust, iShares Russell 2000 ETF
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| Amount: | $1,580,000
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| Maturity: | May 2, 2024
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| Contingent coupon: | 6.5% per year, payable quarterly if each ETF closes at or above coupon barrier on the valuation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par plus coupon unless any ETF finishes below its final barrier level, in which case investors will lose 1% for each 1% decline of the worst performer payable as shares or cash at the issuer’s option
|
| Call option: | In whole at par plus any coupon due on any quarterly observation date
|
| Initial levels: | $417.52 for SPDR, $228.45 for Russell
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| Coupon barrier levels: | $271.39 for SPDR, $148.49 for Russell; 65% of initial levels
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| Final barrier levels: | $271.39 for SPDR, $148.49 for Russell; 65% of initial levels
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| Physical delivery amounts: | 2.39509 shares of SPDR, 4.37733 for Russell
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| Pricing date: | April 28, 2021
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| Settlement date: | May 3, 2021
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| Agent: | Barclays
|
| Fees: | 1%
|
| Cusip: | 06741WTQ3
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