Published on 12/28/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $63.94 million trigger autocallable contingent yield notes on two ETFs
By Wendy Van Sickle
Columbus, Ohio, Dec. 29 – Barclays Bank plc priced $63.94 million of trigger autocallable contingent yield notes due Nov. 30, 2026 linked to the lesser performing of the SPDR S&P 500 ETF trust and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.11% if each ETF closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be redeemed at par plus the coupon if both ETFs close at or above their initial levels on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon, if any, unless either ETF finishes below its 60% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing ETF from its initial level.
Barclays and UBS Financial Services Inc. are the agents.
Issuer: | Barclays Bank plc
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Issue: | Trigger autocallable contingent yield notes
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Underlying ETFs: | SPDR S&P 500 ETF trust, SPDR S&P Regional Banking ETF
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Amount: | $63,944,670
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Maturity: | Nov. 30, 2026
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Coupon: | 7.11% annual rate, payable quarterly if each ETF closes at or above coupon barrier on observation date
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Price: | Par of $10
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Payout at maturity: | Par plus the coupon, if any, if each ETF finishes at or above 60% of initial level; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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Call: | At par plus the coupon if both ETFs close above their initial levels on any quarterly observation date after six months
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Initial levels: | $469.44 for S&P 500 ETF, $75.26 for Regional Banking ETF
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Coupon barriers: | $328.61 for S&P 500 ETF, $52.38 for Regional Banking ETF; 70% of initial levels
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Downside thresholds: | $281.66 for S&P 500 ETF, $45.16 for Regional Banking ETF; 60% of initial levels
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Pricing date: | Nov. 24
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Settlement date: | Nov. 30
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Agents: | Barclays and UBS Financial Services Inc.
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Fees: | 2.25%
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Cusip: | 06747Y266
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