Published on 3/30/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $16.82 million autocallable market-linked step-up notes on basket
By Wendy Van Sickle
Columbus, Ohio, March 30 – Barclays Bank plc priced $16.82 million of 0% autocallable market-linked step-up notes due March 28, 2024 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 40% weight, the Nikkei 225 index with a 20% weight, the FTSE 100 index with a 20% weight, the Swiss Market index with a 10% weight, the S&P/ASX 200 index with a 7.5% weight and the FTSE China 50 index with a 5% weight.
The notes will be called at par of $10 plus a premium of 8.4% per year if the basket's closing level is greater than or equal to the initial level on any annual observation date.
If the basket finishes above the step-up value, 135% of the initial value, the payout at maturity will be par plus the basket return.
If the basket return is zero or positive but the basket finishes at or below the step-up value, the payout will be par plus the step-up payment of 35%.
Investors will lose 1% for every 1% that the basket declines.
BofA Securities, Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Autocallable market-linked step-up notes
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| Underlying indexes: | Euro Stoxx 50 (40% weight), Nikkei 225 (20% weight), FTSE 100 (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), FTSE China 50 index (5% weight)
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| Amount: | $16,820,170
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| Maturity: | March 28, 2024
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above step-up value, par plus basket return; if basket stays flat or gains but finishes at or below step-up value, par plus 35%; 1% loss for every 1% that basket declines
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| Call: | Automatically at par plus a premium of 8.4% per year if the basket's closing level is greater than or equal to initial level on any annual observation date
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| Initial levels: | 3,832.57 for Euro Stoxx 50, 28,729.88 for Nikkei 225, 6,674.83 for FTSE 100, 11,098.81 for Swiss Market, 6,790.558 for S&P/ASX 200, 20,354.95 for FTSE China 50
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| Step-up value: | 135% of initial value
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| Pricing date: | March 25
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| Settlement date: | April 1
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| Agent: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 06747R501
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