Published on 7/19/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3.6 million contingent market-linked autocalls on three indexes
By William Gullotti
Buffalo, N.Y., July 19 – Barclays Bank plc priced $3.6 million of market-linked securities due May 30, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.5% if each index closes at or above its 75% coupon threshold on the observation date for that period.
The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC and Barclays Capital Inc. are the agents.
Issuer: | Barclays Bank plc
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Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx Banks index
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Amount: | $3,603,000
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Maturity: | May 30, 2024
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Coupon: | 9.5% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that period
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Price: | Par
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Payout at maturity: | Par unless any index falls by more than 25%, in which case 1% loss per 1% decline of the worst performing index from its initial level
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Call: | At par plus coupon if each index closes at or above its initial level on any interest payment date after six months
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Initial levels: | 2,273.073 for Russell, 4,200.88 for S&P, 98.35 for Stoxx Banks
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Coupon threshold: | 1,704.80475 for Russell, 3,150.66 for S&P, 73.7625 for Stoxx Banks; 75% of initial levels
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Downside threshold: | 1,704.80475 for Russell, 3,150.66 for S&P, 73.7625 for Stoxx Banks; 75% of initial levels
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Pricing date: | May 27
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Settlement date: | June 2
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Agents: | Wells Fargo Securities, LLC and Barclays Capital Inc.
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Fees: | 2.125%
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Cusip: | 06748EMA8
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