Published on 4/22/2022 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $6.73 million contingent income callable securities on three ETFs
By William Gullotti
Buffalo, N.Y., April 22 – Barclays Bank plc priced $6.73 million contingent income callable securities due Aug. 27, 2025 linked to the worst performing of the iShares MSCI EAFE ETF, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate 8.05% if each ETF closes at or above its coupon barrier level, 70% of its initial ETF level, on the corresponding observation date.
The notes will be callable at par plus any coupon otherwise due on any quarterly payment date other than the final one.
If each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its downside threshold level, 65% of its initial ETF level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing ETF from its initial level.
Barclays is the agent. Morgan Stanley Wealth Management is the selected dealer.
Issuer: | Barclays Bank plc
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Issue: | Contingent income callable securities
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Underlying funds: | iShares MSCI EAFE ETF, iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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Amount: | $6,725,000
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Maturity: | Aug. 27, 2025
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Coupon: | 8.05% per year, payable quarterly if each ETF closes at or above coupon barrier on the corresponding determination date
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Price: | Par
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Payout at maturity: | If each ETF finishes at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above downside threshold, par; if final level of any ETF is less than downside threshold, full exposure to decline of lowest-performing ETF from initial level
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Call option: | At par plus any coupon otherwise due on any quarterly determination date
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Initial levels: | $74.42 for EAFE ETF, $196.66 for Russell ETF, $429.57 for S&P ETF
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Coupon barrier: | $52.094 for EAFE ETF, $137.662 for Russell ETF, $300.699 for S&P ETF; 70% of initial levels
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Downside thresholds: | $48.373 for EAFE ETF, $127.829 for Russell ETF, $279.221 for S&P ETF; 65% of initial levels
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Pricing date: | Feb. 22
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Settlement date: | Feb. 25
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Agent: | Barclays
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 2%
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Cusip: | 06748XFV8
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