Published on 11/29/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $20.47 million market-linked step-up autocalls on index basket
By Wendy Van Sickle
Columbus, Ohio, Nov. 29 – Barclays Bank plc priced $20.47 million of autocallable market-linked step-up notes due Nov. 29, 2024 linked to an international equity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index and the Nikkei Stock Average index each with an initial weight of 20%, the Swiss Market index and the S&P/ASX 200 index each with an initial weight of 7.5% and the FTSE China 50 index with an initial weight of 5%.
The notes will be called at par of $10 plus a call premium of 9.05% a year if the basket closes at or above its initial level on any annual call date.
If the notes are not called and the basket finishes above the step-up value, 124% of the initial level, the payout at maturity will be par plus the basket gain.
If the basket finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 24%.
Investors will lose 1% for every 1% basket decline from initial level.
BofA Securities, Inc. is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Autocallable market-linked step-up notes
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| Underlying basket: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), FTSE China 50 (5% weight)
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| Amount: | $20,470,890
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| Maturity: | Nov. 29, 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 level, par plus basket gain; if basket finishes at or above initial level but at or below step-up level, par plus 24%; otherwise, 1% loss for each 1% basket decline
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| Call: | At par plus 9.05% a year if basket closes at or above its initial level on any annual call date
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| Initial index levels: | 4,283.82 for Stoxx, 7,266.69 for FTSE, 29,302.66 for Nikkei, 12,366.73 for Swiss, 7,410.565 for S&P/ASX, 17,782.77 for FTSE China 50
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| Step-up level: | 124% of initial level
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| Pricing date: | Nov. 23
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| Settlement date: | Dec. 1
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| Agent: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 06747Y613
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