Published on 3/16/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $1.78 million autocallable contingent coupon notes on Russell, Nasdaq, S&P
By Taylor Fox
New York, March 16 – Barclays Bank plc priced $1.78 million of autocallable contingent coupon notes due Sept. 9, 2022 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 10% if each index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period.
The notes will be automatically called in whole at par plus any coupon due if each index closes above its initial level on any quarterly valuation date after six months.
If the notes are not redeemed, the payout will be par plus any final coupon unless any index finishes below 60% of its initial level, in which case investors will be fully exposed to the loss of the least performing index.
Barclays is the underwriter.
| Issuer: | Barclays Bank plc
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| Issue: | Autocallable contingent coupon notes
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| Underlying assets: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $1,777,000
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| Maturity: | Sept. 9, 2022
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| Contingent coupon: | 10% per year, payable quarterly if each asset closes at or above coupon barrier on the valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus any coupon unless any index finishes below 60% of its initial level, in which case investors will be fully exposed to the loss of the least performing index
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| Call: | Automatically in whole at par plus any coupon due if each index closes above initial level on any quarterly valuation date after six months
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| Initial levels: | 2,146.92 for Russell, 12,464 for Nasdaq and 3,768.47 for S&P
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| Coupon barriers: | 1,502.85 for Russell, 8,724.80 for Nasdaq and 2,637.93 for S&P; 70% of initial levels
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| Final barriers: | 1,288.15 for Russell, 7,478.40 for Nasdaq and 2,261.08 for S&P; 60% of initial levels
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| Pricing date: | March 4
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| Settlement date: | March 9
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| Agent: | Barclays
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| Fees: | 2.125%
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| Cusip: | 06748ED83
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