Published on 7/20/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $34.9 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, July 20 – Barclays Bank plc priced $34.9 million of trigger callable contingent yield notes with daily coupon observation due July 18, 2024 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at a rate of 8.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on each scheduled trading day during that quarter.
The notes will be callable at par of $10 plus any coupon on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above the 65% coupon barrier, the payout at maturity will be par plus the final coupon.
If any index declines below the coupon barrier but each index finishes at or above the downside threshold level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performing index from its initial level.
UBS Financial Services Inc. and Barclays are the agents.
Issuer: | Barclays Bank plc
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | Nasdaq-100 index, Russell 2000, S&P 500
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Amount: | $34,895,800
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Maturity: | July 18, 2024
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Coupon: | 8.5% per year, payable quarterly if each index closes at or above its barrier level on each scheduled trading day during that observation date
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Price: | Par of $10
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Payout at maturity: | Par plus any coupon due unless any index finishes below downside threshold level, in which case 1% loss for every 1% decline of worst performing index from its initial level
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Call option: | At par plus any coupon on any quarterly observation date other than final one
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Initial levels: | 2,202.358 for Russell, 4,374.3 for S&P, 14,900.44 for Nasdaq
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Coupon barriers: | 1,541.651 for Russell, 3,062.01 for S&P, 10,430.31 for Nasdaq; 70% of initial levels
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Downside thresholds: | 1,431.533 for Russell, 2,843.3 for S&P, 9,685.29 for Nasdaq; 65% of initial levels
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Pricing date: | July 14
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Settlement date: | July 19
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Agents: | UBS Financial Services Inc. and Barclays
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Fees: | 1%
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Cusip: | 06747W468
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