Published on 7/23/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $500,000 callable contingent coupon notes on two index-based ETFs
By William Gullotti
Buffalo, N.Y., July 23 – Barclays Bank plc priced $500,000 of callable contingent coupon notes due July 22, 2024 linked to the worst performing of the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 6% if each ETF closes at or above its coupon barrier level, 65% of its initial level, on the related observation date.
The notes will be callable in whole at par plus any coupon due on any quarterly call date.
If the notes are not redeemed early, the payout at maturity will be par unless any ETF finishes below its 65% final barrier level, in which case investors will be fully exposed to the decline of the least performing ETF from its initial level, payable as cash or shares at the issuer’s discretion.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Callable contingent coupon notes
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Underlying ETFs: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF
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Amount: | $500,000
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Maturity: | July 22, 2024
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Contingent coupon: | 6% per year, payable quarterly if each ETF closes at or above coupon barrier on the observation date for that period
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Price: | Par
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Payout at maturity: | Par unless any ETF finishes below its final barrier level, in which case full exposure to decline of least performing ETF, payable as cash or shares at the issuer’s discretion
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Call option: | In whole at par plus any coupon due on any quarterly call date
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Initial levels: | $436.24 for SPDR, $218.87 for iShares
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Coupon barriers: | $283.56 for SPDR, $142.27 for iShares; 65% of initial levels
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Final barrier levels: | $283.56 for SPDR, $142.27 for iShares; 65% of initial levels
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Physical delivery: | 2.29232 for SPDR, 4.56892 for iShares; shares per note
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Pricing date: | July 15
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Settlement date: | July 20
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Agent: | Barclays
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Fees: | 1%
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Cusip: | 06741W2M1
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