Published on 2/24/2022 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $6.21 million trigger callable contingent yield notes on three indexes
By William Gullotti
Buffalo, N.Y., Feb. 24 – Barclays Bank plc priced $6.21 million of trigger callable contingent yield notes due April 25, 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.
The notes will pay a quarterly contingent coupon at an annual rate of 9.3% if each index’s closing level is at least 70% of its initial level for every scheduled trading day for that quarter.
The notes will be callable at par plus any coupon due on any quarterly observation date other than the final one at the issuer’s discretion.
If the notes are not called and each index finishes at or above its 60% trigger level, the payout at maturity will be par plus any coupon due. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and Barclays Capital Inc. are the agents.
Issuer: | Barclays Bank plc
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Issue: | Trigger callable contingent yield notes
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Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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Amount: | $6,212,000
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Maturity: | April 25, 2024
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Coupon: | 9.3% per year, payable quarterly if each index closes at or above its coupon barrier level for every scheduled trading day for that period
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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 its trigger level, in which case full exposure to the losses of the worst performing index
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Call option: | At par plus any coupon due on any quarterly observation date other than the final date at the issuer’s discretion
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Initial levels: | 13,762.36 for Nasdaq, 2,232.614 for Russell, 4,134.98 for S&P
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Coupon barrier levels: | 9,633.65 for Nasdaq, 1,562.830 for Russell, 2,894.49 for S&P; 70% of initial levels
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Trigger levels: | 8,257.42 for Nasdaq, 1,339.568 for Russell, 2,480.99 for S&P; 60% of initial levels
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Pricing date: | April 22, 2021
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Settlement date: | April 27, 2021
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Agents: | UBS Financial Services Inc. and Barclays Capital Inc.
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Fees: | 1.25%
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Cusip: | 06747R394
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