Published on 8/29/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $4.04 million capped leveraged buffered notes tied to index basket
By Devika Patel
Knoxville, Tenn., Aug. 29 – Barclays Bank plc priced $4.04 million of 0% capped leveraged buffered notes due Jan. 30, 2018 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 37% initial weight, the FTSE 100 index with a 23% initial weight, the Topix index with a 23% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight.
The payout at maturity will be par plus 140% of any basket gain, subject to a maximum settlement amount of $1,271.60 per $1,000 principal amount.
Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Capped leveraged buffered notes
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Underlying indexes: | Euro Stoxx 50 (37% initial weight), FTSE 100 (23% initial weight), Topix (23% initial weight), Swiss Market (9% initial weight) and S&P/ASX 200 (8% initial weight)
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Amount: | $4,042,000
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Maturity: | Jan. 30, 2018
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Coupon: | 0%
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Price: | Par of $1,000
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Payout at maturity: | Par plus 140% of any basket gain, capped at 27.16%; par if basket falls by up to 10%; 1.1111% loss for every 1% drop beyond 10%
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Initial levels: | 2,987.69 for Euro Stoxx, 6,816.90 for FTSE, 1,304.27 for Topix, 8,141.28 for Swiss Market and 5,541.891 for S&P/ASX
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Pricing date: | Aug. 25
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Settlement date: | Sept. 2
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Underwriter: | Barclays
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Fees: | None
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Cusip: | 06741VAA0
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