By Toni Weeks
San Luis Obispo, Calif., Feb. 10 – Barclays Bank plc priced $33.71 million of 0% capped return enhanced notes due Feb. 24, 2016 linked to an unequally weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the Euro Stoxx 50 index with a 58% weight, the FTSE 100 index with a 21% weight and the Topix index with a 21% weight.
The payout at maturity will be par plus the basket return. Investors will be fully exposed to any losses.
The basket return will be the sum of the (i) return for each basket component multiplied by (ii) its weighting.
For each basket component, if the final level is greater than the initial level, the component return of that index will be 200% of that index’s return, subject to a maximum return of 20.3%. If the final level of the applicable index is less than or equal to its initial level, the component return of that index is equal to its return.
The final index level will be the average of the closing levels of the applicable index on the five averaging dates ending Feb. 19, 2016.
Barclays is the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Capped return enhanced notes
|
| Underlying basket: | Euro Stoxx 50 (58% weight), FTSE 100 index (21% weight), Topix index (21% weight)
|
| Amount: | $33,708,000
|
| Maturity: | Feb. 24, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, with full exposure to losses
|
| Basket return: | Sum of return for each basket component multiplied by its weighting
|
| Component return: | If an index’s return is positive, its return is 200% of the gain, capped at 20.3%; if an index’s return is zero or negative, that component’s return is the index return
|
| Initial index levels: | 3,398.16 for Euro Stoxx, 6,853.44 for FTSE 100, 1,417.19 for Topix
|
| Pricing date: | Feb. 6
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| Settlement date: | Feb. 11
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| Underwriter: | Barclays
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 06741UQR8
|
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