Barclays to price notes linked to index basket with three capped return enhanced components

By Toni Weeks

San Luis Obispo, Calif., March 26 – Barclays Bank plc plans to price 0% notes due April 13, 2016 linked to an index basket of unequally weighted capped return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of 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, with full exposure to any losses.

The basket return is the sum of the component returns, each one multiplied by its component weighting.

For any basket component, if the final value is greater than its initial value, the return of that basket component will equal 200% of the component return, subject to a maximum return of 20.2%. If the final value of the applicable component is less than or equal to its initial value, the return of that basket component will equal the underlier return for the applicable component underlier.

The final underlier value for each component will be the average of the closing levels of that component on the five trading dates ending April 8. 2016.

Barclays is the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

The notes (Cusip: 06741UTG9) are expected to price March 27 and settle April 1.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.