By Toni Weeks
San Luis Obispo, Calif., April 2 – Barclays Bank plc priced $12.89 million of 0% notes due April 13, 2016 linked to an index basket of unequally weighted capped return enhanced components, according to a 424B2 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.
| Issuer: | Barclays Bank plc
|
| Issue: | Capped return enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $2,885,000
|
| Maturity: | April 13, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket gain, with full exposure to losses
|
| Component return: | If final level is greater than initial level, 200% of return, subject to maximum return of 20.2%; if final level is less than or equal to initial value, return will be the underlier return for that component
|
| Initial component levels: | 3,679.03 for Euro Stoxx, 6,855.02 for FTSE 100 and 1,552.78 for Topix
|
| Pricing date: | March 27
|
| Settlement date: | April 1
|
| Underwriter: | Barclays with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA as agents
|
| Fees: | 1%
|
| Cusip: | 06741UTG9
|
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