Published on 7/29/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $10.41 million capped leveraged notes on index basket
By Toni Weeks
San Luis Obispo, Calif., July 29 – Barclays Bank plc priced $10.41 million of 0% capped leveraged basket-linked notes due Aug. 1, 2017 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket is made up of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index, also with a 23.00% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket gain, subject to a maximum settlement amount of $1,202.50 for each $1,000 of notes.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% basket decline beyond the 10% buffer.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Capped leveraged basket-linked notes
|
| Underlying basket: | Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index, also with a 23.00% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight
|
| Amount: | $10,414,000
|
| Maturity: | Aug. 1, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 150% of basket gain, with returns capped at 20.25%; par if basket falls by up to 10%; 1.1111% loss for each 1% decline beyond 10% buffer
|
| Initial levels: | 3,513.1 for Euro Stoxx, 6,505.13 for FTSE 100, 1,637.9 for Topix, 9,194.48 for Swiss Market and 5,589.886 for S&P/ASX 200
|
| Pricing date: | July 27
|
| Settlement date: | Aug. 3
|
| Agent: | Barclays
|
| Fees: | 2%
|
| Cusip: | 06741UB60
|
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