Barclays plans step-up absolute return buffer notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Nov. 18 – Barclays Bank plc plans to price 0% market-linked step-up notes with absolute return buffer due November 2024 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 60% weight, the Euro Stoxx 50 index with a 16% weight, the FTSE 100 index with an 8% weight, the Nikkei 225 index with an 8% weight, the Swiss Market index with a 3% weight, the S&P/ASX 200 index with a 3% weight and the Hang Seng index with a 2% weight.

If the final basket level is greater than the step-up value, the payout at maturity will be par of $10 plus the basket return. The step-up value is expected to be 134% to 138% of the initial basket level.

If the final basket level is less than or equal to the step-up value but greater than or equal to the initial basket level, the payout will be par plus the step-up payment, which is expected to be 34% to 38%.

If the final basket level is less than the initial basket level but greater than or equal to the threshold value, 90% of the initial basket level, the payout will be par plus the absolute value of the basket return.

If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond 10%.

The exact step-up value and step-up payment will be set at pricing.

BofA Securities, Inc. is the agent.

The notes will price in November and settle in December.

© 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.