Published on 2/6/2020 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $33.81 million notes with absolute return buffer on index basket
By Sarah Lizee
Olympia, Wash., Feb. 6 – Barclays Bank plc priced $33.81 million of 0% notes with absolute return buffer due Jan. 27, 2023 linked to a global equity index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.
If the basket return is positive, the payout at maturity will be par plus 113.3% of the basket gain.
If the basket falls by up to 15%, the payout will be par plus the absolute value of the basket return.
Investors will be exposed to any basket decline beyond 15%.
BofA Securities, Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes with absolute return buffer
|
| Underlying basket: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock Average (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight) and Hang Seng (5% weight)
|
| Amount: | $33,812,160
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| Maturity: | Jan. 27, 2023
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| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 113.3% of any basket gain; if basket falls by up to 15%, par plus the absolute value of the basket return; exposure to any basket decline beyond 15%
|
| Initial index levels: | 3,690.78 for Stoxx, 7,381.96 for FTSE, 22,977.75 for Nikkei, 10,748.92 for Swiss, 7,008.429 for S&P, 26,449.13 for Hang Seng
|
| Buffer level: | 85% of initial basket level
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| Final levels: | Average of closing values on five trading days ending Jan. 20, 2023
|
| Pricing date: | Jan. 30
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| Settlement date: | Feb. 6
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| Agent: | BofA Securities, Inc.
|
| Fees: | 2.25%
|
| Cusip: | 06747E344
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