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Barclays to price capped leveraged notes linked to basket of indexes
By Angela McDaniels
Tacoma, Wash., Feb. 27 – Barclays Bank plc plans to price 0% Capped Leveraged Index Return Notes due March 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight.
If the basket return is positive, the payout at maturity will be par of $10 plus 200% of the basket return, subject to a cap that is expected to be 11% to 15% and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%.
The notes will price in March and settle in April.
BofA Merrill Lynch is the agent.
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