By Marisa Wong
Morgantown, W.Va., Nov. 9 – Barclays Bank plc priced $13.15 million of 0% lookback entry Performance Leveraged Upside Securities due Feb. 12, 2018 linked to an equally weighted basket of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus 200% of the basket return, subject to a maximum payout of $11.36 per note. If the final basket level is less than or equal to the initial basket level, the payout will be par plus the basket return with full exposure to losses.
The initial basket level is 100. The final basket level is 100 plus the weighted component returns of the two indexes. The component return for each index is (a) the final index level minus the lookback level divided by (b) the lookback level.
The lookback level for each index will be the lowest closing level of the index during the period from and including the pricing date to and including Nov. 11 and will not be higher than the index’s closing level on the pricing date.
Barclays is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Lookback entry Performance Leveraged Upside Securities
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| Underlying basket: | S&P 500 index, Russell 2000 index; equally weighted
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| Amount: | $13,145,790
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| Maturity: | Feb. 12, 2018
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus 200% of any basket gain, up to a maximum return of par plus 13.6%; full exposure to any losses
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| Initial basket level: | 100
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| Final basket level: | 100 plus the weighted component returns of the two indexes; component return for each index is (a) the final index level minus the lookback level divided by (b) the lookback level.
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| Lookback level: | Lowest closing level of index during the period from and including pricing date up to and including Nov. 11; will not be higher than 1,192.252 for Russell or 2,131.52 for S&P, closing levels on pricing date
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| Pricing date: | Nov. 7
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| Settlement date: | Nov. 15
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| Agent: | Barclays
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| Distribution: | Morgan Stanley & Co. LLC
|
| Fees: | 2.25%
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| Cusip: | 06744M828
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