By Toni Weeks
San Luis Obispo, Calif., Oct. 8 - Barclays Bank plc priced $1.5 million of 0% Super Track notes due Oct. 10, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P MidCap 400 index and the Russell 2000 index.
The basket return is the average of the index returns based solely on the initial and final valuation dates.
The averaged basket return is the sum of the averaged index returns divided by two.
The averaged index return for a basket index is the average of the periodic index returns, with each periodic index return equal to the component return between the initial valuation date and each quarterly observation date.
If the averaged basket return is positive and the basket return is greater than or equal to negative 25%, the payout at maturity will be par plus 1.88 times the averaged basket return.
If the averaged basket return is positive and the basket return is less than negative 25%, the payout will be (i) 1.88 times the averaged basket returns, minus (ii) 1.33333% times each 1% decline beyond 25%.
If the averaged basket return is zero or negative but the basket return is greater than or equal to negative 25%, the payout will be par.
If the averaged basket return is zero or negative and the basket return is less than negative 25%, investors will lose 1.33333% for every 1% decline beyond 25%.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Super Track notes
|
| Underlying indexes: | S&P MidCap 400 and Russell 2000
|
| Amount: | $1.5 million
|
| Maturity: | Oct. 10, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If averaged basket return is positive and basket return is greater than or equal to negative 25%, par plus 1.88 times the averaged basket return; if averaged basket return is positive and basket return is less than negative 25%, (i) 1.88 times the averaged basket return, minus (ii) 1.33333% times each 1% decline beyond 25%; if averaged basket return is zero or negative but basket return is greater than or equal to negative 25%, par; if averaged basket return is zero or negative and basket return is less than negative 25%, 1.33333% loss for every 1% decline beyond 25%
|
| Initial levels: | 1,255.44 for S&P MidCap, 1,078.25 for Russell
|
| Basket return: | Average of index returns based solely on initial and final valuation dates
|
| Averaged basket return: | Average of averaged index returns
|
| Averaged index return: | For each component, average of periodic index returns
|
| Periodic index return: | The index return from the initial valuation date to each quarterly observation date
|
| Pricing date: | Oct. 4
|
| Settlement date: | Oct. 9
|
| Agent: | Barclays
|
| Fees: | None
|
| Cusip: | 06741TP84
|
© 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.
