New Issue: Barclays sells $12.6 million capped leveraged index return notes on index basket

By Wendy Van Sickle

Columbus, Ohio, March 30 – Barclays Bank plc priced $12.6 million of 0% capped leveraged index return notes due March 31, 2023 linked to a basket of unequally weighted indexes, 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 Nikkei 225 index with a 20% weight, the FTSE 100 index with a 20% weight, the Swiss Market index with a 10% weight, the S&P/ASX 200 index with a 7.5% weight and the FTSE China 50 index with a 5% weight.

The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum return of 12.3%.

Investors will receive par if the basket falls by up to 10% and will be exposed to any basket decline beyond 10%.

BofA Securities, Inc. is the agent.

Issuer:	Barclays Bank plc
Issue:	Capped leveraged index return notes
Underlying indexes:	Euro Stoxx 50 (40% weight), Nikkei 225 (20% weight), FTSE 100 (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), FTSE China 50 index (5% weight)
Amount:	$12,603,560
Maturity:	March 31, 2023
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 200% of any basket gain, with return capped at 12.3%; par if basket falls by up to 10%; exposure to loss beyond 10%
Initial index levels:	3,832.57 for Euro Stoxx 50, 28,729.88 for Nikkei 225, 6,674.83 for FTSE 100, 11,098.81 for Swiss Market, 6,790.558 for S&P/ASX 200, 20,354.95 for FTSE China 50
Pricing date:	March 25
Settlement date:	April 1
Agent:	BofA Securities, Inc.
Fees:	2.5%
Cusip:	06744A246

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