Published on 7/3/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $14.63 million Capped Leveraged Index Return Notes tied to index basket
By Wendy Van Sickle
Columbus, Ohio, July 3 – Barclays Bank plc priced $14.63 million of 0% Capped Leveraged Index Return Notes due June 28, 2019 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the S&P 500 index with a 33.33% weight, the Euro Stoxx 50 index with a 33.33% weight and the MSCI Emerging Markets index with a 33.34% weight.
If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return of 16.42%.
If the basket falls by up to 10%, the payout will be par.
Investors will lose 1% for each 1% decline beyond 10%.
BofA Merrill Lynch is the agent.
Issuer: | Barclays Bank plc
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Issue: | Capped Leveraged Index Return Notes
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Underlying indexes: | S&P 500 index with a 33.33% weight, Euro Stoxx 50 index with a 33.33% weight and MSCI Emerging Markets index with a 33.34% weight
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Amount: | $14,625,240
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Maturity: | June 28, 2019
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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, capped at 16.42%; par if basket falls by up to 10%; otherwise, 1% loss for every 1% decline beyond 10%
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Initial index levels: | 2,419.70 for S&P, 3,471.33for Euro Stoxx, 1,114.02 for EM
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Threshold level: | 90% of initial level
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Pricing date: | June 29
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Settlement date: | July 7
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 06746K424
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