By Jennifer Chiou
New York, Nov. 4 - Barclays Bank plc priced $13.83 million of 0% enhanced market-linked step-up notes due Oct. 24, 2014 linked to an equity basket, according to a 424B2 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 ending basket level is greater than the threshold value - 90% of the initial level - the payout at maturity will be par of $10 plus the greater of any gain and the 20.1% step-up payment.
Investors will share in any decline beyond the threshold, with up to 90% of the principal at risk.
Bank of America Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Enhanced market-linked step-up notes
|
| Underlying indexes: | S&P 500 (45% weight), MSCI EAFE (27.5% weight) and MSCI Emerging Markets (27.5% weight)
|
| Amount: | $13,830,770
|
| Maturity: | Oct. 24, 2014
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If ending basket level is greater than the threshold value, par plus greater of any gain and the 20.1% step-up payment; exposure to any losses beyond 10%
|
| Initial basket level: | 100
|
| Step-up level: | 120.10
|
| Buffer level: | 90
|
| Initial index levels: | 1,237.90 for S&P 500, 1,451.28 for MSCI EAFE and 977.11 for MSCI Emerging Markets
|
| Pricing date: | Nov. 2
|
| Settlement date: | Nov. 9
|
| Agent: | Bank of America Merrill Lynch
|
| Fees: | 2.25%
|
| Cusip: | 06741L773
|
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