Barclays plans airbag return optimization notes on SPDR S&P 500 ETF

By Jennifer Chiou

New York, Oct. 3 - Barclays Bank plc plans to price 0% airbag return optimization securities due Oct. 31, 2016 linked to the SPDR S&P 500 exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

If the ETF's return is positive, the payout at maturity will be par plus 150% of the ETF's return, subject to a maximum return of 24% to 29% that will be set at pricing.

If the ETF's return is zero or negative but the final share price is greater than or equal to the conversion price, the payout will be par. The conversion price will be 85% of the initial share price.

If the final share price is less than the conversion price, the payout will be a number of shares of the ETF equal to $1,000 divided by the conversion price.

The notes (Cusip: 06742E877) are expected to price on Oct. 28 and settle on Oct. 31.

Barclays is the underwriter with UBS Financial Services Inc. as agent.

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