By Marisa Wong
Madison, Wis., April 29 - Barclays Bank plc priced $3.74 million of 0% buffered return enhanced notes due April 30, 2018 linked to a basket of funds, according to a 424B2 filing with the Securities and Exchange.
The basket consists of the iShares MSCI EAFE index fund with a 46% weight, the SPDR S&P MIDCAP 400 exchange-traded fund trust with a 23% weight, the iShares Russell 2000 ETF with a 19% weight and the iShares MSCI Emerging Markets ETF with a 12% weight.
The average basket return is equal to the sum of the average weighted basket component return for each fund, subject to a minimum of zero. The average component return for each fund is calculated using the closing prices of the fund on the 16 quarterly observation dates.
If the basket falls by up to 25%, the payout at maturity will be par plus 1.98 times the average basket return.
Otherwise, investors will receive an amount equal to par (i) minus 1.3333% for each 1% decline beyond 25% (ii) plus 1.98 times the average basket return.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | iShares MSCI EAFE index fund (46% weight), SPDR S&P MIDCAP 400 exchange-traded fund trust (23% weight), iShares Russell 2000 ETF (19% weight) and iShares MSCI Emerging Markets ETF (12% weight)
|
| Amount: | $3.74 million
|
| Maturity date: | April 30, 2018
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | If basket falls by up to 25%, par plus 1.98 times average basket return; otherwise, par (i) minus 1.3333% for each 1% decline beyond 25% (ii) plus 1.98 times average basket return
|
| Average basket return: | Sum of average weighted basket component return for each fund, subject to a minimum of zero; average component return for each fund is calculated using closing prices of fund on 16 quarterly observation dates
|
| Initial prices: | $67.40 for EAFE, $245.16 for MidCap, $111.61 for Russell, $40.82 for EM
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| Pricing date: | April 25
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| Settlement date: | April 30
|
| Agent: | Barclays
|
| Fees: | None
|
| Cusip: | 06741UCE2
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