Published on 12/1/2010 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $42.31 million quarterly review notes linked to S&P GSCI Crude Oil
By Angela McDaniels
Tacoma, Wash., Dec. 1 - Barclays Bank plc priced $42.31 million of 0% quarterly review notes due Dec. 21, 2011 linked to the S&P GSCI Crude Oil Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the average of the index's closing levels for the five days ending on a quarterly review date is 102.5% or more of the initial index level. The redemption amount will be par plus an annualized call premium of 20.1%.
The review dates are Feb. 28, May 31, 2011, Aug. 30, 2011 and Dec. 14, 2011.
If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial level. Investors will lose 1.1111% for every 1% that the index declines beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
Issuer: | Barclays Bank plc
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Issue: | Quarterly review notes
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Underlying index: | S&P GSCI Crude Oil Excess Return
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Amount: | $42,314,000
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Maturity: | Dec. 21, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par if final index level is at least 90% of initial level; otherwise, 1.1111% loss for every 1% that index declines beyond 10%
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Call: | Automatically at par plus 20.1% per year if average of the index's closing levels for the five days ending on a quarterly review date is 102.5% or more of the initial index level; review dates are Feb. 28, May 31, 2011, Aug. 30, 2011 and Dec. 14, 2011
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Initial index level: | 511.8181
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Pricing date: | Nov. 30
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Settlement date: | Dec. 7
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Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 06740PR32
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