Published on 10/23/2007 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $10.86 million annual review notes linked to S&P 500 via JPMorgan
By Laura Lutz
Des Moines, Oct. 23 - Barclays Bank plc priced $10.86 million of 0% annual review notes due Nov. 24, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index level is at or above a call level on any of three annual review dates.
The call level will be 95% of the initial index level on Nov. 19, 2008. The call level will be equal to the initial level on Nov. 19, 2009 and Nov. 19, 2010.
The redemption amount will be par plus 9.72% if the notes are called on the first review date, par plus 19.44% if called on the second review date and par plus 29.16% if called on the last review date.
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 index level. Investors will lose 1.1111% for each 1% decline in the index beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Annual review notes
|
| Underlying index: | S&P 500
|
| Amount: | $10,855,000
|
| Maturity: | Nov. 24, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Automatically called if index level is at or above call level on an annual review date; payout will be par plus 9.72% if called on Nov. 19, 2008, par plus 19.44% if called on Nov. 19, 2009 and par plus 29.16% if called on Nov. 19, 2010
|
| Call level: | 95% of initial level on Nov. 19, 2008; 100% of initial level on Nov. 19, 2009 and Nov. 19, 2010
|
| Payout at maturity: | Par unless the index declines by more than 10%, in which case investors will lose 1.1111% for every 1% index decline beyond 10%
|
| Initial index level: | 1,500.63
|
| Pricing date: | Oct. 19
|
| Settlement date: | Oct. 24
|
| Agents: | JPMorgan Chase Bank, NA; J.P. Morgan Securities Inc.
|
| Fees: | 2%
|
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