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Barclays to price four tranches of automatically redeemable Smores linked to Fannie Mae MBS
By Jennifer Chiou
New York, May 11 - Barclays Bank plc plans to price four tranches of automatically redeemable notes in the Smores structure due Oct. 25, 2029 linked to a reference pool of Fannie Mae mortgage-backed securities, according to an FWP filing with the Securities and Exchange Commission.
The reference pool, number 831034, is a pool of fixed-rate, level payment, fully amortizing mortgages, fixed-rate initial interest mortgages or fixed-rate balloon/reset mortgages formed by Fannie Mae and issued on Oct. 1, 2005.
From July 2007 onwards, each tranche of notes will be redeemed in full it the prepayments on the underlying pool of mortgages run fast enough to cause the remaining amount of the pool to fall below a preset threshold. Classes A1 and B1 use the same trigger levels while classes A2 and B2 have their own set of trigger levels linked to faster levels of prepayments.
Interest at a to-be-determined coupon will be payable on the 25th day of each month.
For classes A1 and A2, the initial coupon will be equal to 12 days' interest from June 13 to June 24. After that there will be no delay between interest accruing and being paid.
For classes B1 and B2, the initial coupon will accrue from the first calendar day of July. The delay between the interest accrual period and the interest payment will be 24 days.
The initial review date for possible automatic redemption will be July 18, 2007 on all classes.
In addition to the automatic call, Barclays will have an optional call on interest payment dates starting on Dec. 26, 2007.
If the notes are not redeemed prior to maturity, investors will receive par plus one month's interest when the notes are due.
The notes will settle on June 13.
Barclays Capital will be the agent.
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