Barclays to price short D leveraged ETNs tied to S&P 500 Total Return

By Angela McDaniels

Tacoma, Wash., Nov. 10 - Barclays Bank plc plans to price $125 million of 0% short D leveraged exchange-traded notes due 2014 linked to the S&P 500 Total Return index, according to a 424B3 filing with the Securities and Exchange Commission.

The notes will have a face value of $50 each.

The notes will be putable at any time, subject to a minimum of 25,000 notes, and will be automatically called if the indicative note value falls to 20% of par or less.

The payout upon redemption or at maturity will be an amount in cash equal to the final indicative note value.

The indicative note value on any day will equal the T-Bill amount on that day minus the short index amount on that day, provided that the indicative note value cannot be less than zero.

The T-Bill amount on any day is $200 plus the accrued interest minus the accrued fees. The short index amount on any day is 300% of the sum of par plus the index return on that day, which could be positive or negative.

Accrued interest will initially be zero. On each subsequent trading day, it will equal the sum of the accrued interest on the preceding trading day plus an annualized rate equal to the product of the T-Bill amount on the preceding trading day times the T-Bill rate.

The T-Bill rate will equal the yield to maturity of the most recent weekly auctioned 91-day U.S. Treasury bills effective on the preceding trading day.

Accrued fees will initially be zero. On each subsequent trading day, the accrued fees will equal the accrued fees from the preceding trading day plus an annualized rate equal to the T-Bill amount on the preceding trading day times 0.4%.

The issuer will apply to list the notes on the NYSE Arca under the symbol "BXDD."

Barclays Capital Inc. is the agent.

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