Barclays plans variable participation principal-protected notes linked to S&P 500

By Jennifer Chiou

New York, April 3 - Barclays Bank plc plans to price 0% variable participation principal-protected notes due April 25, 2014 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, then the payout at maturity will be par plus the product of the index return multiplied by the participation rate. If the index return is flat or negative, then the payout will be par.

The participation rate will equal 200% minus the quotient of the average daily absolute return - the arithmetic average of the absolute values of the index return for each day during the life of the notes - divided by the benchmark, subject to a floor of zero.

The benchmark is expected to be 0.55% to 0.75% and will be set at pricing.

The notes are expected to price on April 27 and settle on April 30.

Barclays Capital Inc. is the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.