Barclays plans to price lock-in notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., April 7 - Barclays Bank plc plans to price 0% lock-in notes due Oct. 14, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the closing level of the index on Oct. 12, 2010 is at least 105% of the initial level, a lock-in event will have occurred and the payout at maturity will be par plus the greater of the index return and a minimum return.

The minimum return will be 5% if the closing level of the index on the lock-in observation date was at least 105% of the initial level but less than 110% of the initial level, 10% if the index level was at least 110% of the initial level but less than 115% of the initial level and 15% if the closing level was at least 115% of the initial level.

If a lock-in event does not occur, the payout at maturity will be:

• Par plus the index return if the final index level - the closing level on Oct. 11, 2011 - is greater than the initial level;

• Par if the final index level is less than the initial level but at least 85% of the initial level;

• Par plus the index return if the final level is less than 85% of the initial level.

In each case, the payout will be subject to a maximum return that is expected to be 15.5% and will be set at pricing.

The notes are expected to price April 9 and settle April 14.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

© 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.