By Marisa Wong
Madison, Wis., March 21 - Barclays Bank plc priced $3 million of 0% notes due March 22, 2012 linked to the performance of the Barclays Capital Natural Gas Seasonal TR index, according to a 424B2 filing with the Securities and Exchange Commission.
The index reflects the returns available by maintaining a rolling position in Henry Hub Natural Gas futures contracts and is composed of a single futures contract that is either the contract that is scheduled to expire in December of the relevant current calendar year or the contract scheduled to expire in December of the immediately following year.
The notes are putable, subject to a minimum of 1,000 notes, and are callable in whole at any time.
The payout at maturity or upon redemption will equal par times the final index level divided by the initial level, times the investor fee factor.
The investor fee factor is equal to one minus the product of (a) the greater of 182 and the number of days from the pricing date until the final valuation date or redemption date divided by 365 times (b) a fee rate of 0.75%.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying index: | Barclays Capital Natural Gas Seasonal TR index
|
| Amount: | $3 million
|
| Maturity: | March 22, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index return, less investor fee
|
| Put option: | Minimum of 1,000 notes
|
| Call option: | In whole at any time
|
| Initial level: | 167.7801
|
| Pricing date: | March 17
|
| Settlement date: | March 22
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06738KEW7
|
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