By Toni Weeks
San Diego, Sept. 29 - Barclays Bank plc priced $2.16 million of 15% annualized autocallable yield notes due March 30, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called automatically at par plus accrued interest if the indexes close above their initial levels on either of the two call valuation dates, which are in November and January.
A knock-in event will occur if either index falls below the knock-in level, 70% of the initial level, on any trading day.
If a knock-in event does not occur, investors will receive par at maturity. If a knock-in event occurs and the return of the least-performing index is zero or positive, investors will receive par.
If a knock-in event occurs and the return of the least-performing index is negative, investors will share in those losses.
Barclays Capital Inc. is the agent.
Issuer: | Barclays Bank plc
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Issue: | Autocallable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $2.16 million
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Maturity: | March 30, 2012
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Coupon: | 15%, payable monthly
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Price: | Par
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Payout at maturity: | Par, if a knock-in event does not occur or if it does occur but the return of the worst-performing index is at least zero; full exposure to losses if a knock-in event occurs and the return of the worst-performing index is negative
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Call: | At par if both underlying indexes close at or above initial levels on call valuation dates in November and January
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Initial levels: | 1,175.38 for S&P, 680.23 for Russell
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Knock-in levels: | 822.77 for S&P, 476.16 for Russell; 70% of initial levels
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Pricing date: | Sept. 27
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Settlement date: | Sept. 30
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Agent: | Barclays Capital Inc.
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Fees: | 1.75%
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Cusip: | 06738KWA5
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