Barclays to price Barclays ETN+ FI Enhanced Global High Yield ETNs

By Angela McDaniels

Tacoma, Wash., May 17 - Barclays Bank plc plans to price 0% Barclays ETN+ FI Enhanced Global High Yield exchange-traded notes linked to the MSCI World High Dividend Yield USD Gross Total Return index, according to a 424B3 filing with the Securities and Exchange Commission.

The index is designed to track the performance of large and mid-cap stocks (excluding REITs) across 24 developed-markets countries tracked by the MSCI World index with higher-than-average dividend yields that are potentially both sustainable and persistent.

The notes will be putable at any time, subject to a minimum of 10,000 notes. They will be callable at any time.

The payout upon redemption or at maturity will be the closing indicative note value minus the settlement charge, which is 0.05% times the long index amount.

If a holder puts back more than 100,000 notes at one time within 360 days of the inception date, the settlement charge will include, in addition to the amount specified above, an amount equal to (a) 0.05% times (b) the long index amount times (c)(i) 360 minus the number of calendar days from and including the inception date to and including the put date divided by (ii) 360.

The notes will also be subject to automatic redemption (see automatic redemption" below).

Closing indicative notes value

The closing indicative note value will be $100 on the initial valuation date. On each subsequent day, it will equal the long index amount on that day minus the financing level on that day, provided that if this calculation results in a negative value, the closing indicative note value will be zero.

On the initial valuation date, the long index amount will equal $200, which is the par amount multiplied by the initial leverage factor of two. On subsequent days, it will equal the product of the long index amount on the immediately preceding day times the index performance factor on that day minus the rebalancing amount (if any) on that day (see "index exposure rebalancing" below).

On any day, the leverage factor will equal the long index amount on that day divided by the closing indicative note value on that day.

The index performance factor on the initial valuation date will equal 1. On any subsequent day, it will equal the closing level of the index on that day divided by the closing level of the index on the immediately preceding day.

On the initial valuation date, the financing level will equal $100. On any subsequent day, it will equal the financing level on the immediately preceding day plus the daily investor fee on that day plus the rebalancing fee (if any) on that day minus the rebalancing amount (if any) on that day.

On the initial valuation date, the daily investor fee will equal $0. On any subsequent day, it will equal (a) the sum of (i) the product of (1) the long index amount on the immediately preceding day times (2) the exposure fee rate, which is Libor plus 64 basis points, plus (ii) 0.05% times the closing indicative note value on the immediately preceding day times (b) the number of calendar days from but excluding the immediately preceding trading day to and including the current trading day divided by (c) 360.

Index exposure rebalancing

A rebalancing event occurs if the index's intraday level falls to or below the rebalancing trigger, which equals 1.6 times the closing level of the index on the day times the financing level on that day divided by the long index amount on that day.

The rebalancing amount will equal the product of the long index amount on the immediately preceding day times the index performance factor on that day minus the product of (a) the initial leverage factor times (b) the closing indicative note value on the immediately preceding day.

The rebalancing fee will be equal to the product of 0.05% multiplied by the rebalancing amount on that day.

Automatic redemption

The notes will be automatically redeemed if the index's intraday level falls to or below the automatic redemption trigger, which will be 1.4 times the closing level of the index on that day times the financing level on that day divided by the long index amount on that day.

If the notes are automatically redeemed, holders will receive the automatic redemption value, which will be determined by the calculation agent at its sole discretion.

The issuer plans to apply to list the notes on the NYSE Arca under the symbol "FGHY."

Barclays is the agent.

The Cusip number is 06742C152.

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