By Angela McDaniels
Tacoma, Wash., March 25 - Barclays Bank plc priced $20.17 million of 0% notes due April 26, 2012 linked to a basket holding the Barclays Capital Astro US Variable Excess Return index and the S&P 500 Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on any day equals 100 plus (a) the performance of the S&P 500 Total Return minus 0.67% plus (b) 2.2 times the performance of the Astro index.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The notes are putable, subject to a minimum redemption amount of 10 notes, and the notes will be called if the basket level falls to or below 35. The payout will be par plus the basket return, which will be determined using the basket level on the day following the early redemption notice or call trigger date.
The Astro index provides exposure to the S&P 500 Total Return with variable leverage that depends on the recent realized volatility (measured by the three-month realized volatility for the S&P 500 index) and implied volatility (measured by the VIX index). It seeks to capitalize on the view that over short periods of time, such as one week, markets are cyclical - meaning that an upward movement in the level of the S&P 500 Total Return index is usually followed by a downward movement or vice versa.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying indexes: | Barclays Capital Astro US Variable Excess Return index and S&P 500 Total Return index
|
| Amount: | $20,171,000
|
| Maturity: | April 26, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return; basket level on any day is 100 plus (a) the performance of the S&P 500 Total Return minus 0.67% plus (b) 2.2 times the performance of the Astro index
|
| Put option: | At any time, subject to minimum of 10 notes
|
| Call option: | Automatically if basket falls to or below 35
|
| Initial index levels: | 2,190.964 for S&P 500 Total Return and 206.2214 for Astro
|
| Pricing date: | March 23
|
| Settlement date: | March 28
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 0.1%
|
| Cusip: | 06738KFG1
|
© 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.
