Barclays prices $32.39 million in notes linked to Dow Jones Euro Stoxx, Nikkei

By Sheri Kasprzak

New York, June 4 - Barclays Bank plc kicked off the week with a $32.387 million offering of lesser-index annual review notes linked to the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes.

"These are two very popular indexes," said one market source. "With good reason. You can just look at their performance, even over the past few months, and see that they've performed very well."

The notes will automatically be called if, on any review date, the index level is greater than or equal to the call level. The call level on the first review date - June 10, 2008 - is 90% of the initial level. The call levels for the second and third review dates - June 10, 2009 and June 10, 2010, respectively - are 100% of the initial level.

If called, the notes pay a premium depending upon the review date. On the first review date, the premium is 16.5%. On the second date the investors will receive a premium equal to 32.6% and on the final review date the premium is 48.9%.

If the notes are not called, the principal is protected up to a 10% decline. If either index falls below the 10% buffer, the investors will lose 1.1111% of their investment for every 1% beyond 10% the index falls.

Index performance

In early March, the Nikkei 225 was trading just above 16,500. Now the index hovers just above the 18,000 mark.

On Monday, after a particularly volatile session, the Nikkei 225 ended almost unchanged, closing at 17,973.42.

The Dow Jones Euro Stoxx 50 index had closed around 4,420 a month ago. The index now trades around 4,480 after dropping below 4,370 in late April.

Stoxx had a particularly volatile session as well, finally giving up 19.16 on Monday to settle at 4,537.81.

JPMorgan's bearish notes

In other structured products news Monday, JPMorgan Chase & Co. announced plans to price 24% bearish reverse exchangeable notes linked to the best-performing stock of the Dow Jones Industrial Average.

The notes pay par at maturity plus interest unless any of the final share prices of the reference stocks is greater than the initial share price or unless the 30% upside protection level is compromised during the six-month term of the notes.

If the final share price of any of the reference stocks is greater than the initial share price or the protection level is reached during the life of the notes, the investors will receive $1,000 times the appreciation of the best-performing stock for each $1,000 in principal held.

Index performance

The index itself has performed exceptionally well over the past six months of 2007. Since January, the index has crept its way above 13,500. In early March, the index did fall to about 12,000 but has regained its footing since that time.

On Monday, the index gained 8.21 to end at 13,676.32.

The reference stocks included in the offering are Alcoa Inc., American International Group Inc., American Express Co., The Boeing Co., Citigroup Inc., Caterpillar Inc., E.I. du Pont de Nemours & Co., The Walt Disney Co., General Electric Co., General Motors Corp., The Home Depot Inc., Honeywell International Inc., Hewlett-Packard Co., International Business Machines Corp., Intel Corp., Johnson & Johnson, The Coca-Cola Co., McDonalds Corp., 3M Corp., Altria Group Inc., Merck & Co. Inc., Microsoft Corp., Pfizer Inc., The Procter & Gamble Co., AT&T Inc., United Technologies Corp., Verizon Communications Inc., Wal-Mart Stores Inc. and Exxon Mobile Corp.

Most of the reference stocks included in the offering made some improvement over the course of May, with few exceptions. All traded within relatively tight ranges.

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