Barclays prices $32.98 million in Euro Stoxx-linked, $13.3 million in FTSE 100-linked notes

By Sheri Kasprzak

New York, May 22 - Barclays Bank plc priced two sizable offerings, both of buffered return enhanced notes linked to indexes.

The investment bank priced $32.975 million in notes linked to the Dow Jones Euro Stoxx 50 index and $13.3 million in notes linked to the FTSE 100 index.

"Both are indexes that have made some really strong gains over the past month," said one market source when asked why the notes, which are linked to a single index, not a basket, may have garnered so much investor interest.

"Obviously investors are looking for an index that has performed well, historically. In the case of FTSE 100, all you have to do is look at how it's performed over the past few months, mostly up. Same with Euro Stoxx."

Indexes performing well

In the case of FTSE 100, the index has jumped to over 6,600 in May after trading around 6,500 in April, even dipping below 6,500 at the end of April. In March, the FTSE 100 gained 2.4% even after plummeting to 6,000 mid-month. For the first three months of the year, the index gained 2%. On Tuesday, the index dipped by 30.20 to close at 6,606.60.

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. On Tuesday, the index gained 4.34 to end at 4,469.88.

The fact that these indexes are not included as part of a basket is telling, according to another market source.

"I don't necessarily think there's a lack of demand for index baskets," he said. "I do think that these indexes have the strength to stand alone."

Note terms

The zero-coupon notes linked to the Dow Jones Euro Stoxx 50 index have a one-year term and pay par times double the index return, capped at 15.7%.

The notes have a 10% buffer and investors can expect to lose 1.1111% for every 1% the index drops below the buffer.

The notes linked to the FTSE 100 index have a 16-month term and pay par times double the index return, capped at 15%.

These notes also have a 10% buffer and investor in these notes will also lose 1.1111% for every 1% beyond 10% the index drops.

The buffer on the notes changed from when the notes were initially announced mid-month. The buffer was originally 15%.

Earlier this month, Merrill Lynch & Co. announced plans to price zero-coupon buffered return enhanced notes linked to the index through J.P. Morgan Securities Inc.

Those 15-month notes pay par plus double any gain on the index, subject to a 14.3% maximum return.

The Merrill notes are protected up to a 10% drop in the index. Anything beyond a 10% drop and investors will lose 1.1111% for every 1% drop beyond 10%.

ABN Amro's reverse exchangeables

Moving to reverse exchangeables, ABN Amro Bank NV announced plans to price a few notes with sizable coupons.

The investment bank plans to price 24% notes linked to Delta Petroleum Corp.

The three-month notes have an 80% knock-in level. The notes pay par at maturity unless the stock falls below the knock-in level during the life of the notes and ends below the initial share price. The notes will then pay a number of shares equal to $1,000 divided by the initial share price.

Delta's stock, so far this May, has traded between $19.09 on May 15 and $20.90 on May 2. On Tuesday, the stock closed up a penny to end at $20.05 (Nasdaq: DPTR).

ABN Amro also plans to price 20% notes linked to Taser International Inc. Those notes also have an 80% knock-in level and also pay par at maturity unless the stock falls below the knock-in level during the life of the notes and ends below the initial share price. If that is the case, the notes pay a number of shares equal to $1,000 divided by the initial share price.

The company's stock has traded between $9.10 on May 1 and $9.92 on May 7 for the month. The stock gave up 11 cents to end at $9.22 on Tuesday (Nasdaq: TASR).

Finally, ABN Amro will price 18.5% notes linked to XM Satellite Radio Holdings Inc.

Those notes pay par at maturity unless the stock falls below the 80% knock-in level during the life of the notes and ends below the initial share price. The notes then pay a number of shares equal to $1,000 divided by the initial share price.

All of the notes have a three-month term.

In May, XM's stock has traded in a range between $10.48 on May 16 and $11.74 on May 2. On Tuesday, the stock gained 11 cents to close at $11.16 (Nasdaq: XMSR).

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