Barclays to price iPath notes linked to CBOE S&P 500 Buy Write index; RBC plans reverse convertibles

By Sheri Kasprzak

New York, April 17 - Barclays Bank plc again grabbed structured products headlines with another issue of iPath exchange-traded notes, these linked to the CBOE S&P 500 Buy Write index.

The investment bank has expanded its iPath notes recently to also include foreign exchange-linked ETNs.

A representative from Barclays said Tuesday that they could not immediately comment on the notes but may be able to on a later date.

A market source not affiliated with the notes said he feels the iPath notes are something that other investment banks should really take notice of. Barclays is currently in the process of patenting their structure of ETNs.

"I wouldn't be surprised if other investment banks move more heavily into exchange-traded notes, perhaps coming up with their own proprietary notes," said the market source. "We haven't investigated it but it might be something worth looking into. I'm speaking completely hypothetically here."

Terms of the new notes

The CBOE S&P 500 Buy Write index measures the total rate of return of a hypothetical buy-write or covered call strategy on the S&P 500 index.

Payout at maturity on the notes will be par of $50.00 multiplied by the index factor, which is the closing value of the index on the final valuation date divided by the initial level, minus the investor fee.

The fee is calculated daily and is equal to 0.75% of par per year, multiplied by the index factor level divided by 365.

The noteholders may redeem their notes on any redemption day - the third business day following a valuation date - for a cash payment equal to par multiplied by the index factor on the valuation date, minus the investor fee and less the redemption charge, which is a one-time fee of 0.00125 multiplied by the weekly redemption value.

There is a minimum redemption requirement of 50,000 notes.

The valuation dates will be the Thursday of each week during the life of the notes.

Barclays' other iPath notes

Earlier this month, Barclays launched three new foreign exchange-rate iPath ETNs due 2037. One note is linked to the British pound/U.S. dollar exchange rate, one to the Japanese yen/U.S. dollar exchange rate and one to the euro/U.S. dollar exchange rate.

Also earlier in April, the bank priced another $500 million of its 0% iPath ETNs linked to the Dow Jones - AIG Commodity Index Total Return. That offering brought to $2 billion the total amount of notes sold.

RBC plans reverse convertibles

Elsewhere in structured products news, Royal Bank of Canada announced plans to price 22.75% reverse convertibles linked to NutriSystems, Inc., a notably big coupon in a raft of transactions announced by the bank.

The notes pay par at maturity unless the stock falls below the 70% knock-in price and ends below the initial share price.

If that's the case, the notes pay a number of shares equal to $1,000 divided by the initial share price.

The notes are expected to price April 25.

In other reverse convertibles news, Rabo Financial Products BV said it intends to price 20.6% knock-in reverse convertibles linked to Evergreen Solar, Inc.

Those three-month 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 will then pay a number of shares equal to $1,000 divided by the initial share price.

Those notes are expected to price April 27.

© 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.