By Angela McDaniels
Tacoma, Wash., Sept. 27 - Barclays Bank plc priced $11.79 million of 0% notes due Oct. 11, 2012 linked to three buffered return enhanced components and their related currencies, according to a 424B2 with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight. Their related currencies are the euro, the pound sterling and the yen, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the basket indexes' weighted component returns.
For each index, the underlying return will be the averaged return minus one. The averaged return will be the average of (a) the closing level of the index divided by the initial index level multiplied by (b) the final spot rate of the related currency relative to the dollar divided by the initial spot rate on each of the five trading days ending on Oct. 5, 2012.
If an index's underlying return is greater than or equal to zero, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but greater than or equal to negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The maximum return is 31.64% for the Euro Stoxx 50, 19.84% for the FTSE 100 and 4.6% for the Topix. The maximum payment at maturity is $1,225.80 per $1,000 principal amount of notes.
Barclays Capital Inc. is the underwriter with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to three buffered return enhanced components and their related currencies
|
| Underlying components: | Euro Stoxx 50 and euro (53% weight), FTSE 100 and pound sterling (24% weight), Topx and Japanese yen (23% weight)
|
| Amount: | $11,791,000
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| Maturity: | Oct. 11, 2012
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus sum of indexes' weighted component returns
|
| Component return: | If an index's underlying return is greater than or equal to zero, double the underlying return, subject to a cap of 31.64% for the Euro Stoxx 50, 19.84% for the FTSE 100 and 4.6% for the Topix; if an index's underlying return is less than zero but greater than or equal to negative 10%, 0%; if an index's underlying return is less than negative 10%, 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%
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| Underlying return: | Average of index's performance multiplied by performance of related currency relative to dollar on the five trading days ending on Oct. 5, 2012
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| Initial index levels: | 2,206.03 for Euro Stoxx; 5,066.81 for FTSE 100; 728.85 for Topix
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| Initial spot rates: | 1.3516 for euro; 1.5475 for pound; 0.01311 for yen
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| Pricing date: | Sept. 23
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| Settlement date: | Sept. 28
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| Underwriter: | Barclays Capital Inc. with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents
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| Fees: | 1%
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| Cusip: | 06738KVP3
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