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Barclays to price 0% notes linked to buffered return enhanced indexes
By Angela McDaniels
Tacoma, Wash., Aug. 24 - Barclays Bank plc plans to price 0% notes due Sept. 20, 2011 linked to a basket of buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Topix index with a 24% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap will be at least 20.7% for the Euro Stoxx 50, at least 16.6% for the FTSE 100 and at least 10.7% for the Topix. If the caps were set at their respective minimums, the maximum payout at maturity would be $1,173.10 per $1,000 principal amount of notes.
The notes (Cusip: 06740PNA0) are expected to price Aug. 27 and settle Sept. 1.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
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