Barclays plans 0% notes on buffered return enhanced indexes via JPM

By Marisa Wong

Madison, Wis., Sept. 8 - Barclays Bank plc plans to price 0% notes due Sept. 29, 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 1.1111% for every 1% that the underlying return is less than negative 10%.

The cap will be at least 18.62% for the Euro Stoxx 50, at least 14.3% for the FTSE 100 and at least 10% for the Topix. If the caps are set at their respective minimums, the maximum payout at maturity will be $1,155.14 per $1,000 principal amount of notes.

The notes (Cusip: 06740PQN9) are expected to price Sept. 10 and settle Sept. 15.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

© 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.