By Angela McDaniels
Tacoma, Wash., Sept. 13 - Barclays Bank plc priced $13.38 million of 0% notes due Sept. 29, 2011 linked to a basket of three buffered return enhanced components, according to a 424B2 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 flat or negative but not less than 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 cap is 18.62% for the Euro Stoxx 50, 14.30% for the FTSE 100 and 10.00% for the Topix. Based on these caps, the maximum payout at maturity is $1,155.14 per $1,000 principal amount of notes.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (52% weight), FTSE 100 index (24% weight) and Topix index (24% weight)
|
| Amount: | $13,381,000
|
| Maturity: | Sept. 29, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 18.62% for Euro Stoxx, 14.30% for FTSE 100 and 10.00% for Topix; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,780.40 for Euro Stoxx; 5,501.64 for FTSE 100; 833.72 for Topix
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Sept. 26, 2011
|
| Pricing date: | Sept. 10
|
| Settlement date: | Sept. 15
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06740PQN9
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