By Angela McDaniels
Tacoma, Wash., Feb. 8 - Barclays Bank plc priced $45.57 million of 0% notes due Feb. 23, 2012 linked to a basket of three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight. Their related currencies are the euro, British pound sterling and Japanese yen, respectively.
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.
For each index, the issuer will multiply its return by the return of the applicable currency relative to the dollar. It will do this on each of the five trading days ending Feb. 17, 2012. The average of these five numbers will be the underlying return for that index.
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 20.64% for the Euro Stoxx 50, 15.04% for the FTSE 100 and 5.52% for the Topix. The maximum payout at maturity is $1,156.20 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 (51% weight), FTSE 100 index (25% weight) and Topix index (24% weight)
|
| Amount: | $45,574,000
|
| Maturity: | Feb. 23, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 20.64% for Euro Stoxx, 15.04% for FTSE 100 and 5.52% 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: | 3,003.19 for Euro Stoxx 50; 5,997.38 for FTSE 100; 935.36 for Topix
|
| Initial spot rates: | 1.3581 for euro; 1.6111 for pound; 0.012168 for yen
|
| Pricing date: | Feb. 4
|
| Settlement date: | Feb. 9
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06738KBA8
|
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