Barclays plans notes on buffered return enhanced indexes, currencies

By Marisa Wong

Madison, Wis., July 13 - Barclays Bank plc plans to price 0% notes due Aug. 1, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP filing 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.

The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The basket return will equal the sum of the weighted component returns for the three basket components.

The component return for each basket index will be determined by the change in index level. If the ending index level is greater than the initial index level, the index return will be doubled, subject to a maximum return set at pricing. If the ending and initial index levels are equal or the index falls by up to 10%, the component return will be zero. If the index return is less than negative 10%, every 1% decline beyond 10% will be multiplied by 1.1111.

The maximum return will not be less than 21.66% for the Euro Stoxx, 10.1% for the FTSE 100 and 5.76% for the Topix.

The ending basket return will be the average of the basket return on the five consecutive averaging dates ending July 27, 2012.

The notes (Cusip: 06738KPP0) are expected to price on July 15 and settle on July 20.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the lead agents, and Barclays Capital Inc. is the co-agent.

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