By Jennifer Chiou
New York, July 19 - Barclays Bank plc priced $9.33 million of 0% notes due Aug. 1, 2012 linked to three buffered return enhanced components and related currencies, each converted into dollars, according to a 424B2 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 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 finishes above the initial level, its component return will be double the underlying return, up to a maximum return. If an index falls by up to 10%, its component return will be zero.
If an index falls by more than 10%, its component return will be 0% minus 1.11111% for every 1% decline beyond 10%.
The cap is 21.66% for the Euro Stoxx, 10.1% for the FTSE 100 and 5.76% for the Topix. The maximum payout at maturity is $1,152.20 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the lead agents with Barclays Capital Inc. as co-agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to three buffered return enhanced components and currencies
|
| Underlying components: | Euro Stoxx 50 index (53% weight), FTSE 100 index (24% weight) and Topix index (23% weight), each converted into dollars
|
| Amount: | $9,332,000
|
| Maturity: | Aug. 1, 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 21.66% for Euro Stoxx, 10.1% for FTSE 100 and 5.76% for Topix; zero if index falls by up to 10%; 0% minus 1.1111% for every 1% drop beyond 10%
|
| Initial index levels: | 2,675.38 for Euro Stoxx; 5,843.66 for FTSE; 859.36 for Topix
|
| Initial spot rates: | 1.4158 for euro; 1.6125 for pound; 0.012649 for yen
|
| Pricing date: | July 15
|
| Settlement date: | July 20
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA (leads) with Barclays Capital Inc.
|
| Fees: | 1%
|
| Cusip: | 06738KPP0
|
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