By Toni Weeks
San Diego, Aug. 16 - Barclays Bank plc priced $48 million of 0% buffered return enhanced notes due Aug. 29, 2012 linked to three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of 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.
For each index, the underlying return will be the return of the index multiplied by the return of its related currency relative to the dollar.
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 27.28% for the Euro Stoxx, 19.36% for the FTSE 100 and 6.1% for the Topix. The maximum payout at maturity is $1,205 per $1,000 principal amount of notes.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (53% weight), FTSE 100 index (24% weight) and Topix index (23% weight)
|
| Amount: | $48,007,000
|
| Maturity: | Aug. 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of indexes' component returns; maximum payment of $1,205 per note
|
| Component returns: | 200% any gain, capped at 27.28% for Euro Stoxx, 19.36% for FTSE and 6.1% 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%; each index's underlying return equals its return multiplied by the return of its related currency relative to the dollar
|
| Initial index levels: | 2,307.33 for Euro Stoxx, 5,320.03 for FTSE 100 index, 768.19 for Topix
|
| Initial spot rates: | 1.4238 for euro, 1.628 for pound and 0.013021 for yen
|
| Pricing date: | Aug. 12
|
| Settlement date: | Aug. 17
|
| Agent: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 06738KRW3
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