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Barclays to price notes linked to buffered return enhanced indexes
By Jennifer Chiou
New York, Sept. 20 - Barclays Bank plc plans to price 0% notes due Oct. 11, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP 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. Their related currencies are the euro, the pound sterling and the 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 underlying return will be the average return minus one. The average return will be the average of (a) the closing level of the index divided by the initial index level multiplied by (b) the final spot rate of the related currency relative to the dollar divided by the initial spot rate on each of the five trading days ending on Oct. 5, 2012.
If an index's underlying return is greater than or equal to zero, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but greater than or equal to 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 maximum return will be at least 31.64% for the Euro Stoxx, 19.84% for the FTSE 100 and 4.6% for the Topix.
The notes (Cusip: 06738KVP3) are expected to price on Sept. 23 and settle on Sept. 28.
Barclays Capital Inc. is the underwriter with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
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