By Susanna Moon
Chicago, June 22 - Barclays Bank plc priced $22.93 million of 0% buffered return enhanced notes due July 15, 2011 based on a basket of five indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Korea Composite Stock Price Index 200 with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.
The return of each basket component will equal the index return multiplied by the return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Composite Stock Price, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any gain in the basket, up to a maximum return of 20.32%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
The final basket level will be the arithmetic average of the basket closing levels on the five consecutive trading days ending July 12, 2011.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises (33% weight), Korea Composite Stock Price Index 200 (24% weight), MSCI Taiwan (21% weight), Hang Seng (14% weight) and MSCI Singapore (8% weight)
|
| Amount: | $22,927,000
|
| Maturity: | July 15, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any index gain, capped at 20.32%; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 11,622.69 for Hang Seng China Enterprises; 223.77 for Korea Composite Stock Price; 266.41 for MSCI Taiwan; 20,286.71 for Hang Seng; 336.67 for MSCI Singapore
|
| Initial spot rates: | 0.12847 for Hong Kong dollar; 0.0008293 for Korean won; 0.03111 for Taiwan dollar; 0.71901 for Singapore dollar
|
| Final level: | Arithmetic average of the basket closing levels on the five consecutive trading days ending July 12, 2011
|
| Pricing date: | June 18
|
| Settlement date: | June 23
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06740PAM8
|
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