Published on 10/18/2011 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $12.28 million notes tied to index basket via JPMorgan
By Susanna Moon
Chicago, Oct. 18 - Barclays Bank plc priced $12.28 million of 0% buffered return enhanced notes due Nov. 2, 2012 linked to a basket of Asian indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Korea Composite Stock Price Index 200 with a 25% weight, the Hang Seng index with a 25% weight, the MSCI Taiwan index with a 20% weight, Hang Seng China Enterprises index with a 21% weight and the MSCI Singapore index with a 9% weight. The underlying currencies are the Korean won, the Hong Kong dollar, the Taiwan dollar and the Singapore dollar.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 21.2%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Korea Composite Stock Price Index 200 (25% weight), the Hang Seng index (25% weight), the MSCI Taiwan index (20% weight), Hang Seng China Enterprises index (21% weight) and the MSCI Singapore index (9% weight)
|
| Amount: | $12,281,000
|
| Maturity: | Nov. 2, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 21.2%; par if basket falls by up to 10%; 1.1111% loss per 1% drop beyond 10%
|
| Initial levels: | 239.67 for Kospi, 18,501.79 for Hang Seng, 260.95 for MSCI Taiwan, 9,584.83 for Hang Seng China and 314.97 for MSCI Singapore
|
| Initial spot rates: | 0.0008618 for won, 0.12858 for Hong Kong dollar, 0.03297 for Taiwan dollar and 0.78555 for Singapore dollar
|
| Pricing date: | Oct. 14
|
| Settlement date: | Oct. 19
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 06738KXN6
|
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