By Angela McDaniels
Tacoma, Wash., July 12 - Barclays Bank plc priced $26.58 million of 0% buffered return enhanced notes due Aug. 5, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes 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.
To determine the return for each index, the issuer will multiply its final return by the final 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 basket gain, subject to a maximum return of 19.82%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
Issuer: | Barclays Bank plc
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Issue: | Buffered return enhanced notes
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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)
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Amount: | $26,578,000
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Maturity: | Aug. 5, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 200% of any basket gain, capped at 19.82%; par if basket declines by 10% or less; 1.1111% loss for every 1% decline beyond 10%
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Initial index levels: | 11,620.68 for Hang Seng China Enterprises; 224.44 for Korea Composite Stock Price; 271.13 for MSCI Taiwan; 20,378.66 for Hang Seng; 344.98 for MSCI Singapore
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Initial spot rates: | 0.12847 for Hong Kong dollar; 0.0003842 for Korean won; 0.03120 for Taiwan dollar; 0.72553 for Singapore dollar
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Final basket level: | Average of basket's levels on the five trading days ending Aug. 2, 2011
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Pricing date: | July 9
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Settlement date: | July 14
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Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
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Fees: | 1%
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Cusip: | 06740PDX1
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