By Angela McDaniels
Tacoma, Wash., Nov. 10 - Barclays Bank plc priced $24.66 million of 0% notes due Nov. 24, 2010 linked to a basket of three buffered return enhanced components, 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 components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Topix index with a 28% weight and the FTSE 100 index with a 23% weight.
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.
If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero 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 19.64% for the Euro Stoxx 50, 12% for the Topix and 16.6% for the FTSE 100. Based on these caps, the maximum payout at maturity is $1,168 per $1,000 principal amount of notes.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (49% weight), Topix index (28% weight) and FTSE 100 index (23% weight)
|
| Amount: | $24,657,000
|
| Maturity: | Nov. 24, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 19.64% for Euro Stoxx, 12% for Topix and 16.6% for FTSE 100; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,794.25 for Euro Stoxx; 874.01 for Topix; 5,142.72 for FTSE 100
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Nov. 19, 2010
|
| Pricing date: | Nov. 6
|
| Settlement date: | Nov. 12
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
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