By Susanna Moon
Chicago, Dec. 8 - Barclays Bank plc priced $14.11 million of 0% autocallable index knock-out buffer notes due Sept. 14, 2010 based on a basket of three indexes, 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 Dow Jones Euro Stoxx 50 index with a 49% weight, the FTSE 100 index with a 23% weight and the Topix index with a 28% weight.
The notes will be called at 107% of par if the basket closes at or above 107% of its initial level on any review date, or the fourth trading day of each week.
The call provision means that the return on the notes will be capped at 7%.
A knock-out event occurs if the basket ever falls by more than 16.75% during the life of the notes.
If the notes are not called and a knock-out event does not occur, investors will receive par plus the basket return, with a contingent minimum return of 2%.
If a knock-out has occurred, the payout at maturity will be par plus the basket return.
| Issuer: | Barclays Bank plc
|
| Issue: | Autocallable index knock-out buffer notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (49% weight), FTSE 100 (23% weight) and Topix (28% weight)
|
| Amount: | $14.11 million
|
| Maturity: | Sept. 14, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return if basket falls by more than 16.75% during life of the notes; otherwise, par plus greater of basket return and 2%
|
| Call: | At 107 if basket closes at or above 107% of initial level on any review date
|
| Initial index levels: | 2,910.33 for Euro Stoxx, 5,322.36 for FTSE and 889.58 for Topix
|
| Pricing date: | Dec. 4
|
| Settlement date: | Dec. 9
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 0.75%
|
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