By Marisa Wong
Milwaukee, Feb. 5 - Barclays Bank plc priced $5.935 million of 0% buffered return enhanced notes due Feb. 8, 2012 linked to the bearish performance of the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.
If the final yen/dollar exchange rate is greater than the initial rate, the payout at maturity will be par plus 1.45 times the gain, subject to a maximum return of 21.75%.
Investors will receive par if the exchange rate declines by 5% or less and will lose 1.0526% for every 1% that the rate declines beyond 5%.
The notes are expected to settle Feb. 8.
JPMorgan Chase Bank, NA and JPMorgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying currency: | Yen versus dollar
|
| Amount: | $5.935 million
|
| Maturity: | Feb. 8, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 145% of yen gain against dollar, capped at 21.75%; par for declines by up to 5% and 1.0526% loss for each 1% decline beyond 5%
|
| Initial exchange rate: | 90.97
|
| Pricing date: | Feb. 3
|
| Settlement date: | Feb. 8
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.5%
|
| Cusip: | 06740JSL5
|
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