By Jennifer Chiou
New York, March 15 - Barclays Bank plc priced $4.86 million of 0% buffered return enhanced notes due March 19, 2012 linked to the bearish performance of the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 1.575 times any increase in the yen/dollar exchange rate, subject to a maximum return of 23.625%. Investors will receive par if the exchange rate declines by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.
The exchange rate will increase if the yen weakens relative to the dollar. It will decrease if the yen strengthens relative to the dollar.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying currency: | Japanese yen relative to dollar
|
| Amount: | $4,861,000
|
| Maturity: | March 19, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.575 times any increase in exchange rate, up to maximum return of 23.625%; par if exchange rate falls by 5% or less; 1.0526% loss for every 1% decline beyond 5%
|
| Initial exchange rate: | 90.73 yen per dollar
|
| Final exchange rate: | Average of the exchange rates on the five trading days ending March 14, 2012
|
| Pricing date: | March 12
|
| Settlement date: | March 17
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.5%
|
| Cusip: | 06740JZT0
|
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