By Angela McDaniels
Tacoma, Wash., March 23 - Barclays Bank plc priced $4.14 million of 0% buffered return enhanced notes due April 5, 2011 linked to a long currency basket and a short currency basket, according to a 424B2 filing with the Securities and Exchange Commission.
The long basket includes the Brazilian real, Turkish lira and Indonesian rupiah, each with a weight of one-third. The short basket includes the dollar and Japanese yen, each with a weight of negative one-half.
The return of the dollar will be zero. For each of the remaining currencies, the return will equal its a) initial spot rate against the dollar minus its final spot rate divided by b) its initial spot rate. The long/short return will equal the sum of the currencies' weighted returns.
The payout at maturity will be par plus 2.77 times the long/short return if it is positive, subject to a maximum return of 27.7%. If the long/short return is between zero and negative 10%, the payout will be par. Investors will lose 1.1111% for every 1% that the long/short return is less than negative 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying baskets: | Long basket includes Brazilian real, Turkish lira and Indonesian rupiah with weight of one-third each; short basket includes dollar and Japanese yen with weight of negative one-half each
|
| Amount: | $4,143,000
|
| Maturity: | April 5, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 2.77 times the long/short return if it is positive, up to maximum return of 27.7%; par if long/short return is between zero and negative 10%; 1.1111% loss for every 1% that long/short return is less than negative 10%
|
| Initial spot rates: | 1.7954 for reais, 1.53351 for lira, 9,127 for rupiah, 1 for dollar and 90.51 for yen
|
| Final spot rates: | For each currency, the average of its spot rates on the five trading days ending March 31, 2011
|
| Pricing date: | March 19
|
| Settlement date: | March 24
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06740LAM7
|
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