By Marisa Wong
Milwaukee, April 20 - Barclays Bank plc priced $57.84 million of 0% capped market plus notes due May 9, 2011 based on the S&P GSCI Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above the barrier level - 80% of the initial level - on any day during the life of the notes, the payout at maturity will be par plus the greater of the index return and a minimum return of 5%.
If the index closes below the barrier level on any day during the life of the notes, the payout will be par plus the index return with exposure to any losses.
In both cases, the payout is subject to a maximum return of 14%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Capped market plus notes
|
| Underlying index: | S&P GSCI Excess Return
|
| Amount: | $57.84 million
|
| Maturity: | May 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus return if index falls by more than 20% during life of notes, full exposure to losses; otherwise, par plus index return with floor of 5%; capped at 14%
|
| Initial index level: | 444.2485
|
| Pricing date: | April 16
|
| Settlement date: | April 23
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06740LNK7
|
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