By Angela McDaniels
Tacoma, Wash., April 26 - Barclays Bank plc priced $2.69 million of 0% lock-in notes due Nov. 2, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the closing level of the index on Oct. 26, 2010 is at least 105% of the initial level, a lock-in event will have occurred and the payout at maturity will be par plus the greater of the index return and a minimum return.
The minimum return will be 5% if the closing level of the index on the lock-in observation date was at least 105% of the initial level but less than 110% of the initial level, 10% if the index level was at least 110% of the initial level but less than 115% of the initial level and 15% if the closing level was at least 115% of the initial level.
If a lock-in event does not occur, the payout at maturity will be:
• Par plus the index return if the final index level - the closing level on Oct. 26, 2011 - is greater than the initial level;
• Par if the final index level is less than the initial level but at least 85% of the initial level; or
• Par plus the index return if the final level is less than 85% of the initial level.
In each case, the payout will be subject to a maximum return of 15.5%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Lock-in notes
|
| Underlying index: | S&P 500
|
| Amount: | $2,685,000
|
| Maturity: | Nov. 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus greater of index return and minimum return if index closes at or above 105% of initial level on Oct. 26, 2010; otherwise, par plus index return if return is positive, par if return is between zero and negative 15% or par plus index return if return is less than negative 15%; return capped at 15.5% in all cases
|
| Minimum return: | 5% if index is at least 105% of initial index level on lock-in observation date but less than 110% of initial level, 10% if index is at least 110% of initial level but less than 115% of initial level and 15% if index is at least 115% of the initial level
|
| Initial index level: | 1,217.28
|
| Pricing date: | April 23
|
| Settlement date: | April 28
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
| Cusip: | 06740LER2
|
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