By Susanna Moon
Chicago, July 27 - Barclays Bank plc priced $345,000 of 0% buffered return enhanced notes due Aug. 10, 2011 based on the performance of a long basket of three currencies and a short basket with equal weights of the Japanese yen and the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
The long basket contains of equal weights of the Brazilian real, Turkish lira and Indonesian rupiah. The performance of each currency in both baskets is measured against the dollar.
The payout at maturity will be par plus 2.89 times any positive reference asset return, capped at 28.9%.
Investors will receive par if the reference asset return is between zero and negative 10% and will lose 1.1111% for every 1% decline beyond 10%.
The reference asset return will be the return of the long basket minus the return of the short basket.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered return enhanced notes
|
| Underlying baskets: | Long basket of Brazilian real, Turkish lira and Indonesian rupiah and short basket with equal weights of Japanese yen and dollar
|
| Amount: | $345,000
|
| Maturity: | Aug. 10, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 289% of any basket gain, capped at 28.9%; 1.1111% loss for every 1% decline beyond 10%
|
| Initial rates: | 1.7617 for real, 1.5179 for lira, 9,054 for rupiah and 87.29 for yen
|
| Pricing date: | July 23
|
| Settlement date: | July 28
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 06740PGX8
|
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