Published on 4/7/2008 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $31.5 million notes tied to buffered return enhanced index basket via JPMorgan
By Angela McDaniels
Tacoma, Wash., April 7 - Barclays Bank plc priced $31.5 million of 0% notes due April 21, 2009 linked to a weighted basket of three buffered return enhanced components via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.
If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be zero. If a basket index falls by more than 10%, its return will be negative 1.1111 multiplied by the decline beyond 10%.
The maximum return is 15.6% for the Euro Stoxx 50, 15.4% for the FTSE 100 and 16.8% for the Topix.
Based on the maximum returns for each index, the maximum payout at maturity is $1,157.90 per $1,000 principal amount of notes.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (55% weight), FTSE 100 index (25% weight) and Topix index (20% weight)
|
| Amount: | $31,496,000
|
| Maturity: | April 21, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the three index returns
|
| Index returns: | If the index increases, two times the gain, capped at a maximum return of 15.6% for Euro Stoxx, 15.4% for FTSE 100 and 16.8% for Topix; if the index declines by 10% or less, zero; if the index declines by more than 10%, negative 1.1111% multiplied by the decline beyond 10%
|
| Initial index levels: | 3,795.2 for Euro Stoxx; 5,947.1 for FTSE 100; 1,288.94 for Topix
|
| Final index levels: | For each index, the average of its closing levels on April 9, April 13, April 14, April 15 and April 16 of 2009
|
| Pricing date: | April 4
|
| Settlement date: | April 9
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
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