Barclays plans notes tied to three baskets of currencies via JPMorgan

By Toni Weeks

San Diego, Sept. 13 - Barclays Bank plc plans to price 0% notes due Sept. 19, 2013 linked to three currency baskets, each containing three equally weighted currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The first basket's underlying currencies are the Canadian dollar, the Mexican peso and the Brazilian real. The second basket's underlying currencies are the Polish zloty, the Norwegian krone and the Swedish krona. The third basket's underlying currencies are the Australian dollar, the Indian rupee and the Russian ruble.

The payout at maturity will be par plus the sum of the three basket returns, unequally weighted. The return of the best-performing basket will be weighted at 50%, the return of the middle-performing basket will be weighted at 35% and the return of the worst-performing basket will be weighted at 15%.

If the final basket return falls by 7% or more, investors will receive par.

The notes (Cusip: 06738KVA6) are expected to price Sept. 16 and settle Sept. 21.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC will act as agents.

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