Barclays plans CDs linked to Barclays Capital Trade-Weighed Dollar Diversification index

By Angela McDaniels

Tacoma, Wash., June 10 - Barclays Bank Delaware plans to price certificates of deposit due June 26, 2014 linked to the Barclays Capital Trade-Weighted Dollar Diversification Index - USD Excess Return, according to a term sheet.

The index is based on the Barclays DDI strategy, which seeks to capture, through the purchase of one-month forward contracts, the returns that are potentially available from a future depreciation in the dollar relative to a trade-weighted basket of foreign currencies, which are selected and weighted based on statistical rankings of the leading U.S. trading partners and scaled according to the historical realized volatility of the currencies relative to the dollar.

If the index closes above its initial level on a coupon observation date, investors will receive a conditional coupon of 4% to 5%. The exact coupon will be set at pricing. The coupon observation dates are June 23 of each year.

The payout at maturity will be par plus any index gain. Investors will receive at least par.

The CDs will price June 23 and settle June 30.

Barclays Capital Inc. is the agent.

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