Barclays plans principal-protected notes linked to Barclays Intelligent Carry index

By Susanna Moon

Chicago, July 29 - Barclays Bank plc plans to price zero-coupon 100% principal-protected notes due Aug. 31, 2011 linked to the Barclays Intelligent Carry Index USD ER, according to an FWP filing with the Securities and Exchange Commission.

The index comprises 10 cash-settled currency forward agreements, one for each of the U.S. dollar, euro, Japanese yen, Canadian dollar, Swiss franc, British pound sterling, Australian dollar, New Zealand dollar, Norwegian krone and Swedish krona.

The index is calculated in euros and denominated in U.S. dollars. The company said it is designed to reflect the total return of an "Intelligent Carry Strategy," which seeks to capture the returns that are potentially available from a strategy of investing in high-yielding currencies with the exposure financed by borrowings in low-yielding currencies - sometimes referred to as the "carry trade."

The payout at maturity will be par plus 150% of any index gain. Investors will receive at least par.

The notes will price on Aug. 26 and settle on Aug. 31.

Barclays Capital Inc. is the agent.

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