Barclays plans buffered return notes on currency basket via JPMorgan

By Susanna Moon

Chicago, May 1 - Barclays Bank plc plans to price 0% buffered return enhanced notes due Nov. 12, 2010 linked to the performance of a basket of four equally weighted currencies against the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

The underlying currencies are the Brazilian real, the Norwegian krone, the Australian dollar and the Chinese yuan.

The payout at maturity will be par plus at least 1.4 times any gain in the basket, up to a maximum return of at least 14%. The exact leverage factor and cap will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The notes are expected to price May 5 and settle May 12.

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