Barclays plans buffered return enhanced notes tied to five currencies

By Angela McDaniels

Tacoma, Wash., Feb. 24 - Barclays Bank plc plans to price 0% buffered return enhanced notes due March 17, 2011 linked to five currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Brazilian real, Turkish lira and Indonesian rupiah, each with a weight of one-third, and the dollar and Japanese yen, each with a weight of negative one-half.

The performance of each currency will be a) its initial exchange rate against the dollar minus its final exchange rate b) divided by its initial rate.

The payout at maturity will be par plus at least 2.72 times any basket gain, subject to a maximum return of at least 27.2%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The exact upside leverage factor and maximum return will be set at pricing.

The notes are expected to price Feb. 26 and settle March 3.

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

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