Barclays plans buffered return notes on currency baskets via JPMorgan

By Marisa Wong

Madison, Wis., July 20 - Barclays Bank plc plans to price 0% buffered return enhanced notes due Aug. 10, 2011 linked to a long currency basket and a short currency basket, according to an FWP filing with the Securities and Exchange Commission.

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

The return of the dollar will be zero. For each of the remaining currencies, the return will equal its a) initial spot rate against the dollar minus its final spot rate divided by b) its initial spot rate. The long/short return will equal the sum of the currencies' weighted returns.

The payout at maturity will be par plus 2.89 times the long/short return if it is positive, subject to a maximum return of 28.9%. If the long/short return is between zero and negative 10%, the payout will be par. Investors will lose 1.1111% for every 1% that the long/short return is less than negative 10%.

The notes (Cusip: 06740PGX8) are expected to price July 23 and settle July 28.

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

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