Barclays to price 0% notes tied to basket of currencies vs. dollar

By Marisa Wong

Madison, Wis., Dec. 2 - Barclays Bank plc plans to price 0% notes due Dec. 11, 2013 linked to a basket of currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Indian rupee with a 35% weight, the Brazilian real with a 35% weight, the Indonesian rupiah with a 20% weight and the Mexican peso with a 10% weight.

If the basket return is positive, the payout at maturity will be par plus triple the basket gain.

If the basket falls by no more than 20% to 25%, the payout will be par. The exact buffer percentage will be set at pricing.

If the basket falls by more than the buffer percentage, investors will lose 1% for every 1% decline beyond the buffer.

The notes (Cusip: 06738KC66) will price on Dec. 6 and settle on Dec. 9.

Barclays Capital Inc. is the underwriter.

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