Barclays to price return enhanced notes linked to bearish yen, euro performance via JPMorgan

By Angela McDaniels

Tacoma, Wash., June 30 - Barclays Bank plc plans to price 0% return enhanced notes due July 14, 2011 linked to the bearish performance of the Japanese yen and euro relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the yen/dollar and euro/dollar exchange rates. The basket return will be positive if the basket depreciates relative to the dollar.

The payout at maturity will be par plus at least 1.42 times any basket gain, subject to a maximum return of at least 14.2%. The exact upside leverage factor and cap will be set at pricing. Investors will be fully exposed to any basket decline.

The notes are expected to price July 2 and settle July 8.

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

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