Barclays plans buffered return notes on currency basket via JPMorgan

By Susanna Moon

Chicago, Jan. 5 - Barclays Bank plc plans to price 0% buffered return enhanced notes due Jan. 10, 2013 based on the performance of a basket of four Asian currencies relative to the dollar, according to an FWP with the Securities and Exchange Commission.

The currencies are the Singapore dollar, Indian rupee, Indonesian rupiah and South Korean won.

The payout at maturity will be par plus 2.05 times any gain in the basket.

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 (Cusip 06740PW51) are expected to price on Jan. 6 and settle on Jan. 11.

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

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