Barclays to price autocallable notes due 2014 tied to three currencies

By Marisa Wong

Madison, Wis., Feb. 3 - Barclays Bank plc plans to price 0% autocallable notes due Feb. 11, 2014 linked to the performance of a basket of three currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket contains the Russian ruble, the Mexican peso and the Turkish lira.

The notes will be called at par plus a premium of 20% if the basket closes at or above the initial level on Feb. 11, 2013.

If the notes are not called and the basket return is positive, the payout at maturity will be par plus three times the basket gain. If the basket falls by up to 30%, the payout will be par. Investors will be fully exposed to the decline from the initial level if the basket falls by more than 30%.

The notes (Cusip: 06738KN80) will price on Feb. 7 and settle on Feb. 10.

Barclays Capital Inc. is the agent. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are placement agents.

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