Barclays to price principal-protected notes linked to commodity basket

By Angela McDaniels

Tacoma, Wash., Sept. 9 - Barclays Bank plc plans to price zero-coupon 100% principal-protected notes due Sept. 14, 2014 linked to a basket of commodities and commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of gasoline RBOB, natural gas, the S&P GSCI Livestock Index Excess Return and the S&P GSCI Aluminum Index Excess Return.

If the basket return is positive, the payout at maturity will be par plus the gain. If the basket return is negative, the payout will be par plus 50% of the absolute value of the decline.

The basket return will be subject to a cap of 75% and a floor of negative 50%. Therefore, the maximum payout at maturity will be 175% of par if the basket return is positive and 125% of par if the basket return is negative.

The notes are expected to price on Sept. 12 and settle on Sept. 17.

Barclays Capital Inc. is the agent.

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