Barclays to price range accrual notes linked to WTI crude oil futures

By Angela McDaniels

Tacoma, Wash., March 8 - Barclays Bank plc plans to price 0% range accrual notes due Sept. 30, 2010 linked to the performance of the front month futures contract for West Texas Intermediate light sweet crude oil on the New York Mercantile Exchange, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par unless the settlement price of the futures contract falls below 80% of the initial price on any day during the life of the notes and the final price is less than the initial price, in which case investors will be exposed to the decline.

Investors will receive an additional amount at maturity equal to 5% to 7.5% - the exact percent will be set at pricing - multiplied by the proportion of days on which the settlement price is no less than the lower barrier and no more than the upper barrier.

The lower barrier is expected to be 80% to 90% of the initial price, and the upper barrier is expected to be 110% to 120% of the initial price. Both will be set at pricing.

The notes will price March 26 and settle March 31.

Barclays Capital Inc. is the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.