Barclays to price quarterly review notes linked to platinum, palladium

By Angela McDaniels

Tacoma, Wash., April 13 - Barclays Bank plc plans to price 0% quarterly review notes due Oct. 24, 2011 linked to a basket of commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of platinum and palladium.

The notes will be automatically called at par plus an annualized call premium of at least 12% if the basket level on any of six quarterly review dates is greater than or equal to the initial basket level. The exact premium will be set at pricing.

The review dates are July 16, Oct. 18, 2010, Jan. 18, 2011, April 18, 2011, July 18, 2011 and Oct. 17, 2011.

If the notes are not called, the payout at maturity will be par as long as the final basket level is at least 85% of the initial level. Otherwise, investors will lose 1.1765% for every 1% that the basket declines beyond 15%.

The final basket level will be the average of the basket closing levels on the five trading days ending Oct. 17, 2011.

The notes are expected to price April 16 and settle on April 23.

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

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