Barclays plans buffered return enhanced notes tied to commodity basket

By Angela McDaniels

Tacoma, Wash., June 9 - Barclays Bank plc plans to price 0% buffered return enhanced notes due June 15, 2016 linked to a commodity basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes corn and sugar with a weight of 12% each; soybeans with an 11% weight; Brent crude and gasoline RBOB with a weight of 9% each; copper, nickel, the S&P GSCI Lean Hogs Index Excess Return and the S&P GSCI Livestock Index Excess Return with a weight of 8% each; and coal, the S&P GSCI Cocoa Index Excess Return and the S&P GSCI Coffee Index Excess Return with a weight of 5% each.

If the basket return is greater than zero, the payout at maturity will be par plus 1.6 times the basket return.

If the basket return is less than zero, the payout will be (a) par plus (b) par multiplied by 25% multiplied by the basket result. The basket result is the sum of (a) the greater of the basket return and negative 10%, (b) the greater of the basket return and negative 20%, (c) the greater of the basket return and negative 30% and (d) the greater of the basket return and negative 40%.

For example, the payout at maturity would be $800 per $1,000 principal amount if the basket return were negative 25%.

The notes (Cusip: 06738KLW9) will price June 10 and settle June 15.

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

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