Barclays to price notes due 2015 linked to Prosper Veqtor portfolio

By Angela McDaniels

Tacoma, Wash., Nov. 15 - Barclays Bank plc plans to price 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns Veqtor notes due November 2015, according to a 424B3 filing with the Securities and Exchange Commission.

The Prosper Veqtor portfolio tracks the value of a notional investment in index-linked cash deposits and the S&P 500 Dynamic Veqtor Total Return index. The index seeks to provide broad equity market exposure with an implied volatility hedge by dynamically allocating its notional investments among three components: equity, volatility and cash.

The Prosper Veqtor portfolio is divided into units, and each unit represents the value and performance of a single security. The initial net asset value of each unit will be 95.5% of the face amount of each security, or $955.

The allocation of the portfolio will vary according to a dynamic allocation mechanism, and the goal is to maximize the portfolio's exposure to the index while maintaining the value of the portfolio at or above a minimum protection level. On the pricing date, 100% of the unit net asset value, or $980, will be allocated to the index.

On each day, the net asset value of the units will equal the value of the cash assets plus the product of the performance value multiplied by the performance number.

The performance value is initially $1,000. On each subsequent day, it will be the performance value on the preceding day plus the index return on that day.

The performance number is initially 0.955. On each subsequent day, it will be (a) the performance number on the preceding day multiplied by (b) 100% minus the investor fee.

If the net asset value of the units on the immediately preceding day is less than or equal to the minimum protection level, the investor fee rate will be the lesser of (a) 3% per year and (b) the Federal Funds rate minus 15 basis points. Otherwise, it will be 3% per year.

The minimum protection level on any day is the greater of (a) $764 and (b) 80% of the highest unit net asset value recorded up to that point.

The payout at maturity will be the greater of the unit net asset value on the final valuation date and the minimum protection level on that date.

The notes (Cusip 06740PM94) will price and settle in November.

Barclays Capital Inc. is the agent.

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