By Angela McDaniels
Tacoma, Wash., June 29 - Barclays Bank plc priced $10.23 million principal amount of 0% performance tracking securities due June 28, 2013 linked to the S&P 500 Dynamic Veqtor Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes priced at 102.5 for proceeds of $10.48 million.
The payout at maturity will be the then-current net daily value.
The net daily value on the pricing date was $10. On each subsequent day, it will be the net daily value on the previous day plus the index return on that day and minus the investor fee.
The investor fee is initially zero. On each subsequent day, it will be 0.6% times the net daily value on the preceding day plus the index return on that day divided by 365.
The index allocates its notional investments among three components: equity, volatility and cash. The equity component is represented by the S&P 500 Total Return index, and the volatility component is represented by the S&P 500 VIX Short-Term Futures Index Total Return.
The index allocates a greater proportion of its notional value to investments in the U.S. equity markets during periods of low market volatility and can allocate a greater proportion of its notional value to investments in a reference asset that tracks implied volatility during periods of high market volatility. The index also incorporates a "stop-loss" mechanic that shifts the entire value of the index to a cash investment under certain exceptional circumstances.
UBS Financial Services Inc. and Barclays Capital Inc. are the agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Performance-tracking securities
|
| Underlying index: | S&P 500 Dynamic Veqtor Total Return
|
| Amount: | $10,227,280
|
| Proceeds: | $10,482,962
|
| Maturity: | June 28, 2013
|
| Coupon: | 0%
|
| Price: | 102.5
|
| Payout at maturity: | The final net daily value
|
| Net daily value: | $10 on pricing date; on each subsequent day, net daily value on previous day plus index return on that day and minus investor fee of approximately 0.6% per year
|
| Initial index level: | 197,713.3
|
| Pricing date: | June 25
|
| Settlement date: | June 30
|
| Agents: | UBS Financial Services Inc. and Barclays Capital Inc.
|
| Fees: | 2.5%
|
| Cusip: | 06740L386
|
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