By Jennifer Chiou
New York, July 1 - Barclays Bank plc priced $584,000 of 0% notes due July 2, 2015 linked to the S&P 500 Dynamic Veqtor Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are putable at any time subject to a minimum of 25 notes.
The payout upon redemption or at maturity will be the closing indicative value of the notes.
The closing indicative value is initially $1,000. On each subsequent day, it equals the closing indicative value on the preceding day multiplied by the daily index factor - the closing index level on that day divided by the closing level on the preceding date - and minus the investor fee.
The investor fee is initially zero. On each subsequent day, it is 1.25% times the closing indicative value on the preceding day times the daily index factor 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 to investments in a reference asset that tracks implied volatility during periods of high market volatility. It also incorporates a "stop loss" mechanic that shifts the entire value of the index to a non-interest-bearing cash investment under certain exceptional circumstances.
Barclays Capital Inc. is the agent. It will receive the investor fees.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying index: | S&P 500 Dynamic Veqtor Total Return
|
| Amount: | $584,000
|
| Maturity: | July 2, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the final closing indicative value
|
| Closing indicative value: | Initially $1,000; on each subsequent day, the closing indicative value on the preceding day multiplied by the daily index factor on that day and minus the investor fee of 1.25% per year
|
| Put option: | At the closing indicative value, subject to minimum of 25 notes
|
| Initial index level: | 194,144.50
|
| Pricing date: | June 29
|
| Settlement date: | July 2
|
| Agent: | Barclays Capital Inc.
|
| Fees: | Up to 1.25%
|
| Cusip: | 06740LL29
|
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