By Angela McDaniels
Tacoma, Wash., July 19 - Barclays Bank plc priced $1.59 million principal amount of 0% performance tracking securities due July 18, 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 101.4 for proceeds of $1.61 million.
The notes are putable at any time.
The payout at maturity or upon redemption will be the closing value.
The closing value on the pricing date was $1,000. On each subsequent day, it will be the closing value on the previous day plus the index return on that day - the closing level of the index on that day divided by the closing level on the preceding day - and minus the investor fee.
The investor fee is initially zero. On each subsequent day, it will be 1.25% times the closing 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.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Performance-tracking securities
|
| Underlying index: | S&P 500 Dynamic Veqtor Total Return
|
| Amount: | $1,585,000
|
| Proceeds: | $1,607,190
|
| Maturity: | July 18, 2013
|
| Coupon: | 0%
|
| Price: | 101.4
|
| Payout at maturity: | The final closing value
|
| Closing value: | $1,000 on pricing date; on each subsequent day, closing value on previous day plus index return on that day and minus investor fee of approximately 1.25% per year
|
| Put option: | At any time
|
| Initial index level: | 196,510.813
|
| Pricing date: | July 15
|
| Settlement date: | July 20
|
| Agent: | Barclays Capital Inc.
|
| Fees: | $14 per note
|
| Cusip: | 06740PGT7
|
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