By Angela McDaniels
Tacoma, Wash., July 29 - Barclays Bank plc priced $3.47 million principal amount of 0% performance tracking securities due July 31, 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 $3.56 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 multiplied by the daily index factor - the closing index level 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 0.6% times the net daily 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 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: | $3,469,670
|
| Proceeds: | $3,556,412
|
| Maturity: | July 31, 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 multiplied by daily index factor and minus investor fee of approximately 0.6% per year
|
| Initial index level: | 195,171.25
|
| Pricing date: | July 27
|
| Settlement date: | July 30
|
| Agent: | Barclays Capital Inc.
|
| Fees: | $0.25 per note
|
| Cusip: | 06740H278
|
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