By Angela McDaniels
Tacoma, Wash., April 10 - Barclays Bank plc priced $2.6 million of 0% notes due April 10, 2017 linked to the S&P 500 Dynamic Veqtor Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will equal the closing indicative value on the final valuation date, April 5, 2017.
The closing indicative value was $1,000 on the pricing date. 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 day - and minus the investor fee.
The investor fee was zero on the pricing date. On subsequent days, it equals 1.25% times the closing indicative note value on the preceding day times the daily index factor on that day divided by 365.
The notes are putable subject to a minimum of 25 notes. Investors will receive the closing indicative value on the applicable valuation date.
The index seeks to provide investors with broad equity market exposure with an implied volatility hedge by dynamically allocating 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 Total Return index.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying index: | S&P 500 Dynamic Veqtor Total Return index
|
| Amount: | $2.6 million
|
| Maturity: | April 10, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Amount equal to closing indicative value on April 5, 2017
|
| Closing indicative value: | $1,000 on pricing date; on subsequent days, closing indicative value on preceding day multiplied by daily index factor and minus investor fee
|
| Daily index factor: | Index's closing level on that day divided by index's closing level on preceding day
|
| Investor fee: | Zero on pricing date; on subsequent days, 1.25% times closing indicative note value on preceding day times daily index factor on that day divided by 365
|
| Put option: | Subject to minimum of 25 notes
|
| Initial index level: | 251,422.6
|
| Pricing date: | April 5
|
| Settlement date: | April 11
|
| Agent: | Barclays Capital Inc.
|
| Fees: | Agent and dealers may receive all or portion of investor fee
|
| Cusip: | 06738K2X8
|
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