Barclays plans notes tied to S&P 500 VIX Short-Term, Mid-Term Futures

By Marisa Wong

Madison, Wis., Feb. 18 - Barclays Bank plc plans to price 0% notes due Dec. 20, 2013 linked to the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The portfolio will have a long position in the mid-term index and a short position in the short-term index.

The closing indicative value of the portfolio will equal par of $1,000 on the pricing date. On each subsequent valuation date, the closing indicative value will equal the closing indicative value on the preceding day, times the daily portfolio factor, minus the investor fee.

The daily portfolio factor will equal the portfolio value on a valuation date divided by the portfolio value on the immediately preceding day.

The portfolio value will equal $1,000 on the pricing date. On any subsequent valuation date, the portfolio value will equal the portfolio value on the immediately preceding rebalancing date times the portfolio return plus 1.

The portfolio return on any valuation date will be the weighted average return of the portfolio from the immediately preceding rebalancing date to the valuation date, assuming that 74% of the portfolio was comprised of a long position in the mid-term index and 26% of a short position in the short-term index.

The rebalancing dates will fall on the 17th calendar day of each month, starting with April 18, 2011.

The investor fee will be zero on the initial valuation date. On each subsequent valuation date, the fee will be an annualized 1.5% times the closing average portfolio value.

The payout at maturity or upon redemption will be the closing indicative value on the applicable final valuation date.

The notes are putable, but there is a minimum redemption amount of at least 10 notes.

An early redemption date will fall on the third business day following each valuation date.

An automatic termination event shall occur if, on any valuation date prior to the final valuation date, the closing indicative value of portfolio is less than or equal to 30% of the principal amount of notes.

The notes (Cusip: 06738KCJ8) will price on March 17 and settle on March 22.

Barclays Capital Inc. is the agent.

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