By Susanna Moon
Chicago, Oct. 8 - Barclays Bank plc priced $6 million of 0% notes due Oct. 8, 2013 based on 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 an FWP with the Securities and Exchange Commission.
The portfolio will have a long position of 70% in the mid-term index and a short position of 30% in the short-term index.
The payout at maturity will be par plus any gain in the portfolio less an investor fee, which will be 1.15% per year. Investors will be exposed to any losses in the portfolio.
The notes are putable at any time, and they will be called if the net value of the portfolio falls to 30% or less of its initial level.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying indexes: | S&P 500 VIX Short-Term Futures Index Excess Return and S&P 500 VIX Mid-Term Futures Index Excess Return
|
| Amount: | $6 million
|
| Maturity: | Oct. 11, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus portfolio return less investor fee; exposure to any losses
|
| Put option: | At any time
|
| Call: | Automatically if portfolio declines by 60% or more
|
| Initial index level: | 174,061.30 for mid-term futures; 23,472.99 for short-term futures
|
| Pricing date: | Oct. 6
|
| Settlement date: | Oct. 12
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 0.15%
|
| Cusip: | 06740PVY9
|
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