By Angela McDaniels
Tacoma, Wash., April 28 - Barclays Bank plc priced $600,000 of 0% notes due Dec. 2, 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 has a long position in the mid-term index and a short position in the short-term index.
The closing indicative value of the portfolio equaled par of $1,000 on the pricing date. On each subsequent day, the closing indicative value equals the closing indicative value on the preceding day times the daily portfolio factor and minus the investor fee.
The daily portfolio factor equals the portfolio value on that day divided by the portfolio value on the immediately preceding day.
The portfolio value was $1,000 on the pricing date. On any subsequent day, the portfolio value equals the portfolio value on the immediately preceding rebalancing date times the portfolio return plus 1.
The portfolio return on any day is the weighted average return of the portfolio from the immediately preceding rebalancing date to the current day, 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 fall on the 26th calendar day of each month, starting with May 26.
The investor fee was zero on the initial valuation date. On each subsequent day, the fee is an annualized amount equal to 1.5% of the closing indicative portfolio value on the preceding day.
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. The notes will be automatically redeemed if the closing indicative value of the notes falls to or below 30% of par.
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: | $600,000
|
| Maturity: | Dec. 2, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Closing indicative value of the portfolio on final valuation date
|
| Put option: | At any time, subject to minimum of 10 notes
|
| Call: | Automatically if portfolio declines by 70% or more
|
| Initial index levels: | 108,996.07 for mid-term futures and 8,734.79 for short-term futures
|
| Pricing date: | April 26
|
| Settlement date: | April 29
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06738KFU0
|
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