By Angela McDaniels
Tacoma, Wash., Nov. 29 - Barclays Bank plc priced $22.5 million of 0% notes due Nov. 27, 2015 linked to a portfolio that includes the S&P 500 Total Return index and the S&P 500 VIX Mid-Term Futures Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The portfolio also includes a notional investment at overnight Libor during any period where a stop-loss event occurs or exists. A stop-loss event occurs on a trading day if the week-over-week portfolio return on that day is negative 2% or less.
The portfolio seeks to provide broad equity market exposure with an implied volatility hedge by dynamically allocating its notional investments among the equity index, the volatility futures index and, as applicable, the cash asset. The allocation will vary during the term of the notes depending on volatility and whether volatility is flat, trending downward or trending upward.
The notes are putable, subject to a minimum of 100 notes.
The payout upon redemption or at maturity will be the closing indicative value of the net asset value of the portfolio. This is initially $100 per note. On each subsequent day, it will be the closing indicative value on the preceding day plus the portfolio return on that day minus the investor fee.
The investor fee is initially zero. On each subsequent day, it will be an annualized amount equal to 0.95% of the closing indicative value on the preceding day.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying indexes: | S&P 500 Total Return index and S&P 500 VIX Mid-Term Futures Total Return index
|
| Amount: | $22.5 million
|
| Maturity: | Nov. 27, 2015
|
| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Closing indicative value of the net asset value of the portfolio
|
| Put option: | Subject to minimum of 100 notes
|
| Initial index levels: | 1,980.894 for S&P 500 Total Return and 163,402.97 for S&P 500 VIX Mid-Term Futures Total Return
|
| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
|
| Agent: | Barclays Capital Inc.
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| Fees: | 0.1%
|
| Cusip: | 06740PN36
|
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