By Jennifer Chiou
New York, April 29 - Barclays Bank plc priced $1.15 million of 0% notes due April 30, 2015 linked to the S&P 500 Dynamic Veqtor Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are putable at any time subject to a minimum of 25 notes.
The payout upon redemption or at maturity will be the closing indicative value of the notes.
The closing indicative value is initially $1,000. 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 date - and minus the investor fee.
The investor fee is initially zero. On each subsequent day, it is 1.25% times the closing indicative value on the preceding day times the daily index factor on that day divided by 365.
The index allocates 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 Index Total Return.
The index allocates a greater proportion of its notional value to investments in the U.S. equity markets during periods of low market volatility and can allocate a greater proportion to investments in a reference asset that tracks implied volatility during periods of high market volatility. It also incorporates a "stop loss" mechanic that shifts the entire value of the index to a non-interest-bearing cash investment under certain exceptional circumstances.
Barclays Capital Inc. is the agent. It will receive the investor fees.
Issuer: | Barclays Bank plc
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Issue: | Notes
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Underlying index: | S&P 500 Dynamic Veqtor Total Return
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Amount: | $1.15 million
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Maturity: | April 30, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus the final closing indicative value
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Closing indicative value: | Initially $1,000; on each subsequent day, the closing indicative value on the preceding day multiplied by the daily index factor on that day and minus the investor fee of approximately 1.25% per year
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Put option: | At the closing indicative value, subject to minimum of 25 notes
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Initial index level: | 202,906.891
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Pricing date: | April 27
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Settlement date: | April 30
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Agent: | Barclays Capital Inc.
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Fees: | Up to 1.25%
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Cusip: | 06740LCD5
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