By Susanna Moon
Chicago, Sept. 3 - Barclays Bank plc priced $1.99 million of 0% double short leverage securities due Sept. 6, 2013 linked to the Barclays Capital 10Y Treasury Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The $1.92 million principal amount of notes priced at 103.6.
The notes are putable at any time, and they will be called if the index increases by more than 40%.
The payout at maturity or upon redemption will be par minus 200% of the index return plus an additional amount and minus an investor fee. The notes are not principal protected, so investors will experience a loss if the final index level is greater than the initial level.
The additional amount is equal to the interest accrued on the principal amount at a rate per year equal to overnight Libor, compounded daily.
The investor fee will be zero if the final valuation date occurs in the first year, 0.85% if it occurs in the second year and 1.7% if it occurs in the third year.
UBS Financial Services Inc. and Barclays Capital Inc. are the underwriters.
| Issuer: | Barclays Bank plc
|
| Issue: | Double short leverage securities
|
| Underlying index: | Barclays Capital 10Y Treasury Futures index
|
| Amount: | $1,919,000
|
| Proceeds: | $1,988,084
|
| Maturity: | Sept. 6, 2013
|
| Coupon: | 0%
|
| Price: | 103.6
|
| Payout at maturity: | Par minus 200% of the index return plus the interest accrued on the principal amount at an annual rate equal to overnight Libor, compounded daily, and minus an investor fee
|
| Call: | If index increases by more than 40%
|
| Put option: | At any time
|
| Initial index level: | 182.8272
|
| Pricing date: | Sept. 1
|
| Settlement date: | Sept. 7
|
| Underwriters: | UBS Financial Services Inc. and Barclays Capital Inc.
|
| Fees: | 3.6%
|
| Cusip: | 06740PQD1
|
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