By Marisa Wong
Madison, Wis., Sept. 29 - Barclays Bank plc priced $1.1 million of 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due Sept. 23, 2011, according to a 424B2 filing with the Securities and Exchange Commission.
The Barclays Prosper ETF portfolio tracks the value of a notional investment in index-linked cash deposits (the "cash assets") and a specified basket of ETFs and index-linked cash deposits representing the notional amount of cash distributed as dividends by the ETFs during the term of the notes (the "performance assets").
The portfolio was allocated 100% to the performance assets and 0% to the cash assets at pricing.
The allocation will be adjusted according to the Prosper strategy, which aims to maximize the portfolio's exposure to the performance assets while maintaining the value of the portfolio at or above a minimum protection level.
The portfolio unit value was equal to 99.6% of the face amount of each note at pricing.
An annualized investor fee of 0.85% will be deducted from the unit value each day.
The minimum protection level on any day is equal to the greater of $800 and 80% of the highest unit value recorded up to that point.
The payout at maturity will be the greater of the net asset value of each portfolio unit as of the final valuation date or the minimum protection level as of the final valuation date.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Exchange-traded fund notes
|
| Underlying asset: | Barclays Perpetual Rolling Open Structure Protecting Equity Returns ETF
|
| Amount: | $1,102,000
|
| Maturity: | Sept. 23, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Greater of net asset value of each portfolio unit as of the final valuation date or the minimum protection level as of the final valuation date, less an annualized investor fee of 0.85%
|
| Pricing date: | Sept. 27
|
| Settlement date: | Sept. 30
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 0.4%
|
| Cusip: | 06740PQK5
|
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