Barclays plans notes linked to Alpha Trading VOLT, 1599 indexes

By Jennifer Chiou

New York, Dec. 5 - Barclays Bank plc plans to price 0% notes due Jan. 10, 2013 linked to equal weight of the Barclays Capital Commodity Based Alpha Trading Strategy VOLT 02 5% Total Return index and the Barclays Capital Commodity Strategy 1599 Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The Alpha Trading Strategy VOLT index, or ComBATS index, seeks to capture returns from the potential relative outperformance of notional-weighted long positions in certain momentum alpha indexes compared with equivalent notional-weighted short positions in corresponding single-commodity nearby indexes. It targets a volatility level of 5% by employing a non-discretionary process to dynamically adjust its exposure to the index components.

The Barclays Capital Commodity Strategy 1599 index looks to capture returns from the potential relative outperformance of weighted long positions in certain modified single commodity indexes compared with equivalent notional weighted short positions in corresponding single-commodity indexes.

The initial basket level will be 100 on the initial valuation date.

The payout at maturity will be par plus the basket return minus an investor fee of 1.25% per year for the ComBATS index and 2% for the Strategy 1599 index.

The notes are putable at any time, subject to a minimum of 250 notes, and they are callable at any time. The payout will be determined in the same way as at maturity.

If the basket level falls below 50% of the initial level at any time on any day during the life of the notes, the company has the option to redeem the notes. The return will be calculated using the intraday level of the basket on the trigger date as determined by the calculation agent.

The notes (Cusip: 06738KB83) are expected to price on Dec. 6 and settle on Dec. 9.

Barclays Capital Inc. is the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.