By Marisa Wong
Madison, Wis., March 21 - Barclays Bank plc priced $2.06 million of 0% notes due Dec. 20, 2013 based on the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The portfolio will have a long position of 74% in the mid-term index and a short position of 26% in the short-term index.
The payout at maturity will be par plus any gain in the portfolio less an investor fee, which will be 1.5% per year. Investors will be exposed to any losses in the portfolio.
The notes are putable at any time, subject to a minimum of 10 notes, and they will be called if the net value of the portfolio falls to 30% or less of its initial level.
The payout upon redemption or at maturity will be the closing indicative value of the net asset value of the portfolio. This is initially $1,000 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 1.5% 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 VIX Short-Term Futures Index Excess Return and S&P 500 VIX Mid-Term Futures Index Excess Return
|
| Amount: | $2.06 million
|
| Maturity: | Dec. 20, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Closing indicative value of the net asset value of the portfolio
|
| Put option: | At any time, minimum of 10 notes
|
| Call: | Automatically if portfolio declines by 70% or more
|
| Initial index level: | 125,874.76 for mid-term futures; 13,205.29 for short-term futures
|
| Pricing date: | March 17
|
| Settlement date: | March 22
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06738KCJ8
|
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