By Angela McDaniels
Tacoma, Wash., Dec. 9 - Barclays Bank plc priced $27.72 million of 0% notes due Jan. 10, 2013 linked to a basket holding equal weight of the Barclays Capital Commodity Based Alpha Trading Strategy VOLT 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 payout at maturity will be par plus the basket return, which could be positive or negative.
The final level of the basket will be reduced by a custodian fee of 0.1%, and the return of each index used to calculate the final basket level is reduced by a fee, which is 1.25% per year for the ComBATS index and 1.6% per year for the 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, including the deduction of the index fees and the custodian fee, 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.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying indexes: | Barclays Capital Commodity Based Alpha Trading Strategy VOLT 5% Total Return index and Barclays Capital Commodity Strategy 1599 Total Return index
|
| Amount: | $27,723,000
|
| Maturity: | Jan. 10, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, whether positive or negative; final basket level is reduced by custodian fee of 0.1%, return of ComBATS index is reduced by fee of 1.25% per year, and return of 1599 index is reduced by fee of 1.6% per year
|
| Initial index levels: | 489.265 for ComBATS index and 649.0487 for 1599 index
|
| Pricing date: | Dec. 7
|
| Settlement date: | Dec. 12
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 0.1%
|
| Cusip: | 06738KB83
|
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