By Angela McDaniels
Tacoma, Wash., Nov. 2 - Barclays Bank plc priced $27.91 million of 0% buffered Super Track notes due May 2, 2014 linked to the Barclays Capital Multi-Strategy DJ-UBSCI with Seasonal Energy Excess Return index, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is greater than the initial level, the payout at maturity will be par plus the gain, subject to a maximum return of 45%. Investors will receive par if the index declines by 15% or less and will lose 1% for every 1% that it declines beyond 15%.
The index is comprised of a basket of exchange-traded futures contracts for the same commodities that underlie the Dow Jones - UBS Commodity index. Instead of rolling into the next nearby futures contracts, the index applies three enhancement methodologies to select one of a series of futures contracts, which may have more distant expirations, in an attempt to outperform the Dow Jones - UBS Commodity index.
The roll yield methodology seeks to select the futures contract that is expected to generate the greatest positive roll yield or the lowest negative roll yield through the rolling process. The seasonal methodology seeks to select the futures contract that is expected to mitigate the effects of seasonality on the prices of futures contracts for the relevant underlying physical commodity. The momentum alpha methodology seeks to select the futures contract relating to one of a specified number of nearby and deferred single-commodity indexes that has historically demonstrated the greatest outperformance, as compared to the respective nearby index.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered Super Track notes
|
| Underlying index: | Barclays Capital Multi-Strategy DJ-UBSCI with Seasonal Energy Excess Return index
|
| Amount: | $27,907,000
|
| Maturity: | May 2, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any index gain, up to maximum return of 45%; par if index declines by 15% or less; 1% loss for every 1% decline beyond 15%
|
| Initial index level: | 337.3454
|
| Pricing date: | Oct. 29
|
| Settlement date: | Nov. 3
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06740PVB9
|
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