Barclays plans to price 0% Barclays Prosper ETF notes due 2016

By Angela McDaniels

Tacoma, Wash., Oct. 26 - Barclays Bank plc plans to price 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due Dec. 1, 2016 linked to the Barclays Prosper ETF portfolio, according to a 424B3 filing with the Securities and Exchange Commission.

The portfolio tracks the value of a notional investment in (a) index-linked cash deposits and (b) a basket of ETFs and index-linked cash deposits representing the notional amount of cash distributed as dividends by those ETFs during the term of the notes.

The ETF basket includes the iShares Russell 1000 index fund, the iShares S&P MidCap 400 index fund, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund, the SPDR Dow Jones REIT ETF, the PowerShares DB Commodity index tracking fund and the iShares Barclays Aggregate bond fund.

The allocation will vary according to a dynamic allocation mechanism, and the goal is 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 is divided into units, with each unit representing the value and performance of a single security. On the pricing date, the value of each unit will equal the face amount of each security, or $1,000. This value is recalculated each day based on the performance of the underlying ETF shares and the cash component.

On the pricing date, 80% of the value of each unit will be allocated to the performance assets and 20% to the cash assets.

The payout at maturity will be the greater of the unit value on Nov. 28, 2016 and the minimum protection level on that date.

The minimum protection level on any day is equal to 85% of the highest unit value recorded up to that point.

An investor fee will be deducted from the unit value each day. If the unit value on the immediately preceding day is less than or equal to the minimum protection level, the investor fee rate will be the lesser of (a) 1.75% per year and (b) the Federal Funds rate minus 15 basis points. Otherwise, it will be 1.75% per year.

The notes (Cusip: 06738KYG0) will settle Dec. 1.

Barclays Capital Inc. is the agent.

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