By Angela McDaniels
Tacoma, Wash., Sept. 1 - Barclays Bank plc priced $310,000 of 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns ETF notes due Aug. 22, 2012 linked to the Barclays Prosper ETF portfolio, according to a 424B2 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, net of hypothetical withholding tax.
The ETF basket includes the SPDR S&P 500 ETF, SPDR S&P MidCap 400 ETF, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund, the PowerShares DB Commodity index tracking fund, the iShares Barclays Aggregate bond fund, the SPDR Barclays Capital 1-3 Month T-Bill ETF and the iShares Barclays TIPS 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 was equal to 98.25% of the face amount of each security, or $982.50. This value is recalculated each day based on the performance of the underlying ETF shares and the cash component.
On the pricing date, 100% of the value of each unit was allocated to the performance assets and none was allocated to the cash assets.
The payout at maturity will be the greater of the unit value on Aug. 17, 2012 and the minimum protection level on that date.
The minimum protection level on any day is equal to the greater of $800 and 80% 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) 1.15% per year and (b) the Federal Funds rate minus 15 basis points. Otherwise, it will be 1.15% per year.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Barclays Perpetual Rolling Open Structure Protecting Equity Returns ETF notes
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| Underlying: | Barclays Prosper ETF portfolio, which includes the SPDR S&P 500 ETF, SPDR S&P MidCap 400 ETF, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund, the PowerShares DB Commodity index tracking fund, the iShares Barclays Aggregate bond fund, the SPDR Barclays Capital 1-3 Month T-Bill ETF and the iShares Barclays TIPS bond fund
|
| Amount: | $310,000
|
| Maturity: | Aug. 22, 2012
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| Coupon: | 0%
|
| Price: | Variable prices
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| Payout at maturity: | Greater of unit value on Aug. 17, 2012 and minimum protection level, which is greater of $800 and 80% of highest unit value recorded up to that point
|
| Unit value: | Initially $982.50; recalculated each day based on performance of underlying ETF shares and index-linked cash deposits; investor fee of up to 1.15% per year deducted from unit value daily
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | Barclays Capital Inc.
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| Fees: | 1.75%
|
| Cusip: | 06738KQD6
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