By Angela McDaniels
Tacoma, Wash., June 1 - Barclays Bank plc priced $1.78 million of 0% notes due June 2, 2016 linked to the S&P 500 Dynamic Veqtor Mid-Term Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are putable at any time subject to a minimum of 25 notes.
The payout upon redemption or at maturity will be the closing indicative value of the notes.
The closing indicative value was $1,000 on the pricing date. On each subsequent day, it equals the closing indicative value on the preceding day multiplied by the daily index factor - the closing index level on that day divided by the closing level on the preceding date - and minus the investor fee.
The investor fee was zero on the pricing date. On each subsequent day, it is 0.95% times the closing indicative value on the preceding day times the daily index factor on that day divided by 365.
The index is the total return version of the S&P 500 Dynamic Veqtor Mid-Term index, which seeks to provide investors with broad equity market exposure with an implied volatility hedge by dynamically allocating their notional investments among three components: equity, volatility and cash.
Barclays Capital Inc. is the agent.
Issuer: | Barclays Bank plc
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Issue: | Notes
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Underlying index: | S&P 500 Dynamic Veqtor Mid-Term Total Return
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Amount: | $1,776,000
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Maturity: | June 2, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus final closing indicative value
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Closing indicative value: | Initially $1,000; on each subsequent day, closing indicative value on preceding day multiplied by daily index factor on that day and minus investor fee of about 0.95% per year
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Put option: | At any time subject to minimum of 25 notes
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Initial index level: | 190,564.88
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Pricing date: | May 27
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Settlement date: | June 2
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Agent: | Barclays Capital Inc.
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Fees: | None
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Cusip: | 06738KKS9
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