Barclays to price notes linked to S&P 500 Dynamic Veqtor Total Return

By Marisa Wong

Milwaukee, March 12 - Barclays Bank plc plans to price 0% medium-term notes due March 31, 2015 linked to the S&P 500 Dynamic Veqtor Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The notes are putable at any time, and the redemption amount will be calculated in the same manner as the payout at maturity.

The payout at maturity will be par plus the index return, which could be positive or negative, minus the investor fee, which equals 1.25% per year times par times the final index level divided by the initial index level.

The index allocates its notional investments among three components: equity, volatility and cash. The equity component is represented by the S&P 500 Total Return index, and the volatility component is represented by the S&P 500 VIX Short-Term Futures Index Total Return.

The index allocates a greater proportion of its notional value to investments in the U.S. equity markets during periods of low market volatility and can allocate a greater proportion of its notional value to investments in a reference asset that tracks implied volatility during periods of high market volatility. The index also incorporates a "stop loss" mechanic that shifts the entire value of the index to a non-interest-bearing cash investment under certain exceptional circumstances.

The notes will price March 26 and settle March 31.

Barclays Capital Inc. is the agent.

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