Barclays plans ETNs inversely linked to S&P 500 VIX Short-Term Futures

By Angela McDaniels

Tacoma, Wash., July 14 - Barclays Bank plc plans to price 0% Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures exchange-traded notes due 2020 linked to the inverse performance of the S&P 500 VIX Short-Term Futures Index Excess Return, according to a 424B3 filing with the Securities and Exchange Commission.

The notes will have a principal amount of $20 each.

The payout at maturity or upon redemption will be the closing indicative value, which on any day is $20 plus the inverse index performance on that day plus accrued interest minus accrued fees, subject to a floor of $0.

The inverse index performance is $20 times negative one times the index performance percentage. On any day, the index performance percentage is (a) the closing index level on that day divided by the initial index level minus (b) 100%.

Accrued interest will be $0 on the pricing date. On each subsequent day, it will be (a) the accrued interest on the preceding day plus (b) the closing indicative note value on the preceding day times the most recent weekly investment rate for 28-day U.S. Treasury bills divided by 360.

The accrued fees are initially zero. On each subsequent day, they will be (a) the accrued fees on the preceding day plus (b) the closing indicative note value on the preceding day times 0.89% divided by 365.

The notes are putable at any time, subject to a minimum of 25,000 and a redemption charge equal to 0.05% of the closing indicative value.

Barclays will automatically call the notes if their indicative value falls to $10 or less.

The index is designed to reflect the returns that are potentially available through an unleveraged investment in one-month and two-month futures contracts on the CBOE Volatility index that targets a constant weighted average futures maturity of one month.

The issuer will apply to list the notes on NYSE Arca under the symbol "XXV."

Barclays Capital Inc. is the agent.

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