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Barclays plans buffered Super Track notes on iPath S&P 500 VIX Short-Term Futures ETN
By Susanna Moon
Chicago, Oct. 13 - Barclays Bank plc plans to price 0% buffered Super Track notes due Nov. 18, 2011 based on the performance of the iPath S&P 500 VIX Short-Term Futures exchange-traded notes, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any gain in the underlying ETN, up to a maximum return of 43.1% to 46.2%, with the exact cap to be set at pricing.
Investors will receive par if the underlying ETN falls by up to 20% and will lose 1% for each 1% decline beyond 20%.
The notes (Cusip 06740PTB2) will price on Oct. 15 and settle on Oct. 20.
Barclays Capital Inc. is the agent.
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