Barclays plans to price iPath ETNs linked to S&P 500 Dynamic VIX index

By Angela McDaniels

Tacoma, Wash., Aug. 15 - Barclays Bank plc plans to price 0% iPath S&P 500 Dynamic VIX exchange-traded notes linked to the S&P 500 Dynamic VIX Futures Total Return index, according to a 424B3 filing with the Securities and Exchange Commission.

The index seeks to provide investors with exposure to forward implied volatility by reflecting the outcomes of holding long and at times long and short positions in futures contracts on the CBOE Volatility index. It aims to react positively to overall increases in market volatility by allocating dynamically between the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500VIX Mid-Term Futures Index Excess Return.

The tenor of the notes has not been set.

The notes will have a face value of $50 each.

The payout at maturity will be the closing indicative value of the notes on the final valuation date.

The closing indicative value on the inception date will equal $50. On each subsequent day, it will equal the closing indicative value on the preceding day times the daily index factor minus the daily investor fee.

The daily index factor equals the closing level of the index on that day divided by the closing level on the immediately preceding day.

The daily investor fee on the inception date will be zero. On each subsequent day, it will be 0.95% times the closing indicative value on the immediately preceding day times the daily index factor on that day divided by 365.

The notes are callable and putable, in the latter case subject to a minimum of 50,000 notes and a redemption charge of 0.05% of the closing indicative value.

The issuer plans to apply to list the notes on the NYSE Arca under the ticker symbol "XVZ."

Barclays Capital Inc. is the agent.

The Cusip number is 06741L609.

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