By Angela McDaniels
Tacoma, Wash., Aug. 17 - Barclays Bank plc registered to sell up to $250 million of 0% iPath S&P 500 Dynamic VIX exchange-traded notes due Aug. 18, 2021 linked to the S&P 500 Dynamic VIX Futures Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer sold a portion of the notes at par of $50 on the inception date and will sell the remainder from time to time at varying prices.
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 payout at maturity will be the closing indicative value of the notes on Aug. 11, 2021.
The closing indicative value on the inception date was $50. On each subsequent day, it equals 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 was zero. On each subsequent day, it is 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. BlackRock Fund Distribution Co. will promote the ETNs.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath S&P 500 Dynamic VIX ETNs
|
| Underlying index: | S&P 500 Dynamic VIX Futures Total Return index
|
| Amount: | Up to $250 million
|
| Maturity: | Aug. 18, 2021
|
| Coupon: | 0%
|
| Price: | Par of $50
|
| Payout at maturity: | Amount equal to final closing indicative value of notes
|
| Closing indicative value: | Initially $50, then closing indicative value on preceding day times daily index factor minus daily investor fee of about 0.95% per year
|
| Call option: | At any time
|
| Put option: | Subject to minimum of 50,000 notes and redemption charge of 0.05% of closing indicative value
|
| Inception date: | Aug. 17
|
| Settlement date: | Aug. 22
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06741L609
|
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