Barclays plans notes tied to S&P 500 VIX Short-Term, Mid-Term Futures

By Jennifer Chiou

New York, Oct. 1 - Barclays Bank plc plans to price 0% medium-term notes due Oct. 8, 2013 linked to the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return, according to an FWP with the Securities and Exchange Commission.

The portfolio will have a long position in the mid-term index and a short position in the short-term index The filing added that the weight of each index component is adjusted every day to ensure that the change in total dollar exposure for the index is only due to the price change of each contract and not due to using a different weight for a contract trading at a higher price.

The portfolio return on any valuation date will equal the weighted average return from the rebalancing date immediately prior to the valuation date to the valuation date using the then-current weightings.

The rebalancing dates will fall on the first valuation date of each month, starting with Nov. 1, 2010.

The payout at maturity or upon redemption will be the weighted average return of the portfolio less an investor fee. This fee will be zero on the initial valuation date. On each subsequent valuation date, the fee will be an annualized 1% times the closing average portfolio value.

An early redemption date will fall on the third business day following each valuation date.

An automatic termination event shall occur if, on any valuation date prior to the final valuation date, the closing indicative value of portfolio is less than or equal to 30% of the principal amount of notes.

The notes (Cusip: 06740PVY9) will price on Oct. 5 and settle on Oct. 8.

Barclays Capital Inc. is the agent.

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