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Barclays calls iPath Long Enhanced S&P 500 VIX Mid-Term Futures (II)
By Angela McDaniels
Tacoma, Wash., Oct. 5 - Barclays Bank plc will automatically redeem all of its iPath Long Enhanced S&P 500 VIX Mid-Term Futures Exchange-Traded Notes (II) on Oct. 15, according to a company news release.
An automatic termination event occurred at 9:30 a.m. ET on Friday when the intraday indicative note value of the ETNs fell to $10. The notes have a face amount of $30 each.
Holders will receive an amount in cash equal to Friday's closing indicative note value.
The closing indicative note value on the inception date was $30. On subsequent days, it equals the long index amount on that day minus the financing level on that day.
The long index amount is $60 multiplied by the index performance factor on that day, which is the index's closing level on that day divided by the initial index level.
The financing level was initially $30. On subsequent days, it is the financing level on the preceding day plus the daily financing charge - Libor plus 89 basis points - plus the daily investor fee, which is 0.89% per year.
The notes are linked to the S&P 500 VIX Mid-Term Futures Total Return index, which is designed to reflect the returns that are potentially available through an unleveraged investment in four-, five-, six- and seven-month futures contracts on the CBOE Volatility index that targets a constant weighted average futures maturity of five months.
The notes were scheduled to mature on July 21, 2021. They trade on NYSE Arca under the ticker symbol "VZZB," and their Cusip number is 06741K106.
The company priced $90 million of the notes on July 8, 2011 after an automatic termination event occurred for its 0% iPath Long Enhanced S&P 500 VIX Mid-Term Futures ETNs due 2020.
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