By Angela McDaniels
Tacoma, Wash., March 22 - Barclays Bank plc priced an additional $420.4 million of iPath S&P 500 VIX Short-Term Futures exchange-traded notes due Jan. 30, 2019, according to a 424B2 filing with the Securities and Exchange Commission.
The principal amount of the additional notes is $32 billion. Based on the $21.02 closing price of the notes on March 21, their aggregate market price is $420.4 million.
The additional notes bring the total principal amount priced to $144 billion. The original $250 million of notes priced on Jan. 29, 2009.
Following a one-for-four reverse split on Nov. 9, 2010, the principal amount of the notes was increased to $400 from $100, and following a further one-for-four reverse split on Oct. 5, the principal amount of the notes was changed to $1,600 from $400.
The notes are linked to the S&P 500 VIX Short-Term Futures Index Total Return, which measures the return from a daily rolling long position in the first- and second-month CBOE Volatility index futures contracts. The total return feature of the index is based on interest accrual and reinvestment into the return of the notional value of the index based on the three-month U.S. Treasury rate.
The CBOE Volatility index reflects the forward implied volatility of the S&P 500 index at various points along the volatility forward curve and is calculated based on the prices of put and call options on the S&P 500.
The payout at maturity or upon redemption will be equal to the then-current closing indicative value.
The closing indicative value equals (a) the closing indicative value on the previous day multiplied by (b) the daily index factor minus (c) an investor fee. The closing indicative value on the inception date, prior to the reverse splits, was $100.
The daily index factor equals the closing level of the index on that day divided by the closing level for the previous day. The investor fee was initially zero. On each subsequent day, it equals 0.89% multiplied by the closing indicative value on the previous day multiplied by the daily index factor on that day divided by 365.
The notes are putable at any time, subject to a minimum of 25,000 notes and a redemption charge equal to 0.05% of the closing indicative value.
The notes are listed on the NYSE Arca under the symbol "VXX" and on the Toronto Stock Exchange under the symbol "VXX.U."
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath S&P 500 VIX Short-Term Futures exchange-traded notes
|
| Underlying index: | S&P 500 VIX Short-Term Futures Index Total Return
|
| Amount: | $144 billion, increased from original $250 million
|
| Maturity: | Jan. 30, 2019
|
| Coupon: | 0%
|
| Face amount: | $1,600 (previously $400 and before that $100)
|
| Price: | Variable prices
|
| Payout at maturity: | An amount equal to the then-current closing indicative value, which on each day equals the closing indicative value on the previous day multiplied by the daily index factor minus an investor fee
|
| Put option: | At any time, subject to a minimum of 25,000 notes and a 0.05% redemption charge; payout determined in same way as at maturity
|
| Pricing dates: | Jan. 29, 2009 for original $250 million; March 22 for latest $32 billion
|
| Settlement dates: | Feb. 3, 2009 for original issue; March 25 for latest add-on
|
| Agent: | Barclays
|
| Fees: | None
|
| Listing: | NYSE Arca: VXX and Toronto: VXX.U
|
| Cusip: | 06740C188
|
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