Barclays to price iPath S&P 500 VIX Short-Term Futures ETNs

By Angela McDaniels

Tacoma, Wash., Dec. 23 - Barclays Bank plc plans to price an offering of iPath S&P 500 VIX Short-Term Futures exchange-traded notes due 2019, according to a 424B3 filing with the Securities and Exchange Commission.

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 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 will initially be $100. On each subsequent day, it will equal (1) the closing indicative value on the previous day multiplied by (2) the daily index factor minus (3) an investor fee.

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 is initially zero. On each subsequent day, it will equal 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 will be 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 company plans to apply to list the notes on the NYSE Arca under the symbol "VXX."

Barclays Capital Inc. is the agent.

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