By Angela McDaniels
Tacoma, Wash., Jan. 29 - Barclays Bank plc will price up to $250 million iPath S&P 500 VIX Mid-Term Futures exchange-traded notes due Jan. 30, 2019, according to a 424B3 filing with the Securities and Exchange Commission.
An undisclosed portion of the notes was expected to price at par on Jan. 29. The remainder will be sold at prevailing market prices from time to time.
The notes are linked to the S&P 500 VIX Mid-Term Futures Index Total Return, which measures the return from a daily rolling long position in the fourth-,fifth-, sixth- and seventh-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 is initially $100. On each subsequent day, the closing indicative value 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 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 issuer has applied to list the notes on the NYSE Arca under the symbol "VXZ."
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath S&P 500 VIX Mid-Term Futures exchange-traded notes
|
| Underlying index: | S&P 500 VIX Mid-Term Futures Index Total Return
|
| Amount: | Up to $250 million
|
| Maturity: | Jan. 30, 2019
|
| Coupon: | 0%
|
| Price: | Par of $100
|
| 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 date: | Jan. 29
|
| Settlement date: | Feb. 3
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
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