By Angela McDaniels
Tacoma, Wash., April 28 - Barclays Bank plc priced an additional $500 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 company priced $250 million of the notes on Jan. 29, 2009, $250 million on June 29, 2009, $1 billion on July 21, 2009, $1 billion on Nov. 2, $1 billion on Jan. 4, $1.5 billion on Jan. 19 and $2.5 billion on March 11. The total amount of notes priced is now $8 billion.
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 is initially $100. On each subsequent day, it equals (a) the closing indicative value on the previous day multiplied by (b) the daily index factor minus (c) 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 notes are listed on the NYSE Arca under the symbol "VXX" and on the Toronto Stock Exchange under the symbol "VXX.U."
Barclays Capital Inc. 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: | $8 billion, increased from $250 million
|
| Maturity: | Jan. 30, 2019
|
| Coupon: | 0%
|
| Price: | Variable
|
| 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 $250 million; June 29, 2009 for $250 million; July 21, 2009 for $1 billion; Nov. 2 for $1 billion; Jan. 4 for $1 billion; Jan. 19 for $1.5 billion; March 11 for $2.5 billion; April 28 for $500 million
|
| Settlement dates: | Feb. 3, 2009 for original issue; July 2, 2009 for first add-on; July 24, 2009 for second add-on; Nov. 5 for third add-on; Jan. 7 for fourth add-on; Jan. 22 for fifth add-on; March 16 for sixth add-on; May 3 for seventh add-on
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Listing: | NYSE Arca: VXX and Toronto: VXX.U
|
| Cusip: | 06740C527
|
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