By Angela McDaniels
Tacoma, Wash., July 19 - Barclays Bank plc priced $250 million of 0% Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures exchange-traded notes due July 17, 2020 linked to the inverse performance of the S&P 500 VIX Short-Term Futures Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it planned to sell a portion of the $250 million of notes at par of $20 on the pricing date and the remainder at variable prices from time to time.
The payout at maturity or upon redemption will be the closing indicative value, which on any day is $20 plus the inverse index performance on that day plus accrued interest minus accrued fees, subject to a floor of $0.
The inverse index performance is $20 times negative one times the index performance percentage, which on any day is (a) the closing index level on that day divided by the initial index level minus (b) 100%.
Accrued interest was $0 on the pricing date. On each subsequent day, it will be (a) the accrued interest on the preceding day plus (b) the closing indicative note value on the preceding day times the most recent weekly investment rate for 28-day U.S. Treasury bills divided by 360.
The accrued fees are initially zero. On each subsequent day, they will be (a) the accrued fees on the preceding day plus (b) the closing indicative note value on the preceding day times 0.89% divided by 365.
The notes are putable at any time, subject to a minimum of 25,000 and a redemption charge equal to 0.05% of the closing indicative value.
Barclays will automatically call the notes if their indicative value falls to $10 or less.
The index is designed to reflect the returns that are potentially available through an unleveraged investment in one-month and two-month futures contracts on the CBOE Volatility index that targets a constant weighted average futures maturity of one month.
The notes are listed on the NYSE Arca under the symbol "XXV."
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures ETNs
|
| Underlying index: | S&P 500 VIX Short-Term Futures Index Excess Return
|
| Amount: | $250 million
|
| Maturity: | July 17, 2020
|
| Coupon: | 0%
|
| Price: | Par of $20
|
| Payout at maturity: | Par plus the absolute value of any index decline, or par minus any index gain, plus accrued interest calculated using the investment rate for 28-day U.S. Treasury bills and minus a fee of about 0.89% per year
|
| Put option: | At any time subject to a minimum of 25,000 notes and a redemption charge of 0.05%
|
| Call: | Automatically if indicative value of notes falls to $10 or less
|
| Pricing date: | July 16
|
| Settlement date: | July 21
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Listing: | NYSE Arca: XXV
|
| Cusip: | 06740L592
|
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