New Issue: Barclays prices $6 billion additional iPath S&P 500 VIX Short-Term Futures ETNs

By Toni Weeks

San Diego, March 15 - Barclays Bank plc priced an additional $6 billion 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 additional notes bring the total amount priced to $40 billion. The original $250 million of notes priced on Jan. 29, 2009. Barclays last priced a $6 billion add-on on March 2.

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 was 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 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 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:	$40 billion, increased from original $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, 2009 for $1 billion; Jan. 4, 2010 for $1 billion; Jan. 19, 2010 for $1.5 billion; March 11, 2010 for $2.5 billion; April 28, 2010 for $500 million; Aug. 10, 2010 for $2 billion; Aug. 31, 2010 for $2 billion; Sept. 16, 2010 for $2.5 billion; Oct. 15, 2010 for $1.5 billion; Oct. 25, 2010 for $1 billion; Jan. 6, 2011 for $3 billion; March 10, 2011 for $8 billion; March 2 for $6 billion; March 15 for $6 billion
Settlement dates:	Feb. 3, 2009 for original issue; July 2, 2009 for first add-on; July 24, 2009 for second add-on; Nov. 5, 2009 for third add-on; Jan. 7, 2010 for fourth add-on; Jan. 22, 2010 for fifth add-on; March 16, 2010 for sixth add-on; May 3, 2010 for seventh add-on; Aug. 13, 2010 for eighth add-on; Sept. 7, 2010 for ninth add-on; Sept. 21, 2010 for 10th add-on; Oct. 20, 2010 for 11th add-on; Oct. 28, 2010 for 12th add-on; Jan. 11, 2011 for 13th add-on; March 14, 2011 for 14th add-on; March 5, 2012 for 15th add-on; March 16 for 16th add-on
Agent:	Barclays Capital Inc.
Fees:	None
Listing:	NYSE Arca: VXX and Toronto: VXX.U
Cusip:	06740C261

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.