By Marisa Wong
Morgantown, W.Va., March 23 – Barclays Bank plc priced an additional $247.95 million of iPath S&P 500 VIX Short-Term Futures exchange-traded notes due Jan. 30, 2019, according to a 424B3 filing with the Securities and Exchange Commission.
The principal amount of the additional notes is $384 billion. Their aggregate market price is $247.95 million based on $16.53 per ETN, which is the average of the high and low prices reported on NYSE Arca on March 22.
The additional notes bring the total principal amount priced to $2.56 trillion. The original $250 million of notes priced on Jan. 29, 2009.
The principal amount of each note was increased to $400 from $100 via a one-for-four reverse split on Nov. 9, 2010. Then on Oct. 5, 2012, the principal amount was increased to $1,600 from $400 via another one-for-four reverse split. On Nov. 8, 2013, another one-for-four reverse split increased the principal amount to $6,400. On Aug. 9, 2016, another one-for-four reverse split increased the principal amount to $25,600.
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 equals (a) the closing indicative value on the previous day multiplied by (b) the daily index factor minus (c) an investor fee. The closing indicative value on the inception date, prior to the reverse splits, was $100.
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.”
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | iPath S&P 500 VIX Short-Term Futures exchange-traded notes
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| Underlying index: | S&P 500 VIX Short-Term Futures Index Total Return
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| Amount: | $2.56 trillion, increased from original $250 million
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| Maturity: | Jan. 30, 2019
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| Coupon: | 0%
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| Face amount: | $25,600 (previously $6,400, $1,600, $400 and before that $100)
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| Price: | Variable prices
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| 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
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| 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
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| Pricing dates: | Jan. 29, 2009 for original $250 million; March 23 for latest add-on
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| Settlement dates: | Feb. 3, 2009 for original issue; March 24 for latest add-on
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| Agent: | Barclays
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| Fees: | None
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| Listing: | NYSE Arca: VXX
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| Cusip: | 06740Q252
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