Chicago, Dec. 20 – Barclays Bank plc priced $2.04 billion of iPath Series B S&P 500 VIX Short-Term Futures exchange-traded notes due Jan. 23, 2048 linked to the S&P 500 VIX Short-Term Futures Index Total Return, according to a 424B2 filing with the Securities and Exchange Commission.
The principal amount per ETN is $27.193879.
The issuer sold a portion of the ETNs on Jan. 17, 2018 at par. The remainder of the ETNs will be sold from time to time at variable prices.
The underlying index is calculated based on the strategy of owning a continuously rolling portfolio of one-month and two-month VIX futures to target a constant weighted average futures maturity of one month. The VIX index reflects 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 underlying index is intended to reflect the returns that are potentially available through an unleveraged investment in the VIX futures contracts plus the rate of interest that could be earned on reinvestment into the underlying index of the return on the notional value of the underlying index based on the three-month U.S. Treasury rate.
The payout at maturity will be an amount in cash equal to the closing indicative value on the final valuation date.
The closing indicative value was $27.193879 on the initial valuation date. On each subsequent calendar day, it will equal (a) the daily index factor on that calendar day (or, if that day is not an index business day, one) times (b) the closing indicative value on the immediately preceding calendar day minus (c) the investor fee on that calendar day.
The daily index factor is the closing level of the index on that business day divided by the closing level of the index on the immediately preceding business day.
The investor fee on the initial valuation date was zero. On each subsequent calendar day, it will be equal to (a) 0.89% times (b) the closing indicative value on the immediately preceding calendar day times (c) the daily index factor on that day (or, if such day is not an index business day, one) divided by (d) 365.
The notes will be putable at any time, subject to a minimum of 25,000 securities and a one-time redemption charge, and they will be callable in whole at any time. The payout in either case would be equal to the closing indicative value on the applicable valuation date.
The issuer expects to list the notes on the NYSE Arca under the symbol “VXXB.”
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath Series B S&P 500 VIX Short-Term Futures ETNs
|
| Underlying index: | S&P 500 VIX Short-Term Futures Index Total Return
|
| Amount: | $2,039,540,925
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| Maturity: | Jan. 23, 2048
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| Coupon: | 0%
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| Face amount: | $27.193879
|
| Price: | Par of $27.193879 for initial notes; variable prices for remainder
|
| Payout at maturity: | Closing indicative value on the final valuation date
|
| Closing indicative value: | $27.193879 on the initial valuation date; on each subsequent calendar day, (a) the daily index factor on that calendar day (or, if that day is not an index business day, one) times (b) the closing indicative value on the immediately preceding calendar day minus (c) the investor fee on that calendar day
|
| Daily index factor: | Closing level of the index on a business day divided by the closing level of the index on the immediately preceding business day
|
| Investor fee: | Zero on initial valuation date; on each subsequent calendar day, (a) 0.89% times (b) the closing indicative value on the immediately preceding calendar day times (c) the daily index factor on that day (or, if such day is not an index business day, one) divided by (d) 365
|
| Put option: | At any time, subject to a minimum of 25,000 notes and a 0.05% one-time redemption charge; payout determined in same way as at maturity
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| Call option: | In whole at any time; payout equal to closing indicative value on valuation date
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| Inception date: | Jan. 17, 2018
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| Settlement date: | Jan. 19, 2018 for initial notes
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| Supplement date: | Nov. 19
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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: | 06746P621
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