Barclays plans notes tied to S&P 500 VIX Short-Term, Mid-Term Futures

By Marisa Wong

Madison, Wis., April 29 - Barclays Bank plc plans to price 0% notes due Dec. 19, 2013 linked to the S&P 500 VIX Short-Term Futures Index (Excess Return) and the S&P 500 VIX Mid-Term Futures Index (Excess Return), according to a 424B2 filing with the Securities and Exchange Commission.

The portfolio will have a long position in the mid-term index and a short position in the short-term index.

The closing indicative value of the portfolio will equal par of $1,000 on the pricing date. On each subsequent day, the closing indicative value will equal the closing indicative value on the preceding day times the daily portfolio factor and minus the investor fee.

The daily portfolio factor will equal the portfolio value on that day divided by the portfolio value on the immediately preceding day.

The portfolio value will equal $1,000 on the pricing date. On any subsequent day, the portfolio value will equal the portfolio value on the immediately preceding rebalancing date times the portfolio return plus 1.

The portfolio return on any day will be the weighted average return of the portfolio from the immediately preceding rebalancing date to the current day, assuming that 74% of the portfolio was comprised of a long position in the mid-term index and 26% of a short position in the short-term index.

The rebalancing dates will fall on the 16th calendar day of each month, starting with June 16.

The investor fee will be zero on the initial valuation date. On each subsequent day, the fee will be an annualized amount equal to 1.5% of the closing indicative portfolio value on the preceding day.

The payout at maturity or upon redemption will be the closing indicative value on the applicable final valuation date.

The notes are putable, but there is a minimum redemption amount of at least 10 notes. The notes will be automatically redeemed if the closing indicative value of the notes falls to or below 30% of par.

The notes (Cusip: 06738KJC6) will price May 16 and settle May 19.

Barclays Capital Inc. is the agent.

© 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.