New York, July 8 - Barclays Bank plc priced $90 million of 0% iPath Long Enhanced S&P 500 VIX Mid-Term Futures exchange-traded notes (II) due July 12, 2021 linked to the S&P 500 VIX Mid-Term Futures Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The company sold a portion of the notes at par of $30 on the pricing date. The remainder will be sold from time to time at varying prices.
The payout at maturity or upon redemption will be the closing indicative value of the notes.
The closing indicative note value on the inception date is $30. On each subsequent day, it will equal the long index amount on that day minus the financing level on that day.
The long index amount is $60 multiplied by the index performance factor on that day, which is the index's closing level on that day divided by the initial index level.
The financing level is initially $30. On each subsequent day, it is the financing level on the preceding day plus the daily financing charge - Libor plus 89 basis points - plus the daily investor fee, which is 0.89% per year.
The notes are callable at any time, and they are putable, subject to a minimum of 25,000 notes and a 0.05% redemption charge. They will be automatically redeemed if the closing indicative value falls to $10 or less.
The index is designed to reflect the returns that are potentially available through an unleveraged investment in four-, five-, six- and seven-month futures contracts on the CBOE Volatility index that targets a constant weighted average futures maturity of five months.
The company plans to list the notes on the NYSE Arca under the ticker symbol "VZZB."
As previously reported, the company will redeem its 0% iPath Long Enhanced S&P 500 VIX Mid-Term Futures exchange-traded notes due 2020 (NYSE Arca: VZZ) on July 11 due to an automatic termination event.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath Long Enhanced S&P 500 VIX Mid-Term Futures ETNs (II)
|
| Underlying index: | S&P 500 VIX Mid-Term Futures Total Return index
|
| Amount: | $90 million
|
| Maturity: | July 12, 2021
|
| Coupon: | 0%
|
| Price: | Par of $30
|
| Payout at maturity: | Amount equal to closing indicative value, which equals $60 plus index return less daily fee of 0.89% per year and daily financing rate of Libor plus 89 bps; exposure to losses
|
| Put option: | At any time, subject to a minimum of 25,000 notes; payout determined in same way as at maturity; early redemption charge of 0.05%
|
| Call option: | At any time; payout determined in same way as at maturity
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| Automatic redemption: | If closing indicative value falls to $10 or less
|
| Pricing date: | July 8
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| Settlement date: | July 13
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| Agent: | Barclays Capital Inc.
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| Fees: | None
|
| Listing: | NYSE Arca: VZZB
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| Cusip: | 06741K106
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