Barclays plans $250 million iPath inverse S&P 500 VIX Short-Term ETNs

By Jennifer Chiou

New York, Jan. 11 - Barclays Bank plc filed a prospectus for $250 million of iPath inverse S&P 500 VIX Short-Term Futures exchange-traded notes due in July 17, 2020 it will issue from time to time, according to a 424B3 filing with the Securities and Exchange Commission.

The notes are linked to the inverse performance of the S&P 500 VIX Short-Term Futures Index Excess Return, which is designed to reflect the returns that are potentially available through an unleveraged investment in one-month and two-month CBOE Volatility index futures contracts.

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 issuer stated in the filing that the ETNs were first issued on July 21, 2010.

The payout at maturity or upon redemption will be equal to the then-current closing indicative value.

The closing indicative value on any calendar day is equal to (a) the principal amount per ETN plus (b) the inverse index performance plus (c) accrued interest minus (d) accrued fees.

On the initial valuation date, the inverse index performance will be equal to $0. On each subsequent day, it equals negative one times the performance on that date.

Accrued interest will be equal to $0 initially. Thereafter, it will equal the amount of accrued interest, if any, on the preceding day plus the closing indicative value times the Treasury bill rate divided by 360.

Accrued fees will amount to 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 50,000 notes and a redemption charge equal to 0.05% of the closing indicative value. The notes will be automatically called if the intraday indicative note value is less than or equal to 50% of the principal amount per ETN.

The notes (Cusip: 06740L592) are slated to be listed on the NYSE Arca under the symbol "XXV."

Barclays Capital Inc. is the agent.

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