VZZB‘s intraday indicative (Yahoo) value dropped below $10 Friday October 5th, triggering its automatic termination event. According to the prospectus the holders of record will receive a cash payout value set by the closing intraday indicative value (IV) for the day—provided it is between 0 and 10. Since the final IV was 10.45, the redemption value will be set to 10.00 according to the way I read the prospectus. Barclays 2x med-term VIX futures ETN has a market cap is less than $1 million, so not many people affected. For more see Deathwatch for VZZB.
Barclays’ VZZB Bites the Dust
First posted on
Do you know why the automatic redemption value is not allowed to be above $10?
That’s what it says in the prospectus. Probably protects Barclays from losses on the termination date.
— Vance
Thanks