Barclays’ VZZB Bites the Dust

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 …

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Barclays’ VZZB Bites the Dust

Update Friday, October 5th, 2012 | Vance Harwood VZZB‘s intraday indicative (Yahoo) value dropped below $10 Friday October 5th, triggering its automatic termination event.   According to the prospectusthe 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 …

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Backtesting of VZZB—Barclays’ replacement for VZZ

Originally posted July 18, 2011 Update:  VZZB terminated in October 2012, consistent with the 1.5 years or less of life that I predicted below. Barclays didn’t waste any time replacing its recently terminated VZZ ETN.  The new fund, targeted at leveraged long performance relative to medium term volatility appears essentially identical to VZZ except for its new inception point (8-Jul-2011).  Rather than follow daily percentage moves, Barclay’s …

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