By Susanna Moon
Chicago, Aug. 9 - Barclays Bank plc priced $250 million of iPath U.S. Treasury Steepener exchange-traded notes due Aug. 13, 2020 based on the Barclays Capital US Treasury 2Y/10Y Yield Curve index, according to a 424B filing with the Securities and Exchange Commission.
The agent planned to sell a portion of the notes at par of $50 on the pricing date and the remainder at varying prices from time to time.
The payout at maturity will be based on a participation rate of $0.10 gain or loss per each 1 point increase or decrease, respectively, in the index plus the income accrued from a notional investment of the value of the ETNs at the 28-day U.S. Treasury bill rate, less costs and fees of 0.75%.
The notes are putable in increments of at least 50,000 notes.
The index seeks to capture returns available from a "steepening" or flattening of the U.S. Treasury yield curve through a notional rolling investment in U.S. Treasury note futures contracts.
To accomplish this, the index tracks the returns of a notional investment in a weighted long position in relation to two-year Treasury futures contracts and a weighted short position in relation to 10-year Treasury futures contracts.
The issuer plans to apply to list the notes on the NYSE Arca under the ticker "STPP."
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S. Treasury Steepener exchange-traded notes
|
| Underlying index: | Barclays Capital US Treasury 2Y/10Y Yield Curve index
|
| Amount: | $250 million
|
| Maturity: | Aug. 13, 2020
|
| Coupon: | 0%
|
| Price: | $50
|
| Payout at maturity: | Based on participation rate of $0.10 gain or loss per each 1 point increase or decrease, respectively, in the index plus the income accrued from a notional investment of the value of the ETNs at the 28-day U.S. Treasury bill rate, less costs and fees of 0.75%
|
| Put option: | In increments of at least 50,000 notes
|
| Pricing date: | Aug. 9
|
| Settlement date: | Aug. 12
|
| Agent: | Barclays Capital Inc.
|
| Cusip: | 06740L477
|
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