By Jennifer Chiou
New York, Aug. 9 - Barclays Bank plc priced a maximum offering of $250 million of 0% iPath U.S.Treasury flattener exchange-traded notes due Aug. 13, 2020 linked to the Barclays Capital US Treasury 2Y/10Y Yield Curve index, according to a 424B2 filing with the Securities and Exchange Commission.
The issue will sell a portion of the notes on the inception date of Monday and will follow up with the remainder from time to time via agent Barclays Capital Inc.
The index strategy seeks to capture returns that are potentially 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.
The index is expected to increase in response to a steepening and decrease due to a flattening of the yield curve, and the return on the ETNs is inversely linked to the performance of the index.
The filing added that the index specifically 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 weightings are rebalanced on a monthly basis according to the prevailing prices of the underlying futures contracts.
The closing indicative note value for each ETN on the inception date will equal $50.
On each subsequent calendar day until maturity or redemption, the closing indicative note value for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day plus (2) the daily index performance amount plus (3) the daily interest minus (4) the daily investor fee of 0.75% per year. There is a floor of zero.
The payout at maturity or upon redemption will be calculated using the above formula. Investors will receive a $0.10 gain or loss for each 1 point decrease or increase, respectively, in the level of 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.
The daily index performance will equal $0.10 times the difference of the closing level of the index on that day minus the closing level on the preceding day minus the index rolling cost that day.
The daily interest will equal the closing indicative note value on the preceding day times the T-Bill rate divided by 360.
The notes may be redeemed at anytime, subject to a minimum of at least 50,000 of notes.
The notes (Cusip 06740L485) will be listed under "FLAT" on the NYSE Arca.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S.Treasury flattener exchange-traded notes
|
| Underlying index: | Barclays Capital US Treasury 2Y/10Y Yield Curve index
|
| Amount: | $250 million (maximum)
|
| Maturity: | Aug. 13, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | An amount equal to the then-current closing indicative value, which on each day equals the closing indicative value on the previous day plus the daily index performance amount plus the daily interest minus the daily investor fee of 0.75% per year; floor of zero
|
| Put option: | At any time, subject to a minimum of 50,000 notes
|
| Inception date: | Aug. 9
|
| Settlement date: | Aug. 12
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Listing: | NYSE Arca: FLAT
|
| Cusip: | 06740L485
|
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