By Marisa Wong
Los Angeles, Jan. 11 – Barclays Bank plc priced $50 million of additional 0% iPath Shiller CAPE exchange-traded notes due Oct. 12, 2022 linked to the performance of the Shiller Barclays CAPE US Core Sector index, according to a 424B2 filing with the Securities and Exchange Commission.
As of March 2, 2020, the name of the ETNs was changed to iPath Shiller CAPE ETNs from Barclays ETN+ Shiller CAPE ETNs.
Barclays issued the original $100 million of ETNs on Oct. 15, 2012. The issuer sold a portion of the ETNs at par on the inception date. The remaining notes will be sold from time to time at various prices.
The index seeks to provide a notional long exposure to the top four relatively undervalued U.S. equity sectors that also exhibit relatively strong price momentum. The index incorporates the CAPE (Cyclically Adjusted Price Earnings) ratio to assess equity market valuations of nine sectors on a monthly basis and to identify the relatively undervalued sectors represented in the S&P 500. The index then selects the top four undervalued sectors that possess relatively stronger price momentum over the past 12 months and allocates an equally weighted notional long position in the total return version of the S&P Select Sector indexes corresponding to the selected sectors.
Each note had a closing indicative value of $50 on the inception date. On each subsequent day, the closing indicative value equals (a) the closing indicative on the preceding day times (b) the daily index factor on that day minus (c) an investor fee of 0.45% per year. The daily index factor on any day equals the closing level of the index on that day divided by the index closing level on the preceding day.
The payout at maturity will equal the closing indicative value on the final valuation date.
The notes are putable, subject to a minimum of 25,000 ETNs, and callable in whole at any time. The redemption amount will equal the closing indicative value on the applicable valuation date.
The ETNs are listed on the NYSE Arca under the ticker symbol “CAPE.”
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | iPath Shiller CAPE ETNs (formerly Barclays ETN+ Shiller CAPE ETNs)
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| Underlying index: | Shiller Barclays CAPE US Core Sector index
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| Amount: | $150 million (increased from $100 million)
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| Maturity: | Oct. 12, 2022
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| Coupon: | 0%
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| Price: | Par of $50 for initial tranche, various prices for remainder
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| Payout at maturity: | Closing indicative value on Oct. 4, 2022; closing indicative value is initially $50, on each subsequent day it equals (a) closing indicative on preceding day times (b) daily index factor on that day minus (c) an investor fee of 0.45% per year; daily index factor on any day equals index closing level on that day divided by index closing level on preceding day
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| Put option: | Subject to a minimum of 25,000 ETNs; redemption amount determined in the same manner as payout at maturity
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| Call option: | In whole at any time; redemption amount determined in the same manner as payout at maturity
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| Pricing date: | Oct. 10 for $100 million, Jan. 8 for $50 million
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| Settlement date: | Oct. 15, 2012 for $100 million, Jan. 11 for $50 million
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| Agent: | Barclays
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| Fees: | None
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| Cusip: | 06742A669
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| Listing: | NYSE Arca: CAPE
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