By Angela McDaniels
Tacoma, Wash., Aug. 20 - Barclays Bank plc will issue $544.69 million of additional 0% Barclays ETN+ FI Enhanced Europe 50 exchange-traded notes due June 5, 2018 linked to the Stoxx Europe 50 UDS (Gross Return) index on Aug. 21, according to a 424B2 filing with the Securities and Exchange Commission.
The $550 million principal amount of additional ETNs have a market price of $544.69 million based on $99.04 per ETN, which is the average of the high and low prices of the ETNs reported on NYSE Arca on Aug. 19.
The additional notes bring the total amount issued to $900 million. The original $350 million of notes were issued on May 28.
The index is composed of 50 European blue-chip companies selected from within the Stoxx Europe 600 index, which contains the 600 largest stocks traded on the major exchanges of 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
The notes are putable at any time, subject to a minimum of 10,000 notes. They are callable at any time.
The payout upon redemption or at maturity will be the closing indicative note value minus the settlement charge, which is 0.05% times the long index amount.
If a holder puts back more than 100,000 notes at one time within 360 days of the inception date, the settlement charge will include, in addition to the amount specified above, an amount equal to (a) 0.05% times (b) the long index amount times (c)(i) 360 minus the number of calendar days from and including the inception date to and including the put date divided by (ii) 360.
The notes will also be subject to automatic redemption (see "automatic redemption" below).
Closing indicative note value
The closing indicative note value was $100 on the initial valuation date. On each subsequent day, it equals the long index amount on that day minus the financing level on that day, provided that if this calculation results in a negative value, the closing indicative note value will be zero.
On the initial valuation date, the long index amount was $200, which is the par amount multiplied by the initial leverage factor of two. On subsequent days, it equals the product of the long index amount on the immediately preceding day times the index performance factor on that day minus the rebalancing amount (if any) on that day (see "index exposure rebalancing" below).
On any day, the leverage factor equals the long index amount on that day divided by the closing indicative note value on that day.
The index performance factor on the initial valuation date was 1. On subsequent days, it equals the closing level of the index on that day divided by the closing level of the index on the immediately preceding day.
On the initial valuation date, the financing level was $100. On subsequent days, it equals the financing level on the immediately preceding day plus the daily investor fee on that day plus the rebalancing fee (if any) on that day minus the rebalancing amount (if any) on that day.
On the initial valuation date, the daily investor fee was $0. On subsequent days, it equals (a) the sum of (i) the product of (1) the long index amount on the immediately preceding day times (2) the exposure fee rate, which is Libor plus 76 basis points, plus (ii) 0.05% times the closing indicative note value on the immediately preceding day times (b) the number of calendar days from but excluding the immediately preceding trading day to and including the current trading day divided by (c) 360.
Index exposure rebalancing
A rebalancing event occurs if the index's intraday level falls to or below the rebalancing trigger, which equals 1.6 times the closing level of the index on the day times the financing level on that day divided by the long index amount on that day.
The rebalancing amount will equal the product of the long index amount on the immediately preceding day times the index performance factor on that day minus the product of the initial leverage factor times the closing indicative note value on the immediately preceding day.
The rebalancing fee will be equal to the product of 0.05% multiplied by the rebalancing amount on that day.
Automatic redemption
The notes will be automatically redeemed if the index's intraday level falls to or below the automatic redemption trigger, which will be 1.4 times the closing level of the index on that day times the financing level on that day divided by the long index amount on that day.
If the notes are automatically redeemed, holders will receive the automatic redemption value, which will be determined by the calculation agent at its sole discretion and will be meant to approximate the intraday indicative note value.
The notes are listed on the NYSE Arca under the symbol "FEEU."
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Barclays ETN+ FI Enhanced Europe 50 ETNs
|
| Underlying index: | Stoxx Europe 50 UDS (Gross Return) index
|
| Amount: | $900 million, increased from $350 million
|
| Maturity: | June 5, 2018
|
| Coupon: | 0%
|
| Par amount: | $100
|
| Payout at maturity: | Closing indicative note value minus settlement charge equal to 0.05% times long index amount
|
| Put option: | At any time
|
| Call option: | At any time
|
| Automatic redemption: | If index's intraday level falls to or below automatic redemption trigger, which is 1.4 times closing level of index on that day times financing level on that day divided by long index amount on that day
|
| Pricing dates: | May 22 for original $350 million; Aug. 20 for $550 million add-on
|
| Settlement dates: | May 28 for original issue; Aug. 21 for add-on
|
| Agent: | Barclays
|
| Fees: | None
|
| Cusip: | 06742C129
|
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