By Wendy Van Sickle
Columbus, Ohio, Nov. 28 – Barclays Bank plc sold $100 million of additional 0% Barclays ETN+ FI Enhanced Europe 50 exchange-traded notes, series C, due March 17, 2033 linked to the Stoxx Europe 50 USD (Gross Return) index, according to a 424B2 filing with the Securities and Exchange Commission.
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 17 European countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
At inception, the ETN is designed to target two times the performance of the index. A quarterly rebalancing event or a loss rebalancing event will aim to reset the leveraged exposure to the index to approximately two.
The return on the ETNs, however, can, and most likely will, differ significantly from two times the return on a direct investment in the index. The ETNs are very sensitive to changes in the performance of the index, and returns on the ETNs may be negatively impacted by volatility of the index on a quarterly basis, the filing noted.
The payout at maturity will be the closing indicative note value on the final valuation date minus the settlement charge on the final valuation date.
The closing indicative note value was $100 on the pricing date. The closing indicative note value on any subsequent valuation date will equal (a) the long index amount on that valuation date minus (b) the financing level on that valuation date, provided that if the difference is a negative value, the closing indicative note value will be $0.
The long index amount on the pricing date was $200, which is equal to the initial leverage factor of 2 times the principal amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date times (b) the index performance factor on the current valuation date minus (c) the rebalancing amount (if any) on that valuation date.
The index performance factor is initially 1. On any valuation day after the pricing date, the index performance factor will equal (a) the closing level of the index on that valuation date divided by (b) the closing level of the index on the immediately preceding valuation date.
On the initial valuation date, the financing level for each ETN was $100. On any subsequent valuation date, the financing level for each ETN will equal (a) the financing level on the immediately preceding valuation date plus (b) the daily investor fee on that valuation date plus (c) the loss rebalancing fee (if any) on that valuation date minus (d) the rebalancing amount (if any) on that valuation date.
The daily investor fee is initially zero. On any valuation date after the pricing date, the daily investor fee will equal (a) the sum of (i) the financing rate times the financing level on the immediately preceding valuation date plus (ii) 1.05% times the closing indicative note value on the immediately preceding valuation date times (b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current valuation date divided by (c) 360.
The financing rate is 100 basis points over Libor as of the preceding rebalancing date for which a quarterly rebalancing event has occurred.
A loss rebalancing event occurs if, on any valuation date, the closing index level is less than or equal to the loss rebalancing trigger calculated on the immediately preceding valuation date.
On any valuation date, the loss rebalancing trigger will equal (a) 1.6 times (b) the closing level of the index on that valuation date times (c) the financing level on that valuation date divided by (d) the long index amount on that valuation date.
A quarterly rebalancing event occurs on the valuation date immediately preceding the first valuation date of each calendar quarter beginning on April 1, 2018 and ending on Jan. 1, 2033.
On any valuation date that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date times (b) the index performance factor on the rebalancing date minus (c) the product of the initial leverage factor times the closing indicative note value on the immediately preceding valuation date.
On any valuation date that is a rebalancing date following the occurrence of a loss rebalancing event, the loss rebalancing fee for each ETN will be equal to the product of (a) the loss rebalancing fee rate of 0.05% multiplied by (b) the absolute value of the rebalancing amount on that valuation date.
The notes are putable subject to a minimum of 10,000 notes and a settlement charge.
The settlement charge upon redemption and at maturity is 0.05% times the long index amount on the applicable valuation date.
The issuer may call the notes in whole at any time. In addition, the notes will be automatically callable if the intraday index level is less than or equal to the automatic termination trigger, which is 1.4 times the index closing level times the financing level divided by the long index amount.
The notes are listed NYSE Arca under the symbol “FFEU.”
On March 15 the issuer sold a portion of the notes at par. The remainder of the notes will be sold from time to time at variable prices.
| Issuer: | Barclays Bank plc
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| Issue: | Barclays ETN+ FI Enhanced Europe 50 ETNs, series C
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| Underlying index: | Stoxx Europe 50 USD (Gross Return) index
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| Amount: | $900 million, increased from $800 million
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| Maturity: | March 17, 2033
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| Coupon: | 0%
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| Price: | Par of $100 for initial notes
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| Payout at maturity: | Closing indicative note value on the final valuation date minus the settlement charge on the final valuation date
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| Closing indicative note value: | $100 at inception; on any subsequent valuation date, (a) the long index amount minus (b) the financing level
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| Long index amount: | $200 at inception; on any subsequent valuation date, (a) the long index amount on the immediately preceding valuation date times (b) the index performance factor on the current valuation date minus (c) the rebalancing amount
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| Index performance factor: | 1 at inception; on any subsequent valuation date, (a) the closing level of the index on that valuation date divided by (b) the closing level of the index on the immediately preceding valuation date
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| Financing level: | $100 at inception; after that, (a) the financing level on the immediately preceding valuation date plus (b) the daily investor fee on that valuation date plus (c) the loss rebalancing fee minus (d) the rebalancing amount
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| Daily investor fee: | (a) the sum of (i) the financing rate times the financing level on the immediately preceding valuation date plus (ii) 1.05% times the closing indicative note value on the immediately preceding valuation date times (b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current valuation date divided by (c) 360
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| Exposure fee rate: | Libor plus 100 bps
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| Loss rebalancing trigger: | (a) 1.6 times (b) the closing level of the index times (c) the financing level divided by (d) the long index amount
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| Rebalancing amount: | (a) the long index amount on the immediately preceding valuation date times (b) the index performance factor on the rebalancing date minus (c) the product of the initial leverage factor times the closing indicative note value on the immediately preceding valuation date
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| Put option: | Subject to a minimum of 10,000 notes and a settlement charge of 0.05% times the long index amount
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| Call option: | In whole at any time
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| Acceleration: | If the intraday index level is less than or equal to the automatic termination trigger, which is 1.4 times the index closing level times the financing level divided by the long index amount
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| Inception date: | March 15
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| Settlement date: | March 17, 2018 for $800 million, Nov. 9 for $100 million
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| Agent: | Barclays
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| Listing: | NYSE Arca: FFEU
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| Cusip: | 06746Q256
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