Barclays plans iPath U.S. Treasury two-year bull exchange-traded notes

By Marisa Wong

Madison, Wis., Aug. 6 - Barclays Bank plc plans to issue from time to time 0% iPath U.S.Treasury two-year bull exchange-traded notes due 2020 linked to the Barclays Capital 2Y US Treasury Futures Targeted Exposure index, according to a 424B3 filing with the Securities and Exchange Commission.

The index strategy seeks to capture returns from two-year U.S. Treasury notes through a rolling investment in two-year U.S. Treasury note futures contracts.

The index is expected to increase in response to a decrease in two-year Treasury note yields.

The weighting is rebalanced on a monthly basis according to the prevailing prices of the two-year Treasury futures contracts.

The closing indicative note value for each ETN on the inception date will equal $50.

On any roll day, the index rolling cost for each note will equal $0.005. Roll days are set to occur on three business days in each of February, May, August and November, which lends itself to a net effect of 0.12% per year for rolling costs.

On each subsequent calendar day from inception 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 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 28-day U.S. Treasury Bill rate divided by 360.

The payout at maturity or upon redemption will be the closing indicative note value on the final valuation date or the valuation date preceding the redemption date, respectively, calculated using the above formula.

The notes may be redeemed at anytime, subject to a minimum of at least 50,000 of notes.

The inception date for the notes (Cusip: 06740L469) is to be determined.

The notes will be listed under "DTUL" on the NYSE Arca.

Barclays Capital Inc. will be the agent.

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