Barclays plans to sell 10-year iPath Long Bond Bear RTNs linked to Treasury futures index

By Susanna Moon

Chicago, Aug. 6 - Barclays Bank plc plans to price 10-year iPath U.S. Treasury Long Bond Bear exchange-traded notes based on the Barclays Capital Long Bond U.S. Treasury Futures Targeted Exposure index, according to 424B3 filings with the Securities and Exchange Commission.

The index seeks to capture returns available from purchasing U.S. Treasury bonds with a remaining term to maturity of 15 years or more through a notional rolling investment in U.S. Treasury bond futures contracts.

The payout at maturity will be based on a participation rate of $0.10 gain or loss per each 1 point decrease or increase, respectively, in 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, less costs and fees.

The long bond weighting is rebalanced on a monthly basis according to the prevailing price of the long bond 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 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 notes may be redeemed at anytime, subject to a minimum of at least 50,000 of notes.

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

The notes (Cusip 06740L444) will price and settle sometime this year.

Barclays Capital Inc. will be the agent.

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