By Jennifer Chiou
New York, Aug. 9 - Barclays Bank plc priced a maximum offering of $250 million of 0% iPath U.S.Treasury 10-year bear exchange-traded notes due Aug. 13, 2020 linked to the Barclays Capital 10Y US Treasury Futures Targeted Exposure index, according to a 424B2 filing with the Securities and Exchange Commission.
The issue will sell a portion of the notes on the inception date of Monday and will follow up with the remainder from time to time via agent Barclays Capital Inc.
The index strategy seeks to capture returns from 10-year U.S. Treasury notes through a rolling investment in 10-year U.S. Treasury note futures contracts.
The index is expected to increase in response to a decrease in 10-year Treasury note yields.
The weighting is rebalanced on a monthly basis according to the prevailing prices of the 10-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 February, May, August and November of each year, 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 payout at maturity or upon redemption will be calculated using the above formula. Investors will receive a $0.10 gain or loss for each 1 point decrease or increase, respectively, in the level of 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.
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 T-Bill rate divided by 360.
The notes may be redeemed at anytime, subject to a minimum of at least 50,000 of notes.
The notes (Cusip 06740L451) will be listed under "DTYS" on the NYSE Arca.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S.Treasury 10-year bear exchange-traded notes
|
| Underlying index: | Barclays Capital 10Y US Treasury Futures Targeted Exposure index
|
| Amount: | $250 million (maximum)
|
| Maturity: | Aug. 13, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | An amount equal to the then-current closing indicative value, which on each day equals the closing indicative value on the previous day plus the daily index performance amount plus the daily interest minus the daily investor fee of 0.75% per year; floor of zero
|
| Put option: | At any time, subject to a minimum of 50,000 notes
|
| Inception date: | Aug. 9
|
| Settlement date: | Aug. 12
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Listing: | NYSE Arca: DTYS
|
| Cusip: | 06740L451
|
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