By Angela McDaniels
Tacoma, Wash., Aug. 9 - Barclays Bank plc priced $250 million of 0% iPath U.S. Treasury Two-year Bear exchange-traded notes due Aug. 13, 2020 linked to the Barclays Capital 2Y US Treasury Futures Targeted Exposure index, according to a 424B2 filing with the Securities and Exchange Commission.
The agent planned to sell a portion of the notes at par of $50 on the pricing date and the remainder from time to time at varying prices.
The index seeks to capture returns that are potentially available from an increase or decrease in the yields available to investors purchasing two-year Treasury notes through a notional rolling investment in two-year Treasury note futures contracts. Specifically, it is designed to increase in response to a decrease in two-year Treasury note yields and to decrease in response to an increase in two-year Treasury note yields.
The notes are putable, subject to a minimum of 50,000 notes.
The payout at maturity or upon redemption is based on a participation rate of $0.10 gain or loss for 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.
There is an investor fee of roughly 0.75% per year that accrues daily. There is also an index rolling cost that accumulates over time and is subtracted at the rate of $0.06 per year, or 0.12% of par per year.
The issuer plans to apply to list the notes on the NYSE Arca under the ticker symbol "DTUS."
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S. Treasury Two-year Bull exchange-traded notes
|
| Underlying index: | Barclays Capital 2Y US Treasury Futures Targeted Exposure index
|
| Amount: | $250 million
|
| Maturity: | Aug. 13, 2020
|
| Coupon: | 0%
|
| Price: | Par of $50
|
| Payout at maturity: | Final closing indicative note value
|
| Closing indicative note value: | $50 on pricing date; on each subsequent day, closing indicative note value on preceding day plus daily index performance amount plus daily interest minus daily investor fee of 0.75% per year, subject to floor of zero; daily index performance is negative $0.10 times difference of closing index level on that day minus closing level on preceding day minus index rolling cost that day; daily interest is closing indicative note value on preceding day times T-bill rate divided by 360
|
| Put option: | At any time subject to minimum of 50,000 notes
|
| Pricing date: | Aug. 9
|
| Settlement date: | Aug. 12
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06740L519
|
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