By Marisa Wong
Madison, Wis., Oct. 10 - Barclays Bank plc priced $100 million of 0% Barclays ETN+ Shiller CAPE exchange-traded notes due Oct. 12, 2022 linked to the performance of the Shiller Barclays CAPE US Core Sector index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it sold a portion of the ETNs at par on the inception date. The remaining notes will be sold from time to time at various prices.
The index seeks to provide a notional long exposure to the top four relatively undervalued U.S. equity sectors that also exhibit relatively strong price momentum. The index incorporates the CAPE (Cyclically Adjusted Price Earnings) ratio to assess equity market valuations of nine sectors on a monthly basis and to identify the relatively undervalued sectors represented in the S&P 500. The index then selects the top four undervalued sectors that possess relatively stronger price momentum over the past 12 months and allocates an equally weighted notional long position in the total return version of the S&P Select Sector indexes corresponding to the selected sectors.
Each note will have a closing indicative value of $50 on the inception date. On each subsequent day, the closing indicative value will equal (a) the closing indicative on the preceding day times (b) the daily index factor on that day minus (c) an investor fee of 0.45% per year. The daily index factor on any day will equal the closing level of the index on that day divided by the index closing level on the preceding day.
The payout at maturity will equal the closing indicative value on the final valuation date.
The notes are putable, subject to a minimum of 25,000 ETNs, and callable in whole at any time. The redemption amount will equal the closing indicative value on the applicable valuation date.
The issuer plans to list the ETNs on the NYSE Arca stock exchange under the ticker symbol, "CAPE."
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Barclays ETN+ Shiller CAPE exchange-traded notes
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Underlying index: | Shiller Barclays CAPE US Core Sector index
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Amount: | $100 million
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Maturity: | Oct. 12, 2022
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Coupon: | 0%
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Price: | Par of $50 for initial tranche, various prices for remainder
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Payout at maturity: | Closing indicative value on Oct. 4, 2022; closing indicative value is initially $50, on each subsequent day it will equal (a) closing indicative on preceding day times (b) daily index factor on that day minus (c) an investor fee of 0.45% per year; daily index factor on any day will equal index closing level on that day divided by index closing level on preceding day
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Put option: | Subject to a minimum of 25,000 ETNs; redemption amount determined in the same manner as payout at maturity
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Call option: | In whole at any time; redemption amount determined in the same manner as payout at maturity
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Pricing date: | Oct. 10 for first tranche
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Settlement date: | Oct. 15 for first tranche
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Agent: | Barclays
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Fees: | None
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Cusip: | 06742A669
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Listing: | NYSE Arca: CAPE
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