By Toni Weeks
San Luis Obispo, Calif., Nov. 7 - Barclays Bank plc said it has sold $11.7 million of its 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 and intends to sell another tranche this month, according to a 424B2 filing with the Securities and Exchange Commission.
As previously reported, Barclays issued $100 million of the notes on Oct. 15, 2012. Of those, $4 million was sold at par, and a further $7.7 million of notes was sold either at prevailing market prices, prices related to market prices or negotiated prices.
The upcoming tranche will be sold to dealer UBS Financial Services Inc. on Nov. 25 at 100.3% of the closing indicative value of the ETNs on that date. With respect to notes that UBS sells to clients with brokerage accounts, UBS will purchase the notes from Barclays at 99.8% of the closing indicative value and retain a dealer's commission of 0.3% of the closing indicative value, which, combined with the 0.2% discount, represents compensation to UBS of 0.5%.
The remaining notes will be sold from time to time at various prices, as already noted.
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
|
| 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 $4 million; prevailing market or negotiated prices for $7.7 million; various prices for remainder
|
| 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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| Inception date: | Oct. 10, 2012
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| Pricing date: | Oct. 10, 2012 for first tranche
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| Settlement date: | Oct. 15, 2012 for first tranche
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| Agent: | Barclays
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| Fees: | None to 0.5%
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| Cusip: | 06742A669
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| Listing: | NYSE Arca: CAPE
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