Barclays plans to price Inverse US Treasury Aggregate ETNs

By Angela McDaniels

Tacoma, Wash., June 30 – Barclays Bank plc plans to price 0% Barclays Inverse US Treasury Aggregate exchange-traded notes linked to the Barclays Inverse US Treasury Futures Aggregate index, according to a 424B2 filing with the Securities and Exchange Commission.

The index employs a strategy that tracks the sum of the returns of periodically rebalanced short positions in equal face values of each of the two-year, five-year, 10-year, long-bond and ultra-long U.S. Treasury futures contracts. Therefore, the performance of the ETNs will be positively affected by declines in the prices of the Treasury futures contracts and will be negatively affected by increases in the prices of the Treasury futures contracts.

The face amount will be $50 per note.

The ETNs will be putable at any time subject to a minimum of 20,000 ETNs, and the issuer may redeem the ETNs in whole but not in part at any time.

The payout at maturity or redemption will be the final closing indicative value.

The closing indicative value for each ETN on the inception date will be $50. On each subsequent day, it will equal the closing indicative value on the day before plus the daily index performance amount plus the daily interest minus the daily investor fee.

The daily index performance amount for each ETN on the initial valuation date will be zero. On any subsequent business day, it will be (1) (a) the closing indicative note value on the preceding index rebalance date times (b) the difference of (i) the index’s closing level on that business day minus (ii) the closing level of the index on the immediately preceding business day divided by (c) the index’s closing level on the immediately preceding index rebalance date minus (2) the index rolling cost on such index business day.

The index rebalance dates are the fourth to last business day of each month. In addition, if on any business day the index has fallen by 65% or more since the preceding index rebalance date, the index will be rebalanced on the immediately following business day.

On any day that is not a roll date, the index rolling cost will be zero. On any roll date, it will be 0.08% times the closing indicative note value on the immediately preceding index rebalance date. The cumulative effect is about 0.32% per year. A roll date is the fourth to last index business day of each February, May, August and November.

The daily interest on the initial valuation date will be zero. On each subsequent day, it will be (1) the closing indicative note value on the immediately preceding day times (2) the most recent weekly investment rate for 28-day Treasury bills effective on the immediately preceding business day divided by (3) 360.

The daily investor fee on the initial valuation date will equal zero. On any subsequent day, it will equal (1) the closing indicative note value on the immediately preceding day times (2) 0.43% divided by (3) 365.

Barclay is the agent.

The issuer plans to apply to list the ETNs on the Nasdaq Stock Market under the symbol “TAPR.”

The Cusip number is 06742W570.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.