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Barclays plans iPath U.S. Treasury 10-year bear exchange-traded notes
By Jennifer Chiou
New York, Aug. 6 - Barclays Bank plc plans to issue from time to time 0% iPath U.S.Treasury 10-year bear exchange-traded notes due 2020 linked to the Barclays Capital 10Y US Treasury Futures Targeted Exposure index, according to a 424B3 filing with the Securities and Exchange Commission.
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 notes may be redeemed at anytime, subject to a minimum of at least 50,000 of notes.
The inception date for the notes (Cusip 06740L451) is to be determined.
The notes will be listed under "DTYS" on the NYSE Arca.
Barclays Capital Inc. will be the agent.
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