By Angela McDaniels
Tacoma, Wash., Aug. 26 - Barclays Bank plc priced an additional $100 million principal amount of 0% iPath U.S. Treasury 10-year bear exchange-traded notes due Aug. 13, 2020 linked to the Barclays Capital 10Y US Treasury Futures Targeted Exposure index, according to a 424B2 filing with the Securities and Exchange Commission.
The additional notes have a market price of $67.78 million based on $33.89 per note, which is the average of the high and low prices of the notes reported on NYSE Arca on Aug. 23.
The total principal amount of notes priced is now $350 million. A portion of the notes were sold at par on Aug. 9, 2010. The remainder will be offered and sold from time to time.
The index strategy seeks to capture returns from 10-year Treasury notes through a rolling investment in 10-year 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 was $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 equals (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 equal to the closing indicative note value. 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 daily index performance will equal $0.10 times the difference of the closing level of the index on that day minus the closing level on the preceding day minus the index rolling cost that day.
The daily interest will equal the closing indicative note value on the preceding day times the T-Bill rate divided by 360.
The notes may be put at any time subject to a minimum of 50,000 notes.
The notes are listed on the NYSE Arca under the symbol "DTYS."
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S. Treasury 10-year bear exchange-traded notes
|
| Underlying index: | Barclays Capital 10Y US Treasury Futures Targeted Exposure index
|
| Amount: | $350 million
|
| Maturity: | Aug. 13, 2020
|
| Coupon: | 0%
|
| Face amount: | $50
|
| Payout at maturity: | Amount equal to then-current closing indicative value, which on each day equals closing indicative value on previous day plus daily index performance amount plus daily interest minus daily investor fee of 0.75% per year
|
| Put option: | At any time subject to a minimum of 50,000 notes
|
| Pricing dates: | Aug. 9, 2010 for $250 million; Aug. 26 for $100 million
|
| Settlement dates: | Aug. 12, 2010 for $250 million; Aug. 27 for $100 million
|
| Agent: | Barclays
|
| Fees: | None
|
| Listing: | NYSE Arca: DTYS
|
| Cusip: | 06740L451
|
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