By Angela McDaniels
Tacoma, Wash., July 11 - Barclays Bank plc priced $250 million of 0% iPath U.S. Treasury 5-year Bull exchange-traded notes due July 12, 2021 linked to the Barclays Capital 5Y US Treasury Futures Target Exposure index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it planned to sell a portion of the notes at par of $50 on the inception date. The remainder will be sold from time to time at varying prices.
The payout at maturity will be the closing indicative value of the notes on the final valuation date.
The closing indicative note value on the inception date was $50. On each subsequent day, it will equal the closing indicative note value on the preceding day plus the daily index performance amount plus the daily interest minus the daily investor fee.
The daily index performance is (1) the product of (a) $0.10 multiplied by (b) the closing level of the index on that day minus the closing level on the preceding day (2) minus the index rolling cost on that day.
The index rolling cost is $0.005 on roll days and zero on non-roll days. Roll days occur over three consecutive business days in February, May, August and November of each year. The net effect of the index rolling cost accumulates over time and is subtracted at the rate of $0.06, or 0.12% of par, per year.
The daily interest is the closing indicative note value on the preceding day times the most recent weekly investment rate for 28-day U.S. Treasury bills divided by 360.
The daily investor fee is the closing indicative note value on the preceding day times 0.75% divided by 365.
The notes are putable, subject to a minimum of 50,000 notes.
The issuer plans to apply to list the notes on the NYSE Arca under the ticker symbol "DFVL."
The level of the index is designed to increase by about 1 point for every 0.01% decrease in the five-year Treasury yield and to decrease by about 1 point for every 0.01% increase in the five-year Treasury yield. The issuer noted that each one point decrease in the level of the index will result in a $0.10 decrease per ETN in the repayment amount at maturity or upon redemption.
Barclays Capital Inc. is the agent and will not receive a commission. BlackRock Fund Distribution Co. may receive a portion of the daily investor fee for marketing services.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath U.S. Treasury 5-year Bull ETNs
|
| Underlying index: | Barclays Capital 5Y US Treasury Futures Target Exposure index
|
| Amount: | $250 million
|
| Maturity: | July 12, 2021
|
| Coupon: | 0%
|
| Price: | Par of $50
|
| Payout at maturity: | Amount equal to final closing indicative note value, which on any day equals closing indicative note value on preceding day plus daily index performance amount plus daily interest based on weekly investment rate for 28-day U.S. Treasury bills minus daily investor fee of about 0.75% per year
|
| Daily index performance: | (1) Product of (a) $0.10 multiplied by (b) closing index level minus closing index level on preceding day (2) minus index rolling cost on that day, which is $0.005 on roll days and zero on non-roll days; roll days occur over three consecutive business days in each quarter
|
| Put option: | Subject to minimum of 50,000 notes
|
| Inception date: | July 11
|
| Settlement date: | July 14
|
| Agent: | Barclays Capital Inc.
|
| Fees: | None
|
| Cusip: | 06740P650
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