By Angela McDaniels
Tacoma, Wash., April 23 - Barclays Bank plc registered to sell $250 million of Barclays OFI SteelPath MLP exchange-traded notes due May 6, 2044 linked to the volume-weighted average price of the Barclays OFI SteelPath Midstream MLP index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it sold a portion of the notes at par of $25 and will sell the remainder from time to time at varying prices.
The notes are meant to provide exposure to midstream assets while reducing correlation to oil and gas prices, according to a news release from Barclays and OFI Global Asset Management.
The index is designed to track the performance of a basket of direct interests in up to 35 master limited partnerships and limited liability companies organized in the United States that are classified in the midstream oil and gas category or liquid petroleum and natural gas shippers category.
The index constituents are selected using the OFI SteelPath Midstream MLP Strategy developed by OFI SteelPath, Inc. based on certain eligibility criteria, including distribution payment history, lower relative correlation to oil and natural gas prices and size as measured by free-float market capitalization and average daily trading value.
Barclay is the agent.
The issuer has applied to list the notes on the NYSE Arca under the ticker symbol "OSMS."
Coupon
Each quarter, the notes will pay a coupon equal to the accrued dividend minus the accrued investor fee.
The accrued dividend was zero on the initial valuation date. On any subsequent day, it equals the accrued dividend on the immediately preceding calendar day plus the dollar dividend value on that calendar day minus the coupon adjustment dividend amount on that calendar day.
The dollar dividend equals the index dividend - an amount that represents the aggregate cash value of distributions that a hypothetical person holding the index constituents in proportion to their weights would have been entitled to receive - divided by the VWAP factor.
The VWAP factor is 5.254. This equals the initial VWAP level, 131.35, divided by the notes' $25 face amount. On any day, the VWAP level is the sum of the products of each index constituent's consolidated volume-weighted average price and the number of units of that index constituent.
On any calendar day that is not a coupon ex-date, the coupon adjustment dividend amount equals zero. On any calendar day that is a coupon ex-date, the coupon adjustment dividend amount equals the accrued dividend on the coupon valuation date immediately preceding that coupon ex-date.
Investor fee
The accrued investor fee on the initial valuation date was zero. On any subsequent calendar day, it equals the accrued investor fee on the immediately preceding calendar day plus the daily fee value on that calendar day minus the coupon adjustment fee amount on that calendar day.
The daily fee value on any calendar day is equal to the product of (1) the closing VWAP level on that calendar day divided by the VWAP factor and (2) 0.85% divided by 365.
On any calendar day that is not a coupon ex-date, the coupon adjustment fee amount is zero. On any calendar day that is a coupon ex-date, it equals the coupon adjustment dividend amount on that coupon ex-date if the coupon amount is zero or the accrued investor fee on the coupon valuation date immediately preceding that coupon ex-date if the coupon amount is greater than zero.
Closing indicative value
The payout at maturity will be the final closing indicative value, which will reflect the applicable closing VWAP level calculated by reference to the arithmetic mean of the VWAP levels as of the close of trading on each of the five index business days from and including the final valuation date.
The closing indicative value for each ETN on any given day equals the ETN current value on that day plus the accrued dividend on that day minus the accrued investor fee on that day.
The ETN current value on the initial valuation date was $25. On any subsequent calendar day, it equals the closing VWAP level on that day divided by the VWAP factor.
Redemption
The ETNs are putable at any time subject to a minimum of 50,000 ETNs and a redemption charge equal to 0.125% of the closing indicative value.
The issuer may redeem the ETNs in whole but not in part at any time.
| Issuer: | Barclays Bank plc
|
| Issue: | Barclays OFI SteelPath MLP ETNs
|
| Underlying index: | Barclays OFI SteelPath Midstream MLP index
|
| Amount: | Up to $250 million
|
| Maturity: | May 6, 2044
|
| Coupon: | Payable quarterly in an amount based on the index dividend - the aggregate cash value of distributions that a hypothetical person holding the index constituents in proportion to their weights would have been entitled to receive - divided by 5.254
|
| Face amount: | $25
|
| Payout at maturity: | Amount equal to final closing indicative value
|
| Put option: | At any time subject to minimum of 50,000 ETNs and 0.125% redemption charge
|
| Call option: | In whole at any time
|
| Inception date: | April 23
|
| Settlement date: | April 28 for initial issuance
|
| Agent: | Barclays
|
| Expected listing: | NYSE Arca: OSMS
|
| Cusip: | 06742K618
|
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