Barclays Bank PLC 2019 Annual Report on Form 20-F 1
DESCRIPTION OF SECURITIES Exhibit 2.2
REGISTERED UNDER SECTION 12 OF THE EXCHANGE ACT
As of December 31, 2019, Barclays Bank PLC (“Barclays,” the “Company,” “we,” “us,” and “our”) had the following classes of securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 (the
“Act”): Senior Debt Securities, Lower Tier 2 Securities and Exchange -Traded Notes.
A. Description of Senior Debt Securities and Lower Tier 2 Securities
As of December 31, 2019, we had the following series of debt securities registered pursuant to Section 12(b) of the Act, which are all listed on the New York Stock Exchange:
Debt Securiti es
(class/ interest
rate)
Principal
Interest
Payment Dates
(in arrear)
Issue Date
Maturity Date
Redemption rights
Par Redemption
Date
(3)
applicable)
Events of Default
Prospectus
Supplement
Indenture
5.140% Lower
Tier 2 Notes due
October 2020
US$1,250,000,000
April 14 and
October 14
October 14,
2010
October 14,
2020
Tax Redemption
(1)
Notice Period:
Not less
than 30 nor more than
60 days’ prior notice.
N/A
Events of Default
(4)
Prospectus
Supplement dated
October 6, 2010
Dated
Subordinated
Debt Securities
Indenture dated
October 12,
2010
2.650% Fixed
Rate Senior
Notes due 2021
US$2,000,000,000
January 11 and
July 11
January 11,
2018
January 11,
2021
Tax Redemption,
(1)
Par Redemption
(2)
Notice Period:
Not less
than 30 nor more than
60 days’ prior notice.
December 11,
2020
Senior Events of
Default
(3)
Prospectus
Supplement dated
January 4, 2018
Senior Debt
Securities
Indenture dated
September 16,
2004
Floating Rate
Senior Notes due
2021 (3 month
USD LIBOR plus
0.46% p.a.)
US$1,000,000,000
January 11, April
11, July 11 and
October 11
January 11,
2018
January 11,
2021
Tax Redemption,
(1)
Par Redemption
(2)
Notice Period:
Not less
than 30 nor more than
60 days’ prior notice.
December 11,
2020
Senior Events of
Default
(3)
Prospectus
Supplement dated
January 4, 2018
Senior Debt
Securities
Indenture dated
September 16,
2004
(1)
Tax Redemption
.”
(2)
Optional Redemption
.”
(3)
Senior Events of Default
” are applicable to the relevant series of debt securities.
(4)
Events of Default
” are applicable to the relevant series of debt securities.
Barclays Bank PLC 2019 Annual Report on Form 20-F 2
The summary set out below of the general terms and provisions of our debt securities does not purport to be complete and is subject to and
qualified by reference to, all of the definitions and provisions of the relevant indenture (as listed in the table above), any supplement to the relevant
indenture and the form of the instrument representing each series of debt securities. Certain terms, unless otherwise defined here, have the
meaning given to them in the relevant indenture
.
General
The 2.650% Fixed Rate Senior Notes due 2021 and the Floating Rate Senior Notes due 2021 are our senior obligations (the “Senior Debt
Securities”). Our 5.140% Lower Tier 2 Notes due October 2020 are our subordinated obligations (the “Lower Tier 2 Debt Securities” and, together
with the Senior Debt Securities, are referred to herein as the “debt securities”).
Neither the Senior Debt Securities nor the Lower Tier 2 Debt Securities are secured by any assets or property of Barclays Bank PLC or any of its
subsidiaries or affiliates.
Each series of Senior Debt Securities was issued under an indenture, entered into between us and The Bank of New York Mellon, New York Branch,
as “Trustee” (the “Senior Debt Securities Indenture”). The Lower Tier 2 Debt Securities were issued under an indenture, entered into between us
and The Bank of New York Mellon, New York Branch, as Trustee (the “Dated Subordinated Debt Securities Indenture”). With respect to each series
of debt securities, the relevant Senior Debt Securities Indenture or Dated Subordinated Debt Securities Inden ture (as applicable) is set forth in the
table above, and any respective supplements thereto are referred to in this description individually as an “indenture” and collectively as the
“indentures.” The terms of the debt securities include those stated in the relevant indenture and any supplements thereto, and those terms made
part of the relevant indenture by reference to the U.S. Trust Indenture Act of 1939, as amended (the “Trust Indenture Act”). Each series of debt
securities listed in the table above was issued pursuant to an effective registration statement and a related prospectus and prospectus supplement
setting forth the terms of the relevant series of debt securities.
The indentures do not limit the amount of debt securities that we may issue. Unless otherwise provided in the terms of a series of debt securities, a
series may be reopened, without notice to or consent of any holder of outstanding debt securities, for issuances of additional debt securities of that
series. The debt securities of each series and any additional new debt securities of the same series would be treated as a single series for all
purposes under the relevant indenture.
Holders of debt securities have no voting rights except as described below under “
Modification and Waiver,
” “
Senior Events of Default
” and “
Events
of Default
.”
The debt securities are not subject to any sinking fund.
Interest
As of December 31, 2019, we had two categories of registered Senior Debt Securities: (i) fixed rate Senior Debt Securities; and (ii) floating rate
Senior Debt Securities (“Floating Rate Notes”); and one category of registered Lower Tier 2 Debt Securities: fixed rate Lower Tier 2 Securities
(together with the fixed rate Senior Debt Securities, the “Fixed Rate Notes”). The relevant interest rates and interest payment dates of the debt
securities are set out in the table above.
Interest on the Fixed Rate Notes is computed on the basis of a 360 -day year of twelve 30 -day months, and, in the case of the Floating Rate Notes,
on the basis of the actual number of days in each floating rate interest period and a 360 -day year during any floating rate interest period.
Payments
Payment of principal of and interest on the debt securities, so long as the debt securities are represented by global securities, are made in
immediately available funds. If any scheduled fixed rate interest payment date is not a Business Day (as defined below), we will pay interest on the
next succeeding Business Day, but interest on that payment will not accrue during the period from and after the scheduled fixed rate interest
payment date. If any scheduled floating rate interest payment date, other than the maturity date, would fall on a day that is not a Business Day, the
floating rate interest payment date will be postponed to the next succeeding Business Day, except that if that Business Day falls in the next
succeeding calendar month, the floating rate interest payment date will be the immediately preceding Business Day.
Payments in respect of the debt securities are made to holders of record on the close of business on the Business Day immediately preceding each
interest payment date (or, if the debt securities are held in definitive form, the 15
th
interests in the global securities trade in the same-day funds settlement system of DTC, and secondary market trading activity in such interests will
therefore settle in same-day funds. A “Business Day” means any weekday other than one on which banking institutions are authorized or obligated
by law or executive order to close in London, England or The City of New York, United States.
Floating Rate Interest – LIBOR
The Floating Rate Notes bear interest at a floating interest rate, reset quarterly, plus a certain percentage (“margin”) per annum as set forth in the
table above.
The Bank of New York Mellon, acting through its London branch, as Calculation Agent, determines the floating interest rate for each floating rate
interest period by reference to the then-current three -month U.S. dollar London Interbank Offered Rate (“LIBOR”) on the applicable interest
Barclays Bank PLC 2019 Annual Report on Form 20-F 3
determination date. The interest determination date for each floating rate interest period is the second London banking day (being any day on
which dealings in U.S. dollars are transacted in the London interbank market) preced ing the applicable floating rate interest payment date.
Calculation of LIBOR
With respect to any interest determination date, LIBOR is the offered rate for deposits in U.S. dollars having a maturity of three months that appears
on Reuters Page LIBOR01 as of 11:00 a.m., London time, on that interest determination date. If no such rate appears on Reuters Page LIBOR01 on
an interest determination date, LIBOR will be determined for such interest determination date on the basis of the rates at which deposits in U.S.
dollars for the period of three months are offered to prime banks in the London interbank market by the principal London offices of each of four
major reference banks in the London interbank market, as selected and identified by us (the “reference banks”), on that interest determination date
and in a principal amount that is representative for a single transaction in U.S. dollars in that market at that time. If at least two such quotations are
provided, LIBOR on such interest determination date will be the arithmetic mean of those quotations. If fewer than two such quotations are
provided, LIBOR on such interest determination date will be the arithmetic mean of the rates quoted at approximately 11:00 a.m., in the City of New
York, on the interest determination date by three major banks in The City of New York, selected and identified by us, for loans in U.S. dollars to
leading European banks, for a period of three months, commencing on the related interest reset date, and in a principal amount that is
representative for a single transaction in U.S. dollars in that market at that time. If at least two such rates are so provided, LIBOR on the interest
determination date will be the arithmetic mean of such rates. If fewer than two such rates are so provided , LIBOR on the interest determination date
will be equal to LIBOR in effect with respect to the immediately preceding interest determination date.
In this section, “Reuters Page LIBOR01” means the display that appears on Reuters Page LIBOR01 or any page as may replace such page on such
service (or any successor service) for the purpose of displaying London interbank offered rates of major banks for U.S. dollars.
Ranking
Senior Debt Securities
Our Senior Debt Securities constitute our direct, unconditional, unsecured and unsubordinated obligations ranking
pari passu
preference among themselves. In the event of our winding- up or administration, the Senior Debt Securities will rank
pari passu
outstanding unsecured and unsubordinated obligations, present and future, except such obligations as are preferred by operation of law.
Our Lower Tier 2 Debt Securities constitute our direct, unsecured and subordinated obligations ranking
pari passu
themselves and ranking junior in right of payment to the payment of any of our existing and future senior indebtedness. In the event of our winding-
up or administration, the claims of the Trustee, on behalf of the holders of the Lower Tier 2 Debt Securities (but not the rights and claims of the
Trustee in its personal capacity under the Dated Subordinated Debt Securities Indenture), and the holders of the Lower Tier 2 Debt Securities against
us, in respect of such Lower Tier 2 Debt Securities (including any damages or other amounts (if payable)) will be postponed to the claims of all other
creditors of the Company, except for :
(i) claims in respect of existing senior subordinated obligations (as defined in the relevant indenture), capital note claims (as defined in the relevant
indenture) and any other claims ranking or expressed to rank
pari passu
Subordinated Debt Securities Indenture (with all of which excepted claims the Lower Tier 2 Debt Securities shall rank
pari passu
); and
(ii) any other claims ranking junior to the excepted claims referred to in (i) above and/or to claims in respect of notes issued under the Dated
Subordinated Debt Securities Indenture.
The claims of such other creditors, with the exception of the claims specified in (i) and (ii) above, are referred to herein as “Dated Debt Senior
Claims.” Accordingly, no amount will be payable in our winding -up in respect of claims in relation to the Lower Tier 2 Debt Securities until all Dated
Debt Senior Claims admitted in our winding- up have been satisfied.
As of December 31, 2019, the aggregate amount of outstanding indebtedness senior to the Lower Tier 2 Debt Securities is GBP £827,355 million.
No Set-off
Subject to applicable law, the Trustee and holders of the debt securities by their acceptance thereof will be deemed to have waived any right of set-
off or counterclaim with respect to the relevant debt securities or the relevant indenture that they might otherwise have against us.
Redemption
We may, in the circumstances set out below, redeem the debt securities prior to their specified maturity date. Holders of the debt securities have no
right to require us to redeem the debt securities. The debt securities of any series to be redeemed will also stop bearing interest on the relevant
redemption date. We will give prior notice of any proposed redemption to holders of debt securities via DTC, or, if the relevant debt securities are
held in definitive form, to the holders at their addresses shown on the register for such debt securities. The notice period required for any proposed
redemption is set out in the table above.
Notwithstanding the foregoing, we may redeem the Lower Tier 2 Debt Securities only if we have obtained prior regulatory consent for such
redemption to the extent that such consent is required by the Capital Regulations, as defined in the Dated Subordinated Debt Securities Indenture.
Tax Redemption
Barclays Bank PLC 2019 Annual Report on Form 20-F 4
We have the right to redeem any series of debt securities, in whole but not in part, at a redemption price equal to 100% of their principal
amount together with any accrued but unpaid interest, if any, upon the occurrence of certain events related to taxation as described below.
In the case of our Senior Debt Securities, if, as a result of a change in, or amendment to, the tax laws or regulations of the United Kingdom
(or any political subdivision or authority thereof or therein that has the power to tax) (a “Taxing Jurisdiction), including any treaty to which the
relevant Taxing Jurisdiction is a party, or a change in an official application of those tax laws or regulations, including a decision of any court or
tribunal, which becomes effective on or after the date on which the debt securities are issued (or, in the case of additional securities of the same
series, the date on which the original securities are issued), we: (i) become obligated to pay holders any additional amounts (as described belo w
under “
Payment of Debt Security Additional Amounts
”); or (ii) would not be entitled to claim a deduction in respect of any payments in computing
our taxation liabilities or the amount of the deduction would be materially reduced; or (iii) are unable to have losses or deductions set against the
profits or gains, or profits or gains offset by the losses or deductions, of companies with which we are or would otherwise be so grouped for
applicable United Kingdom tax purposes (each such change in law or regula tion or the official application thereof, a “Tax Event”), we may redeem
the affected series of debt securities.
The Lower Tier 2 Debt Securities are redeemable on the same terms except that they do not include the clause set out in (iii) above.
In addition, we may also, at our option, redeem such series of debt securities, in whole but not in part, if we are required to issue definitive
certificated notes in the events specified under the relevant prospectus relating to the termination of a global security and, as a result, we become
obligated to pay holders any additional amounts (as described below under “
Payment of Debt Security Additional Amounts
”).
Optional Redemption
We have the right to redeem certain series of debt securities (as specified in the table above), at our option in whole or in part, the then
outstanding amount of on the Par Redemption Date (as specified in the table above), at an amount equal to 100% of their principal amount
together with accrued but unpaid interest, if any.
Payment of Debt Security Additional Amounts
We will pay any amounts to be paid by us on any series of debt securities without deduction or withholding for, or on account of, any and
all present or future income, stamp and other taxes, levies, imposts, duties, charges , fees, deductions or withholdings (“Taxes”) now or hereafter
imposed, levied, collected, withheld or assessed by or on behalf of a Taxing Jurisdiction, unless the deduction or withholding is required by law. If at
any time a Taxing Jurisdiction requires u s to deduct or withhold Taxes, we will pay the additional amounts of, or in respect of, the principal of, any
premium, if any, and any interest on, the debt securities (“Debt Security Additional Amounts”) that are necessary so that the net amounts paid to
the holders, after the deduction or withholding, shall equal the amounts which would have been payable had no such deduction or withholding
been required. However, certain exceptions are set forth in the relevant prospectus and/or prospectus supplement for a particular series of debt
securities.
The relevant indentures for each series of the debt securities provide that we will not pay Debt Security Additional Amounts for Taxes that
are payable because:
(i) the holder or the beneficial owner of the debt securities is a domiciliary, national or resident of, or engages in business or maintains a
permanent establishment or is physically present in, a Taxing Jurisdiction requiring that deduction or withholding, or otherwise has some
connection with the Taxing J urisdiction other than the holding or ownership of the debt security, or the collection of any payment of, or in respect
of, the principal of, any premium or any interest on, any debt securities of the relevant series;
(ii) except in the case of our winding- up in England, the relevant debt security is presented for payment in the United Kingdom;
(iii) the relevant debt security is presented for payment more than 30 days after the date payment became due or was provided for,
whichever is later, except to the extent that the holder would have been entitled to the Debt Security Additional Amounts on presenting the debt
security for payment at the close of such 30 -day period;
(iv) the holder or the beneficial owner of the relevant debt securities or the beneficial owner of any payment of (or in respect of) principal
of, premium, if any, or any interest on debt securities failed to make any necessary claim or to comply with any certification, identification or other
requirements concerning the nationality, residence, identity or connection with the Taxing Jurisdiction of such holder or beneficial owner, if such
claim or compliance is required by statute, treaty, regulation or administrative practice of the Taxing Jurisdiction as a condition to relief or
exemption from such Taxes;
(v) such Taxes are imposed on a payment to an individual and are required to be made pursuant to the European Union Directive on the
taxation of savings income, adopted on June 3, 2003, or any law implementing or complying with, or introduced in order to conform to, such
Directive;
(vi) the relevant debt security is presented for payment by or on behalf of a holder who would have been able to avoid such deduction or
withholding by presenting the relevant debt security to another payin g agent in a member state of the European Union or elsewhere; or
(vii) if the Taxes would not have been imposed or would have been excluded under one of the preceding points if the beneficial owner of,
or person ultimately entitled to obtain an interest in, the debt securities had been the holder of the debt securities.
However, the Senior Debt Securities Indenture and the debt securities issued pursuant thereto, do not include the exceptions set out under
paragraphs (v) and (vi) above.
Barclays Bank PLC 2019 Annual Report on Form 20-F 5
Modification and Waiver
We and the Trustee may make certain modifications and amendments to the indenture applicable to each series of debt securities
without the consent of the holders of the debt securities. We may make other modifications and amendments with the consent of the holder(s) of
not less than, in the case of the Senior Debt Securities, a majority of, or in the case of the Lower Tier 2 Debt Securities Debt Securities, 66
⁄
3
% in
aggregate principal amount of the debt securities of the series outstanding under the applicable indenture that are affected by the modification or
amendment. However, we may not make any modification or amendment without the consent of the holder of each affected debt security that
would:
●
change the terms of any debt security to change the stated maturity date of its principal amount;
●
change the principal amount of, or any premium, or rate of interest, with respect to any debt security;
●
reduce the amount of principal on a discount debt security that would be due and payable upon an acceleration of the maturity
date of any series of debt securities;
●
change our obligation, or any successor’s, to pay Debt Security Additional Amounts;
●
change the places at which payments are payable or the currency of payment;
●
impair the right to sue for the enforcement of any payment due and payable;
●
reduce the percentage in aggregate principal amount of outstanding debt securities of the series necessary to modify or amend
the relevant indenture or to waive compliance with certain provisions of the relevant indenture and any past event of default or
enforcement event (in each case, as defined in the relevant indenture);
●
change our obligation to maintain an office or agency in the place and for the purposes specified in the relevant indenture;
●
modify the subordination provisions, if any, or the terms and conditions of our obligations in respect of the due and punctual
payment of the amounts due and payable on the debt securities, in either case in a manner adverse to the holders; or
●
modify the foregoing requirements or the provisions of the relevant indenture relating to the waiver of any past event of default
or enforcement event (in each case, as defined in the relevant indenture) or covenants, except as otherwise specified.
In addition, any variations in the terms and conditions of Lower Tier 2 Debt Securities of any series, including modifications relating to
the subordination or redemption provisions of such Lower Tier 2 Debt Securities, can only be made in accordance with the rules and requirements
of the Prudential Regulation Authority, as and to the extent applicable from time to time.
Events of Default
Senior Debt Securities
With respect to the Senior Debt Securities for which “Senior Events of Default” is indicated in the table above, each of the following is a
“Senior Event of Default”:
●
Failure to pay any principal or interest on any Senior Debt Securities of that series within 14 days from the due date for payment
and such failure to pay persists for a further 14 days following written notice from the Trustee or from holders of 25% in
principal amount of the Senior Debt Securities of that series requiring us to make payment, unless such payment was withheld in
order to comply with a law, regulation or order of any court of competent jurisdiction;
●
Breach of any covenant or warranty of the Senior Debt Securities Indenture (other than payment, as stated above) and that
breach is not remedied within 21 days following written notice from the Trustee or from holders of at least 25% in principal
amount of the Senior Debt Securities of that series requiring us to remedy the breach; or
●
Either an English court of competent jurisdiction issues an order which is not successfully appealed within 30 days, or an
effective shareholders’ resolution is validly adopted, for our winding -up (other than under or in connection with a scheme of
reconstruction, merger or amalgamation not involving bankruptcy or insolvency).
If a Senior Event of Default occurs and is continuing, the Trustee or the holders of at least 25% in outstanding principal amount of the
affected series of Senior Debt Securities may declare such Senior Debt Securities to be due and repayable immediately (and such Senior Debt
Securities shall thereby become due and repayable) at their outstanding principal amount (or at such other repayment amount as may be specified
in or determined in accordance with the Senior Debt Securities Indenture) together with accrued interest, if any. The Trustee may at its discretion
and without further notice institute such proceedings as it may think suitable against us to enforce payment. Subject to the provisions includ ed in
the Senior Debt Securities Indenture for the indemnification of the Trustee, the holders of a majority in aggregate principal amount of the
outstanding Senior Debt Securities of the affected series have the right to direct the Trustee to take enforce ment action with respect to that series;
provided that such direction does not conflict with any rule of law or the Senior Debt Securities Indenture, and is not unjustly prejudicial to the
holder(s) of any Senior Debt Securities of that series not taking part in the direction, in either case as determined by the Trustee in its sole
discretion. The Trustee may also take any other action, not inconsistent with the direction, that it deems proper.
The holders of a majority of the aggregate principal amount of the outstanding Senior Debt Securities of any affected series may also waive
any past Event of Default with respect to the affected series, except any default in respect of either:
●
the payment of principal of, or any premium or interest on, any Senior Debt Securities; or
Barclays Bank PLC 2019 Annual Report on Form 20-F 6
●
a covenant or provision of the Senior Debt Securities Indenture which cannot be modified or amended without the consent of
each holder of Senior Debt Securities of the series.
Subject to exceptions, the Trustee may (but is not obligated to), without the consent of the holders, waive or authorize an Event of Default
if, in the opinion of the Trustee, such waiver or authorization would not be materially prejudicial to the interests of the holders.
The Trustee must give notice to each affected holder within 90 days of a default with respect to the Senior Debt Securities of any series,
unless the default has been cured or waived. However, except in the case of a default in the payment of the principal of, or premium, if any, or
interest, if any, on the Senior Debt Securities, the Trustee will be entitled to withhold notice if a trust committee of responsible officers of the
Trustee determine in good faith that withholding of notice is in the interest of the holders.
Debt Securities Indenture.
Notwithstanding any contrary provisions, nothing shall impair the right of a holder, absent the holder’s consent, to sue for any payments
due but unpaid with respect to the Senior Debt Securities.
Lower Tier 2 Debt Securities
If (i) a court of competent jurisdiction issues an order which is not successfully appealed within 30 days, or (ii) an effective shareholders’
resolution is validly adopted, for our winding -up (in each case, other than under or in connection with a scheme of reconstruction, merger or
amalgamation not involving a bankruptcy or insolvency), that order or resolution will constitute an “Event of Default” with respect to the Lower
Tier 2 Debt Securities. Subject to certain limitations relating to the subordination of the notes (including those limitations set forth in “
Ranking
”
above), if an Event of Default occurs and is continuing, the Trustee or the holders of at least 25% in aggregate principal amount of the outstanding
Lower Tier 2 Debt Securities may declare the principal amount of, and any accrued but unpaid interest on, the Lower Tier 2 Debt Securities to
become immediately due and payable. However, after this declaration, but before the Trustee obtains a judgment or decree for payment of money
due, the holders of a majority in aggregate principal amount of the outstanding Lower Tier 2 Debt Securities may rescind the declaration of
acceleration and its consequences, but only if the Event of Default has been cured or waived and all payments due, other than those due as a result
of acceleration, have been made.
A “Default” with respect to the Lower Tier 2 Debt Securities shall result if we do not pay any installment of interest upon, or any part of the
principal of, and any premium on, any such Lower Tier 2 Debt Securities on the date on which the payment is due and payable, whether upon
redemption or otherwise, and the failure continues for 14 days. If an Event of Default or Default occurs and is continuing, and such Event of Default
or Default has neither been cured nor waived within a period of 14 days following the provision of notice of such Event of Default or Default to us
from the Trustee, the Trustee may at its discretion and without further notice to us institute proceedings in England (or such other jurisdiction in
which we may be organized) (but not elsewhere) for our winding-up.
Failure to make any payment in respect of the Lower Tier 2 Debt Securities shall not be a Default if the payment is withheld or refused
either:
●
in order to comply with any fiscal or other law or regulation or with the order of any court of competent jurisdiction, in each case
applicable to such payment; or
●
in case of doubt as to the validity or applicability of any such law, regulation or order, in accordance with advice given as to such
validity or applicability at any time before the expiry of the 14-day period by independent legal advisers acceptable to the
Trustee.
In the second case, however, the Trustee may, by notice to us, require us to take action, including proceedings for a court declaration, to
resolve the doubt, if counsel advises it that the action is appropriate and reasonable. In this situation we will take the action promptly and be bound
by any final resolution of the doubt. If the action results in a determination that we can make the relevant payment without violating any law,
regulation or order, then the payment shall become due and payable on the expiration of the 14-day period after the Trustee gives us written notice
informing us of the determination.
By accepting the Lower Tier 2 Debt Securities, each holder and the Trustee will be deemed to have waived any right of set-off or
counterclaim that they might otherwise have against us. No holder of the Lower Tier 2 Debt Securities shall be entitled to proceed directly against
us unless the Trustee has become bound to proceed but fails to do so within a reasonable period and the failure is continuing.
We are required to furnish to the Trustee annually a statement as to our compliance with all conditions and covenants under the Dated
Subordinated Debt Securities Indenture.
Exercise of U.K. Bail-in Power
The Relevant U.K. Resolution Authority (which refers to any authority with the ability to exercise a U.K. Bail-in Power) may exercise the bail-
in tool in respect of Barclays, as issuer, and the Senior Debt Securities. Holders of the Senior Debt Securities are bound by the exercise of any U.K.
Bail-in Power (as defined in the prospectus supplement for the relevant series of Senior Debt Securities) by the Relevant U.K. Resolution Authority.
This is not a waiver of any rights holders of Senior Debt Securities may have at law if and to the extent that any U.K. Bail-in Power is exercised by
the Relevant U.K. Resolution Authority in breach of laws applicable in England.
Barclays Bank PLC 2019 Annual Report on Form 20-F 7
Generally, exercise of any U.K. Bail-in Power by the Relevant U.K. Resolution Authority may result in (i) the reduction or cancellation of all,
or a portion, of the principal amount of, or interest on, the Senior Debt Securities; (ii) the conversion of all, or a portion of, the principal amount of,
or interest on, the Senior Debt Securities into shares or other securities or other obligations of Barclays or another person (and the issue to, or
conferral on, the holder of the relevant Senior Debt Securities of such shares, securities or obligations); and/or (iii) the amendment or alteration of
the maturity of the relevant Senior Debt Securities, or amendment of the amount of interest due on the Senior Debt Securities, or the dates on
which interest becomes payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised, by means of
a variation of the terms of the Senior Debt Securities to give effect to the exercise by the Relevant U.K. Resolution Authority of such U.K. Bail-
in Power.
No repayment of the principal amount of the Senior Debt Securities or payment of interest on the Senior Debt Securities shall become due
and payable after the exercise of any U.K. Bail-in Power by the Relevant U.K. Resolution Authority unless such repayment or payment would be
permitted to be made by Barclays under the laws and regulations of the United Kingdom and the European Union applicable to Barclays.
The exercise of the U.K. Bail-in Power by the Relevant U.K. Resolution Authority with respect to the Senior Debt Securities shall not
constitute a Senior Event of Default.
Upon the exercise of any U.K. Bail-in Power by the Relevant U.K. Resolution Authority with respect to the Senior Debt Securities, (a) the
Trustee shall not be required to take any further directions from holders of the Senior Debt Securities pursuant to the Senior Debt Securities
Indenture which authorizes holders of a majority in aggregate principal amount of the outstanding debt securities of the relevant series of Senior
Debt Securities to direct certain actions relating to the relevant debt securities and (b) the Senior Debt Securities Indenture imposes no duties upon
the Trustee whatsoever with respect to the exercise of any U.K. Bail-in Power by the Relevant U.K. Resolution Authority. Notwithstanding the
foregoing, if, following the completion of the exercise of the U.K. Bail-in Power by the Relevant U.K. Resolution Authority in respect of the Senior
Debt Securities, the Senior Debt Securities remain outstanding (for example, if the exercise of the U.K. Bail-in Power results in only a partial write-
down of the principal of the Senior Debt Securities), then the Trustee’s duties under the Senior Debt Securities Indenture will apply with respect to
the relevant Senior Debt Securities following such completion to the extent agreed by Barclays and the Trustee, pur suant to a supplemental
indenture to the Senior Debt Securities Indenture, or an amendment thereto.
Consolidation, Merger and Sale of Assets; Assumption
We may, without the consent of holders of any outstanding debt securities, consolidate, amalgamate with or merge into any other
corporation, or convey or transfer or lease our properties and assets substantially as an entirety to any Person (as defined below), provided that:
●
the Person formed by such consolidation or amalgamation, or into which Barclays is merged, or the Person which acquires by
conveyance or transfer, or which leases the properties and assets of Barclays substantially as an entirety expressly assumes by
supplemental indenture all of Barclays’ obligations under the outstanding debt securities and the relevant indentures;
●
immediately after giving effect to such transaction, no Senior Event of Default, Event of Default or Default, as applicable, and no event
which, after notice or lapse of time or both, would become a Senior Event of Default, Event of Default or Default, as applicable, shall have
happened and be continuing; and
●
we have delivered to the Trustee an officer’s certificate and an opinion of counsel, each stating that such consolidation, amalgamation,
merger, conveyance or transfer and such supplemental indenture comply with the relevant indenture and that all conditions precedent
relating to such transaction have been complied with.
The successor Person formed by such consolidation or amalgamation or into which Barclays is merged or the Person to which such
conveyance or transfer is made will succeed to and be substituted for, and may exercise every right and power of, Barclays under the relevant
indenture with the same effect as if such successor Person had been named as the issuer, and thereafter, the predecessor Person shall be relieved
of all obligations and covenants under the relevant indenture and the relevant series of debt securities.
In this section, “Person” means any individual, corporation, partnership, joint venture, association, joint-stock company, trust,
unincorporated organization or government or any agency or political subdivision thereof.
Satisfaction and Discharge
When (i) Barclays delivers to the Trustee all outstanding debt securities of any series (other than debt securities which have been replaced
or paid because they were destroyed, lost or stolen) for cancellation, or (ii) all outstanding debt securities of any series have become due and
payable or are by their terms due and payable within one year whether at maturity or are to be called for redemption within one year under
arrangements satisfactory to the Trustee, and in the case of clause (ii) Barclays depo sits or causes to be deposited with the Trustee funds sufficient
to pay and discharge all claims with respect to all outstanding debt securities of any series, including accrued interest thereon, if any, at maturity or
upon redemption of such debt securities, and if in either case, Barclays pays all other sums related to the debt securities of such series payable
under the relevant indenture by Barclays, and Barclays has delivered to the Trustee an officer’s certificate and an opinion of counsel, each stating
that all conditions precedent relating to the satisfaction and discharge of the relevant indenture have been complied with, then the indenture shall
(subject to certain surviving provisions) cease to be of further effect with respect to such series of debt securities, and the Trustee, at Barclays’
expense, shall execute proper instruments acknowledging satisfaction and discharge of the relevant indenture with respect to such series of debt
securities.
Defeasance and Discharge
With respect to the Fixed Rate Notes, at our option, either (1) we shall be deemed to have been discharged from our obligations with respect to
any relevant debt securities after the applicable conditions set forth below have been satisfied, or (2) we shall cease to be under any o bligation to
Barclays Bank PLC 2019 Annual Report on Form 20-F 8
comply with any term, provision or condition set forth for the relevant debt securities, at any time after the applicable conditions set forth below
have been satisfied:
(a)
we shall have deposited or caused to be deposited irrevocably with the Trustee or its agent as trust funds in trust, specifically
pledged as security for, and dedicated solely to, the benefit of the holders of the relevant debt securities and the holders of any
coupons appertaining thereto (i) money in an amount, or (ii) U.S. government obligations which through the payment of
interest and principal in respect thereof in accordance with their terms will provide, not later than the due date of any
payment, money in an amount, or (iii) a combination of (i) and (ii), in each case sufficient, in the opinion (with respect to (ii)
and (iii)) of a nationally recognized firm of independent public accountants expressed in a written certification thereof
delivered to the Trustee, to pay and discharge, and which shall be applied by the Trustee (or any such other qualifying trustee)
to pay and discharge, the principal of (and premium, if any) and interest on, the outstanding debt securities of such series and
any coupons appertaining thereto;
(b)
no event which is, or after notice or lapse of time or both would become, a Senior Event of Default or an Event of Default (as
applicable) with respect to the relevant debt securities shall have occurred and be continuing at the time of such deposit;
(c)
we must deliver to the Trustee an opinion of counsel to the effect that holders of the relevant debt securities of such series will
not recognize income, gain or loss for Federal income tax purposes as a result of such exercise of option and will be subject to
U.S. federal income tax on the same amount and in the same manner and at the same times as would have been the case if
such option had not been exercised, and, in the case of such debt securities being discharged, such opinion shall be
accompanied by a private letter ruling to that effect received from the United States Internal Revenue Service or a revenue
ruling pertaining to a comparable form of transaction to that effect published by the United States Internal Revenue Service;
and
(d)
we shall have delivered to the Trustee an officer’s certificate and an opinion of counsel, each stating that all conditions
precedent have been complied with, and an opinion of counsel to the effect that the exercise of the option set out under this
section would not cause such debt securities to be delisted;
The Trustee and Paying Agent
The Bank of New York Mellon, New York Branch, 240 Greenwich Street, New York, New York 10007, acts as the Trustee under the
indentures and initial principal paying agent for the debt securities.
Governing Law
The debt securities, the Senior Debt Securities Indenture and the Dated Subordinated Debt Securities Indenture are governed by and
construed in accordance with the laws of the State of New York, except that any applicable subordination provisions of the Lower Tier 2 Debt
Securities and the related pro visions in the relevant indenture are governed by and construed in accordance with English law.
Barclays Bank PLC 2019 Annual Report on Form 20-F 9
B. Description of Exchange-Traded Notes
The following description of our Exchange -Traded Notes (the “
ETNs
”) is a summary and does not purport to be complete. It is subject to
and qualified in its entirety by reference to the senior debt securities indenture, dated September 16, 2004 (as may be amended or supplemented
from time to time, the “
Indenture
”), between Barclays Bank PLC (the “
Issuer
”) and The Bank of New York Mellon, as trustee (the “
Trustee
”), which
is incorporated by reference as an exhibit to the Annual Report on Form 20-F of which this Exhibit [ ] is a part.
We encourage you to read the
Indenture for additional information.
The ETNs are part of a series of debt securities entitled “Global Medium-Term Notes, Series A” (the “
medium-term notes
”) that we may
issue under the Indenture from time to time. The ETNs constitute our unsecured and unsubordinated obligations ranking
pari passu
, without any
preference among themselves, with all our other outstanding unsecured and unsubordinated obligations, present and future, except those
obligations as are preferred by operation of law.
The ETNs are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation Scheme or
insured by the FDIC or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other
jurisdiction.
The Indenture does not limit the amount of debt securities that we may issue. We may, without holders’ consent, create and issue
additional securities having the same terms and conditions as a series of ETNs. If there is substantial demand a series of ETNs, we may issue
additional ETNs in that series frequently. We may consolidate the additional securities to form a single class with the outstanding ETNs of any
series. However, we are under no obligation to create or sell additional ETNs at any time, and if we do create or sell additional ETNs, we may limit
such sales and stop selling additional ETNs at any time. We also reserve the right to cease or suspend sales of ETNs from inventory held by our
affiliate Barclays Capital Inc. at any time. If we limit, restrict or stop sales of ETNs, or if we subsequently resume sales of ETNs, the liquidity and
trading price of the relevant ETNs in the secondary market could be materially and adversely affected.
For the purpose of determining wheth er the holders of our medium-term notes, of which the ETNs are a part, are entitled to take any
action under the Indenture, we will treat the principal amount of the ETNs outstanding as their principal amount. Although the terms of the ETNs
may differ from those of the other medium -term notes, holders of specified percentages in principal amount of all medium-term notes, together in
some cases with other series of our debt securities, will be able to take action affecting all the medium-term notes, including the ETNs. This action
may involve changing some of the terms that apply to the medium -term notes, accelerating the maturity of the medium-term notes after a default
or waiving some of our obligations under the Indenture. We discuss these matters under “General Terms of the ETNs—Modification and Waiver”
and “—Events of Default; Limitations on Suits” below.
Unless otherwise specified, references to “holders” in this section mean those who own the ETNs registered in their own names, on the
books that we or the Trustee, or any successor Trustee, as applicable, maintain for this purpose, and not those who own beneficial interests in the
ETNs registered in street name or in the ETNs issued in book-entry form through The Depository Trust Company (“
DTC
”) or another depositary.
References to “we,” “us” or “our” refer to the Issuer.
●
Description of iPath® Bloomberg Commodity Index Total ReturnSM Exchange -Traded Notes,
●
iPath® Bloomberg Lead Subindex Total ReturnSM Exchange -Traded Notes and
●
iPath® Bloomberg Cocoa Subindex Total ReturnSM Exchange -Traded Notes1
●
Description of iPath® S&P GSCI ® Total Return Index Exchange -Traded Notes
●
Description of iPath® US Treasury Steepener Exchange -Traded Notes
●
Description of iPath® US Treasury Flattener Exchange -Traded Notes
●
Description of iPath® US Treasury 2-year Bull Exchange -Traded Notes
●
Description of iPath® US Treasury 2-year Bear Exchange -Traded Notes
●
Description of iPath® US Treasury 5-year Bull Exchange -Traded Notes
●
Description of iPath® US Treasury 5-year Bear Exchange -Traded Notes
●
Description of iPath® US Treasury 10 -year Bull Exchange -Traded Notes
●
Description of iPath® US Treasury 10 -year Bear Exchange -Traded Notes
●
Description of iPath® US Treasury Long Bond Bear Exchange -Traded Notes
●
Description of Barclays I nverse US Treasury Composite Exchange- Traded Notes
●
Description of iPath® Pure Beta Broad Commodity Exchange -Traded Notes
●
Description of iPath® Pure Beta Crude Oil Exchange-Traded Notes
●
Description of iPath® S&P 500 Dynamic VIX Exchange -Traded Notes
●
Description of iPath® S&P MLP Exchange -Traded Notes
●
Description of iPath® Series B S&P GCSI Crude Oil Return Index Exchange -Traded Notes
●
Description of iPath® Series B Bloomberg Agriculture Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Aluminum Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Coffee Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Copper Subindex Total ReturnSM Exchange -Traded Notes,
1
Bullet points to be made into hyperlinks.
Barclays Bank PLC 2019 Annual Report on Form 20-F 10
iPath® Series B Bloomberg Cotton Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Energy Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Grains Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Industrial Metals Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Livestock Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Nickel Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Platinum Subindex Tota l ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Precious Metals Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Softs Subindex Total ReturnSM Exchange -Traded Notes,
iPath® Series B Bloomberg Sugar Subindex Total ReturnSM Exchange -Traded Notes and
iPath® Series B Bloomberg Tin Subindex Total ReturnSM Exchange -Traded Notes
Description of iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM Exchange -Traded Notes
●
Description of iPath® Series B S&P 500® VIX Short-Term FuturesTM Exchange -Traded Notes and
●
iPath® Series B S&P 500® VIX Mid-Term FuturesTM Exchange -Traded Notes
●
Description of Barclays ETN+ S&P VEQTOR™ Exchange -Traded Notes
●
Description of Barclays ETN+ Shiller CAPETM Exchange -Traded Notes
●
Description of Barclays ETN+ Select MLP Exchange -Traded Notes
●
Description of Barclays ETN+ FI Enhanced Europe 50 Exchange-Traded Notes Series C
●
Description of Barclays ETN+ FI Enhanced Global High Yield Exchange-Traded Notes Series B
●
Description of Barclays ETN+ FI Enhanced Europe 50 Exchange-Traded Notes Series B
●
Description of Barclays Women in Leadership Exchange- Traded Notes
●
Description of Barclays Return on Disability Exchange-Traded Notes
●
Description of iPath® Series B Global Carbon Exchange -Traded Notes
●
Description of iPath® Silver Exchange -Traded Notes
●
Description of iPath® Gold Exchange -Traded Notes
●
General Terms of the ETNs
●
Material U.S. Federal Income Tax Considerations
Description of iPath
®
SM
®
SM
Exchange-Traded Notes and iPath
®
SM
Terms defined within this “Description of iPath
®
SM
®
Subindex Total Return
SM
®
SM
defined only with respect to this section.
General
The return on iPath
®
SM
Commodity Index ETNs
”) is linked to the
performance of the Bloomberg Commodity Index Total Return
SM
Commodity
Index
” or the “
BCOM
Index
”). The return on each of iPath
®
Bloomberg Lead Subindex Total Return
SM
Lead ETNs
”) and iPath
®
SM
Traded Notes (“
Cocoa ETNs,
” together with the Commodity Index ETNs and the Lead ETNs, the “
ETNs
”) are linked to the performance of the
Bloomberg Lead Subindex Total Return
SM
SM
, respectively (the “
Sub-Indices
,” and together with
the Commodity Index, the “
Indices
”). The Commodity Index is designed to be a benchmark for commodities as an asset class, and the Sub-Indices
are each designed to be benchmarks for specific types of commodities. Each Index is composed of one or more futures contracts on physical
commodities (the “
index
components
”) and is intended to reflect the returns that are potentially available through an unleveraged investment in
the futures contract or contracts on the physical commodity or commodities comprising the relevant Index plus the rate of interest that could be
earned on cash collateral invested in specified Treasury Bills. The Indices are the exclusive property of UBS Securities LLC (collectively with its
affiliates, “
UBS
”) and its licensor. On July 1, 2014, UBS entered into a commodity index license agreement with Bloomberg Finance L.P., whereby
UBS has engaged Bloomberg’ s services for calculation, publication, administration and marketing of the Bloomberg Commodity Indexes
SM
. Each
Index is now calculated, administered and published by Bloomberg Index Services Limited (“
BISL
” or the “
Index Administrator
” and, collectively
with its affiliates, “
Bloomberg
” and, together with UBS, the “
Index Sponsors
”). The ETNs are traded on the NYSE Arca stock exchange under the
ticker symbols “DJP,” “LD” and “NIB,” respectively.
Inception, Issuance, and Maturity
The Commodity Index ETNs were first sold on June 6, 2006, were first issued on June 9, 2006, and are due on June 12, 2036. The Cocoa
ETNs and the Lead ETNs were each first sold on June 24, 2008, were each first issued on June 27, 2008, and are each due on June 24, 2038.
We refer to June 6, 2006 and June 24, 2008, respectively, as the “
inception
date
,” June 9, 2006 and June 27, 2008, respectively, as the
“
issue
date
” and June 12, 2036 and June 24, 2038, respectively, as the “
maturity
date
.”
If the maturity date for a series of ETNs is not a business day, the maturity date will be the next following business day. If the fifth business
day before this day does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The
Barclays Bank PLC 2019 Annual Report on Form 20-F 11
calculation agent may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing
on a day that would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
Announcement Date
”, and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If a series of ETNs undergoes a split, we will adjust the terms of such series of ETNs accordingly. The record date for the split will be the 9
th
business day after the Announcement Date. Any adjustment of the principal amount of such series of ETNs will be rounded to 8 decimal places.
The split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, we reserve the right to address odd numbers of ETNs of such series (commonly referred to
as “
partials
”) in a commercially reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
business day after the Announcement Date. Any adjustment of principal amount of such series of ETNs will be rounded to 8 decimal places. The
reverse split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, holders who own a number of ETNs of such series on the record date which is not evenly
divisible by the split ratio will receive the same treatment as all other holders of such series of ETNs for the maximum number of ETNs of such
series they hold which is evenly divisible by the split ratio, and we will have the right to compensate holders for their remaining or “partial” ETNs in
a commercially reasonable manner determined by us in our sole discretion. Our current intention is to provide holders with a cash payment for
their partials on the 17
th
of the reverse split-adjusted ETNs on the 14
th
times
minus
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars at maturity that is linked to percentage change in the
value of the Index between the inception date and the final valuation date. The cash payment in U.S. dollars at maturity for the ETNs will be an
amount equal to (1) the principal amount of the ETNs
times
(2) the applicable index factor on the final valuation date
minus
(3) the applicable
investor fee on the final valuation date.
For any series of ETNs, the index factor for the Index underlying the ETNs on the final valuation date will be equal to the final index level
divided by
the initial index level. The initial index level is the closing value of the Index underlying the ETNs on the inception date and the final index
level is the closing value of the Index underlying the ETNs on the final valuation date.
Investor Fee
The investor fee for a series of ETNs on the final valuation date is equal to (1) (a) 0.75% per year (for the period from the inception date to
and including April 30, 2015) and (b) 0.70% per year (for the period beginning the day after April 30, 2015 until the redemption date or the
maturity date)
times
(2) the principal amount of the ETNs
times
(3) the applicable index factor, calculated on a daily basis in the following manner:
The accrued investor fee on the inception date of the ETNs was equal to zero. On each subsequent calendar day until and including April 30, 2015,
the accrued investor fee increased by an amount equal to (1) 0.75% per year
times
(2) the principal amount of the ETNs
times
(3) the applicable
index factor on that day (or, if such day is not a trading, the index factor on the immediately preceding trading day)
divided by
(4) 365. For the
period beginning on, but not including April 30, 2015 and ending on, and including the redemption date, or the maturity date, the accrued investor
fee increases by an amount equal to (1) 0.70% per year
times
(2) the principal amo unt of the ETNs
times
(3) the applicable index factor on that day
(or, if such day is not a trading day, the index factor on the immediately preceding trading day)
divided by
Because the investor fee reduces the amount of return to holders at maturity or upon early redemption, the value of the Index underlying
the ETNs must increase significantly in order for holders to receive at least the principal amount of their investment at maturity or upon early
redemption. If the value of the Index underly ing the ETNs decreases or does not increase sufficiently, holders will receive less than the principal
amount of their investment at maturity or upon early redemption.
Barclays Bank PLC 2019 Annual Report on Form 20-F 12
Payment Upon Holder Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any holder redemption date during the term of the
ETNs, provided that they present at least 30,000 ETNs of the same series for redemption, or their broker or other financial intermediary (such as a
bank or other financial institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption
with those of other investors to reach this minimum. If holders choose to redeem their ETNs on a particular holder redemption date, they will
receive a cash payment in U.S. dollars on such date in an amount equal to the daily redemption value, which is (1) the principal amount of the ETNs
times
(2) the applicable index factor on the applicable valuation date
minus
(3) the applicable investor fee on the applicable valuation date. Holders
must redeem at least 30,000 ETNs of the same series at one time in order to exercise their right to redeem their ETNs on any holder redemption
date. We may from time to time in our sole discretion reduce , in part or in whole, the minimum redemption amount of 30,000 ETNs. Any such
reduction will be applied on a consistent basis for all holders of the relevant ETNs at the time the reduction becomes effective.
The index factor for a series of ETNs on the relevant valuation date is the closing value of the Index underlying such ETNs on that day
divided by
The investor fee is calculated as described in “— Investor Fee.”
In the event that payment upon holder redemption is deferred beyond the original holder redemption date, penalty interest will not accrue
or be payable with respect to that deferred payment.
Payment Upon Issuer Redemption
Prior to maturity, we may, at our sole discretion, choose to redeem the ETNs (in whole but not in part) on any issuer redemption date
during the term of the ETNs. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to the holders of the ETNs not
less than 10 calendar days prior to the issuer redemption date specified by us in such notice. In this scenario, the ETNs will be redeemed on the date
specified by us in such notice. In this scenario, the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no
event prior to the tenth calendar day following the date on which we deliver such notice. If we exercise our right to redeem the ETNs, holders will
receive a cash payment in U.S. dollars on that date in an amount equal to (1) the principal amount of the ETNs
times
(2) the applicable index factor
for that series of ETNs on the applicable valuation date
minus
(3) the investor fee for that series of ETNs on the applicable valuation date.
The index factor for a series of ETNs on the relevant valuation date is the closing value of the Index underlying such ETNs on that day
divided by
The investor fee is calculated as described in “— Investor Fee.”
In the event that payment upon issuer redemption is deferred beyond the original issuer redemption date, penalty interest will not accrue
or be payable with respect to that deferred payment.
Valuation Date
In the case of the Commodity Index ETNs, a valuation date is each business day from June 15, 2006 to June 5, 2036, inclusive (subject to
the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five trading days.
We refer to Thursday, June 5, 2036, as the “
final valuation date
” for the Commodity Index ETNs.
In the case of the Cocoa ETNs and the Lead ETNs, a valuation date is each business day from June 25, 2008 to June 17, 2038, inclusive
(subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five
trading days. We refer to June 17, 2038, as the “
final valuation date
” for these series of ETNs.
Redemption Date
A holder redemption date is the third business day following each valuation date (other than the final valuation date), where the final
redemption date for each series of ETNs will be the third business day following the valuation date that is immediately prior to the final valuation
date for that series of ETNs.
An issuer redemption date is the date specified by us in the issuer redemption notice, which will in no event be prior to the tenth calendar
day following the date on which we deliver such notice.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any holder redemption date. To
redeem their ETNs, holders must instruct their broker or other person with whom they hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” any series of ETNs (in whole but not in part) at our sole discretion without holders’ consent on any
issuer redemption date until and including maturity. If we elect to red eem any series of ETNs, we will deliver written notice of such election to
redeem to DTC and the Trustee not less than ten calendar days prior to the issuer redemption date specified by us in such notice. In this scenario,
the final valuation date will be deemed to be the date specified by us in the notice (subject to postponement in the event of a market disruption
Barclays Bank PLC 2019 Annual Report on Form 20-F 13
event), and the ETNs will be redeemed on the issuer redemption date specified by us in such notice, but in no event prior to the tenth calendar day
following the date on which we deliver such notice.
Market Disruption Event
As set forth under “— Payment at Maturity,” “— Payment Upon Holder Redemption” and “— Payment Upon Issuer Redemption” above,
the calculation agent will determine the value of the relevant Index on each valuation date, including the final valuation date. As described above, a
valuation date for any series of ETNs may be postponed and thus the determination of the value of the relevant Index may be postponed if the
calculation agent determines that, on a valuation date, a market disruption event has occurred or is continuing in respect of any index component.
If such a postponement occurs, the index components unaffected by the market disruption event shall be determined on the scheduled valuation
date and the value of the affected index component shall be determined using the closing value of the affected index component on the first
trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for a series of
ETNs be postponed by more than five trading days.
If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is
continuing o n such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole
discretion of the value of the relevant Index for such day.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption in the trading of any index component which results in a failure by the trading
facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is
used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “limit price”, which means that the daily contract reference price
for such contract has increased or decreased from the prev ious day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility;
●
failure by the Index Sponsors to publish the closing value of the relevant Index or of the applicable trading facility or other price
source to announce or publish the daily contract reference price for one or more index components; or
●
any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have
effected or may effect.
The following events will not be market disruption events:
●
a limitation on the hours or numbers of days of trading on a trading facility on which any index component is traded, but only if
the limitation results from an announced change in the regular business hours of the relevant market; or
●
a decision by a trading facility to permanentl y discontinue trading in any index component.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of a series of ETNs is accelerated, we will pay the default amount in
respect of the principal of that series of ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default
Amount”.
Discontinuance or Modification of an Index
If the Index Sponsors discontinue publication of an Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the value of
the relevant Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such successor index.
If the calculation agent determines that the publication of an Index is discontinued and that there is no successor index, or that the closing
level of an Index is not available because of a market disruption event or for any other reason, on the date on which the value of that Index is
required to be determined, or if for any other reason an Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the relevant Index.
If the calculation agent determines that an Index, the index components of an Index or the method of calculating an Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the Index Sponsors under their existing policies or following a modification of those policies, is due to the
publication of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the
calculation agent will be permitted (but not requi red) to make such adjustments to that Index or method of calculating that Index as it believes are
appropriate to ensure that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the value of an Index and the amount payable at
maturity or upon redemption or otherwise relating to the value of an Index may be made in the calculation agent’s sole discretion.
Business Day
When we refer to a business day with respect to a series of ETNs, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not
a day on which banking institutions in London or New York City generally are authorized or obligated by law, regul ation or executive order to close.
Barclays Bank PLC 2019 Annual Report on Form 20-F 14
Description of iPath
®
®
Terms defined within this “Description of iPath
®
®
section.
General
The return on the iPath
®
®
ETNs
”) is linked to the performance of the S&P GSCI
®
Total Return Index (the “
Index
”). The Index is composed of one or more futures contracts on physical commodities (the “
index
components
”) and
reflects the excess returns that are potentially available through an unleveraged investment in the futures contracts comprising the S&P GSCI
®
Commodity Index (the “
S&P GSCI
”),
plus
futures contracts. The S&P GSCI
is an index on a production -weighted basket of futures contracts on physical commodities traded on trading
facilities in major industrialized countries. S&P Dow Jones Indices LLC (“
SPDJI
” or the “
Index Sponsor
”) is responsible for calculating, publishing
and maintaining the Index. The ETNs are traded on The New York Stock Exchange under the ticker symbol “GSP.”
Inception, Issuance, and Maturity
The ETNs were first sold on June 6, 2006 (the “
inception
date
”), were first issued on June 9, 2006 (the “
issue
date
”) and are due on June
12, 2036 (the “
maturity
date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and theref ore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
Announcement Date
”, and we will issue a notice to holders of the ETNs and a press release announcing the split or reverse split, specifying the
effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the Announcement Date. Any adjustment of the principal amount of the ETNs will be rounded to 8 decimal places. The split will become effective
at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbe rs of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
Announcement Date. Any adjustment of principal amount of the ETNs will be rounded to 8 decimal places. The reverse split will become effective
at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split of the ETNs, holders who own a number of the ETNs on the record date which is not evenly divisible by the
split ratio will receive the same treatment as all other holders for the maximum number of the ETNs they hold which is evenly divisible by the split
ratio, and we will have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us
in our sole discretion. Our current intention is to provide holders with a cash payment for such partial ETNs on the 17
th
Announcement Date in an amount equal to the appropriate percentage of the principal amount of the reverse split-adjusted ETNs on the 14
th
business day following the Announcement Date
times
minus
business day.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars at maturity that is linked to percentage change in the
value of the Index between the inception date and the final valuation date. The cash payment in U.S. dollars at maturity for the ETNs will be an
amount equal to (1) the principal amount of the ETNs
times
(2) the index factor on the final valuation date
minus
valuation date.
The index factor for the ETNs on the final valuation date will be equal to the final index level
divided by
index level is the closing value of the Index on the inception date and the final index level is the closing value of the Index on the final valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 15
Investor Fee
The investor fee for the ETNs on the final valuation date is equal to (1) (a) 0.75% per year (for the period from the inception date to and
including April 30, 2015) and (b) 0.70% per year (for the period beginning the day after April 30, 2015 until the redemption date or the maturity
date)
times
times
accrued investor fee on the inception date was equal to zero. On each subsequent calendar day until and including April 30, 2015, the accrued
investor fee increased by an amount equal to (1) 0.75% per year
times
(2) the principal amount of the ETNs
times
that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day)
divided by
(4) 365. For the period
beginning on, but not including April 30, 2015 and ending on, and including the redemption date, or the maturity date, the accrued investor fee
increases by an amount equal to (1) 0.70% per year
times
(2) the principal amount of the ETNs
times
(3) the applicable index factor on that day
(or, if such day is not a trading day, the index factor on the immediately preceding trading day)
divided by
(4) 365.
Because the investor fee reduces the amount of return to holders at maturity or upon early redemption, the value of the Index must
increase significantly in order for holders to receive at least the principal amount of their investment at maturity or upon early redemption. If the
value of the Index decreases or does not increase sufficiently, holders will receive less than the principal amount of their investment at maturity or
upon early redemption.
Payment Upon Holder Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any holder redemption date during the term of the
ETNs, provided that they present at least 30,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other
financial institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of
other investors to reach this minimum. If holders choose to redeem their ETNs on a particular holder redemption date, they will receive a cash
payment in U.S. dollars on that date in an amount equal to the daily redemption value, which is (1) the principal amount of the ETNs
times
applicable index factor on the applicable valuation date
minus
30,000 ETNs at one time in order to exercise their right to redeem their ETNs on any holder redemption date. We may from time to time in our sole
discretion reduce, in part or in whole, the minimum redemption amount of 30,000 ETNs. Any such reduction will be applied on a consistent basis
for all holders of the relevant ETNs at the time the reduction becomes effective.
The index factor for the ETNs on the relevant valuation date is the closing value of the Index on that day
divided by
the initial index level.
The initial index level is the closing value of the Index on the inception date.
The investor fee is calculated as described in “— Investor Fee.”
In the event that payment upon holder redemption is deferred beyond the original holder redemption date, penalty interest will not accrue
or be payable with respect to that deferred payment.
Payment Upon Issuer Redemption
Prior to maturity, we may, at our sole discretion, choose to redeem the ETNs ( in whole but not in part) on any issuer redemption date
during the term of the ETNs. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to the holders of the ETNs not
less than 10 calendar days prior to the issuer redemption date specified by us in such notice. In this scenario, the ETNs will be redeemed on the date
specified by us in such notice. In this scenario, the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no
event prior to the tenth calendar day following the date on which we deliver such notice. If we exercise our right to redeem the ETNs, holders will
receive a cash payment in U.S. dollars on that date in an amount equal to (1) the principal amount of the ETNs
times
(2) the applicable index factor
on the applicable valuation date
minus
(3) the investor fee on the applicable valuation date.
The index factor on the relevant valuation date is the closing value of the Index on that day
divided by
level is the closing value of the Index on the inception date.
The investor fee is calculated as described in “— Investor Fee.”
In the event that payment upon issuer redemption is deferred beyond the original issuer redemption date, penalty interest will not accrue
or be payable with respect to that deferred payment.
Valuation Date
A valuation date is each business day from June 15, 2006 to June 5, 2036, inclusive (subject to the occurrence of a market disruption
event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five trading days We refer to Thursday, June 5, 2036, as
the “
final valuation date
”.
Redemption Date
A holder r edemption date is the third business day following each valuation date (other than the final valuation date), where the final
redemption date for the ETNs will be the third business day following the valuation date that is immediately prior to the final valuation date.
An issuer redemption date is the date specified by us in the issuer redemption notice, which will in no event be prior to the tenth calendar
day following the date on which we deliver such notice.
Barclays Bank PLC 2019 Annual Report on Form 20-F 16
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any holder redemption date. To
redeem their ETNs, holders must instruct their broker or other person with whom they hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any issuer
redemption date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to DTC and
the Trustee not less than ten calendar days prior to the issuer redemption date specified by us in such notice. In this scenario, the final valuation
date will be deemed to be the date specified by us in the notice (subject to postponement in the event of a market disruption event), and the ETNs
will be redeemed on the issuer redemption date specified by us in such notice, but in no event prior to the tenth calendar day following the date on
which we deliver such notice.
Market Disruption Event
As set forth under “— Payment at Maturity,” “— Payment Upon Holder Redemption” and “— Payment Upon Issuer Redemption” above,
the calculation agent will determine the value of the Index on each valuation date, including the final valuation date. As described above, a valuation
date may be postponed and thus the determination of the value of the Index may be postponed if the calculation agent determines that, on a
valuation date, a market disruption event has occurred or is continuing in respect of any index component. If such a postponement occurs, the
index components unaffected by the market disruption event shall be determined on the scheduled valuation date and the value of the affected
index component shall be determined using the closing value of the affected index component on the first trading day after that day on which no
market disruption event occurs or is continuing. In no event, however, will a valuation date be postponed by more than five trading days.
If a valuation date is postponed until the fifth trading day following the scheduled valuation date, but a market disruption event occurs or is
continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole
discretion of the value of the Index for such day.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption in the trading of any index component which results in a failure by the Trading
Facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that
is used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “limit price”, which means that the daily contract reference price
for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant Trading Facility;
●
failure by the Index Sponsor to publish the closing value of the Index or of the applicable Trading Facility or other price source to
announce or publish the daily contract reference price for one or more index components; or
●
any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have
effected or may effect.
The following events will not be market disruption events:
●
a limitation on the hours or numbers of days of trading on a Trading Facility on which any index component is traded, but only if
the limitation results from an announced change in the regular business hours of the relevant market; or
●
a decision by a Trading Facility to permanently discontinue trading in any index component.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the Index Sponsor discontinues publication of the Index and it or any other person or entity publishes an index that the calculation agent
determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the value of the
Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing
level of the Index is not available because of a market disruption event or for any other reason, on the date on which the value of that Index is
required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the Index.
If the calculation agent determines that the Index, the index components of the Index or the method of calculating the Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the Index Sponsor under its existing policies or following a modification of those policies, is due to the publication
Barclays Bank PLC 2019 Annual Report on Form 20-F 17
of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will
be permitted (but not required) to make such adjustments to that Index or method of calculating that Index as it believes are appropriate to ensure
that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the value of the Index and the amount payable at
maturity or upon redemption or otherwise relating to the value of the Index may be made in the calculation agent’s sole discretion.
Business Day
When we refer to a business day, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in London or New York City generally are authorized or obligated by law, regulation or executive order to close.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays US
Treasury 2Y/10Y Yield Curve Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available from a
“steepening” or “flattening”, as applicable, of the U.S. Treasury yield curve through a notional rolling investment in U.S. Treasury note futures
contracts (“
Treasury futures contracts
”). Specifically, the level of the Index is expected to increase in response to a “steepening” of the U.S.
Treasury yield curve and to decrease in response to a “flattening” of the yield curve. The Index was created by Barclays Bank PLC, which is the
owner of the intellectual property and licensing rights relating to the Index (the “
index owner
”). The Index is administered and published by
Barclays Index Administration (the “
index sponsor
”), a distinct function within the Investment Bank of Barclays Bank PLC. The index sponsor has
appointed a third-party index calculation agent (the “
index
calculation
agent
”), currently Bloomberg Index Services Limited (formerly known as
Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE
BZX
”) under the ticker symbol “STPP.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The “
record date
” for the split will be the 9th business day
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 18
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is $0.10.
The “
index rolling cost”
ETN will equal $0.01. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.12 per year, or 0.24% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to the 2-year Treasury futures contracts or
holders of a “short” position in relation to the 10 -year Treasury futures contracts might expect to incur as part of the roll process during each
quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to the 2-year Treasury futures
contracts or holders of a “short” position in relation to the 10 -year Treasury futures contracts might receive if, on any calendar day, they were to
invest the value of the ETNs in an interest-bearing bank account while their payment obligations on the relevant long or short positions in the
Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemptio n, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “STPP.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
Barclays Bank PLC 2019 Annual Report on Form 20-F 19
The “
final valuation date
” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“
Scheduled trading day
” means any day on which (a) the value of the Index is published, and (b) trading is generally conducted on the
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Barclays Bank PLC 2019 Annual Report on Form 20-F 20
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays US
Treasury 2Y/10Y Yield Curve Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available from a
“steepening” or “flattening”, as applicable, of the U.S. Treasury yield curve through a notional rolling investment in U.S. Treasury note futures
contracts (“
Treasury futures contracts
”). Specifically, the level of the Index is expected to increase in response to a “steepening” of the U.S.
Treasury yield curve and to decrease in response to a “flattening” of the yield curve. The Index was created by Barclays Bank PLC, which is the
owner of the intellectual property and licensing rights relating to the Index (the “
index owner
”). The Index is administered and published by
Barclays Index Administration (the “
index sponsor
”), a distinct function within the Investment Bank of Barclays Bank PLC. The index sponsor has
appointed a third-party index calculation agent (the “
index calculation agent
”), currently Bloomberg Index Services Limited (formerly known as
Barclays Bank PLC 2019 Annual Report on Form 20-F 21
Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE
BZX
”) under the ticker symbol “FLAT.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 ( the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The “
record date”
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the openin g of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holder s with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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 per formance amount
plus
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is –$0.10. The index multiplier is set as a negative value in order for the ETNs to generate a positive return in
response to a decrease in the Index level and to generate a negative return in response to an increase in the Index level, as applicable.
The “
index rolling cost”
ETN will equal $0.01. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.12 per year, or 0.24% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to the 2-year Treasury futures contracts or
holders of a “short” position in relation to the 10 -year Treasury futures contracts might expect to incur as part of the roll process during each
quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to the 2-year Treasury futures
contracts or holders of a “short” position in relation to the 10 -year Treasury futures contracts might receive if, on any calendar day, they were to
Barclays Bank PLC 2019 Annual Report on Form 20-F 22
invest the value of the ETNs in an interest-bearing bank account while their payment obligations on the relevant long or short positions in the
Treasu ry futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preced ing calendar day times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75% per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “FLAT.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on CBOE BZX and (3) it is
a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
The “
final valuation date
” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
Barclays Bank PLC 2019 Annual Report on Form 20-F 23
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event o ccurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Barclays Bank PLC 2019 Annual Report on Form 20-F 24
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor disco ntinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays 2Y US
Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available
from an increase or decrease, as applicable, in the yields available to investors purchasing 2-year U.S. Treasury notes through a notional rolling
investment in 2-year U.S. Treasury note futures contracts (“
2-year Treasury futures contracts
”). Specifically, the level of the Index is expected to
increase in response to a decrease in 2 -year U.S. Treasury note yields and to decrease in response to an increase in 2-year U.S. Treasury note yields.
The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the “
index
owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “index calculation agent”),
currently Bloom berg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DTUL.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
Barclays Bank PLC 2019 Annual Report on Form 20-F 25
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become effective at
the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the re verse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is $0.10.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 2-year Treasury futures contracts might
expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 2-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28 -day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DTUL.IV”. As the intraday indicative note value is calculated using the closing indicative note
Barclays Bank PLC 2019 Annual Report on Form 20-F 26
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
The “
final valuation date
” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
Barclays Bank PLC 2019 Annual Report on Form 20-F 27
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upo n redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Barclays Bank PLC 2019 Annual Report on Form 20-F 28
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays 2Y US
Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available
from an increase or decrease, as applicable, in the yields available to investors purchasing 2-year U.S. Treasury notes through a notional rolling
investment in 2-year U.S. Treasury note futures contracts (“
2-year Treasury futures contracts
”). Specifically, the level of the Index is expected to
increase in response to a decrease in 2 -year U.S. Treasury note yields and to decrease in response to an increase in 2-year U.S. Treasury note yields.
The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the “
index
owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation agent
”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DTUS.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The “
record date
” for the split will be the 9th business day
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
Barclays Bank PLC 2019 Annual Report on Form 20-F 29
The “
index multiplier
” is –$0.10. The index multiplier is set as a negative value in order for the ETNs to generate a positive return in
response to a decrease in the Index level and to generate a negative return in response to an increase in the Index level, as appl icable.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 2-year Treasury futures contracts might
expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 2-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recen t weekly investment rate for 28 -day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monda y that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbo l “DTUS.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
The “
final valuation date
” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Barclays Bank PLC 2019 Annual Report on Form 20-F 30
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contr acts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portio n of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disrup tion event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, hold ers may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemptio n dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
Barclays Bank PLC 2019 Annual Report on Form 20-F 31
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of US Treasury 5-year Bull Exchange-Traded Notes” section are defined only with respect to this section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays 5Y US
Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available
from an increase or decrease, as applicable, in the yields available to investors purchasing 5-year U.S. Treasury notes through a notional rolling
investment in 5-year U.S. Treasury note futures contracts (“
5-year Treasury futures contracts
”). Specifically, the level of the Index is expected to
increase in response to a decrease in 5 -year U.S. Treasury note yields and to decrease in response to an increase in 5-year U.S. Treasury note yields.
The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the “
index
owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation agent
”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DFVL.”
Inception, Issuance and Maturity
The ETNs were first sold on July 11, 2011 (the “
inception
date
”). The ETNs were first issued on July 14, 2011 (the “
issue
date
”), and will be
due on July 12, 2021 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Barclays Bank PLC 2019 Annual Report on Form 20-F 32
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not ob ligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly.The “
record date
” for the split will be the 9th business day
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is $0.10.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 5-year Treasury futures contracts might
expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 5-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or ear ly
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
Barclays Bank PLC 2019 Annual Report on Form 20-F 33
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DFVL.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from July 11, 2011 to July 2, 2021, inclusive, subject to postponement due to the occurrence of a
market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is July 11, 2011.
The “
final valuation date
” for the ETNs is July 12, 2021.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferre d payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
Barclays Bank PLC 2019 Annual Report on Form 20-F 34
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageu rs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
Barclays Bank PLC 2019 Annual Report on Form 20-F 35
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reaso n, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performanc e of the Barclays 5Y US
Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available
from an increase or decrease, as applicable, in the yields available to investors purchasing 5 -year U.S. Treasury notes through a notional rolling
investment in 5-year U.S. Treasury note futures contracts (“
5-year Treasury futures contracts
”). Specifically, the level of the Index is expected to
increase in response to a decrease in 5 -year U.S. Treasury note yields and to decrease in response to an increase in 5-year U.S. Treasury note yields.
The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the “
index
owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation agent
”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DFVS.”
Inception, Issuance and Maturity
The ETNs were first sold on July 11, 2011 (the “
inception
date
”). The ETNs were first issued on July 14, 2011 (the “
issue
date
”), and will be due on
July 12, 2021 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not ob ligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordin gly. The “
record date
” for the split will be the 9
th
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials o n the 17
th
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
Barclays Bank PLC 2019 Annual Report on Form 20-F 36
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is –$0.10. The index multiplier is set as a negative value in order for the ETNs to generate a positive return in
response to a decrease in the Index level and to generate a negative return in response to an increase in the Index level, as applicable.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 5-year Treasury futures contracts might
expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 5-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DFVS.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from July 11, 2011 to July 2, 2021, inclusive, subject to postponement due to the occurrence of a
market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is July 11, 2011.
The “
final valuation date
” for the ETNs is July 2, 2021.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
Barclays Bank PLC 2019 Annual Report on Form 20-F 37
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes w ith our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
Barclays Bank PLC 2019 Annual Report on Form 20-F 38
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the forego ing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modifica tion of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount pay able by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays 10Y US
Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially available
from an increase or decrease, as applicable, in the yields available to investors purchasing 10 -year U.S. Treasury notes through a notional rolling
investment in 10 -year U.S. Treasury note futures contracts (“
10-year Treasury futures contracts
”). Specifically, the level of the Index is expected to
increase in response to a decrease in 10 -year U.S. Treasury note yields and to decrease in response to an increase in 10 -year U.S. Treasury note
yields. The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the
“
index owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “index calculation agent”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DTYL.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Barclays Bank PLC 2019 Annual Report on Form 20-F 39
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become effective at
the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is $0.10.
The “index rolling cost” for each ETN on any calendar day that is not a roll day will equal $0. On any roll day, the index rolling cost for each
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February , May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 10-year Treasury futures contracts
might expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 10-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “T-Bill rate” will equal the most recent weekly investment rate for 28- day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
Barclays Bank PLC 2019 Annual Report on Form 20-F 40
The “daily investor fee” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day times
(2) the fee rate divided by (3) 365. Because the daily investor fee is calculated and subtracted from the closing indicative note value on a daily basis,
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75% per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DTYL.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally cond ucted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “initial valuation date” for the ETNs is August 9, 2010.
The “final valuation date” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
Barclays Bank PLC 2019 Annual Report on Form 20-F 41
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contra cts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modification. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemp tion is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
Barclays Bank PLC 2019 Annual Report on Form 20-F 42
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays 10Y
US Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are potentially
available from an increase or decrease, as applicable, in the yields available to investors purchasing 10 -year U.S. Treasury notes through a notional
rolling investment in 10 -year U.S. Treasury note futures contracts (“
10-year Treasury futures contracts
”). Specifically, the level of the Index is
expected to increase in response to a decrease in 10-year U.S. Treasury note yields and to decrease in response to an increase in 10 -year U.S.
Treasury note yields. The Index was created by Barclay s Bank PLC, which is the owner of the intellectual property and licensing rights relating to the
Index (the “
index owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function
within the Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation
agent
”), currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and
maintain the Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DTYS.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The “
record date
” for the split will be the 9
th
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 43
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is –$0.10. The index multiplier is set as a negative value in order for the ETNs to generate a positive return in
response to a decrease in the Index level and to generate a negative return in response to an increase in the Index level, as applicable.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to 10-year Treasury futures contracts
might expect to incur as part of the roll process during each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to 10-year Treasury futures
contracts might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment
obligations on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this
section. We make no representation or war ranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75% per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DTYS.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
The “
final valuation date
” for the ETNs is August 10, 2020.
Barclays Bank PLC 2019 Annual Report on Form 20-F 44
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the pr imary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates to unwind
all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or nu mber of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for
those contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
Barclays Bank PLC 2019 Annual Report on Form 20-F 45
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early red emption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays
Long Bond US Treasury Futures Targeted Exposure Index™ (the “
Index
”). The Index employs a strategy that seeks to capture returns that are
potentially available from an increase or decrease, as applicable, in the yields available to investors purchasing long-dated U.S. Treasury bonds
(which are U.S. Treasury bonds with a remaining term to maturity of 15 years or more) through a notional rolling investment in U.S. Treasury bond
futures contracts (“
Long Bond futures contracts
”). Specifically, the level of the Index is expected to increase in response to a decrease in long-
dated U.S. Treasury bond yields and to decrease in response to an increase in long- dated U.S. Treasury bond yields. The Index was created by
Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index (the “
index owner
”). The Index is
administered and published by Barclays Index Administra tion (the “
index sponsor
”), a distinct function within the Investment Bank of Barclays
Bank PLC. The index sponsor has appointed a third-party index calculation agent (the “
index calculation agent
”), currently Bloomberg Index
Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the Index. The ETNs are traded
on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “DLBS.”
Inception, Issuance and Maturity
The ETNs were first sold on August 9, 2010 (the “
inception
date
”). The ETNs were first issued on August 12, 2010 (the “
issue
date
”), and
will be due on August 13, 2020 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Barclays Bank PLC 2019 Annual Report on Form 20-F 46
Denomination
The ETNs are in denominations of $50.
Split or Reverse Split of the ETNs
Should the closing indicative note value on any business day be above $100.00, we may, but are not obligated to, initiate a 2 for 1 split of
the ETNs. Should the closing indicative note value on any business day be below $25.00, we may, but are not obligated to, initiate a 1 for 2 reverse
split of the ETNs. If the closing indicative note value is greater than $100.00 or below $25.00 on any business day, and we decide to initiate a split or
reverse split, as applicable, such date shall be deemed to be the “
announcement date
”, and we will issue a notice to holders of the relevant ETNs
and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The “
record date
” for the split will be the 9
th
after the announcement date. Any adjustment of the closing indicative note value will be rounded to 8 decimal places. The split will become
effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner
determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the announcement date. Any
adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of
the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which are not evenly divisible by 2 will receive the
same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by 2, and we will have the right to
compensate holders for their remaining or “partial” ETNs in a manner determined by us in our sole discretion. Our current intention is to provide
holders with a cash payment for their partials on the 17th business day following the record date in an amount equal to the appropriate percentage
of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day 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
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount”
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) the product of (a) the index
multiplier
times
minus
immediately preceding index business day
minus
The “
index multiplier
” is –$0.10. The index multiplier is set as a negative value in order for the ETNs to generate a positive return in
response to a decrease in the Index level and to generate a negative return in response to an increase in the Index level, as applicable.
The “
index rolling cost”
ETN will equal $0.005. Roll days occur over three consecutive index business days, commencing three index business days before the last index
business day in each of the months of February, May, August and November in any given year. The net effect of the index rolling cost accumulates
over time and is subtracted at the rate of $0.06 per year, or 0.12% of the principal amount of each ETN per year. The “index rolling cost” seeks to
represent and approximate a prorated daily amount of costs that holders of a “long” position in relation to Long Bond futures contracts might
expect to incur as part of the roll process d uring each quarterly roll period.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or redemption, the
daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
by (3) 360. The “daily interest” seeks to represent the amount of interest that holders of a “long” position in relation to Long Bond futures contracts
might receive if, on any calendar day, they were to invest the value of the ETNs in an interest-bearing bank account while their payment obligations
on the relevant long positions in the Treasury futures contracts were pending.
The “
T-Bill rate
” will equal the most recent weekly investment rate for 28-day U.S. Treasury bills effective on the immediately preceding
business day in New York City. The weekly investment rate for 28- day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day in New York City, the rate prevailing on the immediately preceding business day in New York
City will apply. The most recent weekly investment rate for 28-day U.S. Treasury bills is currently published by the U.S. Treasury on
http://www.treasurydirect.gov and is also currently available on Bloomberg under the ticker symbol “USB4WIR”. The T-Bill rate is expressed as a
percentage. Information contained on the U.S. Treasury website is not incorpor ated by reference in, and should not be considered a part of, this
section. We make no representation or warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
Barclays Bank PLC 2019 Annual Report on Form 20-F 47
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.75 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.75% per year.
The “
intraday indicative note value
” for the ETNs on any trading day will equal (1) the closing indicative note value on the immediately
preceding calendar day
plus
provided
that
the intraday indicative note value will be $0. The intraday indicative note value will be published by Thompson Reuters (Markets) LLC every 15
seconds on each trading day under the ticker symbol “DLBS.IV”. As the intraday indicative note value is calculated using the closing indicative note
value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect
the daily interest or the daily investor fee that may have accrued over the course of such trading day.
The “
intraday index performance amount
” on any index business day will equal (1) the index multiplier
times
most recently published level of the Index on such index business day
minus
business day.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or
London generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day on which (1) it is an index business day, (2) trading is generally conducted on the CBOE BZX and (3) it
is a business day in New York City, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” is each trading day from August 9, 2010 to August 10, 2020, inclusive, subject to postponement due to the occurrence
of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is August 9, 2010.
The “
final valuation date
” for the ETNs is August 10, 2020.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — of the ETNs if a market disruption event occurs or is continuing on a
day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Market Disruption Events
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in Treasury futures contracts constituting 20% or more, by weight, of the Index;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, Treasury futures contracts constituting 20% or more, by weight, of the Index, or (2)
effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Treasury futures contracts
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market;
●
any scheduled trading day on which (1) the primary markets for Treasury futures contracts constituting 20% or more, by weight,
of the Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded,
fails to open for trading during its regular trading session; or
●
any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates
to unwind all or a portion of a hedge with respect to the securities that we or our affiliates have effected or may effect;
and, in any of these events, the calculation agent determines that the event was material.
Barclays Bank PLC 2019 Annual Report on Form 20-F 48
“Scheduled trading day”
markets on which the Treasury futures contracts are traded, in each case as determined by the calculation agent in its sole discretion.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Treasury futures contract is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for
those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to those contracts, or
●
a disparity in bid and ask quotes relating to those contracts,
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for those
contracts.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Payment Upon Redemption
Prior to maturity, holders may, subject to certain restrictions, redeem their ETNs on any early redemption date during the term of the ETNs,
provided that they present at least 20,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other financial
institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of other
investors to reach this minimum. If holders choose to redeem their ETNs on an early redemption date, they will receive a cash payment in U.S.
dollars per ETN on such date equal to the closing indicative note value on the related valuation date. The early redemption feature is intended to
induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Effective as of August 31, 2017, an “
early redemption date
” for the ETNs is the second business day following each valuation date (other
than the final valuation date). The final early redemption date will be the second business day following the valuation date that is immediately prior
to the final valuation date.
In the event that payment upon redemption is deferred beyond the original early redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any early redemption date. To
redeem their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us
via facsimile or e-mail by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent
will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible
replicate that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reaso n, then the calculation agent will be permitted (but not required) to make such
Barclays Bank PLC 2019 Annual Report on Form 20-F 49
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays Inverse US Treasury Composite Exchange-Traded Notes
Terms defined within this “Description of Barclays Inverse US Treasury Composite Exchange-Traded Notes” section are defined only with respect to
this section.
General
The return of the Barclays Inverse US Treasury Composite Exchange -Traded Notes (the “
ETNs
”) is linked to the performance of the
Barclays Inverse US Treasury Futures Composite Index™ (the “
Index
”). 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 2-year, 5-year, 10 -year, long -bond and ultra-long U.S. Treasury futures
contracts (together, the “
Treasury futures contracts
”). The “
index
components
” are the Treasury futures contracts and the related calendar
spread contracts. The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the
Index (the “
index owner
”). The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function
within the Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation
agent
”), currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and
maintain the Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “TAPR.”
Inception, Issuance and Maturity
The ETNs were first sold on July 14, 2014 (the “
inception date
”). The ETNs were first issued on July 17, 2014 (the “
issue date
”) and will be
due on July 24, 2024 (the “
maturity
date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative note value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative note value will be rounded to 8 decimal places. The reverse split will become effective at
the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative note value of the reverse split-adjusted ETNs on the 14
th
day following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative note value on
the final valuation date.
The “
closing indicative note value
” for each ETN on the inception date was $50. On each subsequent calendar day until maturity or early
redemption, the closing indicative note value for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar
day
plus
plus
(3) the daily interest
minus
provided
that if such calculation results
in a negative value, the closing indicative note value will be $0. If the ETNs undergo a split or reverse split, the closing indicative note value will be
adjusted accordingly.
The “
daily index performance amount
” for each ETN on the initial valuation date and on any calendar day that is not an index business
day will equal $0. On any other index business day, the daily index performance amount for each ETN will equal (1) (a) the closing indicative note
value on the immediately preceding index rebalance date (or for any index business day from the inception date until the first index rebalance date
after the inception date, on the inception date)
times
minus
Barclays Bank PLC 2019 Annual Report on Form 20-F 50
closing level of the Index on the immediately preceding index business day
divided by
preceding index rebalance date
minus
The “
index rolling cost
” for each ETN on any calendar day that is not a roll date will equal $0. On any roll date, the index rolling cost for
each ETN will equal 0.08% times the closing indicative note value on the immediately preceding index rebalance date. The index rolling cost will
accrue on any roll date throughout the term of the ETNs regardless of the performance of the Index, resulting in a fee rate having a cumulative
effect of approximately 0.32% per year. Because the net effect of the index rolling cost is a fixed percentage of the value of each ETN, the aggregate
effect of the index rolling cost will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs that are
held, as applicable.
An “
index rebalance date
” is any index business day that is either a scheduled index rebalance date or an additional index rebalance date,
each as defined under the Index methodology.
A “
roll date
” is the fourth to last index business day of each February, May, August and November.
The “
daily interest
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early redemption,
the daily interest for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
divided
The “
T-Bill rate
” on each calendar day will equal the most recent weekly investment rate for 28 -day U.S. Treasury bills effective on the
immediately preceding business day. The weekly investment rate for 28 -day U.S. Treasury bills is generally announced by the U.S. Treasury on each
Monday; on any Monday that is not a business day, the rate prevailing on the immediately preceding business day will apply. The most recent
weekly investment rate for 28 -day U.S. Treasury bills is currently published by the U.S. Treasury on http://www.treasurydirect.gov and is also
currently available on Bloomberg under the ticker symbol “USB4WIR.” The T-Bill rate is expressed as a percentage. Information contained on the
U.S. Treasury website is not incorporated by reference in, and should not be considered a part of, this section. We make no representation or
warranty as to the accuracy or completeness of information contained on such website.
The “
daily investor fee
” for each ETN on the initial valuation date was $0. On each subsequent calendar day until maturity or early
redemption, the daily investor fee for each ETN will equal (1) the closing indicative note value on the immediately preceding calendar day
times
(2) the fee rate
divided by
the net effect of the daily investor fee accumulates over time and is subtracted at the rate of approximately 0.43 % per year. Because the net effect
of the daily investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the daily investor fee will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
fee rate
” for the ETNs is 0.43%.
An “
index business day
” is a day on which the Chicago Board of Trade (the “
CBOT
”) is open for business other than a day that has been
recommended by the Securities Industry and Financial Markets Association as a “market close” in the United States.
A “
business day
” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City
generally are authorized or obligated by law, regulation or executive order to close.
A “
trading day
” for the ETNs is a day that is an index business day and a business day, in each case as determined by the calculation agent
in its sole discretion.
A “
valuation date
” is each trading day from July 14, 2014 to July 17, 2024, inclusive, subject to postponement due to the occurre nce of a
market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is July 14, 2014.
The “
final valuation date
” for the ETNs is July 17, 2024.
Postponement of Valuation Dates
A valuation date may be postponed and thus the determination of the Index levels may be postponed if the calculation agent determines
that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index.
Any of the following will be a
“market disruption event”
●
a material limitation, suspension or disruption in the trading of any Index component which results in a failure by the trading
facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is
used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “limit price”, which means that the daily contract reference price
for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the index sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the daily contract reference price or closing level for one or more index components.
“Scheduled trading day”
markets on which the Index components are traded, in each case as determined by the calculation agent in its sole discretion.
Barclays Bank PLC 2019 Annual Report on Form 20-F 51
The following event will not be a market disruption event:
●
a decision by a trading facility to permanently discontinue trading in any index component.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following scheduled trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will the valuation date be postponed by more than five scheduled trading days. If the calculation agent
determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will make an estimate of
the closing level for the Index that would have prevailed on that fifth scheduled trading day in the absence of the market disruption event.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed,
the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final
valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be
the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs,
provided that they present at least
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative note value on the
applicable valuation date.
Notwithstanding the foregoing, beginning after the close of trading on September 4, 2018, we have waived the minimum redemption
amount so that holders may exercise their right to redeem their ETNs on any redemption date with no minimum amount. Our waiver of the
minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until we
announce otherwise. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including,
among others, to reinstate the minimum redemption amount of 20,000 ETNs for all redemption dates after such further modi fication. Any such
modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business d ay on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative note value on the applicable valuation date.
A “
redemption date
” is:
●
In the case of a holder redemption, effective as of August 31, 2017, the second business day following each valuation date (other
than the final valuation date). The final redemption date will be the second business day following the valuation date that is
immediately prior to the final valuation date.
●
In the case of an issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day follow ing the date on which we deliver such notice.
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Barclays Bank PLC 2019 Annual Report on Form 20-F 52
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative note value on the date
of acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and Barclays Bank PLC or any other person or entity publishes an index that the
calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation
agent will determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by
reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing level
of that Index is not available for any reason, on the date on which the value of that Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
that Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon early redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays
Commodity Index Pure Beta TR (the “
Index
”). The Index is designed to give investors exposure to total returns of the commodities included in the
Barclays Commodity Index Total Return (the “
Reference Index
”), while mitigating the effects of certain distortions in the commodity markets on
such returns through the application of the Barclays Pure Beta Series 2 Methodology. The Index is comprised of a basket of exchange-traded
futures contracts for the same commodities that are included in the Reference Index, as adjusted from time to time. However, unlike the Reference
Index, which rolls its exposure to the futures contracts on a monthly basis in accordance with a pre-determined roll schedule, the Index may roll
into one of a number of futures contracts with varying expiration dates, as selected using the Barclays Pure Beta Series 2 Methodology. The Index
and the Reference Index were created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index
and Reference Index. The Index and Reference Index are administered, calculated and published by Barclays Index Administration (the “
Index
Sponsor
”), a distinct function within the Investment Bank of Barclays Bank PLC. The ETNs are traded on The NYSE Arca exchange under the ticker
symbol “BCM.”
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Payment at Maturity
If holders or we have not previously redeemed the ETNs, holders will receive a cash payment in U.S. dollars at maturity per ETN in an
amount equal to the applicable closing indicative value on the final valuation date for their ETNs.
Inception, Issuance and Maturity
The ETNs were first sold on April 20, 2011 (the “
inception date
”). The ETNs was first issued on April 26, 2011 (the “
issue date
”)
,
be due on April 18, 2041 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date. We describe market disruption events under “— Market Disruption Event” below.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Barclays Bank PLC 2019 Annual Report on Form 20-F 53
Payment Upon Holder Redemption and Upon Issuer Redemption
Prior to maturity, holders may, subject to certain restrictions, choose to redeem their ETNs on any redemption date during the term of the
ETNs, provided that they present at least 50,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other
financial institution not required to register as a broker -dealer to engage in securities transactions) bundles their ETNs for redemption with those of
other investors to reach this minimum. If holders redeem their ETNs on a particular redemption date, they will receive a cash payment in U.S. dollars
per ETN on that date in an amount equal to the applicable closing indicative value on the applicable valuation date. Holders must redeem at least
50,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date. We may from time to time in our sole
discretion reduce, in part or in whole, the minimum redemption amount of 50,000 ETNs. Any such reduction will be applied on a consistent basis
for all holders of ETNs at the time the reductio n becomes effective.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
applicable closing indicative value on the applicable valuation date.
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
The “
closing indicative value
” per ETN for the ETNs on any given calendar day will be calculated in the following manner: The closing
indicative value on the inception date was $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value per
ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
if such day is not an index business day, one)
minus
minus
such calendar day.
The “
daily index factor
” for the ETNs on any index business day will equal (1) the closing level of the Index on such index business day
divided by
The “
investor fee
” per ETN is calculated in the following manner:
The investor fee per ETN on the inception date was zero. On each subsequent calendar day until and including August 31, 2016, the
investor fee per ETN was equal to (1) 0.75%
times
times
(3) the applicable daily index factor on that day (or, if such day is not an index business day, one)
divided by
but excluding, August 31, 2016 and ending on, and including, the redemption date or the maturity date, the investor fee per ETN on any calendar
day will be equal to (1) 0.60%
times
times
daily index factor on that day (or, if such day is not an index business day, one)
divided by
subtracted from the closing indicative value on a daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.75%
per year for the period from the inception date to, and including, August 31, 2016 or 0.60% per year for the period beginning after August 31,
2016. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the investor fee will increase
or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
futures execution cost
” is designed to approximate the estimated costs of maintaining a rolling position in the futures contracts
underlying the Index. The futures execution cost per ETN on any given calendar day will be calculated in the following manner: The futures
execution cost for the ETNs on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption of the ETNs,
the futures execution cost for each ETN will be equal to (1) 0.10%
times
calendar day
time
s (3) the daily index factor on such calendar day (or, if such day is not an index business day, one)
divided by
effect of the futures execution cost accumulates over time and is subtracted at the rate of 0.10% per year. Because the net effect of the futures
execution cost is a fixed percentage of the value of each ETN, the aggregate effect of the futures execution cost will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
An “
index business day
” for the Index is a day on which the Index is calculated, as determined by the NYSE Euronext Holiday & Hours
schedule, as published on http://www.nyse.com/about/newsevents/1176373643795.html or any successor website thereto.
A “
valuation date
” is each business day from April 20, 2011 to April 15, 2041, inclusive (subject to the occurrence of a market disruption
event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five trading days. We refer to April 15, 2041 as the “
final
valuation date
”.
Redemption Date for Holder Redemption
In the case of holder redemption, a redemption date is the third business day following a valuation date (other than the final valuation date). The
final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.
Redemption Date for Issuer Redemption
In the case of issuer redemption, a redemption date is the date specified by us in the issuer redemption notice, which will in no event be
prior to the tenth calendar day following the date on which we deliver such notice.
Barclays Bank PLC 2019 Annual Report on Form 20-F 54
Trading Day
A trading day is a day on which (i) the value of the Index to which the ETNs are linked is published by the Index Sponsor, (ii) trading is
generally conducted on NYSE Arca and (iii) trading is generally conduc ted on the markets on which the futures contracts underlying the Index are
traded, in each case as determined by the calculation agent in its sole discretion.
Early Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person with whom they hold their ETNs to deliver a notice of holder redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the fifth trading day prior to the redemption date (subject to postponement in the event of a market disruption
event), and the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no event prior to the tenth calendar day
following the date on which we deliver such notice.
Market Disruption Event
As set forth under “— Payment at Maturity” and “— Payment Upon Holder Redemption and Upon Issuer Redemption” above, the
calculation agent will determine the value of the Index on each valuation date, including the final valuation date. As described abov e, a valuation
date may be postponed and thus the determination of the value of the Index may be postponed if the calculation agent determines that, on a
valuation date, a market disruption event has occurred or is continuing in respect of any index compon ent. If such a postponement occurs, the
value of the index components unaffected by the market disruption event shall be determined on the scheduled valuation date, and the value of the
affected index component shall be determined using the closing value of the affected index component on the first trading day after that day on
which no market disruption event occurs or is continuing. In no event, however, will a valuation date be postponed by more than five trading days.
If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is
continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole
discretion of the value of the Index for such day.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption in the trading of any index component which results in a failure by the trading
facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is
used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “
limit price
”, which means that the daily contract reference price
for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility;
●
failure of the applicable trading facility or other price source to announce or publish the daily contract reference price for an
index component; or
●
any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have
effected or may effect.
The following events will not be market disruption events:
●
a limitation on the hours or numbers of days of trading on a trading facility on which any index component is traded, but only if
the limitation results from an announced change in the regular business hours of the relevant market; or
●
a decision by a trading facility to permanently discontinue trading in any index component.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the Index Spon sor discontinues publication of the Index and it or any other person or entity publishes an index that the calculation agent
determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the value of the
Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor index.
Barclays Bank PLC 2019 Annual Report on Form 20-F 55
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing
level of the Index is not available because of a market disruption event or for any other reason, on the date on which the value of the Index is
required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the Index.
If the calculation agent determines that the Index, the index components of the Index or the method of calculating the Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the Index Sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will
be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure
that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the value of the Index and the amount payable at
maturity or upon early redemption or otherwise relating to the value of the Index may be made in the calculation agent’s sole discretion.
Business Day
When we refer to a business day, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in London or New York City generally are authorized or obligated by law, regulation or executive order to close.
When we refer to an index business day with respect to the ETNs, we mean a day on which (1) it is a business day in New York and (2) the
CBOE is open.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays WTI Crude
Oil Pure Beta TR (the “
Index
”). The Index is designed to give investors exposure to total returns of the commodities included in the Barclays Single
Commodity Total Return Index (the “
Reference Index
”), while mitigating the effects of certain distortions in the commodity markets on such
returns through the application of the Barclays Pure Beta Series 2 Methodology. The Index is comprised of exchang e-traded futures contracts for
WTI crude oil that are included in the Reference Index, as adjusted from time to time. However, unlike the Reference Index, which rolls its exposure
to the futures contracts on a monthly basis in accordance with a pre- determined roll schedule, the Index may roll into one of a number of futures
contracts with varying expiration dates, as selected using the Barclays Pure Beta Series 2 Methodology. The Index and the Reference Index were
created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index and Reference Index. The
Index and Reference Index are administered, calculated and published by Barclays Index Administration (the “
Index Sponsor
”), a distinct function
within the Investment Bank of Barclays Bank PLC. The ETNs are traded on the NYSE Arca exchange under the ticker symbol “OLEM.”
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.
Payment at Maturity
If holders or we have not previously redeemed the ETNs, holders will receive a cash payment in U.S. dollars at maturity per ETN in an
amount equal to the applicable closing indicative value on the final valuation date for their ETNs.
Inception, Issuance and Maturity
The ETNs were first sold on April 20, 2011 (the “
inception date
”). The ETNs was first issued on
April 26, 2011 (the “
issue date
”)
,
be due on April 18, 2041 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date. We describe market disruption events under “— Market Disruption Event” below.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Payment Upon Holder Redemption and Upon Issuer Redemption
Prior to maturity, holders may, subject to certain restrictions, choose to redeem their ETNs on any redemption date during the term of the
ETNs, provided that they present at least 50,000 ETNs for redemption, or their broker or other financial intermediary (such as a bank or other
financial institution not required to register as a broker -dealer) to engage in securities transactions) bundles their ETNs for redemption with those
Barclays Bank PLC 2019 Annual Report on Form 20-F 56
of other investors to reach this minimum. If holders redeem their ETNs on a particular redemption date, they will receive a cash payment in U.S.
dollars per ETN on that date in an amount equal to the applicable closing indicative value on the applicable valuation date. Holders must redeem at
least 50,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date. We may from time to time in our sole
discretion reduce, in part or in whole, the minimum redemption amount of 50,000 ETNs. Any such reduction will be applied on a consistent basis
for all holders of ETNs at the time the reduct ion becomes effective.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
applicable closing indicative value on the applicable valuation date.
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
The “
closing indicative value
” per ETN for the ETNs on any given calendar day will be calculated in the following manner: The closing
indicative value on the inception date was $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value per
ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
if such day is not an index business day, one)
minus
minus
such calendar day.
The “
daily index factor
” for the ETNs on any index business day will equal (1) the closing level of the Index on such index business day
divided by
The “
investor fee
” per ETN on the inception date was zero. On each subsequent calendar day until maturity or early redemption of the
relevant series of ETNs, the investor fee per ETN for each series of ETNs was equal to (1) 0.75%
times
the immediately preceding calendar day
times
divided by
accumulates over time and is subtracted at the rate of 0.75% per year, which we refer to as the “
investor fee rate
”. Because the net effect of the
investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly
proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
The “
futures execution cost
” is designed to approximate the estimated costs of maintaining a rolling position in the futures contracts
underlying the Index. The futures execution cost per ETN on any given calendar day will be calculated in the following manner: The futures
execution cost for the ETNs on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption of the ETNs,
the futures execution cost for each ETN will be equal to (1) 0.10%
times
calendar day
time
s (3) the daily index factor on such calendar day (or, if such day is not an index business day, one)
divided by
effect of the futures execution cost accumulates over time and is subtracted at the rate of 0.10% per year. Because the net effect of the futures
execution cost is a fixed percentage of the value of each ETN, the aggregate effect of the futures execution cost will increase or decrease in a
manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
An “
index busines s day
” for the Index is a day on which the Index is calculated, as determined by the NYSE Euronext Holiday & Hours
schedule, as published on http://www.nyse.com/about/newsevents/1176373643795.html or any successor website thereto.
A “
valuation date
” is each business day from
April 20, 2011 to
April 15, 2041, inclusive (subject to the occurrence of a market disruption
event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five trading days. We refer to April 15, 2041 as the “
final
valuation date
”.
Redemption Date for Holder Redemption
In the case of holder redemption, a redemption date is the third business day following a valuation date (other than the final valuation
date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.
Redemption Date for Issuer Redemption
In the case of issuer redemption, a redemption date is the date specified by us in the issuer redemption notice, which will in no event be
prior to the tenth calendar day following the date on which we deliver such notice.
Trading Day
A trading day is a day on which (i) the value of the Index to which the ETNs are linked is published by the Index Sponsor, (ii) trading is
generally conducted on NYSE Arca and (iii) trading is generally conducted on the markets on which the futures contracts underlying the Index are
traded, in each case as determined by the calculation agent in its sole discretion.
Early Holder Redemption Procedu res
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person with whom they hold their ETNs to deliver a notice of holder redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 57
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the fifth trading day prior to the redemption date (subject to postponement in the event of a market disruption
event), and the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no event prior to the tenth calendar day
following the date on which we deliver such notice.
Market Disruption Event
As set forth under “— Payment at Maturity” and “— Payment Upon Holder Redemption and Upon Issuer Redemption” above, the
calculation agent will determine the value of the Index on each valuation date, including the final valuation date. As described above, a valuation
date may be postponed and thus the determination of the value of the Index may be postponed if the calculation agent determines that, on a
valuation date, a market disruption event has occurred or is continuing in respect of any index component. If such a postponement occurs, the
value of the index components unaffected by the market disruption event shall be determined on the scheduled valuation date, and the value of the
affected index component shall be determined using the closing value of the affected index component on the first trading day after that day on
which no market disruption event occurs or is continuing. In no event, however, will a valuation date be postponed by more than five trading days.
If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is
continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole
discretion of the value of the Index for such day.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption in the trading of any index component which results in a failure by the trading
facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is
used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “
limit price
”, which means that the daily contract reference price
for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility;
●
failure of the applicable trading facility or other price source to announce or publish the daily contract reference price for an
index component; or
●
any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have
effected or may effect.
The following events will not be market disruption events:
●
a limitation on the hours or numbers of days of trading on a trading facility on which any index component is traded, but only if
the limitation results from an announced change in the regular business hours of the relevant market; or
●
a decision by a trading facility to permanently discontinue trading in any index component.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the Index Sponsor discontinues publication of the Index and it or any other person or entity publishes an index that the calculation agent
determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the value of the
Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing
level of the Index is not available because of a market disruption event or for any other reason, on the date on which the value of the Index is
required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the Index.
If the calculation agent determines that the Index, the index components of the Index or the method of calculating the Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the Index Sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will
Barclays Bank PLC 2019 Annual Report on Form 20-F 58
be permitted (but not requir ed) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure
that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the value of the Index and the amount payable at
maturity or upon early redemption or otherwise relating to the value of the Index may be made in the calculation agent’s sole discretion.
Business Day
When we refer to a business day, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in London or New York City generally are authorized or obligated by law, regulation or executive order to close.
When we refer to an index business day with respect to the ETNs, we mean a day on which (1) it is a business day in New York and (2) the
CBOE is open.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the S&P 500
®
VIX Futures™ Total Return Index (the “
Index
”). The Index seeks to provide investors with exposure to forward implied volatility by reflecting the
outcomes of holding long and at times long and short positions in futures contracts on the CBOE Volatility Index
®
VIX Index
”). The “
VXV
Index
” is calculated in a manner similar to the VIX Index, except that it is designed to be a measure of 93-day implied volatility of the S&P Options
(as defined below) rather than 30 -day implied volatility. The Index aims to react positively to overall increases in market volatility by allocating
dynamically between two components: a short-term volatility component and a mid-term volatility component. The Index monitors the slope, or
“steepness”, of the implied volatility curve on a daily basis in order to gauge market expectations regarding future volatility and determines
allocations in futures contracts on the VIX Index according to the slope of the implied volatility curve. The short-term volatility component of the
Index is represented by the S&P 500
®
Short-Term VIX Index
”). The mid-term volatility
component of the Index is represented by the S&P 500
®
Mid-Term VIX Index
”). The Short-
Term VIX Index seeks to model the excess return from a daily rolling long position in the first and second month VIX Index futures contracts, and
the Mid-Term VIX Index seeks to model the excess return from a daily rolling long position in the fourth, fifth, sixth and seventh month VIX Index
futures contracts. We refer herein to (i) the Short- Term VIX Index and (ii) the Mid-Term VIX Index collectively as the “
Constituent Indices
.” The
Index is calculated, maintained and published by S&P Dow Jones Indices LLC (“
S&P Dow Jones Indices
” or the “
index sponsor
”). The ETNs are
traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “XVZ.”
Inception, Issuance and Maturity
The ETNs were first sold on August 17, 2011 (the “
inception date
”). The ETNs were first issued on August 22, 2011 (the “
issue date
”), and
are due on August 18, 2021 (the “
maturity date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.00. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
”, and we will issue a notice to holders of the relevant ETNs and press release announcing the split or reverse split, specifying
the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, holders who own a number of ETNs on the record date which is not evenly divisible by the
split ratio will receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio,
and we will have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable m anner determined by us in
our sole discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
announcement date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
business day following the announcement date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 59
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
applicable final valuation date.
The “
closing indicative value
” for the ETNs on any given calendar day will be calculated in the following manner. The closing indicative
value on the initial valuation date was $50.00. On each subsequent calendar day until maturity or early redemption, the closing indicative value for
each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
(or, if such day is not an index business day, one)
minus
If the ETNs undergo any splits or reverse splits, the closing indicative value will similarly be adjusted accordingly.
The “
daily index factor
” on any index business day will equal (1) the closing level of the Index on such index business day
divided by
(2) the closing level of the Index on the immediately preceding index business day.
The “
investor fee
” for each ETN on the initial valuation date was zero. On each subsequent calendar day until maturity or early redemption,
the investor fee for each ETN will be equal to (1) 0.95%
times
times
(3) the daily index factor on that day (or, if such day is not an index business day, one)
divided by
subtracted from the closing indicative value on a daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.95%
per year, which we refer to as the “
investor fee rate
”. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the
aggregate effect of the investor fee will increase or decrease in a manner directly propo rtional to the value of each ETN and the amount of ETNs
that are held, as applicable.
An “
index business day
” is any day on which (1) it is a business day in New York City and (2) the CBOE is open.
A “
valuation date
” is each business day from August 17, 2011 to August 11, 2021 inclusive (subject to the occurrence of a market
disruption event) or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. In that event, the valuation
date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will any valuation date be postponed by more than five business days. We refer to August 17, 2011 as the “
initial
valuation date
” and August 11, 2021 as the “
final valuation date
”.
A “
trading day
” is a day on which (1) it is a business day in New York City, (2) trading is generally conducted on the CBOE BZX and (3)
trading is generally conducted on the CBOE, in each case as determined by the calculation agent in its sole discretion.
Maturity Date
If the maturity date stated is not a business day, the maturity date will be the next following business day. If the fifth business day before
this day does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation
agent may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 50,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs. If holders choose to redeem their ETNs, they will
receive a cash paymen t in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date minus the redemption charge.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any trading day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
in the case of holder redemption, effective as of August 31, 2017, the second business day following a valuation date (other than the final
valuation date). The final redemption date of the ETNs will be the second business day followin g the valuation date that is immediately prior to the
final valuation date; and
Barclays Bank PLC 2019 Annual Report on Form 20-F 60
●
in the case of issuer redemption, the date specified by us in the issuer redemption notice, which will in no event be prior to the
tenth calendar day following the date on which we deliver such notice.
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any trading day
on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to
the holders of such ETNs not less than ten calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the fifth trading day prior to the redemption date (subject to postponement in the event of a market disruption
event), and the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no event prior to the tenth calendar day
following the date on which we deliver such notice.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Market Disruption and Force Majeure Events Relating to the ETNs
If the Index is not published on an index business day, or if a market disruption event or a force majeure event (each as defined below) has
occurred or is occurring, and such event affects the Index, any futures contract underlying the Index and/or the ability to hedge the Index, the
calculation agent may (but is not required to) make determinations and/or adjustments to the affected Index or method of calculating the affected
Index. The determination of the value of an ETN on a valuation date, including the final valuation date, may be postponed if the calculation agent
determines that a market disruption or force majeure event has occurred or is continuing on such valuation date. In no event, however, will a
valuation date for the ETNs be postponed by more than five business days. If a valuation date is postponed until the fifth business day following the
scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the
calculation agent will make a good faith estimate in its sole discretion of the value of the Index for such day. All determinations and adjustments to
be made by the calculation agent may be made in the calculation agent’s sole discretion.
The occurrence or existence of any of the following, as determined by the calculation agent in its sole discretion, will constitute a “
market
disruption
event
”:
●
the index sponsor does not publish the level of the Index on any index business day, or the Index is otherwise not available;
●
a suspension, absence or material limitation of trading of equity securities then constituting 20% or more of the level of the S&P
500
®
any day that is an “index roll date” for purposes of calculation of the VIX Index, the VXV Index or any relevant successor index)
during, or during the one hour period preceding the close of, the principal trading session on such relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of any relevant exchange for the S&P 500
®
which the reported trading prices for equity securities then constituting 20% or more of the level of the S&P 500
®
materially inaccurate (i) during the one hour preceding the close of the principal trading session on such relevant exchange or
(ii) during any one hour period of trading on such relevant exchange on any day that is an “index roll date” for purpose of
calculating the VIX Index, the VXV Index or the relevant successor index;
●
a suspension, absence or material limitation of trading on any relevant exchange for the VIX Index or the VXV Index (or any
relevant successor index) for more than two hours of trading (one hour on any day that is an “index roll date” for purposes of
calculation of the VIX Index, the VXV Index or the relevant successor index) during, or during the one hour period preceding the
close of, the principal trading session on such relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of the relevant exchange for the VIX Index, the VXV Index (or the
relevant successor index) as a result of which the reported trading prices for options on the S&P 500
®
SPX
Options
”) or
futures on the VIX Index, the VXV Index (or futures on any relevant successor index) during the one hour period preceding, and
including, the scheduled time at which the value of SPX Options is calculated for purposes of the VIX Index, the VXV Index (or
any relevant successor index) are materially inaccurate;
●
a decision to permanently discontinue trading in SPX Options or futures on the VIX Index, the VXV Index (or futures on any
relevant successor index);
●
on any index business day, the occurrence or existence of a lack of, or a material decline in, the liquidity in the market for trading
in any futures contract underlying the Index;
Barclays Bank PLC 2019 Annual Report on Form 20-F 61
●
any event or any condition (including without limitation any event or condition that occurs as a result of the enactment,
promulgation, execution, ratification, interpretation or application of, or any change in or amendment to, any law, rule or
regulation by an applicable governmental authority) that results in an illiquid market for trading in any futures contract
underlying the Index; and
●
the declaration or continuance of a general moratorium in respect of banking activities in any relevant city.
A “
force
majeure
event
” includes any event or circumstance (including, without limitation, a systems failure, natural or man-made
disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance) that the calculation agent
determines to be beyond the calculation agent’s reasonable control and to materially affect the Index or a Constituent Index, any futures contract
underlying the Index or Constituent Index, or the calculation of the VIX Index or VXV Index.
For purposes of determining whether a market disruption event has occurred:
●
a limitation on the hours or number of days of trading will not constitute a market disruption event if it results from an
announced change in the regular business hours of the relevant exchange for the S&P 500
®
(or any relevant successor index);
●
limitations pursuant to the rules of any relevant exchange similar to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by any other self-regulatory organization or any government agency of scope similar to NYSE Rule 80B as
determined by the index sponsor) on trading during significant market fluctuations will constitute a suspension, absence or
material limitation of trading;
●
a suspension of trading in an SPX Option or a futures contract on the VIX Index or the VXV Index (or futures contract on any
relevant successor index) by the relevant exchange for the VIX Index or the VXV Index (or the relevant successor index) by
reason of:
●
a price change exceeding limits set by such relevant exchange,
●
an imbalance of orders relating to such options, or
●
a disparity in bid and ask quotes relating to such options
will, in each such case, constitute a suspension, absence or material limitation of trading on such relevant exchange; and
●
a “suspension, absence or material limitation of trading” on any relevant exchange will not include any time when such relevant
exchange is itself closed for trading under ordinary circumstances.
“
Relevant exchange
” means, with respect to the S&P 500
®
combination thereof) then included in the S&P 500
®
primary exchange or market for SPX Options or futures on the VIX Index or the VXV Index, respectively, (or futures on the relevant successor
index).
An “
index business day
” is a day on which (1) it is a business day in New York City, and (2) trading is generally conducted on the CBOE.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of an Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the level of
the relevant Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor
index.
If the calculation agent determines that the publication of an Index is discontinued and that there is no successor index, or that the closing
level of an Index is not available because of a market disruption event or for any other reason, on the date on which the level of the Index is required
to be determined, or if for any other reason an Index is not available to us or the calculation agent on the relevant date, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the relevant Index.
If the calculation agent determines that an Index, the index components of an Index or the method of calculating an Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will
be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure
that the level of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the level of an Index and the amount payable at
maturity or upon early redemption or otherwise relating to the value of an Index may be made in the calculation agent’s sole discretion.
Business Day
When we refer to a business day with respect to a series of ETNs, unless otherwise specified we mean a Monday, Tuesday, Wednesday,
Thursday or Friday that is not a day on which banking institutions in New York City generally are authorized or obligated by law, regulation or
executive order to close.
Barclays Bank PLC 2019 Annual Report on Form 20-F 62
When we refer to an index business day with respect to a series of ETNs, we mean a day on which (1) it is a business day in New York and
(2) the CBOE is open.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the S&P MLP Index (the “
Index
”).
The Index is designed to provide exposure to leading partnerships that trade on major U.S. exchanges and are classified in the GICS
®
and GICS
®
®
GICS
”). It includes both master limited partnerships
(“
MLPs
”) and publicly traded limited liability companies which have a similar legal structure to MLPs and share the same tax benefits as MLPs
(collectively, the “
Index Constituents
”). The Index is calculated, maintained and published by S&P Dow Jones Indices LLC (“
S&P Dow Jones
Indices
” or the “
Index Sponsor
”). The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “IMLP.”
Inception, Issuance and Maturity
The ETNs were first sold on January 3, 2013 (the “
inception date
”). The ETNs were first issued on January 8, 2013 (the “
issue date
”) and
will be due on December 15, 2042 (the “
maturity date
”).
Coupon
If holders or we have not previously redeemed the ETNs, for each ETN that held on the applicable coupon record date, holders will receive
an interest payment in cash per ETN on each coupon payment date in U.S. dollars equal to the coupon amount, if any, on the applicable coupon
valuation date.
The “
coupon amount
” on any coupon valuation date will equal the greater of (i) zero and (ii)(1) the accrued dividend on such coupon
valuation date
minus
Denomination
The ETNs are in denominations of $25.00 . We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative value, VWAP factor, accrued dividend, and accrued investor fee will be rounded to 8
decimal places. The split will become effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative value, VWAP factor, accrued dividend, and accrued investor fee will be rounded to 8
decimal places. The reverse split will be come effective at the opening of trading of the ETNs on the business day immediately following the record
date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manne r, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment per ETN at maturity in U.S. dollars equal to the closing indicative
value on the applicable final valuation date.
The “
closing indicative value
” for each ETN on any given calendar day until the final valuation date or applicable valuation date (in the case
of early redemption) will equal (1) the ETN current value on such calendar day
plus
(2) the accrued dividend on such calendar day
minus
accrued investor fee on such calendar day. If the ETNs undergo a split or reverse split, the closing indicative value will be adjusted accordingly.
The “
ETN current value
” for each ETN on any given calendar day will be calculated as follows: The ETN current value on the initial valuation
date was $25.00. On any subsequent calendar day until maturity or early redemption, the ETN current value will equal (1) the closing VWAP level
on that day (or on the immediately preceding index bu siness day, if such calendar day is not an index business day)
divided by
Barclays Bank PLC 2019 Annual Report on Form 20-F 63
The “
initial VWAP level
” is 2,144.96, which is equal to the VWAP level at the close of trading on the initial valuation date, as determined by
the VWAP calculation agent.
The “
closing VWAP level
” is equal to (i) the VWAP level as of the close of trading on any index business day, for purposes of holder
redemption, or (ii) the arithmetic mean of the VWAP levels as of the close of trading on each index business day during the final measurement
period or the issuer redemption measurement period, for purposes of the payment at maturity or upon issuer redemption, respectively, in each
case as determined by the VWAP calculation agent.
“
VWAP level
” means, on any index business day, as calculated by the VWAP calculation agent, (1) the sum of the products of (i) the VWAP
of each Index Constituent as of such date and (ii) the published unit weighting of that Index Constituent as of such date, divided by (2) the index
divisor as of such date. The VWAP level is reported on Bloomberg page “SPMLPVW <Index>”.
“
VWAP
” means, with respect to each Index Constituent, on any index business day, the consolidated volume-weighted average price of
one unit of such Index Constituent as determined by the VWAP calculation agent based on all trades in such Index Constituent reported in the
consolidated tape system during the regular trading session.
The “
index divisor
”, as of any index business day, is the divisor used by the Index Sponsor to calculate the level of the index, as described
under the Index methodology.
The “
VWAP factor
” is 85.7984, which is equal to (1) the initial VWAP level
divided by
a split or reverse split, the VWAP factor will be adjusted accordingly.
The “
accrued dividend
” for each ETN on any calendar day will be calculated as follows: The accrued dividend on the initial valuation date
was zero. The accrued dividend on any subsequent calendar day will equal (1) the accrued dividend as of the immediately preceding calendar day
plus
minus
(3) the coupon adjustment dividend amount on such calendar day. If the ETNs
undergo a split or reverse split, the accrued dividend will be adjusted accordingly.
The “
dollar dividend value
” on any calendar day will equal (1) the index dividend on such calendar day
divided by
The “
index dividend
” on any calendar day represents the aggregate cash value of distributions that a hypothetical person holding Index
Constituents in proportion to the weights of the Index Constituents would have been entitled to receive with respect to any Index Constituent for
those cash distributions whose “ex -dividend date” occurs on such calendar day. The index dividend on any calendar day will equal (1) the sum of
the products of (i) the cash value of distributions that a hypothetical holder of each Index Constituent on such calendar day would have been
entitled to receive in respect of that Index Constituent for those cash distributions whose “ex-dividend date” occurs on such calendar day and (ii)
the published unit weighting of that Index Constituent as of such date,
divided by
On any calendar day that is not a coupon ex-date, the “
coupon adjustment dividend amount
” will equal zero. On any calendar day that is a
coupon ex-date, the coupon adjustment dividend amount will equal the accrued dividend on the coupon valuation date immediately preceding
such coupon ex-date. The effect of the coupon adjustment dividend amount as of each coupon ex-date is to reduce the accrued dividend (and,
therefore, the closing indicative value) by the amount of the index dividends reflected in any coupon amount that holders will be entitled to receive
on the immediately following coupon payment date.
The “
accrued investor fee
” for each ETN on any calendar day will be calculated as follows: The accrued investor fee on the initial valuation
date was zero. The accrued dividend on any calendar day will equal (1) the accrued investor fee as of the immediately preceding calendar day
plus
(2) the daily fee value on such calendar day
minus
(3) the coupon adjustment fee amount on such calendar day. If the ETNs undergo a split or
reverse split, the accrued investor fee will be adjusted accordingly.
The “
daily fee value
” on any calendar day is equal to the product of (1) the closing VWAP level on such calendar day
divided by
factor and (2) 0.80%
divided by
net effect of the fee accumulates over time and is subtracted at the rate of approximately 0.80% per year.
On any calendar day that is not a coupon ex-date, the “
coupon adjustment fee amount
” will equal zero. On any calendar day that is a
coupon ex-date, the coupon adjustment fee amount will equal (i) the coupon adjustment dividend amount on such coupon ex-date, if the coupon
amount in respect of such coupon -ex date is zero or (ii) the accrued investor fee on the coupon valuation date immediately preceding such coupon
ex-date, if the coupon amount in respect of such coupon -ex date is greater than zero. The effect of the coupon adjustment fee amount as of each
coupon ex-date is to reduce the accrued investor fee by the portion of the accrued investor fee that was offset against accrued dividends in
calculating any coupon amount that holders will be entitled to receive on the immediately following coupon payment date. If the coupon amount in
respect of any coupon valuation date is zero, which means that the accrued investor fee as of that coupon valuation date is equal to or greater than
the accrued dividend as of that coupon valuation date, the accrued investor fee will be reduced by the accrued dividend and the remaining accrued
investor fee will effectively be carried forward to be offset against subsequent accrued dividends.
The “
redemption charge
” is a one-time charge imposed upon holder redemption and is equal to 0.125%
times
on the applicable valuation date. The redemption charge is intended to allow us to recoup the brokerage and other transaction costs that we will
incur in connection with redeeming the ETNs. The proceeds we re ceive from the redemption charge may be more or less than such costs.
An “
index business day
” means any day on which the Index Sponsor publishes a level for the Index.
Barclays Bank PLC 2019 Annual Report on Form 20-F 64
Valuation Date and Dates Relating to Coupon Payments
A “
valuation date
” is each business day from January 3, 2013 to December 2, 2042 inclusive (or, if such date is not a trading day, the next
succeeding trading day), unless the calculation agent determines that a market disruption event occurs or is continuing on that day in respect of
the Index. In that event, the valuation date will be the first following trading day on which the calculation agent determines that a market disruption
event does not occur and is not continuing. In no event, however, will any valuation date be postponed by more than five business days. We refer to
January 3, 2013 as the “
initial valuation date
” and December 2, 2042 as the “
final valuation date
”.
A “
trading day
” is a day on which (1) it is a business day in New York City and (2) trading is generally conducted on the CBOE BZX, in each
case as determined by the calculation agent in its sole discretion.
A “
coupon valuation date
” means the 15
th
such date is not an index business day, then the first index business day following such date (subject to the occurrence of a market disruption
event). The first coupon valuation date was on February 15, 2013.
A “
coupon ex-date
” means the seventh index business day following each coupon valuation date (subject to the occurrence of a market
disruption event). The first coupon ex-date was on February 27, 2013.
A “
coupon record date
” means the ninth index business day following each coupon valuation date (subject to the occurrence of a market
disruption event). The first coupon record date was on March 1, 2013.
A “
coupon payment date
” means the 15
th
disruption event). The first coupon payment date was on March 11, 2013.
A
“market disruption event”
Index Constituents constituting 20% or more, by weight, of the Index; (ii) a suspension, absence or limitation of trading in futures or options
contracts relating to the Index on their respective markets; (iii) any event that disrupts or impairs, as determined by the calculation agent, the ability
of market participants to (x) effect transactions in, or obtain market values for, Index Constituents constituting 20% or more, by weight, of the
Index, or (y) effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets; (iv) the
closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents constituting 20% or more, by
weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of that market (without regard to after hours or any
other trading outside of the regular trading session hours) unless such earlier closing time is announced by the primary market at least one hour
prior to the earlier of (x) the actual closing time for the regular trading session on such primary market on such scheduled trading day for such
primary market and (y) the submission deadline for orders to be entered into the relevant exchange system for execution at the close of trading on
such scheduled trading day for such primary market; (v) any scheduled trading day on which (x) the primary markets for Index Constituents
constituting 20% o r more, by weight, of the Index or (y) the exchanges or quotation systems, if any, on which futures or options contracts on the
Index are traded, fails to open for trading during its regular trading session; (vi) if the Index Sponsor does not publish the level of the Index on an
index business day or the Index is otherwise not available; or (vii) any other event, if the calculation agent determines that the event interferes with
our ability or the ability of any of our affiliates to unwind all or a portion of a hedge with respect to the ETNs that we or our affiliates have effected
or may effect; and, in any of these events, the calculation agent determines that the event was material.
For purposes of determining whether a market disruption event has occurre d, the following event will not be a market disruption event: (a)
a limitation on the hours or number of days of trading on which any Index Constituent is traded, but only if the limitation results from an
announced change in the regular business hours of the relevant market; or (b) a decision to permanently discontinue trading in futures or options
contracts relating to the Index. For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant
exchange or market is itself closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in futures or options
contracts related to the Index, if available, in the primary market for those contracts, by reason of any of: (A) a price change exceeding limits set by
that market, (B) an imbalance of orders relating to those contracts, or (C) a disparity in bid and ask quotes relating to those contracts, will
constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for those
contracts.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the last day of the final measurement
period does not qualify as a business day, then the maturity date will be the fifth business day following the last day of the final measurement
period. The calculation agent may postpone the final valuation date—and therefore the maturity date—if a market disruption event occurs or is
continuing on a day that would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
A “
busines s day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 50,000 of the ETNs for redemption or their
Barclays Bank PLC 2019 Annual Report on Form 20-F 65
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for re demption with those of other investors to reach this minimum. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date minus the redemption charge.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any trading day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date (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 such valuation date).
A “
redemption date
” is:
●
in the case of holder redemption, effective as of August 31, 2017, the second business day following any valuation date (other
than the final valuation date). The final redemption date of the ETNs will be the second business day following the valuation date
that is immediately prior to the final valuation date; and
●
in the case of issuer redemption, the fifth business day after the last day of the issuer redemption measurement period, which
will in no event be prior to the 20
th
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption, to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any trading day
on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to
the holders of such ETNs not less than 20 calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the date specified by us in the notice (subject to postponement in the event of a market disruption event), and
the ETNs will be redeemed on the fifth business day after the last day of the issuer redemption measurement period, but in no event prior to the
20
th
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modification of the Index
If the Index Sponsor discontinues publication of or otherwise fails to publish the Index, or the Index Sponsor does not make the Index
Constituents, their unit weighting and/or the index divisor available to the VWAP calculation agent, and the Index Sponsor or another entity
publishes a successor or substitute index that the calculation agent determines to be comparable to the discontinued Index and for which the Index
Constituents, their unit weighting, and/or the index divisor are available to the VWAP calculation agent (such index being referred to herein as a
“
successor index
”), then the VWAP level for such successor index will be determined by the VWAP calculation agent by reference to the sum of the
products of the VWAPs of the constituents underlying such successor index and each such constituent’s respective weighting within the successor
index (which sum will be adjusted by any index divisor used by such successor index) on the dates and at the times as of which the VWAP levels for
such successor index are to be determined.
If the Index Sponsor discontinues publication of the Index or does not make the Index Constituents, their unit weightings and/or index
divisor available to the VWAP calculation agent prior to, and such discontinuation or unavailability is continuing on any index business day during
the final measurement period or issuer redemption measurement period, or on a valuation date, as applicable, or any other relevant date on which
the VWAP level is to be determined and the calculation agent determines that no successor index is available at such time, or the calculation agent
has previously selected a successor index and publication of such successor index is discontinued prior to, and such discontinuation is continuing
on any index business day during the final measurement period or issuer redemption measurement period, or on any valuation date, as applicable,
or any other relevant date on which the VWAP level is to be determined, then the VWAP calculation agent will determine the relevant VWAP levels
using the VWA P and published unit weighting of each Index Constituent included in the Index or successor index, as applicable, immediately prior
to such discontinuation or unavailability, as adjusted for certain corporate actions as described under “The Index—Index Reb alancings.”
Notwithstanding these alternative arrangements, discontinuation of the publication of the Index or successor index, as applicable, may
adversely affect the value of the ETNs.
If at any time the method of calculating the Index or a successor index, or the value thereof, is changed in a material respect, or if the Index
or a successor index is in any other way modified so that the VWAP level of the Index or such successor index does not, in the opinion of the VWAP
calculation agent, fairly represe nt the VWAP level of the Index or such successor index had such changes or modifications not been made, then the
Barclays Bank PLC 2019 Annual Report on Form 20-F 66
VWAP calculation agent will make such calculations and adjustments as, in the good faith judgment of the VWAP calculation agent, may be
necessary in order to arrive at a VWAP level of an index comparable to the Index or such successor index, as the case may be, as if such changes or
modifications had not been made, and the VWAP calculation agent will calculate the VWAP levels for the Index or such successor index with
reference to the Index or such successor index, as adjusted. Accordingly, if the method of calculating the Index or a successor index is modified so
that the level of the Index or such successor index is a fraction of what it would h ave been if there had been no such modification (e.g., due to a
split in the Index), which, in turn, causes the VWAP level of the Index or such successor index to be a fraction of what it would have been if there
had been no such modification, then the VWA P calculation agent will make such calculations and adjustments in order to arrive at a VWAP level for
the Index or such successor index as if it had not been modified (e.g., as if such split had not occurred).
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
respect to this section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the
S&P GSCI
®
Index
”). The Index is a sub-index of the S&P GSCI
®
S&P GSCI
”) and reflects
the excess returns that are potentially available through an unleveraged investment in the commodities futures contracts comprising the Index,
plus the Treasury Bill rate of interest that could be earned on funds committed to the trading of the underlying futures contracts. The only contract
currently used to calculate the Index is the West Texas Intermediate (“
WTI
”) crude oil futures contract traded on the New York Mercantile
Exchange. The S&P GSCI is an index on a production -weighted basket of futures contracts on physical commodities traded on trading facilities in
major industrialized countries. S&P Dow Jones Indices LLC (“
SPDJI
” or the “
Index Sponsor
”) is responsible for calculating, publishing and
maintaining the Index. The ETNs are traded on the NYSE Arca exchange unde r the ticker symbol “OIL.”
Inception, Issuance and Maturity
The ETNs were first sold on November 17, 2016 (the “
inception date
”). The ETNs were first issued on
November 22, 2016 (the “
issue
date
”) and will be due on
November 20, 2036 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed,
the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final
valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be
the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $10. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a rever se split of the ETNs. Such date shall be deemed to be the
“
Announcement Date
,” and we will issue a notice to holders of the ETNs and a press release announcing the split or reverse split, specifying the
effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 67
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
On August 28, 2019, Barclays Bank PLC announced a 5 for 1 split of the ETNs, effective September 12, 2019. Following the split,
50,000,000 ETNs, principal amount $10 each, were outstanding.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was equal to $50. On each subsequent calendar day until maturity
or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
minus
day. If the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
The ETNs underwent a 5 for 1 split, effective September 12, 2019. The closing indicative value of the ETNs on September 11, 2019 was
$56.95. Such value were divided by 5 to reflect the 5 for 1 split, and rounded up to 8 decimal places and were used to calculate the closing
indicative value on September 12, 2019.
An “
index business day
” is a day on which the Index is calculated, as determined by the NYSE Euronext Holiday & Hours schedule, as
published on https://www.nyse.com/markets/hours -calendars or any successor website thereto.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided
by
The “
investor fee
” for each ETN on the initial valuation date was equal to zero. On each subsequent calendar day until maturity or early
redemption, the investor fee for each ETN will be equal to (1) 0.45%
times
day
times
divided by
calculated and subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is
subtracted at the rate of approximately 0.45% per year. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the
aggregate effect of the investo r fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs
that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
cond ucted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from November 17, 2016 to November 17, 2036, inclusive (subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five trading days) or, if such date is not a trading day, the next
succeeding trading day.
The “
initial valuation date
” for the ETNs is November 17, 2016.
The “
final valuation date
” for the ETNs is November 17, 2036.
Payment Upon Holder Redemption and Upon Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 50,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
●
in the case of holder redemption, the third business day following each valuation date (other than the final valuation date). The
final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation
date; and
●
in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
Barclays Bank PLC 2019 Annual Report on Form 20-F 68
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of holder redemption to us
via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Market Disruption Event
Each valuation date may be postponed and thus the determination of the level of the Index may be postponed if that valuation date is not a
trading day or if the calculation agent determines that, on that valuation date, a market disruption event has occurred or is continuing in respect of
the Index. Any commodity or commodity futures contract constituting part of the Index is referred to as an “index component” for purposes of this
section.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption of the trading day in any index component included directly or indirectly in the
Index;
●
the settlement price for any index component included directly or indirectly in the Index is a “limit price,” which means that the
settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the Index Sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the settlement price or closing level for one or more index components.
The following events will not be market disruption events:
●
a decision by a trading facility to permanently discontinue trading in any index component.
If the calculation agent determines that any valuation date (including the final valuation date) is not a trading day for any index component
or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing in respect of any index component,
that valuation date will be postponed to the earlier of (i) the fifth trading day after the originally scheduled valuation date and (ii) the earliest date
that the level, value or price of each index component that is affected by a market disruption event or by the non -trading day can be determined. If
such a postponement occurs, the level, value or price of the index components unaffected by the market disruption event or non -trading day will
be determined on the scheduled valuation date and the level, value or price of any affected index com ponent will be determined using the
settlement level, value or price of that affected index component on the first trading day following the scheduled valuation date on which no
market disruption event occurs or is continuing for that affected index compon ent. In no event, however, will a valuation date be postponed by
more than five trading days. If the calculation agent determines that a market disruption event occurs or is continuing in respect of any index
component on the fifth trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the
affected index component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
If an Event of Default (as defined belo w) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and it or any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and approves as a successor index, then the calculation agent will determine the level of the Index on the
applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing
level of the Index is not available because of a market disruption event or for any other reason, on the date on which the level of the Index is
Barclays Bank PLC 2019 Annual Report on Form 20-F 69
require d to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the Index.
If the calculation agent determines that the Index, the index components or the method of calculating the Index has been changed at any
time in any respect — including any addition, deletion or substitution and any reweighting or rebalancing of index components, and whether the
change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor
index, is due to events affecting one or more of the index components, or is due to any other reason — then the calculation agent will be permitted
(but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the level
of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Descriptio n of iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
®
SM
iPath
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SM
iPath
®
SM
iPath
®
SM
Terms defined within this section are defined only with respect to this section.
General
The return of each of iPath
®
SM
®
Aluminum Subindex Total Return
SM
®
SM
iPath
®
SM
®
SM
Exchange -Traded Notes, iPath
®
SM
®
Subindex Total Return
SM
®
SM
iPath
®
SM
®
SM
Exchange -Traded Notes, iPath
®
SM
®
Metals Subindex Total Return
SM
®
SM
®
Series B Bloomberg Sugar Subindex Total Return
SM
®
SM
Traded Notes (together, the “
ETNs
”) is linked to a sub-index of the Bloomberg Commodity Index Total Return
SM
Commodity Index
” or the
“
BCOM Index
”) (the “
Sub-Indices
”, and together with the Commodity Index, the “
Indices
”). Each Index is composed of one or more futures
contracts on the relevant commodity or commodities (the “
index components
”) and is intended to reflect the returns that are potentially available
through an unleveraged investment in the futures contract or contracts on the physical commodity or commodities comprising the relevant Index
plus the Treasury Bill rate of interest that could be earned on funds committed to the trading of the underlying futures contracts. The Indices are
the exclusive property of UBS Securities LLC (collectively with its affiliates, “
UBS
”) and its licensor. On July 1, 2014, UBS entered into a commodity
index license agreement with Bloomberg Finance L.P., whereby UBS has engaged Bloomberg’s services for calculation, publication, administration
Barclays Bank PLC 2019 Annual Report on Form 20-F 70
and marketing of the Bloomberg Commodity Indexes
SM
. Each Index is now calculated, administered and published by Bloomberg Index Services
Limited (“
BISL
” or the “
Index Administrator
” and, collectively with its affiliates, “
Bloomberg
” and, together with UBS, the “
Index Sponsors
”).
We have listed each series of ETNs on the NYSE Arca stock exchange (“
NYSE
Arca
”). The ticker symbols for the respective ETNs are as
follows:
ETN
Ticker
Symbol
iPath
®
SM
JJA
iPath
®
SM
ETN
JJU
iPath
®
SM
ETN
JO
iPath
®
SM
ETN
JJC
iPath
®
SM
ETN
BAL
iPath
®
SM
ETN
JJE
iPath
®
SM
ETN
JJG
iPath
®
SM
ETN
JJM
iPath
®
SM
ETN
COW
iPath
®
SM
ETN
JJN
iPath
®
SM
ETN
PGM
iPath
®
SM
ETN
JJP
iPath
®
SM
ETN
JJS
iPath
®
SM
ETN
SGG
iPath
®
SM
JJT
Inception, Issuance and Maturity
The ETNs were first sold on January 17, 2018 (the “
inception date
”). The ETNs were first issued on January 19, 2018 (the “
issue date
”) and
will be due on January 23, 2048 (the “
maturity date
”).
If the maturity date for a series of ETNs is not a business day, the maturity date will be the next following business day. If the final valuation
date is postponed, the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may
postpone the final valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated. We describe market disruption events
under “—Market Disruption Event” below.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split of Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“announcement date”, and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split, specifying
the effective date of the split or reverse split and the split or reverse split ratio.
If a series of ETNs undergoes a split, we will adjust the terms of such series of ETNs accordingly. The record date for the split will be the 9
th
business day after the announcement date. Any adjustment of closing indicative value of such series of ETNs will be rounded to 8 decimal places.
The split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, we reserve the right to address odd numbers of ETNs of such series (commonly referred to
as “
partials
”) in a commercially reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
Barclays Bank PLC 2019 Annual Report on Form 20-F 71
business day after the announcement date. Any adjustment of closing indicative value of such series of ETNs will be rounded to 8 decimal places.
The reverse split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, holders who own a numbe r of ETNs of such series on the record date which is not evenly
divisible by the split ratio will receive the same treatment as all other holders of such series of ETNs for the maximum number of ETNs of such
series they hold which is evenly divisible by the split ratio, and we will have the right to compensate holders for their remaining or “partial” ETNs in
a commercially reasonable manner determined by us in our sole discretion. Our current intention is to provide holders with a cash payment for
their partials on the 17
th
value of the reverse split-adjusted ETNs on the 14
th
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each series of ETN on the initial valuation date will equal $50. On each subsequent calendar day until
maturity or early redemption, the closing indicative value for each series of ETN will equal (1) the daily index factor for such series of ETN on such
calendar day (or, if such day is not an index business day, one) times (2) the closing indicative value for such series of ETN on the immediately
preceding calendar day minus (3) the investor fee on such calendar day. If the ETNs undergo a split or reverse split, the closing indicative value will
be adjusted accordingly.
An “
index business day
” is a day on which the Index is calculated and published by the Index Sponsors.
The “
daily index factor
” for each series of ETNs on any index business day will equal (1) the closing level of the Index to which those ETNs
are linked on such index business day divided by (2) the closing level of the Index to which those ETNs are linked on the immediately preceding
index business day.
The “
investor fee
” for each series of ETN on the initial valuation date will equal zero. On each subsequent calendar day until maturity or
early redemption, the investor fee for each series of ETN will be equal to (1) 0.45% times (2) the daily index factor for such series of ETN on that
day (or, if such day is not an index business day, one) times (3) the closing indicative value for such ETN on the immediately preceding calendar
day divided by (4) 365. Because the investor fee is calculated and subtracted from the closing indicative value on a daily basis, the net effect of the
fee accumulates over time and is subtracted at the rate of approximately 0.45% per year. Because the net effect of the investor fee is a fixed
percentage of the value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value
of each ETN and the amount of ETNs that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day (i) that is an index business day, (ii) on which trading is generally conducted on NYSE
Arca and (iii) on which trading is generally conducted on the markets on which the futures contracts underlying the relevant Index are traded, in
each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from January 17, 2018 to January 17, 2048, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is January 17, 2018.
The “
final valuation date
” for the ETNs is January 17, 2048.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date, and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 50,000 ETNs of the same series for redemption,
or their broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in
securities transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our
sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value applicable to such
ETN on the applicable valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value applicable to such ETN on the applicable valuation date.
Redemption Date
A “
redemption date
” is:
Barclays Bank PLC 2019 Annual Report on Form 20-F 72
●
in the case of holder redemption, the second business day following each valuation date (other than the final valuation date).
The final redemption date will be the second business day following the valuation date that is immediately prior to the final
valuation date; and
●
in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of holder redemption, to us
via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the valuation date specified in their notice of
redemption.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Market Disruption Event
As set forth under “—Payment at Maturity,” “— Payment Upon Holder Redemption” and “—Issuer Redemption Procedures” above, the
calculation agent will determine the level of the relevant Index on each valuation date, including the final valuation date. As described above, a
valuation date for any series of ETNs may be postponed and thus the determination of the level of the relevant Index may be postponed if the
calculation agent determines that, on a valuation date, a market disruption event has occurred or is continuing in respect of any index component.
If such a postponement occurs, the value of the index components unaffected by the market disruption event shall be determi ned on the scheduled
valuation date and the value of the affected index component shall be determined using the closing value of the affected index component on the
first trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for a series
of ETNs be postponed by more than five trading days.
If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is
continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole
discretion of the level of the relevant Index for such day.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption in the trading of any index component which results in a failure by the trading
facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is
used as a reference or benchmark by market participants);
●
the daily contract reference price for any index component is a “limit price”, which means that the daily contract reference price
for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility;
●
failure by the Index Sponsors to publish the closing value of the relevant Index or of the applicable trading facility or other price
source to announce or publish the daily contract reference price for one or more index components; or
●
any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have
effected or may effect.
The following events will not be market disruption events:
●
a limitation on the hours or numbers of days of trading on a trading facility on which any index component is traded, but only if
the limitation results from an announced change in the regular business hours of the relevant market; or
●
a decision by a trading facility to pe rmanently discontinue trading in any index component.
Barclays Bank PLC 2019 Annual Report on Form 20-F 73
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of an Index
If the Index Sponsors discontinue publication of an Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the level of
the relevant Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor
index.
If the calculation agent determines that the publication of an Index is discontinued and that there is no successor index, or that the closing
level of an Index is not available because of a market disruption event or for any other reason, on the date on which the level of that Index is
required to be determined, or if for any other reason an Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the relevant Index.
If the calculation agent determines that an Index, the index com ponents of an Index or the method of calculating an Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the Index Sponsors under their existing policies or following a modification of those policies, is due to the
publication of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the
calculation agent will be permitted (but not required) to make such adjustments to that Index or method of calculating that Index as it believes are
appropriate to ensure that the level of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the level of an Index and the amount payable at
maturity or upon early redemption or otherwise relating to the value of an Index may be made in the calculation agent’s sole discretion.
Description of iPath
®
SM
Terms defined within this “Description of iPath
®
SM
defined only with respect to this section.
General
The return of the iPath
®
SM
ETNs
”) is linked to the
performance of the Bloomberg Natural Gas Subindex Total Return
SM
Index
”). The Index is a sub-index of the Bloomberg Commodity Index
Total Return
SM
Commodity
Index
” or the “
BCOM Index
”). The Index is composed of one or more futures contracts on commodity of natural
gas (the “
index components
”) and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those
contracts plus (2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills. The BCOM Index is an index on a
basket of futures contracts on physical commodities and is designed to be a benchmark for commodities as an asset class. The Index is the
exclusive property of UBS Securities LLC (collectively with its affiliates, “
UBS
”) and its licensor. On July 1, 2014, UBS entered into a commodity index
license agreement with Bloomberg Finance L.P., whereby UBS has engaged Bloomberg’s services for calculation, publication, administration and
marketing of the Bloomberg Commodity Indexes
SM
. The Index is now calculated, administered and published by Bloomberg Index Services Limited
(“
BISL
” or the “
Index
Administrator
” and, collectively with its affiliates, “
Bloomberg
” and, together with UBS, the “
Index Sponsors
”). The ETNs are
traded on the NYSE Arca exchange under the ticker symbol “GAZ.”
Inception, Issuance and Maturity
The ETNs were first sold on March 8, 2017 (the “
inception date
”). The ETNs were first issued on March 13, 2017 (the “
issue date
”) and will
be due on March 5, 2037 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed,
the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final
valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be
the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Barclays Bank PLC 2019 Annual Report on Form 20-F 74
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was equal to $50. On each subsequ ent calendar day until maturity
or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
minus
day. If the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
An “
index business day
” is a day on which the Index is calculated and published by the Index Sponsors.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided
by
The “
investor fee
” for each ETN on the initial valuation date was equal to zero. On each subsequent calendar day until maturity or early
redemption, the investor fee for each ETN will be equal to (1) 0.45%
times
day
times
divided by
calculated and subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is
subtracted at the rate of approximately 0.45% per year. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the
aggregate effect of the investo r fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs
that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
cond ucted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from March 8, 2017 to March 2, 2037, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five trading days or, if such date is not a trading day, the next
succeeding trading day.
The “
initial valuation date
” for the ETNs is March 8, 2017.
The “
final valuation date
” for the ETNs is March 2, 2037.
Payment Upon Holder Redemption and Upon Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provid ed that they present at least 50,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs. If holders choose to redeem their ETNs, they
Barclays Bank PLC 2019 Annual Report on Form 20-F 75
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
●
in the case of holder redemption, the third business day following each valuation date (other than the final valuation date). The
final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation
date; and
●
in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of holder redemption to us
via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redee m the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Market Disruption Event
Each valuation date may be postponed and thus the determination of the level of the Index may be postponed if that valuation date is not a
trading day or if the calculation agent determines that, on that valuation date, a market disruption event has occurred or is continuing in respect of
the Index. Any commodity or commodity futures contract constituting part of the Index is referred to as an “index component” for purposes of this
section.
Any of the following will be a
“market disruption event”
:
●
a material limitation, suspension or disruption of the trading day in any index component included directly or indirectly in the
Index;
●
the settlement price for any index component included directly or indirectly in the Index is a “limit price,” which means that the
settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the Index Sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the settlement price or closing level for one or more index components.
The following events will not be market disruption events:
●
a decision by a trading facility to permanently discontinue trading in any index component.
If the calculation agent determines that any valuation date (including the final valuation date) is not a trading day for any index component
or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing in respect of any index component,
that valuation date will be postponed to the earlier of (i) the fifth trading day after the originally scheduled valuation date and (ii) the earliest date
that the level, value or price of each index component that is affected by a market disruption event or by the non -trading day can be determined. If
such a postponement occurs, the level, value or price of the index components unaffected by the market disruption event or non -trading day will
be determined on the scheduled valuation date and the level, value or price of any affected index component will be determined using the
settlement level, value or price of that affected index component on the first trading day following the scheduled valuation date on which no
market disruption event occurs or is continuing for that affected index component. In no event, however, will a valuation date be postponed by
more than five trading days. If the calculation agent determines that a market disruption event occurs or is continuing in respect of any index
Barclays Bank PLC 2019 Annual Report on Form 20-F 76
component on the fifth trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the
affected index component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the Index Sponsors discontinue publication of the Index and they or any other person or entity publish an index that the calculation agent
determines is comparable to the Index and approves as a successor index, then the calculation agent will determine the level of the Index on the
applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing
level of the Index is not available because of a market disruption event or for any other reason, on the date on which the level of the Index is
required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the Index.
If the calculation agent determines that the Index, the index components or the method of calculating the Index has been changed at any
time in any respect — including any addition, deletion or substitution and any reweighting or rebalancing of index components, and whether the
change is made by the Index Sponsors under their existing policies or following a modification of those policies, is due to the publication of a
successor index, is due to events affecting one or more of the index components, or is due to any other reason — then the calculation agent will be
permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that
the level of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
®
TM
®
®
Futures
TM
Terms defined within this “Description of iPath
®
®
TM
®
®
VIX Mid-Term Futures
TM
General
The return of iPath
®
®
TM
VXX
ETN
”) is linked to the performance of the
S&P 500
®
®
®
TM
VXZ
ETN
,” together with the VXX ETN, the “
ETNs
”) is linked to the performance of the S&P 500
®
Index
” and
collectively, the “
Indices
”). The Indices are designed to provide investors with exposure to one or more maturities of futures contracts (the “
index
components
”) on the CBOE Volatility Index
VIX
Index
” or “
VIX
”). The Indices were created by S&P Dow Jones Indices LLC (“
S&P Dow Jones
Indices
” or the “
index sponsor
”). The index sponsor calculates the level of the relevant Index daily when the Chicago Board Options Exchange,
Incorporated (the “
CBOE
”) is open (excluding holidays and weekends) and publishes it as soon as practicable thereafter. The ETNs are traded on
the CBOE BZX Exchange under the ticker symbols “VXX” and “VXZ,” respectively.
Inception, Issuance and Maturity
Each series of ETNs were first sold on January 17, 2018 (the “
inception date
”). Each series of ETNs were first issued on January 19, 2018
(the “
issue date
”) and each will be due on January 23, 2048 (the “
maturity date
”).
If the maturity date for a series of ETNs is not a business day, the maturity date will be the next following business day. If the final valuation
date is postponed, the maturity date will be the fifth business day following the final valuation date, as postponed . The calculation agent may
postpone the final valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated. In the event that payment at maturity
is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $27.193879 for the iPath
®
®
TM
iPath
®
®
TM
. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Barclays Bank PLC 2019 Annual Report on Form 20-F 77
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If a series of ETNs undergoes a split, we will adjust the terms of such series of ETNs accordingly. The record date for the split will be the 9th
business day after the announcement date. Any adjustment of closing indicative value of such series of ETNs will be rounded to 8 decimal places.
The split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, we reserve the right to address odd numbers of ETNs of such series (commonly referred to
as “partials”) in a commercially reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th
business day after the announcement date. Any adjustment of closing indicative value of such series of ETNs will be rounded to 8 decimal places.
The reverse split will become effective at the opening of trading of such series of ETNs on the business day immediately following the record date.
In the case of a reverse split of a series of ETNs, holders who own a number of ETNs of such series on the record date which is not evenly
divisible by the split ratio will receive the same treatment as all other holders of such series of ETNs for the maximum number of ETNs of such
series they hold which is evenly divisible by the split ratio, and we will have the right to compensate holders for their remaining or “partial” ETNs in
a commercially reasonable manner determined by us in our sole discretion. Our current intention is to provide holders with a cash payment for
their partials on the 17
th
value of the reverse split-adjusted ETNs on the 14
th
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for the iPath
®
®
TM
$27.193879, and the closing indicative value for the iPath
®
®
TM
to $16.855272. On each subsequent calendar day until maturity or early redemption of the relevant series of ETNs, the closing indicative value for
each series of ETNs will equal (1) the closing indicative value for that series on the immediately preceding calendar day
times
factor for that series on such calendar day (or, if such day is not an index business day, one)
minus
If the ETNs undergo a split or reverse split, the closing indicative value will similarly be adjusted accordingly.
An “
index business day
” is a day on which the Index is calculated and published by the index sponsor.
The “
daily index factor
” for a series of ETNs on any index business day will equal (1) the closing level of the Index for that series on such
index business day
divided by
The “
investor fee
” for each series of ETNs on the initial valuation date was equal to zero. On each subsequent calendar day until maturity
or early redemption, the investor fee for each series of ETNs will be equal to (1) 0.89%
times
immediately preceding calendar day
times
divided by
accumulates over time and is subtracted at the rate of 0.89% per year, which we refer to as the “
investor fee rate
”. Because the net effect of the
investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly
proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” for a series of ETNs is a day on which (1) it is a business day in New York, (2) trading is generally conducted on the CBOE
BZX Exchange and (3) trading is generally conducted on the CBOE, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from January 17, 2018 to January 17, 2048, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five trading days. We refer to January 17, 2018 as the “
initial valuation
date
” and January 17, 2048 as the “
final valuation date
” for the ETNs.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date, and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 25,000 ETNs of the same series for redemption,
or their broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in
securities transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our
sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value applicable to such
ETN on the applicable valuation date minus the redemption charge.
Barclays Bank PLC 2019 Annual Report on Form 20-F 78
The “
redemption charge
” is a one-time charge imposed upon holder redemption and is equal to 0.05%
times
on the applicable valuation date. The redemption charge is intended to allow us to recoup the brokerage and other transaction costs that we will
incur in connection with redeeming the ETNs. The proceeds we receive from the redemption charge may be more or less than such costs.
We may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception date until and
including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative
value applicable to such ETN on the applicable valuation date.
A “
redemption date
” is:
●
in the case of a holder redemption, the second business day following the applicable valuation date (which must be earlier than
the final valuation date) specified in their notice of redemption. Accordingly, the final redemption date will be the second
business day following the valuation date that is immediately prior to the final valuation date; and
●
in the case of an issuer redemption, the fifth business day following the valuation date that we specify in an issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be
payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of holder redemption to us
via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date specified in their
notice of redemption.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our election to
exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be redeemed
on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Market Disruption Event
If an Index is not published on an index business day, or if a market disruption event or a force majeure event (each as defined below) has
occurred or is occurring, and such event affects any Index, any futures contract underlying any Index and/or the ability to hedge any Index, the
calculation agent may (but is not required to) make determinations and/or adjustments to the affected Index or method of calculating the affected
Index. The determination of the value of an ETN on a valuation date, including the final valuation date, may be postponed if the calculation agent
determines that a marke t disruption or force majeure event has occurred or is continuing on such valuation date. In no event, however, will a
valuation date for any series of ETNs be postponed by more than five trading days. If a valuation date is postponed until the fifth trading day
following the scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the
valuation date and the calculation agent will make a good faith estimate in its sole discretion of the value of the relevant Index for such day. All
determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
The occurrence or existence of any of the following, as determined by the calculation agent in its sole discretion, will constitute a “
market
disruption event
”:
●
the index sponsor does not publish the level of an Index on any index business day;
●
a suspension, absence or material limitation of trading of equity securities then constituting 20% or more of the level of the S&P
500
®
the one hour period preceding the close of, the principal trading session on such relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of any relevant exchange for the S&P 500
®
which the reported trading prices for equity securities then constituting 20% or more of the level of the S&P 500
®
materially inaccurate (i) during the one hour preceding the close of the principal trading session on such relevant exchange or
(ii) during any one hour period of trading on such relevant exchange;
●
a suspension, absence or material limitation of trading on any relevant exchange for the futures contracts on the VIX Index (or
any relevant successor index) for more than one hour of trading during, or during the one hour period preceding the close of, the
principal trading session on such relevant exchange;
●
a bre akdown or failure in the price and trade reporting systems of the relevant exchange for the futures contracts on the VIX
Index (or the relevant successor index) as a result of which the reported trading prices for options on the S&P 500
®
SPX
Barclays Bank PLC 2019 Annual Report on Form 20-F 79
Options
”) or futures contracts on the VIX Index (or futures contracts on the relevant successor index) during the one hour
period preceding, and including, the scheduled time at which the value of SPX Options is calculated for purposes of the VIX
Index (or the relevant successor index) are materially inaccurate;
●
a decision to permanently discontinue trading in SPX Options or futures contracts on the VIX Index (or futures contracts on the
relevant successor index);
●
on any index business day, the occurrence or existence of a lack of, or a material decline in, the liquidity in the market for trading
in any futures contract underlying an Index;
●
any event or any condition (including without limitation any event or condition that occurs as a result of the enactment,
promulgation, execution, ratification, interpretation or application of, or any change in or amendment to, any law, rule or
regulation by an applicable governmental authority) that results in an illiquid marke t for trading in any futures contract
underlying an Index; and
●
the declaration or continuance of a general moratorium in respect of banking activities in any relevant city.
A force majeure event includes any event or circumstance (including, without limitation, a systems failure, natural or man-made disaster,
act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance) that the calculation agent determines
to be beyond the calculation agent’s reasonable co ntrol and to materially affect any Index, any futures contract underlying any Index, or the
calculation of the VIX Index.
For purposes of determining whether a market disruption event has occurred:
●
a limitation on the hours or number of days of trading will not constitute a market disruption event if it results from an
announced change in the regular business hours of the relevant exchange for the S&P 500
®
relevant successor index);
●
limitations pursuant to the rules of any relevant exchange similar to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by any other self-regulatory organization or any government agency of scope similar to NYSE Rule 80B as
determined by the index sponsor) on trading during significant market fluctuations will constitute a suspension, absence or
material limitation of trading;
●
a suspension of trading in an SPX Option or a futures contract on the VIX Index (or futures contract on the relevant successor
index) by the relevant exchange for the VIX Index (or the relevant successor index) by reason of:
●
a price change exceeding limits set by such relevant exchange,
●
an imbalance of orders relating to such options, or
●
a disparity in bid and ask quotes relating to such options
will, in each such case, constitute a suspension, absence or material limitation of trading on such relevant exchange; and
●
a “suspension, absence or material limitation of trading” on any relevant exchange will not include any time when such relevant
exchange is itself closed for trading under ordinary circumstances.
“
Relevant exchange
” means, with respect to the S&P 500
®
combination thereof) then included in the S&P 500
®
or market for SPX Options or futures contracts on the VIX Index (or futures contracts on the relevant successor index).
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of an Index
If the index sponsor discontinues publication of an Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the discontinued Index and approves as a successor index, then the calculation agent will determine the level of
the relevant Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor
index.
If the calculation agent determines that the publication of an Index is discontinued and that there is no successor index, or that the closing
level of an Index is not available because of a market disruption event or for any other reason, on the date on which the level of that Index is
required to be determined, or if for any other reason an Index is not available to us or the calculation agent on the relevant date, the calculation
agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably
possible replicate the relevant Index.
If the calculation agent determines that an Index, the index components of an Index or the method of calculating an Index has been
changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and
whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will
be permitted (but not required) to make such adjustments to that Index or method of calculating that Index as it believes are appropriate to ensure
that the level of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
Barclays Bank PLC 2019 Annual Report on Form 20-F 80
All determinations and adjustments to be made by the calculation agent with res pect to the level of an Index and the amount payable at
maturity or upon early redemption or otherwise relating to the value of an Index may be made in the calculation agent’s sole discretion.
Description of Barclays ETN+ S&P VEQTOR™ Exchange-Traded Notes
Terms defined within this “Description of Barclays ETN+ S&P VEQTOR™ Exchange-Traded Notes” section are defined only with respect to this
section.
General
The return of the Barclays ETN+ S&P VEQTOR™ Exchange -Traded Notes (the “
ETNs
”) is linked to the performance of the S&P 500
®
Dynamic VEQTOR™ (Volatility EQuity Target Return) Total Return Index (the “
Index
”). The Index seeks to provide investors with broad equity
market exposure with an implied volatility hedge by dynamically allocating its notional investments among three components: equity, volatility and
cash. The equity component of the Index is represented by the S&P 500
®
S&P 500 TR
”) and the volatility component of
the Index is represented by the S&P 500 VIX Short-Term Futures™ Index TR (the “
Short-Term VIX TR
” and together with the S&P 500 TR, the
“
Constituent Indices
”). The S&P 500 TR is intended to provide a performance benchmark for the U.S. equity markets, and the Short-Term VIX TR
seeks to model the return from a daily rolling long position in the first and second month VIX Index futures contracts. The Index is calculated,
maintained and published by S&P Dow Jones Indices LLC (“
S&P Dow Jones Indices
” or the “
index sponsor
”). The ETNs are traded on the CBOE
BZX Exchange (“
CBOE
BZX
”) under the ticker symbol “VQT.”
Inception, Issuance and Maturity
The ETNs were first sold on August 31, 2010 (the “
inception date
”). The ETNs were first issued on September 3, 2010 (the “
issue date
”),
and each is due on September 8, 2020 (the “
maturity date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $100.00.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
applicable final valuation date.
The “
closing indicative value
” for each ETN on any given calendar day will be calculated in the following manner. The closing indicative
value on the initial valuation date was $100.00. On each subsequent calendar day until maturity or early redemption, the closing indicative value for
each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
(or, if such day is not an index business day, one)
minus
The “
daily index factor
” on any index business day will equal (1) the closing level of the Index on such index business day
divided by
(2) the closing level of the Index on the immediately preceding index business day.
The “
investor fee
” per ETN on the initial valuation date was zero. On each subsequent calendar day until maturity or early redemption , the
investor fee per ETN will be equal to (1) 0.95%
times
times
index factor on that day (or, if such day is not an index business day, one)
divided by
from the closing indicative value on a daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.95% per year,
which we refer to as the “
investor fee rate
”. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the aggregate
effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs that are held,
as applicable.
An “
index business day
” is any day on which both the S&P 500
®
are calculated.
A “
valuation date
” is each business day from August 31, 2010 to August 31, 2020 inclusive (subject to the occurrence of a market
disruption event) or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. In that event, the valuation
date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will any valuation date be postponed by more than five trading days. We refer to August 31, 2010 as the “
initial
valuation date
” and August 31, 2020 as the “
final valuation date
”.
A “
trading day
” is a day on which (1) it is a business day in New York City, (2) trading is generally conducted on the CBOE BZX and (3)
trading is generally conducted on the CBOE, in each case as determined by the calculation agent in its sole discretion.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 81
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Payment Upon Early Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 15,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs. If holders choose to redeem their ETNs, they will
receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
A “
redemption date
” is the third business day following each valuation date (other than the final valuation date). The final redemption date
will be the third business day following the valuation date that is immediately prior to the final valuation date. In the event that payment upon
redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable with respect to that deferred payment.
Early Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Market Disruption and Force Majeure Events Relating to the ETNs
If the Index is not published on an index business day, or if a market disruption event or a force majeure event (each as defined below) has
occurred or is occurring, and such event affects the Index, any futures contract underlying the Index and/or the ability to hedge the Index, the
calculation agent may (but is not required to) make determinations and/or adjustments to the affected Index or method of calculating the affected
Index. The determination of the value of an ETN on a valuation date, including the final valuation date, may be postponed if the calculation agent
determines that a market disruption or force majeure event has occurred or is continuing on such valuation date. In no event, however, will a
valuation date for the ETNs be postponed by more than five trading days. If a valuation date is postponed until the fifth trading day following the
scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the
calculation agent will make a good faith estimate in its sole discretion of the value of the Index for such day. All determinations and adjustments to
be made by the calculation agent may be made in the calculation agent’s sole discretion.
The occurrence or existence of any of the following, as determined by the calculation agent in its sole discretion, will constitute a “
market
disruption
event
”:
●
the index sponsor does not publish the level of the Index on any index business day or the Index is otherwise not available;
●
a suspension, absence or material limitation of trading of equity securities then constituting 20% or more of the level of the S&P
500 TR on the relevant exchanges (as defined below) for such securities for more than two hours of trading (one hour on any
day that is an “index roll date” for purposes of calculation of the CBOE Volatility Index
VIX
Index
” or “
VIX
”) or any
relevant successor index) during, or during the one hour period preceding the close of, the principal trading session on such
relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of any relevant exchange for the S&P 500 TR as a result of which
the reported trading prices for equity securities then constituting 20% or more of the level of the S&P 500 TR are materially
inaccurate (i) during the one hour preceding the close of the principal trading session on such relevant exchange or (ii) during
any one hour period of trading on such relevant exchange on any day that is an “index roll date” for purpose of calculating the
VIX Index or the relevant successor index;
●
a suspension, absence or material limitation of trading on any relevant exchange for the Short-Term VIX TR (or any relevant
successor index) for more than two hours of trading (one hour on any day that is an “index roll date” for purposes of calculation
the Short-Term VIX TR or the relevant successor index) during, or during the one hour period preceding the close of, the
principal trading session on such relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of the relevant exchange for the Short- Term VIX TR (or the
relevant successor index) as a result of which the reported trading prices for the relevant futures contracts on the VIX Index (or
futures on the relevant successor index) during the one hour period preceding, and including, the scheduled time at which the
value of the futures contracts on the VIX Index are calculated for purposes of the Short-Term VIX TR (or the relevant successor
index) are materially inaccurate;
Barclays Bank PLC 2019 Annual Report on Form 20-F 82
●
a suspension, absence or material limitation of trading on any relevant exchange for the VIX Index (or any relevant successor
index) for more than two hours of trading (one hour on any day that is an “index roll date” for purp oses of calculation the VIX
Index or the relevant successor index) during, or during the one hour period preceding the close of, the principal trading session
on such relevant exchange;
●
a breakdown or failure in the price and trade reporting systems of the relevant exchange for the VIX Index (or the relevant
successor index) as a result of which the reported trading prices for options on the S&P 500
®
SPX
Options
”) or futures
on the VIX Index (or futures on the relevant successor index) during the one hour period preceding, and including, the scheduled
time at which the value of SPX Options is calculated for purposes of the VIX Index (or the relevant successor index) are
materially inaccurate;
●
a decision to permanently discontinue trading in SPX Options or futures on the VIX Index (or futures on the relevant successor
index);
●
on any index business day, the occurrence or existence of a lack of, or a material decline in, the liquidity in the market for trading
in any futures contract underlying the Index;
●
any event or any condition (including without limitation any event or condition that occurs as a result of the enactment,
promulgation, execution, ratification, interpretation or application of, or any change in or amendment to, any law, rule or
regulation by an applicable governmental authority) that results in an illiquid market for trading in any futures contract
underlying the Index; and
●
the declaration or continuance of a general moratorium in respect of banking activities in any relevant city.
A force majeure event includes any event or circumstance (including, without limitation, a systems failure, natural or man-made disaster,
act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance) that the calculation agent determines
to be beyond the calculation agent’s reasonable control and to materially affect the Index, any futures contract underlying the Index, or the
calculation of the VIX Index.
For purposes of determining whether a market disruption event has occurred:
●
a limitation on the hours or number of days of trading will not constitute a market disruption event if it results from an
announced change in the regular business hours of the relevant exchange for the S&P 500 TR, the Short-Term VIX Index or the
VIX Index (or the relevant successor index);
●
limitations pursuant to the rules of any relevant exchange similar to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by any other self-regulatory organization or any government agency of scope similar to NYSE Rule 80B as
determined by the index sponsor) on trading during significant market fluctuations will constitute a suspension, absence or
material limitation of trading;
●
a suspension of trading in an SPX Option or a futures contract on the VIX Index (or futures contract on the relevant successor
index) by the relevant exchange for the VIX Index (or the relevant successor index) by reason of:
●
a price change exceeding limits set by such relevant exchange,
●
an imbalance of orders relating to such options, or
●
a disparity in bid and ask quotes relating to such options
will, in each such case, constitute a suspension, absence or material limitation of trading on such relevant exchange; and
●
a “suspension, absence or material limitation of trading” on any relevant exchange will not include any time when such relevant
exchange is itself closed for trading under ordinary circumstances.
For the purposes of this section, “
relevant exchange
” means, with respect to the S&P 500 TR, the primary exchange or market of trading
for any equity security (or any combination thereof) then included in the S&P 500 TR, with respect to the Short-Term VIX TR or any relevant
successor index, the primary exchange or market of trading for the relevant futures contracts on the VIX Index (or futures contracts on any
successor index) or, with respect to the VIX Index or any relevant successor index, the primary exchange or market for SPX Options or futures on
the VIX Index (or futures on the relevant successor index); and an “
index business day
” is a day on which (1) it is a business day in New York City,
and (2) trading is generally conducted on the CBOE.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index that the calculation agent
determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to
such successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of the Index is not available for any reason, on the date on which the value of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
Barclays Bank PLC 2019 Annual Report on Form 20-F 83
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays ETN+ Shiller CAPE
TM
Terms defined within this “Description of Barclays ETN+ Shiller CAPE
TM
section.
General
The return of the Barclays ETN+ Shiller CAPE
TM
ETNs
”) is linked to the performance of the Shiller Barclays
CAPE
TM
Index
”). The Index incorporates the CAPE (Cyclically Adjusted Price Earnings) ratio to assess equity market
valuations of 10 sectors (the “Sector Universe”) on a monthly basis and to identify the relatively undervalued sectors represented in the S&P 500
®
Index (the “
S&P 500
”). The S&P 500
®
Index then selects the top four undervalued sectors that possess relatively stronger price momentum over the past twelve months and allocates an
equally weighted notional long position in the total return version of the S&P Select Sector Indices (each, a “
Sector Index
” and collectively, the
“
Sector Indices
”) corresponding to the selected sectors. Each Sector Index is comprised of equity securities of all companies included in the S&P
500
®
Classification Standard (“
GICS
”). We refer herein to the Sector Indices represented in the Index at any given time collectively as the “
Index
Constituents
”. The Index Constituents are calculated, maintained and published by S&P Dow Jones Indices LLC (“
S&P Dow Jones Indices
” or the
“
sector index sponsor
”). The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating
to the Index. The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function within the
Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation agent
”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the NYSE Arca stock exchange under the ticker symbol “CAPE.”
Inception, Issuance and Maturity
The ETNs were first sold on October 10, 2012
(the “
inception date
”). The ETNs were first issued on October 15, 2012 (the “
issue date
”),
and will be due on October 12, 2022 (the “
maturity date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50.00.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
”, and we will issue a notice to holders of the relevant ETNs and press release announcing the split or reverse split, specifying
the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
Holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will receive the same treatment as all
other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will have the right to compensate
holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole discretion. Our current intention is
to provide holders with a cash payment for their partials on the 17
th
appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
applicable final valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 84
The “
closing indicative value
” for each ETN on any given calendar day will be calculated in the following manner. The closing indicative
value on the initial valuation date was $50.00. On each subsequent calendar day until maturity or early redemption, the closing indicative value for
each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
(or, if such day is not an index business day, one)
minus
The “
daily index factor
” on any index business day will equal (1) the closing level of the Index on such index business day
divided by
(2) the closing level of the Index on the immediately preceding index business day.
The “
investor fee
” for each ETN on the initial valuation date was zero. On each subsequent calendar day until maturity or early redemption,
the investor fee for each ETN will be equal to (1) 0.45%
times
times
(3) the daily index factor on that day (or, if such day is not an index business day, one)
divided by
subtracted from the closing indicative value on a daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.45%
per year, which we refer to as the “
investor fee rate
”. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the
aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs
that are held, as applicable.
An “
index business day
” is a day which is a New York Stock Exchange trading day and a NASDAQ Exchange trading day.
A “
valuation date
” is each business day from October 10, 2012 to October 4, 2022 inclusive (subject to the occurrence of a market
disruption event) or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. In that event, the valuation
date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not
continuing. In no event, however, will any valuation date be postponed by more than five trading days. We refer to October 10, 2012 as the “
initial
valuation date
” and October 4, 2022 as the “
final valuation date
”.
A “
trading day
” is a day on which (1) it is a business day in New York City, (2) trading is generally conducted on the NYSE Arca and (3)
trading is generally conducted on the markets on which the equity securities underlying the Index Constituents are traded, in each case as
determined by the calculation agent in its sole discretion.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date—and therefore the maturity date—if a market disruption event occurs or is continuing on a day that would
otherwise be the final valuation date, provided, however, that the final valuation date will in no event be postponed by more than five trading days.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 25,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any trading day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
●
in the case of holder redemption, effective as of August 31, 2017, the second business day following a valuation date (other than
the final valuation date). The final redemption date of the ETNs will be the second business day following the valuation date that
is immediately prior to the final valuation date; and
●
in the case of issuer redemption, the date specified by us in the issuer redemption notice, which will in no event be prior to the
tenth calendar day following the date on which we deliver such notice.
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Barclays Bank PLC 2019 Annual Report on Form 20-F 85
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption, to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any trading day
on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to
the holders of such ETNs not less than ten calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the fifth trading day prior to the redemption date (subject to postponement in the event of a market disruption
event), and the ETNs will be redeemed on the date specified by us in the issuer redemption notice, but in no event prior to the tenth calendar day
following the date on which we deliver such notice.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Postponement of Valuation Dates
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Any of
the following will be a
“market disruption event”
●
a suspension, absence or material limitation of trading in the index constituents constituting 20% or more, by weight, of the
Index in their respective primary markets, in each case for more than two hours of trading or during the one -half hour period
preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the regular
trading session in such market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options contracts relating to any index constituents constituting 20% or more, by weight, of the Index in
their respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the
regular trading session in such market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants to
(1) effect transactions in, or obtain market values for, index constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or in futures or options contracts relating to any index constituents constituting 20% or
more, by weight, of the Index in their respective primary markets for those contracts, in each case for more than two hour s of
trading or during the one-half hour period preceding the close of the regular trading session in such market or, if the relevant
valuation time is not the close of the regular trading session in such market, the relevant valuation time;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or index constituents
constituting 20% or more, by weight, of the index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without reg ard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary mar ket; or
●
any scheduled trading day on which (1) the primary markets for index constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
For purposes of the ETNs, “
scheduled trading day
” as used therein shall mean trading day as defined above under “Payment at Maturity”.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any index constituent is traded, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
Barclays Bank PLC 2019 Annual Report on Form 20-F 86
In contra st, a suspension or limitation of trading in futures or options contracts related to the Index or any index constituent, if available, in
the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the index constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the index constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in such index component in its primary market or in futures or options
contracts related to the Index or that index constituent in the primary market for those contracts.
For the purpose of determining whether a market disruption event with respect to the Index exists at any time, if trading in an index
constituent is materially suspended or limited at that time, then the relevant percentage contribution of that index constituent to the level of the
Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that index constituent relative to (y) the overall level
of the Index, in each case immediately before that suspension or limitation.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no
event, however, will the valuation date be postponed by more than five trading days. If the calculation agent determines that a market disruption
event occurs or is continuing on the fifth trading day, the calculation agent will make an estimate of the closing level for the Index that would have
prevailed on that fifth trading day in the absence of the market disruption event.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index, and Barclays Bank PLC or any other person or entity publishes an index that the
calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation
agent will determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by
reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of the Index is not available for any reason, on the date on which the value of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays ETN+ Select MLP Exchange-Traded Notes
Terms defined within this “Description of Barclays ETN+ Select MLP Exchange-Traded Notes” section are defined only with respect to this section.
General
The return of the Barclays ETN+ Select MLP Exchange -Traded Notes (the “
ETNs
”) is linked to the performance of the CIBC Atlas Select MLP
Index (the “
Index
”). The Index is designed to provide exposure to a basket of midstream U.S. and Canadian master limited partnerships, limited
liability companies and corporations (collectively, the “
Index Constituents
”) that trade on major U.S. exchanges, are classified in the GICS
®
Sector or GICS
®
®
GICS
”) and meet certain eligibility criteria. The
Index Constituents are selected for inclusion in the Index using the CIBC Select Master Limited Partnership Strategy (the
“Strategy
”) develope d by
CIBC Private Wealth Advisers, Inc. (formerly, “Stein Roe Investment Counsel Inc. d/b/a CIBC Private Wealth Management”) (the “
Index Selection
Agent
”). The Strategy dynamically selects a basket of up to 100 Index Constituents based on certain eligibility criteria including their long-term
credit rating, the portion of their cash flow driven by mid-stream operations and their size as measured by free -float market capitalization and
average daily trading value. The Index Selection Agent provides the Index Constituents selected by the Strategy to Barclays Bank PLC, which is the
owner of the intellectual property and licensing rights relating to the Index. The Index is administered and published by Barclays Index
Administration (the “
Index Sponsor
”), a distinct function within the Investment Bank of Barclays Bank PLC. Prior to June 25, 2018, the Index was
called the Atlantic Trust Select MLP Index. The Index Sponsor has appointed a third-party index calculation agent (the “
Index Calculation Agent
”),
currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and maintain the
Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE
BZX
”) under the ticker symbol “ATMP.”
Barclays Bank PLC 2019 Annual Report on Form 20-F 87
Inception, Issuance and Maturity
The ETNs were first sold on March 12, 2013 (the “
inception date
”). The ETNs were first issued on March 15, 2013 (the “
issue date
”) and
will be due on March 18, 2043 (the “
maturity date
”).
Coupon
If holders or we have not previously redeemed the ETNs, for each ETN that held on the applicable coupon record date, holders will receive
an interest payment in cash per ETN on each coupon payment date in U.S. dollars equal to the coupon amount, if any, on the applicable coupon
valuation date.
The “
coupon amount
” on any coupon valuation date will equal the greater of (i) zero and (ii)(1) the accrued dividend on such coupon
valuation date
minus
Denomination
The ETNs are in denominations of $25.00 . We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“announcement date”, and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split, specifying
the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly.The record date for the split will be the ninth business day after
the announcement date. Any adjustment of closing indicative value, VWAP factor, accrued dividend, and accrued investor fee will be rounded to 8
decimal places. The split will become effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the ninth business day after the
announcement date. Any adjustment of closing indicative value, VWAP factor, accrued dividend, and accrued investor fee will be rounded to 8
decimal places. The reverse split will become effective at the opening of trading of the ETNs on the business day immediately following the record
date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14th business day
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash pay ment per ETN at maturity in U.S. dollars equal to the closing indicative
value on the applicable final valuation date.
The “
closing indicative value
” for each ETN on any given calendar day until the final valuation date or applicable valuation date (in the case
of early redemption) will equal (1) the ETN current value on such calendar day
plus
(2) the accrued dividend on such calendar day
minus
accrued investor fee on such calendar day. If the ETNs undergo a split or reverse split, the closing indicative value will be adjusted accordingly.
The “
ETN current value
” for each ETN on any given calendar day will be calculated as follows: The ETN current value on the initial valuation
date was $25.00. On any subsequent calendar day until maturity or early redemption, the ETN current value will equal (1) the closing VWAP level
on that day (or on the immediately preceding index business day, if such calendar day is not an index business day)
divided by
The “
initial VWAP level
” is 122.48, which is equal to the VWAP level at the close of trading on the initial valuation date, as determined by
the VWAP calculation agent.
The “
closing VWAP level
” is equal to (i) the VWAP level as of the close of trading on any index business day, for purposes of holder
redemption, or (ii) the arithmetic mean of the VWAP levels as of the close of trading on each index business day during the final measurement
period or the issuer redemption measurement period, for purposes of the payment at maturity or upon issuer redemption, respectively, in each
case as determined by the VWAP calculation agent.
Barclays Bank PLC 2019 Annual Report on Form 20-F 88
“
VWAP level
” means, on any index business day, as calculated by the VWAP calculation agent, the sum of the products of (i) the VWAP of
each Index Constituent as of such date and (ii) the number of units of that Index Constituent as of such date published by the Index Sponsor. The
VWAP level is reported on Bloomberg page “BXVWATMP <Index>“.
“
VWAP
” means, with respect to each Index Constituent, on any index business day, the consolidated volume-weighted average price of
one unit of such Index Constituent as determined by the VWAP calculation agent based on all trades in such Index Constituent reported in the
consolidated tape system during the regular trading session.
The “
VWAP factor
” is 4.89920, which is equal to (1) the initial VWAP level
divided by
a split or reverse split, the VWAP factor will be adjusted accordingly.
The “
accrued dividend
” for each ETN on any calendar day will be calculated as follows: The accrued dividend on the initial valuation date
was zero. The accrued dividend on any subsequent calendar day will equal (1) the accrued dividend as of the immediately preceding calendar day
plus
minus
(3) the coupon adjustment dividend amount on such calendar day. If the ETNs
undergo a split or reverse split, the accrued dividend will be adjusted accordingly.
The “
dollar dividend value
” on any calendar day will equal (1) the index dividend on such calendar day
divided by
The “
index dividend
” on any calendar day represents the aggregate cash value of distributions, net of applicable dividend withholding tax,
that a hypothetical person holding Index Constituents in proportion to the weights of the Index Constituents would have been entitled to receive
with respect to any Index Constituent for those cash distributions whose “ex-dividend date” occurs on such calendar day. The index dividend on
any calendar day will equal the sum of the products of (i) the cash value of distributions, net of applicable dividend withholding tax, that a
hypothetical holder of one share or unit of each Index Constituent on such calendar day would have been entitled to receive in respect of that Index
Constituent for those cash distributions whose “ex-dividend date” occurs on such calendar day and (ii) the number of units of that Index
Constituent included in the Index as of such date. A dividend withholding tax is a tax applied to dividends or distributions that would be received by
a holder of an Index Constituent. The applicable rate of the dividend withholding tax for purposes of calculating the index dividend at any given
time is determined by the Index Sponsor in its discretion, based on the rate generally applicable in respect of an Index Constituent given its
jurisdiction of organization. As of the date of this Exhibit [ ], the applicable dividend withholding tax would reduce the cash value of distributions in
respect of any Index Constituent organized under the laws of Canada or any province or territory of Canada by 15% for purposes of calculating the
index dividend.
On any calendar day that is not a coupon ex-date, the “
coupon adjustment dividend amount
” will equal zero. On any calendar day that is a
coupon ex-date, the coupon adjustment dividend amount will equal the accrued dividend on the coupon valuation date immediately preceding
such coupon ex-date. The effect of the coupon adjustment dividend amount as of each coupon ex-date is to reduce the accrued dividend (and,
therefore, the closing indicative value) by the amount of the index dividends reflected in any coupon amount that holders will be entitled to receive
on the immediately following coupon payment date.
The “
accrued investor fee
” for each ETN on any calendar day will be calculated as follows: The accrued investor fee on the initial valuation
date was zero. The accrued dividend on any calendar day will equal (1) the accrued investor fee as of the immediately preceding calendar day
plus
(2) the daily fee value on such calendar day
minus
(3) the coupon adjustment fee amount on such calendar day. If the ETNs undergo a split or
reverse split, the accrued investor fee will be adjusted accordingly.
The “
daily fee value
” on any calendar day is equal to the product of (1) the closing VWAP level on such calendar day
divided by
factor and (2) 0.95%
divided by
net effect of the fee accumulates over time and is subtracted at the rate of approximately 0.95% per year.
On any calendar day that is not a coupon ex-date, the “
coupon adjustment fee amount
” will equal zero. On any calendar day that is a
coupon ex-date, the coupon adjustment fee amount will equal (i) the coupon adjustment dividend amount on such coupon ex-date, if the coupon
amount in respect of such coupon -ex date is zero or (ii) the accrued investor fee on the coupon valuation date immediately preceding such coupon
ex-date, if the coupon amount in respect of such coupon -ex date is greater than zero. The effect of the coupon adjustment fee amount as of each
coupon ex-date is to reduce the accrued investor fee by the portion of the accrued investor fee that was offset against accrued dividends in
calculating any coupon amount that holders will be entitled to receive on the immediately following coupon payment date. If the coupon amount in
respect of any coupon valuation date is zero, which means that the accrued investor fee as of that coupon valuation date is equal to or greater than
the accrued dividend as of that coupon valuation date, the accrued investor fee will be reduced by the accrued dividend and the remaining accrued
investor fee will effectively be carried forward to be offset against subsequent accrued dividends.
The “
redemption charge
” is a one-time charge imposed upon holder redemption and is equal to 0.125%
times
on the applicable valuation date. The redemption charge is intended to allow us to recoup the brokerage and other transaction costs that we will
incur in connection with redeeming the ETNs. The proceeds we receive from the redemption charge may be more or less than such costs.
An “
index business day
” means any day which is a New York Stock Exchange business day.
Valuation Date and Dates Relating to Coupon Payments
A “
valuation date
” is each business day from March 12, 2013 to March 5, 2043 inclusive (or, if such date is not a trading day, the next
succeeding trading day), unless the calculation agent determines that a market disruption event occurs or is continuing on that day in respect of
the Index. In that event, the valuation date will be the first following trading day on which the calculation agent determines that a market disruption
Barclays Bank PLC 2019 Annual Report on Form 20-F 89
event does not occur and is not continuing. In no event, however, will any valuation date be postponed by more than five business days. We refer to
March 12, 2013 as the “
initial valuation date
” and March 5, 2043 as the “
final valuation date
”.
A “
trading day
” is a day on which (1) it is a business day in New York City and (2) trading is generally conducted on the CBOE BZX, in each
case as determined by the calculation agent in its sole discretion.
A “
coupon valuation date
” means the 15th of February, May, August and November of each calendar year during the term of the ETNs or
if such date is not an index business day, then the first index business day following such date (subject to the occurrence of a market disruption
event). The first coupon valuation date was on May 15, 2013 .
A “
coupon ex-date
” means the eighth index business day following each coupon valuation date (subject to the occurrence of a market
disruption event). Effective as of August 31, 2017, the coupon ex- date changed from the seventh index business day to the eighth index business
day. The first coupon ex-date was on May 24, 2013.
A “
coupon record date
” means the ninth index business day fo llowing each coupon valuation date (subject to the occurrence of a market
disruption event). The first coupon record date was on May 29, 2013.
A “
coupon payment date
” means the 15
th
disruption event). The first coupon payment date was on June 6, 2013.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the last day of the final measurement
period does not qualify as a business day, then the maturity date will be the fifth business day following the last day of the final measurement
period. The calculation agent may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is
continuing on a day that would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 50,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date minus the redemption charge.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any trading day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date (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 such valuation date).
A “
redemption date
” is:
●
in the case of holder redemption, effective as of August 31, 2017, the second business day following any valuation date (other
than the final valuation date). The final redemption date of the ETNs will be the second business day following the valuation date
that is immediately prior to the final valuation date; and
●
in the case of issuer redemption, the fifth business day after the last day of the issuer redemption measurement period, which
will in no event be prior to the 20
th
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption, to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 90
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any trading day
on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to
the holders of such ETNs not less than 20 calendar days prior to the redemption date specified by us in such notice. In this scenario, the final
valuation date will be deemed to be the date specified by us in the notice (subject to postponement in the event of a market disruption event), and
the ETNs will be redeemed on the fifth business day after the last day of the issuer redemption measurement period, but in no event prior to the
20th calendar day following the date on which we deliver such notice.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of
the principal of the ETNs at maturity. We describe the default amount below under “General Terms of the ETNs—Default Amount”.
Discontinuance or Modificatio n of the Index
If the index sponsor discontinues publication of the Index, and Barclays Bank PLC or any other person or entity publishes an index that the
calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation
agent will determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by
reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of the Index is not available for any reason, on the date on which the value of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Postponement of Valuation Dates
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Any of
the following will be a
“market disruption event”
●
a suspension, absence or material limitation of trading in the index constituents constituting 20% or more, by weight, of the
Index in their respective primary markets, in each case for more than two hours of trading or during the one -half hour period
preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the regular
trading session in such market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options contracts relating to any index constituents constituting 20% or more, by weight, of the Index in
their respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the
regular trading session in such market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants to
(1) effect transactions in, or obtain market values for, index constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or in futures or options contracts relating to any index constituents constituting 20% or
more, by weight, of the Index in their respective primary markets for those contracts, in each case for more than two hours of
trading or during the one-half hour period preceding the close of the regular trading session in such market or, if the relevant
valuation time is not the close of the regular trading session in such market, the relevant valuation time;
●
the closure on any day of the primary market for futures or option s contracts relating to the Index or index constituents
constituting 20% or more, by weight, of the index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
Barclays Bank PLC 2019 Annual Report on Form 20-F 91
●
any scheduled trading day on which (1) the primary markets for index constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
For purposes of the ETNs, “
scheduled trading day
” as used therein shall mean trading day as defined above under “Payment at Maturity”.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any index constituent is traded, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trad ing in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contr ast, a suspension or limitation of trading in futures or options contracts related to the Index or any index constituent, if available, in
the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the index constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the index constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in such index component in its primary market or in futures or options
contracts related to the Index or that index constituent in the primary market for those contracts.
For the purpose of determining whether a market disruption event with respect to the Index exists at any time, if trading in an index
constituent is materially suspended or limited at that time, then the relevant percentage contribution of that index constituent to the level of the
Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that index constituent relative to (y) the overall level
of the Index, in each case immediately before that suspension or limitation.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no
event, however, will the valuation date be postponed by more than five trading days. If the calculation agent determines that a market disruption
event occurs or is continuing on the fifth trading day, the calculation agent will make an estimate of the closing level for the Index that would have
prevailed on that fifth trading day in the absence of the market disruption event.
Description of Barclays ETN+ FI Enhanced Europe 50 Exchange-Traded Notes Series C
Terms defined within this “Description of Barclays ETN+ FI Enhanced Europe 50 Exchange-Traded Notes Series C” section are defined only with
respect to this section.
General
The return of the Barclays ETN+ FI Enhanced Europe 50 Exchange -Traded Notes Series C (the “
ETNs
”) is linked to the performance of the
STOXX Europe 50
®
Index
”). The return on the ETNs is linked to a quarterly rebalanced leveraged participation in
the performance of the Index. The Index is composed of 50 European blue-chip companies (the “
Index Constituents
”) selected from within the
STOXX Europe 600 Index (the “
Parent Index
”). The Parent Index contains the 600 largest stocks traded on the major exchanges of 17 European
countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal,
Spain, Sweden, Switzerland and the United Kingdom. The Index is calculated, maintained and published by STOXX Limited (the “
index sponsor
”),
which launched the Index on March 27, 2012 . The ETNs are traded on the NYSE Arca exchange under the ticker symbol “FFEU.”
Inception, Issuance and Maturity
The ETNs were first sold on March 15, 2018 (the “
inception date
”). The ETNs were first issued on March 19, 2018 (the “
issue date
”) and
will be due on March 17, 2033 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
In the event that payment at maturity is deferr ed beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Barclays Bank PLC 2019 Annual Report on Form 20-F 92
Denomination
The ETNs are in denominations of $100.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment per ETN in U.S. dollars at maturity in an amount equal to (a) the
closing indicative note value on the final valuation date
minus
The “
closing indicative note value
” per ETN on the initial valuation date was $100. The closing indicative note value for each ETN on any
subsequent valuation date will equal (a) the long index amount on such valuation date
minus
provided
published on each valuation date under the ticker symbol “FFEU.RDNV”.
The “
long index amount
” per ETN on the initial valuation date was $200, which is equal to the initial leverage factor of 2
times
amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of (a) the long index amount on the
immediately preceding valuation date
times
minus
(c) the rebalancing amount (if any) on
such valuation date. The long index amount will be published on each valuation date under the ticker symbol “FFEU.LIA”.
The “
initial leverage factor
” will equal 2.
The “
leverage factor
” per ETN on any valuation date will equal (i) the
long index amount on such valuation date
divided by
indicative note value on such valuation date. The leverage factor will be published under the ticker symbol “FFEU.LF”.
The “
index performance factor
”
per ETN on the initial valuation date will equal 1. On any subsequent valuation date, the index
performance factor will equal (a) the closing level of the Index on such valuation date
divided by
immediately preceding valuation date.
The “
financing level
” for each ETN on the initial valuation date was $100. On any subsequent valuation date, the financing level for each
ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
loss rebalancing fee (if any) on such valuation date
minus
(d) the rebalancing amount (if any) on such valuation date. The financing level will be
published on each valuation date under the ticker symbol “FFEU.FL”.
The “
daily investor fee
” per ETN on the initial valuation date was $0. On any subsequent valuation date, the daily investor fee for each ETN
will equal (a) the sum of (i) the financing rate
times
plus
times
closing indicative note value on the immediately preceding valuation date
times
(b) the number of calendar days from, but excluding, the
immediately preceding valuation date to, and including, the current valuation date
divided by
The “
fee rate
” will equal 1.05%.
The “
financing rate
” will equal the sum of (a)1.00% plus (b)the 3- month LIBOR rate as of the preceding rebalancing date in respect of
which a quarterly rebalancing event has occurred (a “
quarterly rebalancing date
”).
Notwithstanding anything to the contrary in the accompanying prospectus supplement, for purposes of the ETNs, “
3-month LIBOR rate
”
on any quarterly rebalancing date shall mean the rate for deposits in U.S. dollars for a period of three months as of approximately 11:00 am London
time on that quarterly rebalancing date which appears on Bloomberg screen “US0003M” or any successor screen or comparable publication service
(the “
Designated Screen
”). If no rate appears on the Designated Screen, then the determination of the 3-mon th LIBOR rate may be postponed for
up to five trading days. Under such circumstances, the 3-month LIBOR rate available as of the preceding quarterly rebalancing date shall be used
for up to five trading days until such time as the 3-month LIBOR rate become s available on the Designated Screen. If the 3-month LIBOR rate
continues not to be available on the fifth trading day after the relevant quarterly rebalancing date, then the calculation agent may determine the
relevant LIBOR rate in accordance with the following paragraph.
Notwithstanding the foregoing, if the calculation agent determines in its sole discretion (i) on the fifth trading day after the relevant
quarterly rebalancing date that the 3-month LIBOR rate is not available on the Designated Screen or (ii) on or prior to the relevant quarterly
rebalancing date that the relevant LIBOR rate has been discontinued or such rate has ceased to be published permanently or indefinitely, then the
calculation agent shall use for the relevant quarterly rebalancin g date a successor or substitute rate that it has determined in its sole discretion to
be (a) the industry-accepted successor rate to the discontinued LIBOR rate or (b) if no such industry-accepted successor rate exists, the most
comparable substitute rate to the discontinued LIBOR rate. If the calculation agent has determined a successor or substitute rate in accordance
with the foregoing, the calculation agent may make adjustments in its sole discretion to any relevant methodology for calculating such successor
or substitute rate, including, but not limited to, any adjustment it determines is needed to make such successor or substitute rate comparable to
the discontinued LIBOR rate, in a manner that is consistent with industry-accepted practices for such successor or substitute rate for debt
obligations such as the ETNs.
The “
settlement charge
” is a charge imposed upon holder redemption and the payment at maturity, and is equal to 0.05% times the long
index amount on the applicable valuation date. The settlement charge is intended to allow us to recoup the brokerage and other transaction costs
that we will incur in connection with making a payment on the ETNs. The proceeds we receive from the settlement charge may be more or less
than such costs.
Barclays Bank PLC 2019 Annual Report on Form 20-F 93
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City generally are authorized or obligated by law, regulation, or executive order to close.
A “
valuation date
” means each trading day from March 15, 2018 to March 14, 2033, subject to postponement as a result of market
disruption events, such postponement not to exceed five scheduled trading days. We refer to March 15, 2018 as the “
initial valuation date
” and
March 14, 2033 as the “
final valuation date
”.
A “
trading day
” with respect to the ETNs means a day on which (a) it is an index business day, (b) trading is generally conducted on NYSE
Arca, and (c) is a business day in New York City.
An “
index business day
” means each continuous period during which the index sponsor publishes an intraday index level. As of the date of
this Exhibit [ ], an index business day typically begins at 3:00 a.m. New York City time and ends at 11:35 a.m. New York City time on a particular
calendar date, without adjustment for daylight savings time in any jurisdiction. The specific hours on which an index business day begins and ends
may be subject to adjustment if the Index Exchanges included in the Index change.
An “
Index Exchange
” means each exchange on whi ch any of the Index Constituents are traded.
Index Exposure Rebalancing
A “
loss rebalancing event
” will occur if, on any valuation date, the closing level of the Index is less than or equal to the loss rebalancing
trigger calculated on the immediately prec eding valuation date.
The “
loss rebalancing trigger
” on any valuation date will equal (a) 1.6
times
times
(c) the financing level on such valuation date
divided by
published under the ticker symbol “FFEU.RT”.
A “
quarterly rebalancing event
” occurs on the valuation date immediately preceding the first valuation date of each calendar quarter
beginning on April 1, 20 18 and ending on January 1, 2033.
A “
rebalancing event date
” means any valuation date on which a loss rebalancing event or a quarterly rebalancing event occurs (together
a “
rebalancing event
”). In the event that a loss rebalancing event occurs on the same valuation date as a quarterly rebalancing event, the loss
rebalancing event will be deemed to have occurred in precedence over the quarterly rebalancing event and the applicable loss rebalancing fee will
be charged on the related rebalancing date.
A “
rebalancing date
” is the first valuation date immediately following a rebalancing event date on which all the Index Exchanges are open
for trading.
The “
rebalancing amount
” for each ETN on any valuation date that is not a rebalancing date will be equal to zer o. On any valuation date
that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding
valuation date
times
minus
times
closing indicative note value on the immediately preceding valuation date.
The “
loss rebalancing fee
” for each ETN on any valuation date that is not a rebalancing date will be equal to zero . On any valuation date
that is a rebalancing date following the occurrence of a loss rebalancing event, the loss rebalancing fee for each ETN will be equal to the product of
(a) loss rebalancing fee rate
multiplied by
fee be negative.
The “loss rebalancing fee rate” will equal 0.05%.
Payment Upon Holder Redemption Or Issuer Redemption
If holders or we have not previously redeemed the ETNs, up to the valuation date immediately preceding the final valuation date, and
subject to the occurrence of an intervening automatic termination event and to certain other restrictions, holders may elect to redeem their ETNs
on any redemption date during the term of the ETNs. If holders redeem their ETNs, they will receive a cash payment in U.S. dollars per ETN on such
date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. Holders must redeem at
least 10 ,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date, or their broker or other financial
intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities transactions) must
bundle their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole discretion, reduce
this minimum redemption amount on a consistent basis for all holders of ETNs. Notwithstanding the foregoing, if an automatic termination event,
as described under “—Automatic Termination Event”, occurs between the time at which a holder deliver a notice of redemption to us and the close
of business on the applicable valuation date, their notice of redemption will be deemed ineffective and their ETNs will be automatically redeemed
on the relevant redemption date as described under “—Automatic Termination Event”.
Prior to maturity we may redeem the ETNs (in whole only, but not in part) at our sole discretion on any business day from and including
issuance to and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten calendar
days prior to the valuation date specified by us in such notice. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN on
the corresponding redemption date in an amount equal to the closing indicative note value on the valuation date specified in such notice.
Barclays Bank PLC 2019 Annual Report on Form 20-F 94
A “
redemption date
” is:
●
In the case of holder redemption, the redemption date is the second business day following the applicable valuation date (which
must be earlier than the final valuation date) specified in the relevant notice of holder redemption. Accordingly, the final
redemption date will be the second business day following the valuation date that is immediately prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the third business day following the valuation date specified by us in the
issuer redemption notice, which will in no event be later than the maturity date.
●
In the case of an automatic termination event, the redemption date is the fifth business day following the automatic termination
date;
provided
redemption date will be the fifth business day after the automatic redemption value is calculated.
Holder Redemption Procedu res
If we have not exercised our right to redeem the ETNs and no automatic termination event has occurred, holders may, subject to the
minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem their ETNs, holders must instruct
their broker or other person through whom holders hold their ETNs to deliver a notice of holder redemption to us via facsimile or email by no later
than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date specified in their notice of holder redemption.
Automatic Termination Event
The ETNs will be redeemed automatically (in whole only, but not in part) if, on any index business day prior to or on the final valuation date,
the intraday index level is less than or equal to the automatic termination trigger calculated on the valuation date immediately preceding the
beginning of such index business day. We will redeem the ETNs on the relevant redemption date and will deliver a notice of redemption to the
Depositary Trust Company (“
DTC
”) in the form attached as Annex C that will specify such date. Upon such redemption, holders will receive a cash
payment equal to the automatic redemption value.
The “
intraday index level
” is the most recent intraday level of the Index reported by the index sponsor.
The “
automatic termination trigger
” on any valuation date will equal (a) 1.4
times
times
divided by
will be published under the ticker symbol “FFEU.ATT”.
An “
automatic termination date
” is any index business day on which an automatic termination event occurs.
The “
automatic redemption value
” will be determined by the calculation agent, in its sole discretion, acting in good faith and in a
commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are
available as soon as practicable following the occurrence of an automatic termination event. The calculation agent will approximate the intraday
index performance factor on the basis of such quotations and calculate, in the manner described under “Intraday Indicative Note Value”, a
corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs after the occurrence of the rebalancing event but prior
to the end of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic
termination event without giving regard to the rebalancing event. Additionally, if we provide notice of an issuer redemption of the ETNs and then an
automatic termination event occurs prior to the end of the trading day on the corresponding valuation date for the issuer redemption, our notice of
issuer redemption will be deemed ineffective and the ETNs will be automatically redeemed on the relevant redemption date at an amount equal to
the automatic redemption value.
Market Disruption Events
If the calculation agent is prevented from determining the automatic redemption value because a market disruption event occurs or is
continuing following the occurrence of an automatic termination event, the calculation agent may determine the automatic redemption value
when the market disruption event has ceased to occur. However, if such market disruption event is continuing on the fifth trading day after the
automatic termination date, the calculation agent may make a good faith estimate in its sole discretion of the value of the Index and will determine
the automatic redemption value prior to the close of trading on the fifth trading day.
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Under
these circumstances, that valuation date will be the first following scheduled trading day on which the calculation agent determines that no market
disruption event occurs or is continuing. In no event, however, will any valuation date be postponed by more than five scheduled trading days. If
the calculation agent determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will
determine the closing level for the Index on that fifth scheduled trading day in good faith and in a commercially reasonable manner.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in the Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, in each case for more than two hours of trading or during the one-half hour period preceding
Barclays Bank PLC 2019 Annual Report on Form 20-F 95
the close of the regular trading session in that market or, if the relevant valuation time is not the close of the regular trading
session in that market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options contracts relating to any Index Constituents constituting 20% or more, by weight, of the Index in
the respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in that market or, if the relevant valuation time is not the close of the
regular trading session in that market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants in general
to (1) effect transactions in, or obtain market values for, Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or futures or options contracts relating to any Index Constituents constituting 20% or
more, by weight, of the Index in the respective primary markets for those contracts, in either case for more than two hours of
trading or at any time during the one-half hour period preceding the close of the regular trading session in that market or, if the
relevant valuation time is not the close of the regular trading session in that market, the relevant valuation time;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
●
any scheduled trading day on which (1) the primary markets for Index Constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
“Scheduled trading day”
exchange or quotation system, if any, on which futures or options contracts on (i) the Index or (ii) Index Constituents constituting 20% or more, by
weight, of the Index are traded are scheduled to be open for trading for their regular trading session.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading in the relevant market only if the limitation results from an announced
change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in an Index Constituent in its primary market, or in futures or options contracts related to
the Index or any Index Constituent, if available, in the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the Index Constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the Index Constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in that Index Constituent in futures or options contracts related to the Index in
the primary market for those contracts.
In addition to the market disruption events described above, a market disruption event will also occur if the index sponsor does not publish
the level of the Index on an index business day or the Index is otherwise not available.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative note value on the date
of acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the level of the Index on the applicable valuation date and the amount payable at maturity or upon redemptio n by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing level
of the Index is not available for any reason, on the date on which the level of the Index is required to be determined, the calculation agent will
Barclays Bank PLC 2019 Annual Report on Form 20-F 96
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect, and
whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, or is due to any other reason — then the calculation agent will be permitted (but not required) to make such adjustments to
the Index or method of calculating the Index as it believes are appropriate to ensure that the level of the Index used to determine the amount
payable on the maturity date is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays ETN+ FI Enhanced Global High Yield Exchange-Traded Notes Series B
Terms defined within this “Description of Barclays ETN+ FI Enhanced Global High Yield Exchange-Traded Notes Series B” section are defined only
with respect to this section.
General
The return of the Barclays ETN+ FI Enhanced Global High Yield Exchange-Traded Notes Series B (the “
ETNs
”) is linked to the performance
of the MSCI World High Dividend Yield USD Gross Total Return Index (the “
Index
”). The return on the ETNs is linked to a quarterly rebalanced
leveraged participation in the performance of the Index. The Index is designed to track the performance of large and mid cap stocks (excluding
REITS) (the “
Index Constituents
”) across 23 developed markets countries tracked by the MSCI World Index (the “
Parent Index
”) with higher than
average dividend yields that are potentially both sustainable and persistent. The Index also incorporates certain screening mechanisms based on
certain “quality” characteristics and recent 1-year price perfo rmance that seek to exclude stocks with potentially deteriorating fundamentals that
may force them to cut or reduce dividends. The Index is calculated, maintained and published by MSCI, Inc. (the “
index sponsor
”), which launched
the Index on May 31, 2006. The ETNs are traded on the NYSE Arca exchange under the ticker symbol “FIYY.”
Inception, Issuance and Maturity
The ETNs were first sold on March 15, 2018 (the “
inception date
”). The ETNs were first issued on March 19, 2018 (the “
issue date
”) and
will be due on March 17, 2033 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $100.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment per ETN in U.S. dollars at maturity in an amount equal to (a) the
closing indicative note value on the final valuation date
minus
The “
closing indicative note value
” per ETN on the initial valuation date was $100. The closing indicative note value for each ETN on any
subsequent valuation date will equal (a) the long index amount on such valuation date
minus
provided
published on each valuation date under the ticker symbol “FIYY.RDNV”.
The “
long index amount
” per ETN on the initial valuation date was $200, which is equal to the initial leverage factor of 2
times
amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of (a) the long index amount on the
immediately preceding valuation date
times
minus
(c) the rebalancing amount (if any) on
such valuation date. The long index amount will be published on each valuation date under the ticker symbol “FIYY.LIA”.
The “
initial leverage factor
” will equal 2.
Barclays Bank PLC 2019 Annual Report on Form 20-F 97
The “
leverage factor
” per ETN on any valuation date will equal (i) the
long index amount on such valuation date
divided by
indicative note value on such valuation date. The leverage factor will be published under the ticker symbol “FIYY.LF”.
The “
index performance factor
”
per ETN on the initial valuation date will equal 1. On any subsequent valuation date, the index
performance factor will equal (a) the closing level of the Index on such valuation date
divided by
immediately preceding valuation date.
The “
financing level
” for each ETN on the initial valuation date was $100. On any subsequent valuation date, the financing level for each
ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
loss rebalancing fee (if any) on such valuation date
minus
(d) the rebalancing amount (if any) on such valuation date. The financing level will be
published on each valuation date under the ticker symbol “FIYY.FL”.
The “
daily investor fee
” per ETN on the initial valuation date was $0. On any subsequent valuation date, the daily investor fee for each ETN
will equal (a) the sum of (i) the financing rate
times
plus
times
closing indicative note value on the immediately preceding valuation date
times
(b) the number of calendar days from, but excluding, the
immediately preceding valuation date to, and including, the current valuation date
divided by
The “
fee rate
” will equal 0.93%.
The “
financing rate
” will equal the sum of (a)0.88% plus (b)the 3-month LIBOR rate as of the preceding rebalancing date in respect of
which a quarterly rebalancing event has occurred (a “
quarterly rebalancing date
”).
Notwithstanding anything to the contrary in the accompanying prospectus supplement, for purpos es of the ETNs, “
3-month LIBOR rate
”
on any quarterly rebalancing date shall mean the rate for deposits in U.S. dollars for a period of three months as of approximately 11:00 am London
time on that quarterly rebalancing date which appears on Bloomberg screen “US0003M” or any successor screen or comparable publication service
(the “
Designated Screen
”). If no rate appears on the Designated Screen, then the determination of the 3-month LIBOR rate may be postponed for
up to five trading days. Under such circumstances, the 3-month LIBOR rate available as of the preceding quarterly rebalancing date shall be used
for up to five trading days until such time as the 3-month LIBOR rate becomes available on the Designated Screen. If the 3-month LIBOR rate
continues not to be available on the fifth trading day after the relevant quarterly rebalancing date, then the calculation agent may determine the
relevant LIBOR rate in accordance with the following paragraph.
Notwithstanding the foregoing, if the calculation agent determines in its sole discretion (i) on the fifth trading day after the relevant
quarterly rebalancing date that the 3-month LIBOR rate is not available on the Designated Screen or (ii) on or prior to the relevant quarterly
rebalancing date that the relevant LIBOR rate has been discontinued or such rate has ceased to be published permanently or indefinitely, then the
calculation agent shall use for the relevant quarterly rebalancing date a successor or substitute rate that it has determined in its sole discretion to
be (a) the industry-accepted successor rate to the discontinued LIBOR rate or (b) if no such industry-accepted successor rate exists, the most
comparable substitute rate to the discontinued LIBOR rate. If the calculation agent has determined a successor or substitute rate in accordance
with the foregoing, the calculation agent may make adjustments in its sole discretion to any relevant methodology for calculating such successor
or substitute rate, including, but not limited to, any adjustment it determines is needed to make such successor or substitute rate comparable to
the discontinued LIBOR rate, in a manner that is consistent with industry-accepted practices for such successor or substitute rate for debt
obligations such as the ETNs.
The “
settlement charge
” is a charge imposed upon holder redemption and the payment at maturity, and is equal to 0.05% times the long
index amount on the applicable valuation date. The settlement charge is intended to allow us to recoup the brokerage and other transaction costs
that we will incur in connection with making a payment on the ETNs. The proceeds we receive from the settlement charge may be more or less
than such costs.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City generally are authorized or obligated by law, regulation, or executive order to close.
A “
valuation date
” means each trading day from March 15, 2018 to March 14, 2033, subject to postponement as a result of market
disruption events, such postponement not to exceed five scheduled trading days. We refer to March 15, 2018 as the “
initial valuation date
” and
March 14, 2033 as the “
final valuation date
”.
A “
trading day
” with respect to the ETNs means a day on which (a) it is an index business day, (b) trading is generally conducted on NYSE
Arca, and (c) is a business day in New York City.
An “
index business day
” means each continuous period during which the index sponsor publishes an intraday index level. As of the date of
this Exhibit [ ], an index business day will be deemed to begin at the scheduled opening time of trading on the New Zealand Exchange (typically
7:00 p.m. New York City time on a particular calendar date without adjustment for daylight savings time in any jurisdiction) and end at the
scheduled closing time of trading on the New York Stock Exchange (4:00 p.m. New York City time on the following calendar date). The specific
hours on which an index business day begins and ends may be subject to adjustment if the Index Exchanges included in the Index change.
An “
Index Exchange
” means each exchange on which any of the Index Constituents are traded.
Barclays Bank PLC 2019 Annual Report on Form 20-F 98
Index Exposure Rebalancing
A “
loss rebalancing event
” will occur if, on any valuation date, the closing level of the Index is less than or equal to the loss rebalancing
trigger calculated on the immediately preceding valuation date.
The “
loss rebalancing trigger
” on any valuation date will equal (a) 1.6
times
times
(c) the financing level on such valuation date
divided by
published under the ticker symbol “FIYY.RT”.
A “
quarterly rebalancing event
” occurs on the valuation date immediately preceding the first valuation date of each calendar quarter
beginning on April 1, 2018 and ending on January 1, 2033.
A “
rebalancing event date
” means any valuation date on which a loss rebalancing event or a quarterly rebalancing event occurs (together
a “
rebalancing event
”). In the event that a loss rebalancing event occurs on the same valuation date as a quarterly rebalancing event, the loss
rebalancing event will be deemed to have occurred in precedence over the quarterly rebalancing event and the applicable loss rebalancing fee will
be charged on the related rebalancing date.
A “
rebalancing date
” is the first valuation date immediately following a rebalancing event date on which all the Index Exchanges are open
for trading.
The “
rebalancing amount
” for each ETN on any valuation date that is not a rebalancing date will be equal to zero. On any valuation date
that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding
valuation date
times
minus
times
closing indicative note value on the immediately preceding valuation date.
The “
loss rebalancing fee
” for each ETN on any valuation date that is not a rebalancing date will be equal to zero. On any valuation date
that is a rebalancing date following the occurrence of a loss rebalancing event, the loss rebalancing fee for each ETN will be equal to the product of
(a) loss rebalancing fee rate
multiplied by
fee be negative.
The “
loss rebalancing fee rate
” will equal 0.05%.
Payment Upon Holder Redemption Or Issuer Redemption
If holders or we have not previously redeemed the ETNs, up to the valuation date immediately preceding the final valuation date, and
subject to the occurrence of an intervening automatic termination event and to certain other restrictions, holders may elect to redeem their ETNs
on any redemption date during the term of the ETNs. If holders redeem their ETNs, they will receive a cash payment in U.S. dollars per ETN on such
date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. Holders must redeem at
least 10,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption da te, or their broker or other financial
intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities transactions) must
bundle their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole discretion, reduce
this minimum redemption amount on a consistent basis for all holders of ETNs. Notwithstanding the foregoing, if an automatic termination event,
as described under “—Automatic Termination Event”, occurs between the time at which a holder deliver a notice of redemption to us and the close
of business on the applicable valuation date, their notice of redemption will be deemed ineffective and their ETNs will be automatically redeemed
on the relevant redemption date as described under “—Automatic Termination Event”.
Prior to maturity we may redeem the ETNs (in whole only, but not in part) at our sole discretion on any business day from and including
issuance to and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten calendar
days prior to the valuation date specified by us in such notice. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN on
the corresponding redemption date in an amount equal to the closing indicative note value on the valuation date specified in such notice.
A “
redemption date
” is:
●
In the case of holder redemption, the redemption date is the second business day following the applicable valuation date (which
must be earlier than the final valuation date) specified in the relevant notice of holder redemption. Accordingly, the final
redemption date will be the second business day following the valuation date that is immediately prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the third business day following the valuation date specified by us in the
issuer redemption notice, which will in no event be later than the maturity date.
●
In the case of an automatic termination event, the redemption date is the fifth business day following the automatic termination
date;
provided
redemption date will be the fifth business day after the automatic redemption value is calculated.
Holder Redemption Procedures
If we have not exercised our right to re deem the ETNs and no automatic termination event has occurred, holders may, subject to the
minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem their ETNs, holders must instruct
Barclays Bank PLC 2019 Annual Report on Form 20-F 99
their broker or other perso n through whom holders hold their ETNs to deliver a notice of holder redemption to us via facsimile or email by no later
than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date specified in their notice of holder rede mption.
Automatic Termination Event
The ETNs will be redeemed automatically (in whole only, but not in part) if, on any index business day prior to or on the final valuation date,
the intraday index level is less than or equal to the automatic termination trigger calculated on the valuation date immediately preceding the
beginning of such index business day. We will redeem the ETNs on the relevant redemption date and will deliver a notice of redemption to the
Depositary Trust Company (“
DTC
”) in the form attached as Annex C that will specify such date. Upon such redemption, holders will receive a cash
payment equal to the automatic redemption value.
The “
intraday index level
” is the most recent intraday level of the Index reported by the index sponsor.
The “
automatic termination trigger
” on any valuation date will equal (a) 1.4
times
times
divided by
will be published under the ticker symbol “FIYY.ATT”.
An “
automatic termination date
” is any index business day on which an automatic termination event occurs.
The “
automatic redemption value
” will be determined by the calculation agent, in its sole discretion, acting in good faith and in a
commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are
available as soon as practicable following the occurrence of an automatic termination event. The calculation agent will approximate the intraday
index performance factor on the basis of such quotations and calculate, in the manner describ ed under “Intraday Indicative Note Value”, a
corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs after the occurrence of the rebalancing event but prior
to the end of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic
termination event without giving regard to the rebalancing event. Additionally, if we provide notice of an issuer redemption of the ETNs and then an
automatic termination event occurs prior to the end of the trading day on the corresponding valuation date for the issuer redemption, our notice of
issuer redemption will be deemed ineffective and the ETNs will be automatically redeemed on the relevant redemption date at an amount equal to
the automatic redemption value.
Market Disruption Events
If the calculation agent is prevented from determining the automatic redemption value because a market disruption event occurs or is
continuing following the occurrence of an automatic termination event, the calculation agent may determine the automatic redemption value
when the market disruption event has ceased to occur. However, if such market disruption event is continuing on the fifth trading day after the
automatic termination date, the calculation agent may make a good faith estimate in its sole discretion of the value of the Index and will determine
the automatic redemption value prior to the close of trading on the fifth trading day.
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Under
these circumstances, that valuation date will be the first following scheduled trading day on which the calculation agent determines that no market
disruption event occurs or is continuing. In no event, however, will any valuation date be postponed by more than five scheduled trading days. If
the calculation agent determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will
determine the closing level for the Index on that fifth scheduled trading day in good faith and in a commercially reasonable manner.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in the Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, in each case for more than two hours of trading or during the one-half hour period preceding
the close of the regular trading session in that market or, if the relevant valuation time is not the close of the regular trading
session in that market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options contracts relating to any Index Constituents constituting 20% or more, by weight, of the Index in
the respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in that market or, if the relevant valuation time is not the close of the
regular trading session in that market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants in general
to (1) effect transactions in, or obtain market values for, Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or futures or options contracts relating to any Index Constituents constituting 20% or
more, by weight, of the Index in the respective primary markets for those contracts, in either case for more than two hours of
trading or at any time during the one-half hour period preceding the close of the regular trading session in that market or, if the
relevant valuation time is not the close of the regular trading session in that market, the relevant valuation time;
Barclays Bank PLC 2019 Annual Report on Form 20-F 100
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
●
any scheduled trading day on which (1) the primary markets for Index Constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
●
“Scheduled trading day”
each exchange or quotation system, if any, on which future s or options contracts on (i) the Index or (ii) Index Constituents
constituting 20% or more, by weight, of the Index are traded are scheduled to be open for trading for their regular trading
session.
●
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading in the relevant market only if the limitation results from an announced
change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in an Index Constituent in its primary market, or in futures or options contracts related to
the Index or any Index Constituent, if available, in the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the Index Constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the Index Constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in that Index Constituent in futures or options contracts related to the Index in
the primary market for those contracts.
In addition to the market disruption events described above, a market disruption event will also occur if the index sponsor does not publish
the level of the Index on an index business day or the Index is otherwise not available.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative note value on the date
of acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the level of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing level
of the Index is not available for any reason, on the date on which the level of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect, and
whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, or is due to any other reason — then the calculation agent will be permitted (but not required) to make such adjustments to
the Index or method of calculating the Index as it believes are appropriate to ensure that the level of the Index used to determine the amount
payable on the maturity date is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Barclays Bank PLC 2019 Annual Report on Form 20-F 101
Terms defined within this “Description of Barclays ETN+ FI Enhanced Europe 50 Exchange-Traded Notes Series B” section are defined only with
respect to this section.
General
The return of the Barclays ETN+ FI Enhanced Europe 50 Exchange -Traded Notes Series B (the “
ETNs
”) is linked to the performance of the
STOXX Europe 50
®
Index
”). The return on the ETNs is linked to a quarterly rebalanced leveraged participation in
the performance of the Index. The Index is composed of 50 European blue-chip companies (the “
Index Constituents
”) selected from within the
STOXX Europe 600 Index (the “
Parent Index
”). The Parent Index contains the 600 largest stocks traded on the major exchanges of 17 European
countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg , the Netherlands, Norway, Portugal,
Spain, Sweden, Switzerland and the United Kingdom. The Index is calculated, maintained and published by STOXX Limited (the “
index sponsor
”),
which launched the Index on March 27, 2012 . The ETNs are traded on the NYSE Arca exchange under the ticker symbol “FLEU.”
Inception, Issuance and Maturity
The ETNs were first sold on November 2, 2016 (the “
inception date
”). The ETNs were first issued on November 7, 2016 (the “
issue date
”)
and will be due on October 28, 2026 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day
does not qualify as a valuation date, then the maturity date will be the fifth business day following the final valuation date. The calculation agent
may postpone the final valuation date — and therefore the maturity date — if a market disruption event occurs or is continuing on a day that
would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denom inations of $100.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment per ETN in U.S. dollars at maturity in an amount equal to (a) the
closing indicative note value on the final valuation date
minus
The “
closing indicative note value
” per ETN on the initial valuation date was $100. The closing indicative note value for each ETN on any
subsequent valuation date will equal (a) the long index amount on such valuation date
minus
provided
published on each valuation date under the ticker symbol “FLEU.RDNV”.
The “
long index amount
” per ETN on the initial valuation date was $200, which is equal to the initial leverage factor of 2
times
amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of (a) the long index amount on the
immediately preceding valuation date
times
minus
(c) the rebalancing amount on such
valuation date. The long index amount will be published on each valuation date under the ticker symbol “FLEU.LIA”.
The “
initial leverage factor
” will equal 2.
The “
leverage factor
” per ETN on any valuation date will equal (i) the
long index amount on such valuation date
divided by
indicative note value on such valuation date. The leverage factor will be published under the ticker symbol “FLEU.LF”.
The “
index performance factor
”
per ETN on the initial valuation date will equal 1. On any subsequent valuation date, the index
performance factor will equal (a) the closing level of the Index on such valuation date
divided by
immediately preceding valuation date.
The “
financing level
” for each ETN on the initial valuation date was $100. On any subsequent valuation date, the financing level for each
ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
loss rebalancing fee on such valuation date
minus
(d) the rebalancing amount on such valuation date. The financing level will be published on each
valuation date under the ticker symbol “FLEU.FL”.
Barclays Bank PLC 2019 Annual Report on Form 20-F 102
The “
daily investor fee
” per ETN on the initial valuation date was $0. On any subsequent valuation date, the daily investor fee for each ETN
will equal (a) the sum of (i) the product of (1) the long index amount on the immediately preceding valuation date
times
(2) the exposure fee rate
plus
times
times
(b) the number of calendar days from, but
excluding, the immediately preceding valuation date to, and including, the current valuation date
divided by
The “
exposure fee rate
” per ETN will equal the sum of (a)0.76% plus (b)the 3-month LIBOR rate (as hereinafter defined) effective on the
preceding valuation date. For purposes of the ETNs, “
3-month LIBOR rate
” shall mean the rate for deposits in U.S. dollars for a period of three
months as of approximately 11:00 am London time on the preceding valuation date which appears on Bloomberg screen “US0003M”. If a three
month rate for deposits in U.S. dollars ceases to be published on Bloomberg screen “US0003M”, but the same or a comparable successor rate shall
otherwise be published by ICE Benchmark Administration or another benchmark administrator authorized and regulated by the U.K. Financial
Conduct Authority (a “
successor rate
”), then the 3-month LIBOR rate shall be such successor rate. If no such successor rate is published, or the
calculation agent determines, in its sole discretion, that the successor rate is not comparable to the 3-month LIBOR rate as in effect on the
inception date, then the calculation agent shall determine the 3-month LIBOR rate using the methodology provided for in relation to “Reference
Assets—Floating Interest Rate—LIBOR” in the accompanying Prospectus Supplement. If, notwithstanding the foregoing, the 3-month LIBOR rate is
not available for the preceding valuation date, the most recent 3 -month LIBOR rate available as of the relevant valuation date shall be used.
The “
settlement charge
” is a charge imposed upon holder redemption and the payment at maturity, and is equal to 0.05% times the long
index amount on the applicable valuation date. The settlement charge is intended to allow us to recoup the brokerage and other transaction costs
that we will incur in connection with making a payment on the ETNs. The proceeds we receive from the settlement charge may be more or less
than such costs.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
A “
valuation date
” means each trading day from November 2, 2016 to October 23, 2026, subject to postponement as a result of market
disruption events, such postponement not to exceed five trading days. We refer to November 2, 2016 as the “
initial valuation date
” and October
23, 2026 as the “
final valuation date
”.
A “
trading day
” with respect to the ETNs means a day on which (a) it is an index business day, (b) trading is generally conducted on NYSE
Arca, and (c) is a business day in New York City.
An “
index business day
” means each continuous period during which the index sponsor publishes an intraday index level. As of the date of
this Exhibit [ ], an index business day typically begins at 3:00 a.m. New York City time and ends at 11:35 a.m. New York City time on a particular
calendar date, without adjustment for daylight savings time in any jurisdiction. The specific hours on which an index business day begins and ends
may be subject to adjustment if the Index Exchanges included in the Index change.
An “
Index Exchange
” means each exchange on which any of the Index Constituents are traded.
Index Exposure Rebalancing
A “
loss rebalancing event
” will occur if, on any valuation date, between the hours of 9:30 a.m. and 4:00 p.m. New York City time, the
intraday index level is less than or equal to the loss rebalancing trigger calculated on the immediately preceding valuation date.
The “
intraday index level
” is the most recent intraday level of the Index reported by the index sponsor.
The “
loss rebalancing trigger
” on any valuation date will equal (a) 1.6
times
times
(c) the financing level on such valuation date
divided by
published under the ticker symbol “FLEU.RT”.
A “
quarterly rebalancing event
” occurs on the valuation date immediately preceding the first valuation date of each calendar quarter
beginning on January 1, 2017 and ending on October 1, 2026.
A “
rebalancing event date
” means any valuation date on which a loss rebalancing event or a quarterly rebalancing event occurs (together
a “
rebalancing event
”). In the event that a loss rebalancing event occurs on the same valuation date as a quarterly rebalancing event, the loss
rebalancing event will be deemed to have occurred in precedence over the quarterly rebalancing event and the applicable loss rebalancing fee will
be charged on the related rebalancing date.
A “
rebalancing date
” is the first valuation date immediately following a rebalancing event date on which all the Index Exchanges are open
for trading.
The “
rebalancing amount
” for each ETN on any valuation date that is not a rebalancing date will be equal to zero. On any valuation date
that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding
valuation date
times
minus
times
closing indicative note value on the immediately preceding valuation date.
The “
loss rebalancing fee
” for each ETN on any valuation date that is not a rebalancing date will be equal to zero. On any valuation date
that is a rebalancing date following the occurrence of a loss rebalancing event, the loss rebalancing fee for each ETN will be equal to the product of
Barclays Bank PLC 2019 Annual Report on Form 20-F 103
(a) loss rebalancing fee rate
multiplied by
fee be negative.
The “
loss rebalancing fee rate
” will equal 0.05%.
Payment Upon Holder Redemption Or Issuer Redemption
If holders or we have not previously redeemed the ETNs, and subject to the occurrence of an intervening automatic termination event and
to certain other restrictions, holders may redeem their ETNs on any redemption date duri ng the term of the ETNs. If holders redeem their ETNs,
they will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative note value minus the settlement
charge on the applicable valuation date. Holders must redeem at least 10,000 ETNs at one time in order to exercise their right to redeem their ETNs
on any redemption date, or their broker or other financial intermediary (such as a bank or other financial institution not required to register as a
broker -dealer to engage in securities transactions) must bundle their ETNs for redemption with those of other investors to reach this minimum. We
may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs.
Notwithstanding the foregoing, if an automatic termination event, as described under “—Automatic Termination Event”, occurs between the time
at which a holder deliver a notice of redemption to us and the close of business on the applicable valuation date, their notice of redemption will be
deemed ineffective and their ETNs will be automatically redeemed on the relevant redemption date as described under “—Automatic Termination
Event”.
Prior to maturity we may redeem the ETNs (in whole only, but not in part) at our sole discretion on any trading day on or after the inception
date until and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs to be redeemed not less than
10 calendar days prior to the redemption date specified by us in such notice. If we redeem ETNs, holders will receive a cash payment in U.S. dollars
per ETN in an amount equal to the closing indicative note value on the valuation date that is three trading days prior to the redemption date
specified in the notice.
A “
redemption date
” is:
●
In the case of holder redemption, the redemption date is the third business day following each valuation date (other than the
final valuation date). The final redemption date will be the third business day following the valuation date that is immediately
prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the date specified by us in the issuer redemption notice, which will in no
event be prior to the tenth calendar day following the date on which we deliver such notice, but in any case not later than the
maturity date.
●
In the case of an automatic termination event, the redemption date is the fifth business day following the automatic termination
date;
provided
redemption date will be the fifth business day after the automatic redemption value is calculated.
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Automatic Termination Event
The ETNs will be redeemed automatically (in whole only, but not in part) if, on any index business day prior to or on the final valuation date,
the intraday index level is less than or equal to the automatic termination trigger calculated on the valuation date immediately preceding the
beginning of such index business day. We will redeem the ETNs on the relevant redemption date and will deliver a notice of redemption to the
Depositary Trust Company (“
DTC
”) in the form attached as Annex C that will specify such date. Upon such redemption, holders will receive a cash
payment in U.S. dollars equal to the automatic redemption value.
The “
automatic termination trigger
” on any valuation date will equal (a) 1.4
times
times
divided by
will be published under the ticker symbol “FLEU.ATT”.
An “
automatic termination date
” is any index business day on which an automatic termination event occurs.
The “
automatic redemption value
” will be determined by the calculation agent, in its sole discretion, acting in good faith and in a
commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are
available as soon as practicable following the occurrence of an automatic termination event. The calculation agent will approximate the intraday
index performance factor on the basis of such quotations and calculate, in the manner described under “Intraday Indicative Note Value”, a
corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs after the occurrence of the rebalancing event but prior
to the end of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic
Barclays Bank PLC 2019 Annual Report on Form 20-F 104
termination event without giving regard to the rebalancing event. Additionally, if an automatic termination event occurs between the time at which
a holder deliver a notice of redemption to us and the close of business on the applicable valuation date, their notice of redemption will be deemed
ineffective and their ETNs will be automatically redeemed on the relevant redemption date at an amount equal to the automatic redemption value.
Market Disruption Events
If the calculation agent is prevented from determining the automatic redemption value because a market disruption event occurs or is
continuing following the occurrence of an automatic termination event, the calculation agent may determine the automatic redemption value
when the market disruption event has ceased to occur. However, if such market disruption event is continuing on the fifth trading day after the
automatic termination date, the calculation agent may make a good faith estimate in its sole discretion of the value of the Index and will determine
the automatic redemption value prior to the close of trading on the fifth trading day.
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Under
these circumstances, that valuation date will be the first following scheduled trading day on which the calculation agent determines that no market
disruption event occurs or is continuing. In no event, however, will any valuation date be postponed by more than five scheduled trading days. If
the calculation agent determines that a market disruption event occurs or is continuing on the fifth scheduled trading day, the calculation agent will
determine the closing level for the Index on that fifth scheduled trading day in good faith and in a commercially reasonable manner.
Any of the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in the Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, in each case for more than two hours of trading or during the one-half hour period preceding
the close of the regular trading session in that market or, if the relevant valuation time is not the close of the regular trading
session in that market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options contracts relating to any Index Constituents constituting 20% or more, by weight, of the Index in
the respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period precedin g the close of the regular trading session in that market or, if the relevant valuation time is not the close of the
regular trading session in that market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants in general
to (1) effect transactions in, or obtain market values for, Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or futures or options contracts relating to any Index Constituents constituting 20% or
more, by weight, of the Index in the respective primary markets for those contracts, in either case for more than two hours of
trading or at any time during the one-half hour period preceding the close of the regular trading session in that market or, if the
relevant valuation time is not the close of the regula r trading session in that market, the relevant valuation time;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents
constituting 20% or more, by weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
●
any scheduled trading day on which (1) the primary markets for Index Constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
“Scheduled trading day”
exchange or quotation system, if any, on which futures or options contracts on (i) the Index or (ii) Index Constituents constituting 20% or more, by
weight, of the Index are traded are scheduled to be open for trading for their regular trading session.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading in the relevant market only if the limitation results from an announced
change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in an Index Constituent in its primary market, or in futures or options contracts related to
the Index or any Index Constituent, if available, in the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the Index Constituent or those contracts, as applicable, or
Barclays Bank PLC 2019 Annual Report on Form 20-F 105
●
a disparity in bid and ask quotes relating to the Index Constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in that Index Constituent in futures or options contracts related to the Index in
the primary market for those contracts.
In addition to the market disruption eve nts described above, a market disruption event will also occur if the index sponsor does not publish
the level of the Index on an index business day or the Index is otherwise not available.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative note value on the date
of acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and they or any other person or entity publishes an index that the calculation
agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will
determine the level of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such
successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing level
of the Index is not available for any reason, on the date on which the level of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect, and
whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication
of a successor index, or is due to any other reaso n — then the calculation agent will be permitted (but not required) to make such adjustments to
the Index or method of calculating the Index as it believes are appropriate to ensure that the level of the Index used to determine the amount
payable on the maturity date is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays Women in Leadership Exchange-Traded Notes
Terms defined within this “Description of Barclays Women in Leadership Exchange-Traded Notes” section are defined only with respect to this
section.
General
The return of the Barclays Women in Leadership Exchange- Traded Notes (the “
ETNs
”) is linked to the performance of the Barclays Women
in Leadership Total Return USD Index (the “
Index
”). The Index is designed to provide investors with exposure to U.S.-based companies that satisfy
one or both of the gender diversity criteria of having a female chief executive officer or having at least 25% female members on the board of
directors. The universe of stocks from which the Index selects eligible stocks for inclusion consists of stocks of all U.S.-based issuers listed on New
York Stock Exchange or The Nasdaq Stock Market. The stocks included in the Index also have to satisfy certain market capitalization, liquidity and
other selection criteria and concentration limits. In some circumstances, the Index may also track, in part, the performance of a cash index. See
“The Index” below for more information. The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing
rights relating to the Index. The Index is administered and published by Barclays Index Administration (the “
index sponsor
”), a distinct function
within the Investment Bank of Barclays Bank PLC. The index sponsor has appointed a third- party index calculation agent (the “
index calculation
agent
”), currently Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited), to calculate and
maintain the Index. The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “WIL.”
Inception, Issuance and Maturity
The ETNs were first sold on July 9, 2014
(the “
inception date
”). The ETNs were first issued on July 14, 2014
(the “
inception date
”) and will
be due on July 15, 2024
(the “
inception date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Barclays Bank PLC 2019 Annual Report on Form 20-F 106
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was $50. On each subsequent calendar day until maturity or early
redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
(2) the daily index factor on such calendar day (or, if such day is not an index business day, one)
minus
the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
An “
index business day
” is a day on which is the New York Stock Exchange and the NASDAQ Stock Market are both open for trading.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided by
The “
investor fee
” for each ETN on the initial valuation date was zero. On each subsequent calendar day until maturity or early redemption,
the investor fee for each ETN will be equal to (1) 0.45%
times
times
(3) the daily index factor on that day (or, if such day is not an index business day, one)
divided by
subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is subtracted at the rate of
approximately 0.45% per year, which we refer to as the “
investor fee rate
”. Because the net effect of the investor fee is a fixed percentage of the
value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and
the amount of ETNs that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
conducted on the CBOE BZX, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from July 9, 2014
to July 8, 2024, inclusive, subject to postponement due to the occurrence of a
market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is July 9, 2014.
The “
final valuation date
” for the ETNs is July 8, 2024.
Barclays Bank PLC 2019 Annual Report on Form 20-F 107
Postponement of Valuation Dates
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Any of
the following will be a
“market disruption event”
●
a suspension, absence or material limitation of trading in the Index Constituents constituting 20% or more, by weight, of the
Index in their respective primary markets, in each case for more than two hours of trading or during the one -half hour period
preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the regular
trading session in such market, the relevant valuation time;
●
a suspension, absence or material limitation of trading in futures or options contracts relating to the Index on their respective
markets or in futures or options co ntracts relating to any Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the
regular trading session in such market, the relevant valuation time;
●
any event that materially disrupts or impairs, as determined by the calculation agent, the ability of market participants to
(1) effect transactions in, or obtain market values for, Index Constituents constituting 20% or more, by weight, of the Index in
their respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to
the Index on their respective markets or in futures or options contracts relating to any Index Constituents constituting 20% or
more, by weight, of the Index in their respective primary markets for those contracts, in each case for more than two hours of
trading or during the one-half hour period preceding the close of the regular trading session in such market or, if the relevant
valuation time is not the close of the regular trading session in such market, the relevant valuation time;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents
constituting 20% or more, by weight, of the index on a scheduled trading day prior to the scheduled weekda y closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
●
any scheduled trading day on which (1) the primary markets for Index Constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or opt ions contracts on the Index are traded, fails to
open for trading during its regular trading session.
For purposes of the ETNs, “
scheduled trading day
” as used therein shall mean trading day.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any Index Constituent is traded, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index or any Index Constituent, if available, in
the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the Index Constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the Index Constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in such index component in its primary market or in futures or options
contracts related to the Index or that Index Constituent in the primary market for those contracts.
For the purpose of determining whether a market disruption event with respect to the Index exists at any time, if trading in an Index
Constituent is materially suspended or limited at that time, then the relevant percentage contribution of that Index Constituent to the level of the
Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that Index Constituent relative to (y) the overall level
of the Index, in each case immediately before that suspension or limitation.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no
event, however, will the valuation date be postponed by more than five trading days. If the calculation agent determines that a market disruption
event occurs or is continuing on the fifth trading day, the calculation agent will make an estimate of the closing level for the Index that would have
prevailed on that fifth trading day in the absence of the market disruption event.
Barclays Bank PLC 2019 Annual Report on Form 20-F 108
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed,
the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final
valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be
the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 25,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redempti on amount on a consistent basis for all holders of the ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. do llars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
●
in the case of holder redemption, effective as of August 31, 2017, the second business day following each valuation date (other
than the final valuation date). The final redemption date will be the second business day following the valuation date that is
immediately prior to the final valuation date; and
●
in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption, to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and Barclays Bank PLC or any other person or entity publishes an index that the
calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation
agent will determine the value of the Index o n the applicable valuation date and the amount payable at maturity or upon early redemption by
reference to such successor index.
Barclays Bank PLC 2019 Annual Report on Form 20-F 109
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of the Index is not available for any reason, on the date on which the value of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Ind ex or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine
the amount payable on the maturity date or upon early redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of Barclays Return on Disability Exchange-Traded Note
Terms defined within this “Description of Barclays Return on Disability Exchange-Traded Note” section are defined only with respect to this section.
General
The return of the Barclays Return on Disability Exchange-Traded Note (the “
ETNs
”) is linked to the performance of the Return on Disability
US LargeCap ETN Total Return USD Index (the “
RoD
Index
” or the “
Index
”). The Index notionally tracks the returns that may be available from
investing in a Basket comprised of stocks of up to 100 companies that, according to the RoD Ranking, are considered the top ranked firms in the
disability market with respect to creation of shareholder value and which meet other eligibility requirements. The phrase “disability market” refers
to the 1.3 billion people globally who face challenges across three general areas — dexterity, cognition or sensory abilities — as well as their friends
and family. The RoD Ranking is based on the premise that companies which utilize certain best practices with respect to employees with
disabilities, customers with disabilities and productivity processes that leverage the unique approaches to problem solving from people with
disabilities will create shareholder value and cause their stocks to rise. The Index was created by Donovan Group LLC (the “
index sponsor
”)
,
is the owner of the intellectual property and licensing rights relating to the Index. The Index is calculated by ICE Data Services, LLC (the “
index
calculation agent
”). The ETNs are traded on the CBOE BZX Exchange (“
CBOE BZX
”) under the ticker symbol “RODI.”
Inception, Issuance and Maturity
The ETNs were first sold on September 10, 2014
(the “
inception date
”). The ETNs were first issued on September 15, 2014
(the “
issue
date
”) and will be due on September 17, 2024
(the “
maturity date
”).
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9
th
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9
th
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 110
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was $50. On each subsequent calendar day until maturity or early
redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times
(2) the daily index factor on such calendar day (or, if such day is not an index business day, one)
minus
the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
An ““
index business day
” is a day on which is the New York Stock Exchange and the NASDAQ Stock Market are both open for trading.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided by
The “
investor fee
” for each ETN on the initial valuation date was zero. On each subsequent calendar day until maturity or early redemption,
the investor fee for each ETN will be equal to (1) 0.45%
times
times
(3) the daily index factor on that day (or, if such day is not an index business day, one)
divided by
subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is subtracted at the rate of
approximately 0.45% per year, which we refer to as the “
investor fee rate
”. Because the net effect of the investor fee is a fixed percentage of the
value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and
the amount of ETNs that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
conducted on the CBOE BZX, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from September 10, 2014
to September 10, 2024, inclusive, subject to postponement due to
the occurrence of a market disruption event, such postponement not to exceed five trading days.
The “
initial valuation date
” for the ETNs is September 10 , 2014.
The “
final valuation date
” for the ETNs is September 10, 2024.
Postponement of Valuation Dates
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the
calculation agent determines that, on the respective date, a market disruption event has occurred or is continuing in respect of the Index. Any of
the following will be a
“market disruption event”
●
a suspension, absence or limitation of trading in the index constituents constituting 20% or more, by weight, of the Index in their
respective primary markets, in each case for more than two hours of trading or during the one -half hour period preceding the
close of the regular trading session in such market or, if the relevant valuation time is not the close of the regular trading session
in such market, the relevant valuation time;
●
a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets or
in futures or options contracts relating to any index constituents constituting 20% or more, by weight, of the Index in their
respective primary markets for those contracts, in each case for more than two hours of trading or during the one-half hour
period preceding the close of the regular trading session in such market or, if the relevant valuation time is not the close of the
regular trading session in such market, the relevant valuation time;
●
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect
transactions in, or obtain market values for, index constituents constituting 20% or more, by weight, of the Index in their
respective primary markets, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to the
Index on their respective markets or in futures or options contracts relating to any index constituents constituting 20% or more,
by weight, of the Index in their respective primary markets for those contracts, in each case for more than two hours of trading
or during the one-half hour period preceding the close of the regular trading session in such market or, if the relevant valuation
time is not the close of the regular trading session in such market, the relevant valuation time;
●
the closure on any day of the primary market for futures or options contracts relating to the Index or index constituents
constituting 20% or more, by weight, of the index on a scheduled trading day prior to the scheduled weekday closing time of
that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier
closing time is announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the
regular trading session on such primary market on such scheduled trading day for such primary market and (2) the submission
Barclays Bank PLC 2019 Annual Report on Form 20-F 111
deadline for orde rs to be entered into the relevant exchange system for execution at the close of trading on such scheduled
trading day for such primary market; or
●
any scheduled trading day on which (1) the primary markets for index constituents constituting 20% or more, by weight, of the
Index or (2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to
open for trading during its regular trading session.
For purposes of the ETNs, “
scheduled trading day
” as used therein shall mean trading day as defined above under “Payment at Maturity”.
The following events will not be market disruption events:
●
a limitation on the hours or number of days of trading on which any index constituent is traded, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or
●
a decision to permanently discontinue trading in futures or options contracts relating to the Index.
For this purpose, an “absence of trading” on an exchange or market will not include any time when the relevant exchange or market is
itself closed for trading under ordinary circumstances.
In contrast, a suspension or limitation of trading in futures or options contracts related to the Index or any index constituent, if available, in
the primary market for those contracts, by reason of any of:
●
a price change exceeding limits set by that market,
●
an imbalance of orders relating to the index constituent or those contracts, as applicable, or
●
a disparity in bid and ask quotes relating to the index constituent or those contracts, as applicable,
will constitute a suspension or material limitation of trading in such index component in its primary market or in futures or options
contracts related to the Index or that index constituent in the primary market for those contracts.
For the purpose of determining whether a market disruption event with respect to the Index exists at any time, if trading in an index
constituent is materially suspended or limited at that time, then the relevant percentage contribution of that index constituent to the level of the
Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that index constituent relative to (y) the overall level
of the Index, in each case immediately before that suspension or limitation.
If the calculation agent determines that a market disruption event occurs or is continuing on any valuation date, the valuation date will be
the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no
event, however, will the valuation date be postponed by more than five trading days. If the calculation agent determines that a market disruption
event occurs or is continuing on the fifth trading day, the calculation agent will make an estimate of the closing level for the Index that would have
prevailed on that fifth trading day in the absence of the market disruption event.
Maturity Date
If the maturity date is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed,
the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final
valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be
the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Payment Upon Holder Redemption and Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, holders may elect to redeem
their ETNs on any redemption date during the term of the ETNs, provided that they present at least 25,000 of the ETNs for redemption or their
broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker -dealer to engage in securities
transactions) bundles their ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole
discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs. If holders choose to redeem their ETNs, they
will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable
valuation date.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception
date until and including maturity. If we redeem the ETNs, holders will receive a cash payment in U.S. dollars per ETN in an amount equal to the
closing indicative value on the applicable valuation date.
A “
redemption date
” is:
●
in the case of holder redemption, effective as of August 31, 2017, the second business day following each valuation date (other
than the final valuation date). The final redemption date will be the second business day following the valuation date that is
immediately prior to the final valuation date; and
Barclays Bank PLC 2019 Annual Report on Form 20-F 112
●
in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption
notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice.
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable
with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
Holders may, subject to the minimum redemption amount described above, elect to redeem their ETNs on any redemption date. To redeem
their ETNs, holders must instruct their broker or other person through whom holders hold their ETNs to deliver a notice of redemption, to us via
facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem
to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario,
the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event),
and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the
date on which we deliver such notice.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of the Index and Barclays Bank PLC or any other person or entity publishes an index that the
calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation
agent will determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by
reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and there is no successor index, or that the closing
value of the Index is not available for any reason, on the date on which the value of the Index is required to be determined, the calculation agent will
determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate
the Index.
If the calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect,
including whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the
publication of a successor index, or is due to any other reason, then the calculation agent will be permitted (but not required) to make such
adjustments to the Index level for the ETNs as it believes are appropriate to ensure that the Index used to determine the amount payable on the
maturity date or upon early redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion.
Description of iPath
®
Terms defined within this “Description of iPath
®
section.
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays Global
Carbon II TR USD Index (the “
Index
”). The objective of the Index is to provide exposure to the price of carbon as measured by the return of futures
contracts on carbon emissions credits from two of the world’s major emissions-related mechanisms (the “
mechanisms
” and each a
“
mechanism
”). The mechanisms currently included in the Index are the European Union Emission Trading Scheme (“
EU ETS
”) and the Kyoto
Protocol’s Clean Development Mechanism (the “
CDM
”). The Index is composed of allocations in futures contracts on a carbo n emissions credit
from each mechanism included in the Index (each such contract, an “
Index Component
”). The Index Components currently included in the Index
are futures contracts that trade on the ICE. The allocations of the Index to the Index Components are adjusted on an annual basis (each allocation,
expressed as a percentage of the aggregate allocations of the Index in any period, being referred to herein as a “
weight
”). We refer to this process
herein as “
rebalancing
” or “
reweighting
.” While the weights may fluctuate over time, since the inception of the Index, the weight assigned to
Barclays Bank PLC 2019 Annual Report on Form 20-F 113
futures contracts associated with the EU ETS has been greater than 99.9%, and the weight assigned to futures contracts associated with the CDM
has been less than 0.1%. Accordingly, the Index is heavily weighted toward futures contracts on carbon emission credits in the European Union.
The Index is maintained and calculated by Barclays Bank PLC (in such capacity, the “
index sponsor
”). The closing level of the Index will be
calculated on each index business day and is reported by Bloomberg L.P. or a successor via the facilities of the Consolidated Tape Association
under the ticker symbol “
BXIIGC2T
.” The ETNs are traded on the NYSE Arca exchange under the ticker symbol “GRN.”
Inception, Issuance and Maturity
The ETNs were first sold on September 9, 2019 (the “
inception date
”). The ETNs were first issued on September 11, 2019 (the “
issue
date
”) and will be due on September 8, 2049 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the calculation agent postpones the
final valuation date upon the occurrence or continuance of a market disruption event, then the maturity date will be the fifth business day following
the final valuation date, as postponed.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustmen t of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash paym ent in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was equal to $50. On each subsequent calendar day until maturity
or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one) minus (3) the investor fee on such calendar
day. If the ETNs undergo a split or reverse split, the closing indicative value will be adjusted accordingly.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided
by
The “
investor fee
” for each ETN on the initial valuation date was equal to zero. On each subsequent calendar day until maturity or early
redemption, the investor fee for each ETN will be equal to (1) 0.75% times (2) the closing indicative value on the immediately preceding calendar
Barclays Bank PLC 2019 Annual Report on Form 20-F 114
day times (3) the daily index factor on that day (or, if such day is not an index business day, one) divided by (4) 365. Because the investor fee is
calculated and subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is
subtracted at the rate of approximately 0.75% per year. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the
aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs
that are held, as applicable.
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
conducted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from September 9, 2019 to September 2, 2019, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five scheduled trading days.
An “
index business day
” is a day on which the Index is calculated and published by the index sponsor.
The “
initial valuation date
” for the ETNs is September 9, 2019.
The “
final valuation date
” for the ETNs is September 2, 2019.
Payment Upon Holder Redemption and Upon Issuer Redemption
If we have not deliver ed notice of our intention to exercise our right to redeem the ETNs, up to the valuation date immediately preceding
the final valuation date, and subject to certain restrictions, holders may elect to redeem their ETNs on any redemption date during the term of the
ETNs. If holders redeem their ETNs, they will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing
indicative value. Holders must redeem at least 5,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date.
We may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs.
Prior to maturity we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day from and including the
issue date to and including the maturity date. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten
calendar days prior to the redemption date on which we intend to redeem the ETNs. If we redeem the ETNs, holders will receive a cash payment in
U.S. dollars per ETN on the corresponding redemption date in an amount equal to the closing indicative value on the valuation date specified in
such notice.
A “
redemption date
” is:
●
In the case of holder redemption, the redemption date is the second business day following the applicable valuation date (which
must be earlier than the final valuation date) specified in the relevant notice of holder redemption. Accordingly , the final
redemption date will be the second business day following the valuation date that is immediately prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the fifth business day following the valuation date specified by us in the
issuer redemption notice, which will in no event be later than the maturity date.
●
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not
accrue or be payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
If we have not delivered notice of our intention to exercise our right to redeem the ETNs, holders may, subject to the minimum redemption
amount described above, elect to redeem their ETNs on any redemption date. To redeem their ETNs, holders must instruct their broker or other
person through whom holders hold their ETNs to deliver a notice of holder redemption to us via facsimile or email by no later than 4:00 p.m., New
York City time, on the business day prior to the applicable valuation date.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemptio n date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or from and including the issue date to and including the maturity date. If we elect to redeem the ETNs, we will deliver written notice of such
election to redeem to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the
ETNs. In this scenario, the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a
market disruption event), and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event later than the
maturity date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 115
Market Disruption Event
Any commodity or commodity futures contract constituting part of the Index is referred to as an “Index Component” for purposes of this
section.
Any of the following will be a
“market disruption event”
determined by the calculation agent in its sole discretion:
●
a material limitation, suspension or disruption of trading in any Index Component included directly or indirectly in the Index;
●
the settlement price for any Index Component included directly or indirectly in the Index is a “limit price,” which means that the
settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the index sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the settlement price or closing level for one or more Index Components.
The following event will not be a market disruption event:
●
a decision by a trading facility to permanently discontinue trading in any Index Component.
If the calculation agent determines that any valuation date (including the final valuation date) is not a scheduled trading day for any Index
Component or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing with respect to any Index
Component, the calculation agent may in its sole discretion postpone that valuation date to the earlier of (i) the fifth scheduled trading day after the
originally scheduled valuation date and (ii) the earliest date that the level, value or price of each Index Component that is affected by a market
disruption event or by the non-scheduled -trading day can be determined. If such a postponement occurs, the level, value or price of the Index
Components unaffected by the market disruption event or non -scheduled-trading day will be determined on the originally scheduled valuation date
and the level, value or price of any affected Index Component will be determined using the settlement level, value or price of that affected Index
Component on the first scheduled trading day following the originally scheduled valuation date on which no market disruption event occurs or is
continuing for that affected Index Component. In no event, however, will a valuation date be postponed by more than five scheduled trading days.
If the calculation agent determines that a market disruption event occurs or is continuing with respect to any Index Component on the fifth
scheduled trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the affected
Index Component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of or otherwise fails to publish the Index and the index sponsor or another entity publishes a
successor or substitute index that the calculation agent determines to be comparable to the discontinued Index (the Index being referred to herein
as a “successor index”), then the level of the Index will be determined by reference to the index level of that successor index on any subsequent
date as of which the Index level is to be determined. If a successor index is selected by the calculation agent, the successor index will be used as a
substitute for the Index for all purposes, and the calculation agent may in its sole discretion adjust any variable, including but not limited to, if
applicable, any level (including but not limited to the intraday index level, closing index level, any level derived from the intraday index level or
closing index level or any other relevant level on any valuation date) or any combination thereof or any other variable. The calculation agent will
make any such adjustment with a view to offsetting, to the extent practical, any difference in the relative levels of the original Index and the
successor index at the time the original Index is replaced by the successor index.
If (1) the Index is discontinued or (2) the index sponsor fails to publish the Index, in either case, prior to (and that discontinuance is
continuing on) a valuation date and the calculation agent determines that no successor index is available at that time, then the calculation agent
will determine the value to be used for the level of the Index. The value to be used for the index level will be computed by the calculation agent in
the same general manner previously used by the index sponsor and will reflect the performance of the Index through the trading day on which the
Index was last in effect preceding the date of discontinuance.
If at any time, there is:
●
a material change in the formula for or the method of calculating the level of the Index or any successor index;
●
a material change in the content, composition or constitution of the Index or any successor index; or
●
a change or modification to the Index or any successor index such that the Index or successor index does not, in the opinion of
the calculation agent, fairly represent the value of the Index or successor index had those changes or modifications not been
made,
then, for purposes of calculating the closing level or intraday level of the Index or that successor index, any payments on the ETNs or
making any other determinations as of or after that time, the calculation agent may in its sole discretion make such calculations and adjustments
Barclays Bank PLC 2019 Annual Report on Form 20-F 116
as the calculation agent determines may be necessary in order to arrive at a closing level or intraday level for the Index or that successor index
comparable to the Index or that successor index, as the case may be, as if those changes or modifications had not been made, and calculate any
payments on the ETNs with reference to the Index or that successor index, as adjusted.
The calculation agent will make all determinations with respect to adjustments, including any determination as to whether an event that
may require an adjustment has occurred, as to the nature of the adjustment and how it will be made.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays Silver 3 Month Index Total
Return (the “
Index
”). The Index is calculated on a total return basis and is intended to reflect (1) the performance of a rolling position in specified
silver futures contracts that will become the first liquid nearby futures contracts three months in the future in accordance with a specified schedule
and (2) the return that corresponds to the weekly announced interest rate for specified 3-month U.S. Treasury bills. The Index is maintained and
calculated by Barclays Bank PLC (in such capacity, the “
index sponsor
”). The ETNs are traded on the NYSE Arca exchange under the ticker symbol
“SBUG.”
Inception, Issuance and Maturity
The ETNs were first sold on October 7, 2019 (the “
inception date
”). The ETNs were first issued on October 9, 2019 (the “
issue date
”) and
will be due on October 6, 2049 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the calculation agent postpones the
final valuation date upon the occurrence or continuance of a market disruption event, then the maturity date will be the fifth business day following
the final valuation date, as postponed.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $25. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Barclays Bank PLC 2019 Annual Report on Form 20-F 117
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was equal to $25. On each subsequent calendar day until maturity
or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one). If the ETNs undergo a split or reverse split,
the closing indicative value will be adjusted accordingly.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided
by
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
conducted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from October 7, 2019 to October 1, 2049, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five scheduled trading days.
An “
index business day
” is a day on which the Index is calculated and published by the index sponsor.
The “
initial valuation date
” for the ETNs is October 7, 2019.
The “
final valuation date
” for the ETNs is October 1, 2049.
Payment Upon Holder Redemption and Upon Issuer Redemption
If we have not delivered notice of our intention to exercise our right to redeem the ETNs, up to the valuation date immediately preceding
the final valuation date, and subject to certain restrictions, holders may elect to redeem their ETNs on any redemption date during the term of the
ETNs. If holders redeem their ETNs, they will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing
indicative value. Holders must redeem at least 5,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date.
We may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs.
Prior to maturity we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day from and including the
issue date to and including the maturity date. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten
calendar days prior to the redemption date on which we intend to redeem the ETNs. If we redeem the ETNs, holders will receive a cash payment in
U.S. dollars per ETN on the corresponding redemption date in an amount equal to the closing indicative value on the valuation date specified in
such notice.
A “
redemption
date
” is:
●
In the case of holder redemption, the redemption date is the second business day following the applicable valuation date (which
must be earlier than the final valuation date) specified in the relevant notice of holder redemption. Accordingly, the final
redemption date will be the second business day following the valuation date that is immediately prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the fifth business day following the valuation date specified by us in the
issuer redemption notice, which will in no event be later than the maturity date.
●
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not
accrue or be payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
If we have not delivered notice of our intention to exercise our right to redeem the ETNs, holders may, subject to the minimum redemption
amount described above, elect to redeem their ETNs on any redemption date. To redeem their ETNs, holders must instruct their broker or other
person through whom holders hold their ETNs to deliver a notice of holder redemption to us via email by no later than 4:00 p.m., New York City
time, on the business day prior to the applicable valuation date.
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or fr om and including the issue date to and including the maturity date. If we elect to redeem the ETNs, we will deliver written notice of such
Barclays Bank PLC 2019 Annual Report on Form 20-F 118
election to redeem to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the
ETNs. In this scenario, the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a
market disruption event), and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event later than the
maturity date.
Market Disruption Event
Any commodity or commodity futures contract constituting part of the Index is referred to as an “Index Component” for purposes of this
section.
Any of the following will be a
“market disruption event”
determined by the calculation agent in its sole discretion:
●
a material limitation, suspension or disruption of trading in any Index Component included directly or indirectly in the Index;
●
the settlement price for any Index Component included directly or indirectly in the Index is a “limit price,” which means that the
settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the index sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the settlement price or closing level for one or more Index Components.
The following event will not be a market disruption event:
●
a decision by a trading facility to permanently discontinue trading in any Index Component.
If the calculation agent determines that any valuation date (including the final valuation date) is not a scheduled trading day for any Index
Component or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing with respect to any Index
Component, the calculation agent may in its sole discretion postpone that valuation date to the earlier of (i) the fifth scheduled trading day after the
originally scheduled valuation date and (ii) the earliest date that the level, value or price of each Index Component that is affected by a market
disruption event or by the non-scheduled -trading day can be determined. If such a postponement occurs, the level, value or price of the Index
Components unaffected by the market disruption event or non -scheduled-trading day will be determined on the originally scheduled valuation date
and the level, value or price of any affected Index Component will be determined using the settlement level, value or price of that affected Index
Component on the first scheduled trading day following the originally scheduled valuation date on which no market disruption event occurs or is
continuing for that affected Index Component. In no event, however, will a valuation date be postponed by more than five scheduled trading days.
If the calculation agent determines that a market disruption event occurs or is continuing with respect to any Index Component on the fifth
scheduled trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the affected
Index Component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
If an Event of Default (as defined below) occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modificati on of the Index
If the index sponsor discontinues publication of or otherwise fails to publish the Index and the index sponsor or another entity publishes a
successor or substitute index that the calculation agent determines to be comparable to the discontinued Index (the Index being referred to herein
as a “successor index”), then the level of the Index will be determined by reference to the index level of that successor index on any subsequent
date as of which the Index level is to be determined. If a successor index is selected by the calculation agent, the successor index will be used as a
substitute for the Index for all purposes, and the calculation agent may in its sole discretion adjust any variable, including but not limited to, if
applicable, any level (including but not limited to the intraday index level, closing index level, any level derived from the intraday index level or
closing index level or any other relevant level on any valuation date) or any combination thereof or any other variable. Th e calculation agent will
make any such adjustment with a view to offsetting, to the extent practical, any difference in the relative levels of the original Index and the
successor index at the time the original Index is replaced by the successor index.
If (1) the Index is discontinued or (2) the index sponsor fails to publish the Index, in either case, prior to (and that discontinuance is
continuing on) a valuation date and the calculation agent determines that no successor index is available at that time, then the calculation agent
will determine the value to be used for the level of the Index. The value to be used for the index level will be computed by the calculation agent in
the same general manner previously used by the index sponsor and will reflect the performance of the Index through the trading day on which the
Index was last in effect preceding the date of discontinuance.
If at any time, there is:
●
a material change in the formula for or the method of calculating the level of the Index or any successor index;
●
a material change in the content, composition or constitution of the Index or any successor index; or
Barclays Bank PLC 2019 Annual Report on Form 20-F 119
●
a change or modification to the Index or any successor index such that the Index or successor index does not, in the opinion of
the calculation agent, fairly represent the level of the Index or successor index had those changes or modifications not been
made,
then, for purposes of calculating the closing level or intraday level of the Index or that successor index, any payments on the ETNs or
making any other determinations as of or after that time, the calculation agent may in its sole discretion make such calculations and adjustments
as the calculation agent determines may be necessary in order to arrive at a closing level or intraday level for the Index or that successor index
comparable to the Index or that successor index, as the case may be, as if those changes or modifications had not been made, and calculate any
payments on the ETNs with reference to the Index or that successor index, as adjusted.
The calculation agent will make all determinations with respect to adjustments, including any determination as to whether an event that
may require an adjustment has occurred, as to the nature of the adjustment and how it will be made.
Description of iPath
®
Terms defined within this “Description of iPath
®
General
The return of the iPath
®
ETNs
”) is linked to the performance of the Barclays Gold 3 Month Index Total
Return (the “
Index
”). The Index is calculated on a total return basis and is intended to reflect (1) the performance of a rolling position in specified
gold futures contracts that will become the first liquid nearby futures contracts three months in the future in accordance with a specified schedule
and (2) the return that corresponds to the weekly announced interest rate for specified 3-month U.S. Treasury bills. The Index is maintained and
calculated by Barclays Bank PLC (in such capacity, the “
index sponsor
”). The ETNs are traded on the NYSE Arca exchange under the ticker symbol
“GBUG.”
Inception, Issuance and Maturity
The ETNs were first sold on October 7, 2019 (the “
inception date
”). The ETNs were first issued on October 9, 2019 (the “
issue date
”) and
will be due on October 6, 2049 (the “
maturity date
”).
If the maturity date is not a business day, the maturity date will be the next following business day. If the calculation agent postpones the
final valuation date upon the occurrence or continuance of a market disruption event, then the maturity date will be the fifth business day following
the final valuation date, as postponed. In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not
accrue or be payable with respect to that deferred payment.
Coupon
We will not pay holders interest during the term of the ETNs.
Denomination
The ETNs are in denominations of $25. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of the ETNs or a reverse split of the ETNs. Such date shall be deemed to be the
“
announcement date
,” and we will issue a notice to holders of the relevant ETNs and a press release announcing the split or reverse split,
specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. The record date for the split will be the 9th business day after
the announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the
opening of tradi ng of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially
reasonable manner determined by us in our sole discretion. The record date for the reverse split will be on the 9th business day after the
announcement date. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the
opening of tra ding of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will
receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will
have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole
discretion. Our current intention is to provide holders with a cash payment for their partials on the 17
th
Barclays Bank PLC 2019 Annual Report on Form 20-F 120
date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14
th
following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially
reasonable manner, to take into account the reverse split.
Payment at Maturity
If holders hold their ETNs to maturity, they will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the
final valuation date.
The “
closing indicative value
” for each ETN on the initial valuation date was equal to $25. On each subsequent calendar day until maturity
or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day
times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one). If the ETNs undergo a split or reverse split,
the closing indicative value will be adjusted accordingly.
The “
daily index factor
” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day
divided
by
A “
business day
” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York
City generally are authorized or obligated by law, regulation, or executive order to close.
A “
trading day
” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally
conducted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “
valuation date
” means each trading day from October 7, 2019 to October 1, 2049, inclusive, subject to postponement due to the
occurrence of a market disruption event, such postponement not to exceed five scheduled trading days.
An “
index business day
” is a day on which the Index is calculated and published by the index sponsor.
The “
initial valuation date
” for the ETNs is October 7, 2019.
The “
final valuation date
” for the ETNs is October 1, 2049.
Payment Upon Holder Redemption and Upon Issuer Redemption
If we have not delivered notice of our intention to exercise our right to redeem the ETNs, up to the valuation date immediately preceding
the final valuation date, and subject to certain restrictions, holders may elect to redeem their ETNs on any redemption date during the term of the
ETNs. If holders redeem their ETNs, they will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing
indicative value. Holders must redeem at least 5,000 ETNs at one time in order to exercise their right to redeem their ETNs on any redemption date.
We may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of ETNs.
Prior to maturity we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day from and including the
issue date to and including the maturity date. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten
calendar days prior to the redemption date on which we intend to redeem the ETNs. If we redeem the ETNs, holders will receive a cash payment in
U.S. dollars per ETN on the corresponding redemption date in an amount equal to the closing indicative value on the valuation date specified in
such notice.
A “
redemption date
” is:
●
In the case of holder redemption, the redemption date is the second business day following the applicable valuation date (which
must be earlier than the final valuation date) specified in the relevant notice of holder redemption. Accordingly, the final
redemption date will be the second business day following the valuation date that is immediately prior to the final valuation date.
●
In the case of issuer redemption, the redemption date is the fifth business day following the valuation date specified by us in the
issuer redemption notice, which will in no event be later than the maturity date.
●
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not
accrue or be payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
If we have not delivered notice of our intention to exercise our right to redeem the ETNs, holders may, subject to the minimum redemption
amount described above, elect to redeem their ETNs on any redemption date. To redeem their ETNs, holders must instruct their broker or other
person through whom holders hold their ETNs to deliver a notice of holder redemption to us via email by no later than 4:00 p.m., New York City
time, on the business day prior to the applicable valuation date.
Barclays Bank PLC 2019 Annual Report on Form 20-F 121
If holders elect to redeem their ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent
election to exercise our issuer redemption right, their election to redeem their ETNs will be deemed to be ineffective, and their ETNs will instead be
redeemed on the redemption date pursuant to such issuer redemption.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without holders’ consent on any business
day on or from and including the issue date to and including the maturity date. If we elect to redeem the ETNs, we will deliver written notice of such
election to redeem to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the
ETNs. In this scenario, the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a
market disruption event), and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event later than the
maturity date.
Market Disruption Event
Any commodity or commodity futures contract constituting part of the Index is referred to as an “
Index Component
” for purposes of this
section.
Any of the following will be a
“market disruption event”
determined by the calculation agent in its sole discretion:
●
a material limitation, suspension or disruption of trading in any Index Component included directly or indirectly in the Index;
●
the settlement price for any Index Component included directly or indirectly in the Index is a “limit price,” which means that the
settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under the applicable rules or procedures of the relevant trading facility; or
●
failure by the index sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other
price source to announce or publish the settlement price or closing level for one or more Index Components.
The following event will not be a market disruption event:
●
a decision by a trading facility to permanently discontinue trading in any Index Component.
If the calculation agent determines that any valuation date (including the final valuation date) is not a scheduled trading day for any Index
Component or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing with respect to any Index
Component, the calculation agent may in its sole discretion postpone that valuation date to the earlier of (i) the fifth scheduled trading day after the
originally scheduled valuation date and (ii) the earliest date that the level, value or price of each Index Component that is affected by a market
disruption event or by the non-scheduled -trading day can be determined. If such a postponement occurs, the level, value or price of the Index
Components unaffected by the market disruption event or non -scheduled-trading day will be determined on the originally scheduled valuation date
and the level, value or price of any affected Index Component will be determined using the settlement level, value or price of that affected Index
Component on the first scheduled trading day following the originally scheduled valuation date on which no market disruption event occurs or is
continuing for that affected Index Component. In no event, however, will a valuation date be postponed by more than five scheduled trading days.
If the calculation agent determines that a market disruption event occurs or is continuing with respect to any Index Component on the fifth
scheduled trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the affected
Index Component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
If an Event of Default (as defined below) occur s and the maturity of the ETNs is accelerated, the amount declared due and payable upon
any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of
acceleration.
Discontinuance or Modification of the Index
If the index sponsor discontinues publication of or otherwise fails to publish the Index and the index sponsor or another entity publishes a
successor or substitute index that the calculation agent determines to be comp arable to the discontinued Index (the Index being referred to herein
as a “
successor index
”), then the level of the Index will be determined by reference to the index level of that successor index on any subsequent
date as of which the Index level is to be determined. If a successor index is selected by the calculation agent, the successor index will be used as a
substitute for the Index for all purposes, and the calculation agent may in its sole discretion adjust any variable described herein, including bu t not
limited to, if applicable, any level (including but not limited to the intraday index level, closing index level, any level derived from the intraday index
level or closing index level or any other relevant level on any valuation date) or any combina tion thereof or any other variable described herein. The
calculation agent will make any such adjustment with a view to offsetting, to the extent practical, any difference in the relative levels of the original
Index and the successor index at the time the original Index is replaced by the successor index.
If (1) the Index is discontinued or (2) the index sponsor fails to publish the Index, in either case, prior to (and that discontinuance is
continuing on) a valuation date and the calculation agent determines that no successor index is available at that time, then the calculation agent
Barclays Bank PLC 2019 Annual Report on Form 20-F 122
will determine the value to be used for the level of the Index. The value to be used for the index level will be computed by the calculation agent in
the same general manner previously used by the index sponsor and will reflect the performance of the Index through the trading day on which the
Index was last in effect preceding the date of discontinuance.
If at any time, there is:
●
a material change in the formula for or the method of calculating the level of the Index or any successor index;
●
a material change in the content, composition or constitution of the Index or any successor index; or
●
a change or modification to the Index or any successor index such that the Index or successor index does not, in the opinion of
the calculation agent, fairly represent the level of the Index or successor index had those changes or modifications not been
made,
then, for purposes of calculating the closing level or intraday level of the Index or that successor index, any payments on the ETNs or
making any other determinations as of or after that time, the calculation agent may in its sole discretion make such calculations and adjustments
as the calculation agent determines may be necessary in order to arrive at a closing level or intraday level for the Index or that successor index
comparable to the Index or that successor index, as the case may be, as if those changes or modifications had not been made, and calculate any
payments on the ETNs with reference to the Index or that successor index, as adjusted.
The calculation agent will make all determinations with respect to adjustments, including any determination as to whether an event that
may require an adjustment has occurred, as to the nature of the adjustment and how it will be made.
General Terms of the ETNs
Our ETNs are the “
debt securities
” issued under the Indenture. Other than “Agreement with Respect to the Exercise of U.K. Bail-in Power,”
which applies to only a subset of our ETNs specified in that section, and “Default Amount,” which applies to a series of ETNs only if so specified in
the relevant description above, the general terms of the debt securities described in this section apply to all of our ETNs.
Agreement with Respect to the Exercise of U.K. Bail -in Power
References to “debt securities” in this section mean each of the following ETNs:
●
Barclays ETN+ FI Enhanced Europe 50
Exchange -Traded Notes
●
Barclays ETN+ FI Enhanced Europe 50
Exchange -Traded Notes
●
Barclays ETN+ FI Enhanced Global High Yield
Exchange -Traded Notes
●
iPath
®
TM
Exchange -Traded Notes
●
iPath
®
TM
Exchange -Traded Notes
●
iPath
®
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Tra ded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
SM
Exchange -Traded Notes
●
iPath
®
Exchange -Traded Notes
●
iPath
®
Exchange -Traded Notes
●
iPath
®
Exchange -Traded Notes
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of
the debt securities, by acquiring the debt securities, each holder and beneficial owner of the debt securities acknowledges, accepts, agrees to be
bound by, and consents to the exercise of, any U.K. Bail-in Power (as defined below) by the relevant U.K. resolution authority (as defined below)
that may result in (i) the reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the
debt securities; (ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amount s payable on, the debt securities
into shares or other securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial
owner of the debt securities such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the debt securities,
Barclays Bank PLC 2019 Annual Report on Form 20-F 123
or amendment of the amount of interest or any other amounts due on the debt securities, or the dates on which interest or any other amounts
become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation of
the terms of the debt securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in Power. Each holder
and beneficial owner of the debt securities further acknowledges and agrees that the rights of the holders or beneficial owners of the debt
securities are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders or beneficial owners of the debt
securities may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws
applicable in England.
For these purposes, a “
U.K. Bail-in Power
” is any write-down, conversion, transfer, modification and/or suspension power existing from
time to time under any laws, regulations, rules or requirements relating to the resolution of banks, banking group companies, credit institutions
and/or investment firms incorporated in the United Kingdom in effect and applicable in the United Kingdom to Barclays Bank PLC or other
members of the Group (as defined below), including but not limited to any such laws, regulations, rules or requirements that are implemented,
adopted or enacted within the context of any applicable European Union directive or regulation of the European Parliament and of the Council
establishing a framework for the recovery and resolution of credit institutions and investment firms and/or within the context of a U.K. resolution
regime under the U.K. Banking Act 2009, as the same has been or may be amended from time to time (whether pursuant to the U.K. Financial
Services (Banking Reform) Act 2013 (the “
Banking Reform Act 2013
”), secondary legislation or otherwise, the “
Banking Act
”), pursuant to which
obligations of a bank, banking group company, cre dit institution or investment firm or any of its affiliates can be reduced, cancelled, amended,
transferred and/or converted into shares or other securities or obligations of the obligor or any other person (and a reference to the “
relevant U.K.
resolution authority
” is to any authority with the ability to exercise a U.K. Bail-in Power and the “
Group
” refers to Barclays PLC (or any successor
entity) and its consolidated subsidiaries).
No repayment of the principal amount of the debt securities or payment of interest or any other amounts payable on the debt securities
shall become due and payable after the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority unless such repayment or
payment would be permitted to be made by Barclays Ban k PLC under the laws and regulations of the United Kingdom and the European Union
applicable to Barclays Bank PLC.
Under the terms of the debt securities, the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the
debt securities will not be a default or an Event of Default.
If any debt securities provide for the delivery of property, any reference to payment by Barclays Bank PLC under the debt securities will be
deemed to include that delivery of property.
For the avoidance of doubt, references to “holder” in this “Agreement with Respect to the Exercise of U.K. Bail-in Power” section include
beneficial owners of the debt securities.
Holders of debt securities that acquire such debt securities in the secondary market shall be deemed to acknowledge, agree to be bound by
and consent to the same provisions described herein to the same extent as the holders of such debt securities that acquire the debt securities upon
their initial issuance, including, without limitation, with respect to the acknowledgment and agreement to be bound by and consent to the terms of
the debt securities, including in relation to the U.K. Bail-in Power.
Default Amount
The default amount for a series of ETNs on any day will be an amount, determined by the calculation agent in its sole discretion, equal to
the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all our payment and other
obligations with respect to that series of ETNs as of that day and as if no default or acceleration had occurred, or to undertake other obligations
providing substantially equivalent economic value to holders with respect to such ETNs. That cost will equal:
●
the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
●
the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of such ETNs in preparing any
documentation necessary for this assumption or undertaking.
During the default quotation period for a series of ETNs, which we describe below, the holders of such ETNs and/or we may request a
qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a
quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or,
if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any
quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by
the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the
last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.
Default Quotation Period
The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day
after that day, unless
●
no quotation of the kind referred to above is obtained, or
●
every quotation of that kind obtained is objected to within five business days after the due date as described above.
Barclays Bank PLC 2019 Annual Report on Form 20-F 124
If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on
which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after
that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence.
In any event, if the default quotation period and the subsequent two business day objection period have not ended before the final
valuation date, then the default amoun t will equal the principal amount of the series of ETNs.
Qualified Financial Institutions
For the purpose of determining the default amount at any time, a qualified financial institution must be a financial institution organized
under the laws of any jurisdiction in the United States of America or Europe, which at that time has outstanding debt obligations with a stated
maturity of one year or less from the date of issue and rated either:
●
A-1 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or
●
P-1 or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.
Modification and Waiver
We and the Trustee may make certain modifications and amendments to the Indenture applicable to each series of debt securities without
the consent of the holders of the debt securities. We may make other modifications and amendments with the consent of the holder(s) of not less
than a majority of the debt securities of the series outstanding under the Indenture that are affected by the modification or amendment. However,
we may not make any modification or amendment without the consent of the holder of each affected debt security that would:
●
change the terms of any debt security to change the stated maturity date of its principal amount;
●
change the principal amount of, or any premium or rate of interest, with respect to any debt securities;
●
reduce the amount of principal on a discount security that would be due and payable upon an acceleration of the maturity date
of any series of debt securities;
●
change our obligation, or any successor’s, to pay additional amounts, if any;
●
change the places at which payments are payable or the currency of payment;
●
impair the right to sue for the enforcement of any payment due and payable, to the extent that such right exists;
●
reduce the percentage in aggregate principal amount of outstanding debt securities of the series necessary to modify or amend
the Indenture or to waive compliance with certain provisions of the Indenture and any past Event of Default;
●
change our obligation to maintain an office or agency in the place and for the purposes specified in the Indenture;
●
modify the terms and conditions of our obligations in respect of the due and punctual payment of the amounts due and payable
on the debt securities in a manner adverse to the holders; or
●
modify the foregoing requirements or the provisions of the Indenture relating to the waiver of any past Event of Default or
covenants, except as otherwise specified.
Events of Default; Limitations on Suits
Events of Default
Unless provided otherwise, a “Event of Default” with respect to any series of debt securities shall result if:
●
we do not pay any principal or interest on any debt securities of that series within 14 days from the due date for payment and
the principal or interest has not been duly paid within a further 14 days following written notice from the Trustee or from holders
of 25% in principal amount of the debt securities of that series to us requiring the payment to be made. It shall not, however, be
an Event of Default if during the 14 days after the notice such sums (“
Withheld Amounts
”) were not paid in orde r to comply
with a law, regulation or order of any court of competent jurisdiction. Where there is doubt as to the validity or applicability of
any such law, regulation or order, it shall not be an Event of Default if we act on the advice given to us durin g the 14-day period
by independent legal advisers approved by the Trustee; or
●
we breach any covenant or warranty of the Indenture (other than as stated above with respect to payments when due) and that
breach has not been remedied within 21 days of receipt of a written notice from the Trustee certifying that in its opinion the
breach is materially prejudicial to the interests of the holders of the debt securities of that series and requiring the breach to be
remedied or from holders of at least 25% in principal amount of the debt securities of that series requiring the breach to be
remedied; or
●
either (i) an English court of competent jurisdiction issues an order which is not successfully appealed within 30 days, or (ii) an
effective shareholders’ resolution is validly adopted, for our winding -up (other than under or in connection with a scheme of
reconstruction, merger or amalgamation not involving bankruptcy or insolvency).
If an Event of Default (as defined below) occurs and is continuing, the Trustee or the holders of at least 25% in outstanding principal
amount of the debt securities of that series may at their discretion declare the debt securities of that series to be due and repayable immediately
(and the debt securities of that series shall thereby become due and repayable) at their outstanding principal amount (or at such other repayment
amount) together with accrued interest, if any. The Trustee may at its discretion and without further notice institute such proceedings as it may
Barclays Bank PLC 2019 Annual Report on Form 20-F 125
think suitable against us to enforce payment. Subject to the provisions of the Indenture for the indemnification of the Trustee, the holders of a
majority in aggregate principal amount of the outstanding debt securities of any series shall have the right to direct the time, method and place of
conducting any proceeding in the name of and on the behalf of the Trustee for any remedy available to the Trustee or exercising any trust or power
conferred on the Trustee with respect to the series. However, this direction must not be in conflict with any rule of law or the Indenture, and must
not be unjustly prejudicial to the holder(s) of any debt securities of that series not taking part in the direction, as determined by the Trustee. The
Trustee may also take any other action, consistent with the direction, that it deems proper.
If lawful, Withheld Amounts or a sum equal to Withheld Amounts shall be placed promptly on interest bearing deposit as described in the
Indenture. We will give notice if at any time it is lawful to pay any Withheld Amount to holders of debt securities or holders of coupons or if such
payment is possible as soon as any doubt as to the validity or applicability of the law, regulation or order is resolved. The notice will give the date on
which the Withheld Amounts and the interest accrued on it will be paid. This date will be the earliest day after the day on which it is decided
Withheld Amounts can be paid on which the interest bearing deposit falls due for repayment or may be repaid without penalty. On such date, we
shall be bound to pay the Withheld Amounts together with interest accrued on it. For the purposes of this subsection, this date will be the due date
for those sums. Our obligations under this paragraph are in lieu of any other remedy against us in respect of Withheld Amounts. Payment will be
subject to applicable laws, regulations or court orders. Interest accrued on any Withheld Amounts will be paid net of any taxes required by
applicable law to be withheld or deducted and we shall not be obliged to pay any additional amount in respect of any such withholding or
deduction.
The holders of a majority of the aggregate principal amount of the outstanding debt securities of any affected series may waive any past
Event of Default with respect to the series, except any default in respect of either:
●
the payment of principal of, or any premium or interest, on any debt securities; or
●
a covenant or provision of the Indenture which cannot be modified or amended without the consent of each holder of debt
securities of the series.
Subject to exceptions, the Trustee may, without the consent of the holders, waive or authorize an Event of Default if, in the opinion of the
Trustee, such waiver or authorization would not be materially prejudicial to the interests of the holders.
The Trustee will, within 90 days of a default with respect to the debt securities of any series, give to each affected holder of the debt
securities of the affected series notice of any default it knows about, unless the default has been cured or waived. However, except in the case of a
default in the payment of the principal of, or premium, if any, or interest, if any, on the debt securities, the Trustee will be entitled to withhold notice
if a trust committee of responsi ble officers of the Trustee determine in good faith that withholding of notice is in the interest of the holders.
We are required to furnish to the Trustee annually a statement as to our compliance with all conditions and covenants under the Indenture.
Limitations on Suits
Before a holder may bypass the Trustee and bring its own lawsuit or other formal legal action or take other steps to enforce its rights or
protect its interests relating to the debt securities, the following must occur:
●
The holder must give the Trustee written notice that an Event of Default has occurred and remains uncured.
●
The holders of 25% in principal amount of all outstanding debt securities of the relevant series must make a written request that
the Trustee take action because of the default, and the holder must offer reasonable indemnity to the Trustee against the cost
and other liabilities of taking that action.
●
The Trustee must not have taken action for 60 days after receipt of the above notice and offer of indemnity, and the Trustee
must not have received an inconsistent direction from the majority in principal amount of all outstanding debt securities of the
relevant series during that period.
●
In the case of our winding -up in England, such legal action or proceeding is in the name and on behalf of the Trustee to the same
extent, but no further, as the Trustee would have been entitled to do.
Notwithstanding any contrary provisions, nothing shall impair the right of a holder, absent the holder’s consent, to sue for any payments
due but unpaid with respect to the debt securities.
Street name and other indirect holders should consult their banks or brokers for information on how to give notice or direction to or make a request
of the Trustee and how to waive any past Event of Default.
Consolidation, Merger and Sale of Assets; Assumption
We may, without the consent of the holders of any of the debt securities, consolidate or amalgamate with, merge into or transfer or lease
our assets substantially as an entirety to, any of the persons specified in the Indenture. However, any successor corporation formed by any
consolidation, amalgamation or merger, or any transferee or lessee of our assets, must be a bank organized under the laws of the United Kingdom
that assumes our obligation s on the debt securities and the Indenture, and a number of other conditions must be met.
Subject to applicable law and regulation (including, if and to the extent required by the Capital Regulations at such time, the prior consent
of the PRA), any of our wholly owned subsidiaries may assume our obligations under the debt securities of any series without the consent of any
holder (the “
Substituted Issuer
”). We, however, must irrevocably guarantee the obligations of the Substituted Issuer under the debt securities of
that series. If we do, all of our direct obligations under the debt securities of the series and the Indenture shall immediately be discharged.
Barclays Bank PLC 2019 Annual Report on Form 20-F 126
“
Capital Regulations
” means, at any time, the laws, regulations, requirements, standards, guidelines and policies relating to capital
adequacy for credit institutions of either (i) the PRA and/or (ii) any other national or European authority, in each case then in effect in the United
Kingdom (or in such other jurisdiction in which the Issuer may be organi zed or domiciled) and applicable to the Group including, as at the date
hereof, CRD IV and related technical standards.
“
CRD IV
” consists of Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit
institutions and investment firms, as the same may be amended or replaced from time to time and the CRD IV Regulation.
“
CRD IV
European Parliament and of the Council of June 26, 2013, as the same may be amended or replaced from time to time.
“
PRA
” means the Prudential Regulation Authority of the United Kingdom or such other governmental authority in the United Kingdom (or if
Barclays Bank PLC becomes domiciled in a jurisdiction other than the United Kingdom, such other jurisdiction) having primary responsibility for the
prudential supervision of Barclays Bank PLC.
Governing Law
Unless specified otherwise, the debt securities and Indenture will be governed by and construed in accordance with the laws of the State of
New York.
Manner of Payment and Delivery
Any payment on or delivery of a series of ETNs at maturity will be made to accounts designated by holders and approved by us, or at the
office of the Trustee in New York City, but only when the ETNs are surrendered to the Trustee at that office. We also may make any payment or
delivery in accordance with the applicable procedures of DTC.
The Trustee, Paying Agent and Calculation Agent
The Trustee.
Payment and Paying Agents.
We will pay interest to direct holders listed in the Trustee’s records at the close of business on a particular day
in advance of each due date for interest, even if the direct holder no longer owns the security on the interest due date. That particular day, usually
about one business day in adva nce of the interest due date, is called the regular record date.
We will pay interest, principal and any other money due on the debt securities at the corporate trust office of the Trustee in New York City.
Holders of debt securities must make arrangements to have their payments picked up at or wired from that office. We may also choose to pay
interest by mailing checks.
Street name and other indirect holders should consult their banks or brokers for information on how they will receive payments.
We may also arrange for additional payment offices, and may cancel or change these offices, including our use of the Trustee’s corporate
trust office. These offices are called paying agents. We may also choose to act as our own paying agent. We must notify the Trustee of changes in
the paying agents for any particular series of debt securities.
Calculation Agent.
the original issue date of the ETNs without notice. The calculation agent will, in its sole discretion, make all determinations regarding the value of
the ETNs.
Material U.S. Federal Income Tax Considerations
Our ETNs should be treated for U.S. federal income tax purposes as prepaid forward contracts that are not debt instruments. Under this
treatment, no original issue discount (“
OID
”) will be accrued on our ETNs. However, the Internal Revenue Service might assert that any of our ETNs
should be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments. In that event, U.S. holders of
the ETNs would be required to accrue OID over the term of the ETNs based upon the yield at which we would issue a non-contingent fixed-rate
debt instrument with other terms and conditions similar to the applicable ETNs.