Additionally, if the level of the underlying index is insufficient to offset the negative effect of the investor fee and other applicable costs, you will The level of the underlying index between the inception date and the applicable valuation date. You May Lose Some or All of Your Principal: The ETNs are exposed to any decrease in
We urge you to read the more detailed explanation of risks described under Risk Factors in the applicable prospectus supplement and pricing supplement. Settlement charge will apply at maturity or upon holder redemption.Īn investment in the ETNs described herein (the ∾TNs) involves risks. In addition, a rebalancing fee will apply upon a rebalancing event, and a Times (b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current valuation date divided by (c) 360.
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Sum of (i) the product of (1) the long index amount on the immediately preceding valuation date times (2) the exposure fee rate plus (ii) 0.05% times the closing indicative note value on the immediately preceding valuation date The Yearly Fee represents the cumulative effect of the daily investor fee for each ETN, which will equal (a) the Perfectly correlated assets have a correlation coefficient of one, while the correlation coefficient is zero when returns on two assets are completely independent.Ĥ. Correlation is the term used to describe the historical statistical relationship between two Annualized Volatility is calculated as a standard deviation of natural logarithm daily returns in the observation period multiplied by the square root of 252.īecause the annualized volatility is based on historical data, it may not predict variability on annualized futureģ. Past performance is not indicative of future results.Ģ. Indices are unmanaged and one cannot invest directly in an Index. Investor fee or any other transaction costs or expenses. Index performance returns do not reflect the Index returns are for illustrative purposes only and do not represent actual ETN performance. Period where no rebalancing occurs, the returns of the ETN can be approximated as:ġ. On any day, the Leverage Factor provides an indication of the leveraged exposure of the ETN to the Index. Targets a fixed multiple return of the performance of the Index over the term of the ETNs. Only rebalances if the Index decreases below a threshold (80% of the index level on inception date, excluding fees). The ETN seeks to mitigate the path dependency to underlying Index that daily rebalancing leverage products produce. STOXX Europe 50® USD (Gross Return) MSCI World TR Net USD Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The Parent Index contains the 600 largest stocks traded on the major exchanges of 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, The Index is composed of 50 European blue-chip companies selected from within the STOXXĮurope 600 Index (the Parent Index).
Of two times the performance of the STOXX Europe 50® USD (Gross Return) Index (the Index) over the term of the ETNs, subject to the rebalancing of the leveraged exposure upon a rebalancing event or early redemption upon an automatic The Barclays ETN+ FI Enhanced Europe 50 ETN (the ∾TN) is designed to provide a leveraged return of a multiple
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Free Writing Prospectus - ETN+ FEEU Information Sheet
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