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Barclays to price bearish notes tied to 10Y Treasury Futures index
By Toni Weeks
San Luis Obispo, Calif., Oct. 23 - Barclays Bank plc plans to price 0% bearish notes due Oct. 31, 2018 linked to the Barclays 10Y Treasury Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The index reflects the returns available by maintaining a rolling position in 10-Year Treasury notes futures contracts.
The payout at maturity will be par minus at least 155% of the index return, subject to a minimum payout of 90% of par. Investors will only receive more than par if the index declines. The exact participation rate will be set at pricing.
The notes (Cusip: 06741TV38) will price Oct. 28 and settle Oct. 31.
Barclays is the agent.
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