By Angela McDaniels
Tacoma, Wash., Oct. 30 - Barclays Bank plc priced $1.49 million of 0% relative performance notes due Oct. 31, 2018 linked to the S&P 500 index and the Barclays 10Y Treasury Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The S&P 500 is the "long index," and the 10Y Treasury Futures is the "short index." The relative return is the long index return minus the short index return.
If the long index return is greater than or equal to the short index return, the payout at maturity will be par plus 140% of the relative return.
If the long index return is less than the short index return, the payout will be par plus the relative return. Because the relative return will be negative in this case, investors will receive less than par.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Relative performance notes
|
| Underlying indexes: | S&P 500 index ("long index") and Barclays 10Y Treasury Futures index ("short index")
|
| Amount: | $1.49 million
|
| Maturity: | Oct. 31, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If long index return is greater than or equal to short index return, par plus 140% of amount by which long index outperforms short index; if long index return is less than short index return, par minus amount by which short index outperforms long index
|
| Initial index levels: | 1,762.11 for S&P 500 index and 204.1516 for Treasury index
|
| Pricing date: | Oct. 28
|
| Settlement date: | Oct. 31
|
| Underwriter: | Barclays
|
| Fees: | 3%
|
| Cusip: | 06741TT98
|
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