By Toni Weeks
San Luis Obispo, Calif., Nov. 27 - Barclays Bank plc priced $1 million of 0% bearish notes due Nov. 29, 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.
If the index return is less than zero, the payout at maturity will be par minus 155% of the index return. The resulting payment will be more than par.
If the index return is greater than or equal to zero, the payout will be par minus the index return, subject to a minimum payout of 90% of par.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Bearish notes
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Underlying index: | Barclays 10Y Treasury Futures index
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Amount: | $1 million
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Maturity: | Nov. 29, 2018
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index return is less than zero, par minus 155% of index return; if index return is greater than or equal to zero, par minus index return, subject to minimum payment of 90% of par
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Initial index level: | 207.7262
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Pricing date: | Nov. 25
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Settlement date: | Nov. 29
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Agent: | Barclays
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Fees: | 2%
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Cusip: | 06741T2A4
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