Barclays to price bearish notes linked to 10Y Treasury Futures index

By Jennifer Chiou

New York, Aug. 14 - Barclays Bank plc plans to price 0% bearish notes due Aug. 30, 2013 linked to the Barclays Capital 10Y Treasury Futures index, according to a 424B3 filing with the Securities and Exchange Commission.

If the final index return is less than 0%, the payout at maturity will be par plus 120% to 130% of the absolute value of the index return. The exact participation rate will be set at pricing.

If the final index return is greater than or equal to 0%, the payout will be par.

The index reflects the return available by maintaining a rolling position in 10-year U.S. Treasury notes futures contracts. The index is comprised of a single 10-year Treasury futures contract at a time that is either the contract closest to expiration or the next 10-year Treasury futures contract scheduled to expire immediately following the front 10-year Treasury futures contract.

The notes are expected to price on Aug. 27 and settle on Sept. 1.

Barclays Capital Inc. is the agent.

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