Barclays plans to price bearish notes on 10Y Treasury Futures index

By Marisa Wong

Milwaukee, Feb. 25 - Barclays Bank plc plans to price 0% bearish notes due March 13, 2015 based on the Barclays Capital 10Y Treasury Futures index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 140% to 150% of the absolute value of any decline in the index. The exact percentage will be set at pricing.

If the index finishes at or above its initial level, 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 notes are expected to price March 10 and settle March 15.

Barclays Capital Inc. is the agent.

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