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

By Jennifer Chiou

New York, April 16 - Barclays Bank plc plans to price 0% bearish notes due May 8, 2015 linked to the Barclays Capital 10Y Treasury Futures index, according to a 424B3 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 on May 5 and settle on May 10.

Barclays Capital Inc. is the agent.

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