By Marisa Wong
Milwaukee, June 10 - Barclays Bank plc priced $5 million of 0% bearish notes due June 11, 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 1.6 times the absolute value of any decline in the index.
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.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Bearish notes
|
| Underlying index: | Barclays Capital 10Y Treasury Futures index
|
| Amount: | $5 million
|
| Maturity: | June 11, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 160% of the absolute value of any index decline; floor of par
|
| Initial index level: | 175.9190
|
| Pricing date: | June 9
|
| Settlement date: | June 11
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 1%
|
| Cusip: | 06740PAD8
|
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