Barclays to price relative performance notes linked to S&P 500, US 5Y Treasury Futures indexes

By Angela McDaniels

Tacoma, Wash., July 24 - Barclays Bank plc plans to price 0% relative performance securities due Aug. 21, 2017 linked to the S&P 500 index and the Barclays US 5Y Treasury Futures index, according to an FWP filing with the Securities and Exchange Commission.

The S&P 500 is the "long index," and the 5Y Treasury Futures is the "short index." The relative return will be the long index return minus the short index return.

If the long index return is greater than or equal to the short index return, the payout at maturity will be par of $10 plus 145% to 155% of the relative return. The exact participation rate will be set at pricing.

If the long index return is less than the short index return, the payout will be par plus the relative return. Because the relative return will be negative in this case, investors will receive less than par.

The notes are expected to price Aug. 16 and settle Aug. 21.

UBS Financial Services Inc. and Barclays Capital Inc. are the underwriters.

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