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

By Angela McDaniels

Tacoma, Wash., Aug. 29 - Barclays Bank plc plans to price 0% bearish notes due Sept. 17, 2016 linked to the Barclays 10Y Treasury Futures index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par minus at least 100% of the index return, subject to a minimum payout of par. Investors will only receive more than par if the index declines. The exact participation rate will be set at pricing.

The index reflects the returns available by maintaining a rolling position in 10-Year Treasury notes futures contracts.

The notes will price Sept. 12 and settle Sept. 17.

Barclays is the agent.

The Cusip number is 06741TFL6.

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