By Susanna Moon
Chicago, Aug. 27 - Barclays Bank plc priced $1.16 million of 0% bearish notes due Aug. 31, 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 the absolute value of any decline in the index, subject to a minimum payout of 103% of 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
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Issue: | Bearish notes
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Underlying index: | Barclays Capital 10Y Treasury Futures index
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Amount: | $1.16 million
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Maturity: | Aug. 31, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus absolute value of any index drop; floor of 103% of par
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Initial index level: | 183.72
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Pricing date: | Aug. 26
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Settlement date: | Aug. 31
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Agent: | Barclays Capital Inc.
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Fees: | 3.5%
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Cusip: | 06740PKN5
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