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Barclays plans relative performance notes on 10-year Treasury, S&P 500
By Marisa Wong
Madison, Wis., Oct. 22 - Barclays Bank plc plans to price 0% relative performance securities due Oct. 31, 2018 linked to the Barclays 10Y Treasury Futures index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The S&P 500 is the long asset, and the Treasury index is the short asset. The relative return will be the long index return minus the short index return.
The payout at maturity will be par of $10 plus at least 135% of any positive relative return. The exact participation rate will be set at pricing.
Investors will be exposed to any losses.
Barclays is the agent.
The notes will price on Oct. 28 and settle on Oct. 31.
The Cusip number is 06741TT98.
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