Barclays plans Algorithmic Inflation Momentum Switching index notes

By Jennifer Chiou

New York, July 9 - Barclays Bank plc plans to price 0% Algorithmic Inflation Momentum Switching index notes due July 30, 2013, according to a 424B3 filing with the Securities and Exchange Commission.

The index seeks to reflect the excess returns available by taking a long or short position in inflation-protected securities issued by the U.S. Treasury based on trends in current and expected U.S. inflation. At any given time, the index has either a short position or a long position in the Barclays U.S. Government Inflation-Linked Bond index. It is rebalanced each month.

The decision as to whether to take a short position or a long position in the index for the next month is made based on a trading signal: If the trading signal indicates that either current or expected inflation is flat or increasing, the index takes a long position in the bond index; otherwise, the index takes a short position in the bond index.

If the final index level is greater than the initial level, the payout at maturity will be par plus double the index return.

If the final index level is less than the initial level, investors will receive par.

The inception date will be July 25.

Barclays Capital Inc. will be the agent.

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