Barclays plans notes linked to Barclays TrendStar

By Susanna Moon

Chicago, Sept. 12 - Barclays Bank plc plans to price notes due Sept. 30, 2015 linked to the Barclays TrendStar index, according to a 424B3 filing with the Securities and Exchange Commission.

The index seeks to reflect the excess returns available by making investments based on predicted changes in the shape of the yield curve for the dollar swap rate. Its contains three constituent indexes, which track the performance of the two-year dollar swap rate, the 10-year dollar swap rate and the U.S. federal funds effective rate.

The coupon will be any gain in the index less the hurdle rate, with a floor of 0%. The hurdle rate will be 0% on September 2009, 1% on September 2010, 2% on September 2011, 3% on September 2012, 4% on September 2013, 5% on September 2014 and 6% on September 2015. Interest is payable annually.

Payout at maturity will be par. Investors will receive at least par.

The inception date is Sept. 25.

Barclays Capital Inc. will act as agent.

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