Barclays plans double short leverage notes on 30Y Treasury Futures

By Jennifer Chiou

New York, Oct. 1 - Barclays Bank plc plans to price 0% double short leverage securities due Oct. 31, 2013 linked to the Barclays Capital 30Y Treasury Futures index, according to an FWP filing with the Securities and Exchange Commission.

The notes will price at 103.6.

The notes will be putable at any time, subject to a minimum of 1,000 securities, and they will be called if the index increases by more than 35%.

The payout at maturity or upon redemption will be par minus 200% of the index return plus an additional amount and minus an investor fee. The notes are not principal protected.

The additional amount is equal to the interest accrued on the principal amount at a rate per year equal to overnight Libor, compounded daily.

The investor fee will be zero if the final valuation date occurs in the first year, 0.85% if it occurs in the second year and 1.7% if it occurs in the third year.

The notes (Cusip: 06740PUW4) are expected to price on Oct. 25 and settle on Oct. 29.

UBS Financial Services Inc. and Barclays Capital Inc. are the underwriters.

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