Barclays plans three-year double short leverage notes linked to 30Y Treasury Futures index via UBS

By Jennifer Chiou

New York, July 2 - Barclays Bank plc plans to price 0% double short leverage securities due July 26, 2013 linked to the Barclays Capital 30Y Treasury Futures index, according to an FWP filing with the Securities and Exchange Commission.

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

The notes will price at 103.6.

The notes will be called if the index closes above 135% of its initial level.

The payout at maturity or upon redemption will be par minus 200% of the index return plus the additional amount. The notes are not principal protected, so the payout will be reduced by any positive performance on the index on a two-times leveraged basis.

The additional amount will be the interest accrued on the principal amount at a rate per year equal to overnight Libor, compounded on each business day during the accrual period.

The index reflects the return available by maintaining a rolling position in 30-year U.S. Treasury futures contracts.

The securities will price on July 26 and settle on July 28.

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