Barclays to price double short leverage notes linked to 30Y Treasury Futures index via UBS

By Angela McDaniels

Tacoma, Wash., Nov. 2 - Barclays Bank plc plans to price two offerings of one-year 0% double short leverage securities inversely 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 102.6.

The payout at maturity will be par minus 200% of the index return plus the interest expense. 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 interest expense will be an amount equal to 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 notes will be called if the index increases by more than 35%. The redemption amount will be calculated in the same way as the payout at maturity.

The index reflects the return available by maintaining a rolling position in 30-year U.S. Treasury futures contracts. The index comprises a single 30-year Treasury futures contract at a time that is either the contract closest to expiration or the next 30-year Treasury futures contract scheduled to expire immediately following the front 30-year Treasury futures contract.

An issue of notes due Dec. 1, 2010 will price Nov. 24 and settle Nov. 30.

An issue of notes due Dec. 28, 2010 will price Dec. 21 and settle Dec. 24.

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