Barclays to sell annual review notes linked to S&P 500 via JPMorgan

By Susanna Moon

Chicago, Aug. 19 - Barclays Bank plc plans to price 0% annual review notes due Sept. 9, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

The notes will be automatically called at increasing premiums if the index level is at or above 90% of the initial index level on the first review date and greater than or equal to the initial index level on any of the next two annual review dates.

The redemption amount will be par plus a call premium of at least 9.95% if called on Sept. 8, 2009, par plus at least 19.9% if called on Sept. 7, 2010 and par plus at least 29.85% if called on Sept. 6, 2011. The exact call premiums will be set at pricing.

If the notes are not called, the payout at maturity will be par if index falls by up to 10% and investors will lose 1.1111% for each 1% decline beyond 10%.

The notes are expected to price on Aug. 22 and settle on Aug. 27.

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