Barclays to price covered call notes linked to iShares S&P 500 index fund

By Angela McDaniels

Tacoma, Wash., March 11 - Barclays Bank plc plans to price 0% covered call notes due May 5, 2010 linked to the iShares S&P 500 index fund, according to an FWP filing with the Securities and Exchange Commission.

The face value of each note will be equal to the closing price of one fund share on the pricing date.

If the final share price is greater than the initial price, the payout at maturity will be par plus a call premium that is expected to be 11.5% to 16.4% and will be set at pricing.

If the final share price is less than the initial price, the payout will be par plus the call premium minus the share price decline. Investors will therefore experience a loss if the share price declines by more than the call premium.

The notes are expected to price March 30 and settle April 2.

Barclays Capital Inc. is the agent.

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