Barclays to price annual autocallable notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., April 30 - Baclays Bank plc plans to price 0% annual autocallable notes due May 30, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the index closes at or above the initial index level on a call valuation date. The redemption amount will be par plus 9% to 11% if the notes are called May 25, 2010 and par plus 18% to 22% if the notes are called May 25, 2011. The exact percentages will be set at pricing.

If the notes are not called and the final index level is greater than the initial level, the payout at maturity will be par plus the greater of the upside percentage - expected to be 27% to 33% - and the index return.

The payout will be par if the final index level is less than the initial level but greater than or equal to the protection level - 50% of the initial level. If the final index level is less than the protection level, the payout will be par plus the index return.

The notes will price May 26 and settle May 30.

Barclays Capital Inc. is the agent.

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