Barclays plans two-year protected knock-out notes linked to S&P 500

By Susanna Moon

Chicago, July 8 - Barclays Bank plc plans to price 0% knock-out notes due July 26, 2012 based on the performance of the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index ever closes above the knock-out barrier during the life of the notes. The barrier will be 112% to 122% of the initial index level with the exact percentage to be set at pricing.

If a knock-out event occurs, the payout at maturity will be par plus a knock-out rebate of 2%.

Otherwise, the payout will be par plus any index gain, with a floor of par.

The notes are expected to price on July 23 and settle on July 28.

Barclays Capital Inc. is the agent.

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