Barclays to price autocallable optimization notes on SPDR S&P 500 ETF

By Marisa Wong

Madison, Wis., Sept. 30 - Barclays Bank plc plans to price 0% autocallable optimization securities with contingent protection due Oct. 15, 2015 linked to the SPDR S&P 500 exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the fund closes at or above its initial share price on any of 17 quarterly observation dates beginning Oct. 17, 2011, the notes will be called and investors will receive par of $10 plus an annualized return of 8% to 9% that will be set at pricing.

If the notes are not called, the payout at maturity will be par if the final share price is at least 50% of the initial price. Otherwise, investors will receive par plus the share price return.

The notes (Cusip: 06740C329) are expected to price on Oct. 8 and settle on Oct. 14.

UBS Financial Services Inc. and Barclays Capital Inc. are the underwriters.

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