Barclays to price annual autocallables tied to S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., March 15 - Barclays Bank plc plans to price 0% annual autocallable notes due March 31, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 9% to 11% per year if each index closes at or above the call level on an annual call date. The call level will be equal to the initial index level on the first two call dates and will step down to 90% of the initial level for the final call date. The exact call premium will be set at pricing.

If the notes are not called and the lesser performing index finishes at or above the 75% barrier level, the payout at maturity will be par. Otherwise, investors will receive par plus the return of the lesser performing index with full exposure to any losses.

Barclays is the agent.

The notes will price on March 25 and settle on March 28.

The Cusip number is 06741TRD1.

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