Barclays to price two-year Accelerated Return Notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., Feb. 22 - Barclays Bank plc plans to price 0% Accelerated Return Notes due March 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus triple any gain in the index, up to a maximum return of 14% to 18%.

Investors will be exposed to any losses.

The initial index level will be the lowest closing level of the index during the first two months following pricing and will be announced following the determination period.

The final index level will be the average of the closing index levels on five scheduled calculation shortly before the maturity date.

BofA Merrill Lynch is the agent.

The notes will price in March and settle in April.

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