Barclays to price annual autocallable notes on Euro Stoxx 50, S&P 500

By Toni Weeks

San Luis Obispo, Calif., Sept. 24 - Barclays Bank plc plans to price 0% annual autocallable notes due September 2016 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized call price of at least 11.1% if each index closes at or above its call value on any of three annual call valuation dates. For each index, the call value is equal to the initial index level on the first call valuation date in September 2014, 95% of the initial index level on the second call valuation date in September 2015 and 90% of the initial index level on the final call valuation date in September 2016. The actual call price will be set at pricing.

If the notes are not called and the final level of the lesser-performing index is at least 75% of its initial level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the lesser-performing index from its initial level.

The notes (Cusip: 06741TN60) are expected to price and settle in September.

Barclays is the agent.

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