Barclays plans buffered range accrual autocallables tied to S&P, Russell

By Susanna Moon

Chicago, Oct. 17 – Barclays Bank plc plans to price autocallable buffered range accrual notes due April 30, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 5.5% for each day that each index closes at or above the 80% coupon barrier, payable monthly.

The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly call valuation date after two years.

The payout at maturity will be par unless either index falls by more 20%, in which case investors will be exposed to any losses of the worse performing index beyond 20%.

Barclays is the agent.

The notes will price on Oct. 26.

The Cusip number is 06744CB34.

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