Barclays plans to price annual autocallable notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., June 7 – Barclays Bank plc plans to price 0% annual autocallable notes due June 25, 2024 linked to the least performing of 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 an annual call premium of 10.2% if each asset closes at or above its initial level on any annual call valuation date.

If each index finishes at or above its initial level, the payout will be par plus the call premium.

If either index falls by up to 40%, the payout will be par.

If either index falls by more than 40%, investors will be exposed to any losses of the worse performing index.

Barclays is the agent.

The notes will price on June 20.

The Cusip number is 06747MZ90.

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