Barclays to price annual autocallable notes due 2024 on S&P, Russell

By Sarah Lizee

Olympia, Wash., July 9 – Barclays Bank plc plans to price 0% annual autocallable notes due July 31, 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 7.25% to 8.25% if each asset closes at or above its initial level on any annual call valuation date.

If the notes are not called and the least performing asset finishes at or above its initial level, the payout at maturity will be par plus the call premium for the final valuation date.

If the least performing asset falls but finishes at or above its 70% barrier level, the payout will be par.

If either underlying asset finishes below its 70% barrier level, investors will be exposed to any losses of the worse performing asset.

Barclays is the agent.

The notes will price on July 26.

The Cusip number is 06747N4G6.

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