Barclays plans autocallable notes due 2024 on S&P, Russell

By Sarah Lizee

Olympia, Wash., Sept. 24 – Barclays Bank plc plans to price 0% autocallable notes due Sept. 30, 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% if each asset closes at or above its call level on any annual call valuation date. The call level will be 100% of the initial for the first call date, stepping down by 5 basis points each year.

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

If the least performing asset falls below its final call level but finishes at or above its 65% barrier level, the payout will be par.

If either underlying asset finishes below its 65% barrier level, investors will be exposed to any losses of the worse performing asset.

Barclays is the agent.

The notes will price on Sept. 25.

The Cusip number is 06747NH64.

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