Barclays plans annual autocallables linked to S&P 500, oil & gas ETF

By Angela McDaniels

Tacoma, Wash., July 25 – Barclays Bank plc plans to price 0% annual autocallable notes due Aug. 28, 2023 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium of 11% per year if each index closes at or above its initial level on any annual call valuation date.

If the final level of the lesser-performing index is greater than or equal to its initial level, the notes will be subject to an automatic call and the payout will be the applicable redemption price.

If the final level of the lesser-performing index is less than its initial level but greater than or equal to its barrier value, 60% of its initial level, the payout will be par plus 44%.

If the final level of the lesser-performing index is less than its barrier value, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

Barclays is the agent.

The notes will price Aug. 23.

The Cusip number is 06747NA95.

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