Barclays plans annual autocallable notes tied to S&P, oil and gas ETF

By Marisa Wong

Morgantown, W.Va., Feb. 16 – Barclays Bank plc plans to price 0% annual autocallable notes due Feb. 23, 2021 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 an annualized call premium of 13.5% to 14.5% if each underlying closes at or above its initial level on any of four annual call valuation dates. The actual call premium will be set at pricing.

If the notes are not called and the final level of the lesser-performing underlying is at least 60% of its initial level, the payout at maturity will be par plus the digital percentage of 10%. Otherwise, investors will lose 1% for each 1% decline of the lesser-performing underlying from its initial level.

Barclays is the agent.

The notes will price Feb. 17.

The Cusip number is 06741VJ86.

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