Barclays plans annual reset coupon buffered notes linked to Russell

By Marisa Wong

Madison, Wis., July 7 – Barclays Bank plc plans to price annual reset coupon buffered notes due July 31, 2020 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable annually and will equal the maximum digital percentage if the index’s return for that year is positive or zero. Otherwise, the coupon will equal the minimum digital percentage. The index’s return will be measured from its level a year earlier.

The maximum digital percentage is expected to be 5% to 5.5%. The minimum digital percentage is expected to be 2% to 2.5%. Both will be set at pricing.

The payout at maturity will be par unless the final index level is less than 80% of the initial index level, in which case investors will lose 1% for every 1% that the index declines beyond 20%.

Barclays is the agent.

The notes are expected to price on July 29 and settle on July 31.

The Cusip number is 06741UFQ2.

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