Barclays plans callable range accrual notes due 2023 linked to S&P 500

By Marisa Wong

Morgantown, W.Va., Feb. 5 – Barclays Bank plc plans to price callable range accrual notes due Aug. 29, 2023 linked to the performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 6.3% per year multiplied by the proportion of days on which the index closes at or above the coupon barrier level, which is 80% of the initial level. Interest is payable monthly.

If the final index level is greater than or equal to the 80% buffer level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline beyond 20%.

After one year, the notes will be callable at par on any interest payment date.

Barclays is the agent.

The notes will price Feb. 24 and settle Feb. 29.

The Cusip number is 06741U5C4.

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