Barclays to price notes due 2024 linked to S&P 500, Russell

By Sarah Lizee

Olympia, Wash., Jan. 30 – Barclays Bank plc plans to price 0% notes due Feb. 29, 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.

If the least performing index return is positive or flat at maturity, investors will receive par plus the return of the lesser performing index times an upside leverage factor of 1.5, with a maximum return of 40% to 42%.

If the least performing index is negative but more than 95% of its initial value, investors will receive a payout equal to that decline.

If the final value of the worst performing index is less than 95%, investors will receive a minimum payment of $950 per $1,000 of notes.

Barclays is the agent.

The notes will price on Feb. 25.

The Cusip number is 06747MC38.

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