Barclays to price annual autocallable notes due 2024 on S&P, Russell

By Sarah Lizee

Olympia, Wash., March 4 – Barclays Bank plc plans to price 0% annual autocallable notes due March 29, 2024 linked to the lesser performing index of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized call price of 10% to 11% if each index closes at or above its initial level on any annual call valuation date. The actual call price will be set at pricing.

If the notes are not called and the final level of the lesser-performing index is at least 70% of its initial level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the lesser-performing index from its initial level.

Barclays is the agent.

The notes (Cusip: 06747MFR2) will price on March 29.

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