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

By Sarah Lizee

Olympia, Wash., May 23 – Barclays Bank plc plans to price 0% annual autocallable notes due May 31, 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.

The notes will be called at par plus an annual call premium of 7% if each asset closes at or above its initial level on any annual call valuation date.

If the notes are not called on any of the first four call valuation dates and the least performing asset finishes at or above 80% of its initial level, the payout will be par plus the call premium.

If either underlying asset finishes below 80% of its initial level but at or above 65% of its initial level, the payout will be par.

Otherwise, investors will be exposed to any losses of the worse performing asset.

Barclays is the agent.

The notes will price on May 28.

The Cusip number is 06747MT71.

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