Barclays plans autocallable high/low coupon notes tied to three ETFs

By Marisa Wong

Madison, Wis., March 31 – Barclays Bank plc plans to price autocallable high/low coupon notes due Jan. 7, 2017 linked to the lowest performing of three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying ETFs are the Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Consumer Staples Select Sector SPDR fund.

A knock-in event will occur if any underlying fund closes below its knock-in barrier price, 60% of its initial share price, on any day during the life of the notes.

The coupon will be 6.75% to 7.75% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. Interest is payable quarterly. The exact rates will be set at pricing.

The notes are callable at par on any interest payment date.

If the notes are not called, the payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lowest-performing fund, with full exposure to losses.

Barclays is the agent.

The notes will price on April 1 and settle on April 7.

The Cusip number is 06741UTK0.

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