Barclays plans phoenix autocallable notes tied to Russell 2000, S&P 500

By Jennifer Chiou

New York, Jan. 14 – Barclays Bank plc plans to price phoenix autocallable notes due Jan. 28, 2020 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index closes at or above its coupon barrier, 70% of its initial level, on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at a rate of 8% per year. Otherwise, no coupon will be paid that quarter.

If each index closes at or above its initial level on any quarterly observation date other than the final date, the notes will be called at par plus the contingent coupon.

If the notes are not called and each index finishes at or above its 70% barrier level, the payout at maturity will be par plus the contingent coupon.

Otherwise, investors will be exposed to the decline of the worst-performing index from its initial level.

The notes (Cusip: 06741UPL2) will price on Jan. 23 and settle on Jan. 28.

Barclays is the underwriter.

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