Barclays plans phoenix autocallables linked to S&P 500, Russell 2000

By Susanna Moon

Chicago, Dec. 4 – Barclays Bank plc plans to price phoenix autocallable notes due Dec. 30, 2022 linked to the worse 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 pay a contingent quarterly coupon at an annual rate of 6.65% if each index closes at or above its barrier level, 60% of its initial level, on the observation date for that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any observation date beginning December 2016.

If each index finishes at or above its 60% barrier level, the payout at maturity will be par plus the contingent coupon.

Otherwise, investors will be fully exposed to any losses of the worst performing index.

Barclays is the agent.

The notes will price on Dec. 28 and settle on Dec. 31.

The Cusip number is 06741UX66.

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