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

By Marisa Wong

Morgantown, W.Va., Oct. 4 – Barclays Bank plc plans to price phoenix autocallable notes due Oct. 11, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Every six months, the notes will pay a contingent coupon at the rate of 10% per year if each index closes at or above its coupon barrier level, 85% of its initial level, on the observation date for that semiannual period. Otherwise, no coupon will be paid for that period.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the first three semiannual observation dates.

If the notes are not called, the payout at maturity will be par plus the final contingent coupon, if any, unless either index finishes below its 70% barrier level, in which case investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.

Barclays is the agent.

The notes will price on Oct. 5.

The Cusip number is 06741VCQ3.

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