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

By Wendy Van Sickle

Columbus, Ohio, Jan. 6 – Barclays Bank plc plans to price phoenix autocallable notes due July 31, 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.

Each quarter, the notes will pay a contingent coupon at the rate of 6.5% to 7.5% per year if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on either the second, third or fourth observation dates.

A knock-in event will occur if, on any scheduled trading day during the life of the notes, the closing level of either index is less than its 70% barrier level.

If each index finishes at or above its initial level or either index finishes below its initial level but a knock-in event does not occur, the payout at maturity will be par.

If either index finishes below its initial level and a knock-in level occurs, investors will lose 1% for each 1% decline of the worse performing index.

Barclays is the agent.

The notes will price on Jan. 26 and settle on Jan. 31.

The Cusip number is 06741VGL0.

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