Barclays plans buffered phoenix autocallables linked to Russell, S&P

By Sarah Lizee

Olympia, Wash., May 13 – Barclays Bank plc plans to price buffered phoenix autocallable notes due Nov. 30, 2026 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 month, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that month. Otherwise, no coupon will be paid for that quarter. The contingent coupon rate is expected to be 6% per year and will be set at pricing.

After one year, the notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any monthly observation date other than the final one.

The payout at maturity will be par unless the lesser-performing index declines by more than 20%, in which case investors will lose 1% for every 1% that it declines beyond 20%.

Barclays is the agent.

The notes will price May 24.

The Cusip number is 06747MUE4.

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