Barclays plans five-year phoenix autocallable notes linked to two funds

By Susanna Moon

Chicago, July 17 – Barclays Bank plc plans to price phoenix autocallable notes due July 26, 2019 linked to the worse performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon if each fund closes at or above the barrier level, 65% of the initial share price, on the observation date for that quarter. The coupon will be 0.5 times the 10-year CMS rate plus 275 basis points.

The notes will be called at par plus the contingent coupon if each fund closes at or above the initial share price on any quarterly observation date after one year.

If each fund finishes at or above the barrier level, the payout at maturity will be par plus the contingent coupon.

Otherwise, investors will be fully exposed to any losses of the worse performing fund.

Barclays is the underwriter.

The notes will price on July 23 and settle on July 28.

The Cusip number is 06741JV22.

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