Barclays plans phoenix autocallable notes due 2015 linked to funds

By Jennifer Chiou

New York, Aug. 14 – Barclays Bank plc plans to price phoenix autocallable notes due Aug. 20, 2019 linked to the lesser return 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 345 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.

The notes (Cusip: 06741JV97) will price on Aug. 15 and settle on Aug. 20.

Barclays is the underwriter.

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