By Marisa Wong
Morgantown, W.Va., Nov. 20 – Barclays Bank plc priced $615,000 of phoenix autocallable notes due Nov. 25, 2020 linked to the least 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 semiannual coupon at an annual rate of 7% if each fund closes at or above its barrier, 60% of its initial level, on the observation date for that semiannual period. The semiannual observation dates begin Nov. 18, 2016.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any semiannual observation date.
If each fund finishes at or above its 60% barrier level, the payout at maturity will be par plus the contingent coupon.
Otherwise, investors will be fully exposed to any losses of the worst performing fund.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Phoenix autocallable notes
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| Underlying ETFs: | SPDR S&P 500 ETF and the iShares Russell 2000 ETF
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| Amount: | $615,000
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| Maturity: | Nov. 25, 2020
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| Coupon: | 7% annualized for each semiannual period that each fund closes at or above barrier level on observation date; observation dates begin after one year
|
| Price: | Par
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| Payout at maturity: | If each fund finishes at or above 60% barrier level, par plus coupon; otherwise, full exposure to losses of worst performing fund
|
| Call: | At par if each fund closes at or above initial level on any semiannual observation date
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| Initial levels: | $205.65 for S&P ETF, $115.03 for Russell ETF
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| Barrier levels: | 60% of initial levels
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| Pricing date: | Nov. 16
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| Settlement date: | Nov. 23
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| Underwriter: | Barclays
|
| Fees: | 1.8%
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| Cusip: | 06741WBE9
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