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

By Susanna Moon

Chicago, Jan. 7 – Barclays Bank plc plans to price phoenix autocallable notes due Feb. 8, 2021 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 semiannual coupon at an annual rate of 7% to 7.25% if each fund closes at or above its barrier level, 60% of its initial level, on the observation date for that period.

The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any observation date other than the final date.

The payout at maturity will be par plus the contingent coupon unless either fund closes below the 60% barrier level on any day during the life of the notes and either fund finishes below its initial level, in which case investors will be fully exposed to any losses of the worst performing fund.

Barclays is the agent.

The notes will settle on Jan. 28 and settle on Feb. 4.

The Cusip number is 06741WBH2.

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