Barclays plans to price phoenix autocallables linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., June 3 – Barclays Bank plc plans to price phoenix autocallable notes due Dec. 30, 2016 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 7.6% to 8.6% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date beginning Dec. 28, 2015.

A knock-in event occurs if the closing level of either index falls below its 75% barrier level during the life of the notes.

If the notes are not called and the final level of the lesser-performing index is greater than or equal to its initial level or the return of the lesser-performing index is negative but a knock-in event does not occur, the payout at maturity will be par. If the final level of the lesser-performing index is less than its initial and a knock-in event occurs, the payout will be par plus the return of the lesser-performing index, with full exposure to losses.

The notes (Cusip: 06741UXU3) are expected to price June 25 and settle June 30.

Barclays is the agent.

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