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

By Angela McDaniels

Tacoma, Wash., Jan. 7 – Barclays Bank plc plans to price phoenix autocallable notes due Jan. 27, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 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% to 7.5% per year if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter. The exact coupon rate will be set at pricing.

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

A knock-in event will occur if either index closes below its barrier level on any day during the life of the notes.

The payout at maturity will be par if the lesser-performing index finishes at or above its initial level or if the lesser-performing index finishes below its initial level but a knock-in event does not occur.

If the lesser-performing index finishes below its initial level and a knock-in event occurs, investors will be fully exposed to the decline of the lesser-performing index.

Barclays is the agent.

The notes will price Jan. 26.

The Cusip number is 06741U2M5.

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