Barclays plans buffered phoenix autocallables linked to Russell, S&P

By Angela McDaniels

Tacoma, Wash., April 4 – Barclays Bank plc plans to price buffered phoenix autocallable notes due April 29, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter. The contingent coupon rate is expected to be 5% to 5.5% per year and will be set at pricing.

Beginning in April 2017, 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.

The payout at maturity will be par unless the lesser-performing index declines by more than 20%, in which case investors will lose 1% for every 1% that it declines beyond 20%.

Barclays is the agent.

The notes will price April 26.

The Cusip number is 06741U7F5.

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