By Wendy Van Sickle
Columbus, Ohio, Jan. 4 – Barclays Bank plc priced $1.11 million of phoenix autocallable notes due March 30, 2018 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 at the rate of 6% per year if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on the second, third or fourth observation date.
A knock-in event will occur if, on any scheduled trading day during the life of the notes, the closing level of either index is less than its 70% barrier level.
If each index finishes at or above its initial level or either index finishes below its initial level but a knock-in event does not occur, the payout at maturity will be par.
If either index finishes below its initial level and a knock-in level occurs, investors will lose 1% for each 1% decline of the lesser-performing index.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Phoenix autocallable notes
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| Underlying indexes: | Russell 2000, S&P 500
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| Amount: | $1,107,000
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| Maturity: | March 30, 2018
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| Coupon: | 6% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above initial level or either index finishes below its initial level but neither has closed below barrier any day during life of notes, par; otherwise, full exposure to any losses of lesser-performing index
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| Call: | At par plus the contingent coupon if each index closes at or above its initial level on second, third or fourth observation date
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| Initial levels: | 1,377.71 for Russell, 2,268.88 for S&P
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| Barrier levels: | 964.40 for Russell, 1588.22 for S&P; 70% of initial levels
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| Pricing date: | Dec. 27
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| Settlement date: | Dec. 30
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| Agent: | Barclays
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| Fees: | 2%
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| Cusip: | 06741VEY4
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