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

By Devika Patel

Knoxville, Tenn., March 23 – Barclays Bank plc plans to price phoenix autocallable notes due July 5, 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 8% to 9% 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 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 Sept. 29, 2017, Dec. 29, 2017 or March 30, 2018.

If each index finishes at or above its initial level and neither closes below the 75% barrier level during the life of the notes, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performing index.

Barclays is the agent.

The notes (Cusip: 06741VMR0) will price on March 31 and settle on April 5.

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