Barclays will price phoenix autocallables linked to Russell, S&P

By Sarah Lizee

Olympia, Wash., March 6 – Barclays Bank plc plans to price phoenix autocallable notes due Sept. 30, 2020 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon at the rate of between 6% and 7% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that month.

The notes will be called at par plus the coupon if each index closes at or above its initial level on any monthly observation date after six months.

The payout at maturity will be par if the final value of the least performing index is greater than its initial value or it is less than its initial value but neither index has closed below 70% during the life of the notes.

Otherwise, investors will be fully exposed to the losses of the least performing index.

Barclays is the agent.

The notes will price March 26.

The Cusip number is 06747MGD2.

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