New Issue: Barclays prices $1.51 million phoenix autocallables tied to S&P, Russell

By Sarah Lizee

Olympia, Wash., April 1 – Barclays Bank plc priced $1.51 million of phoenix autocallable notes due Sept. 30, 2020 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 month, the notes will pay a contingent coupon at the rate of 6% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that period.

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

A knock-out event will occur if on any trading day during the life of the notes, either index falls below 70% of its initial level.

At maturity, if the return of the least performing index is greater than or equal to its initial value, or the final value is less than its initial value but a knock-in event has not occurred, the payout will be par.

If the final value of the least performing index is less than its initial value and a knock-in event has occurred, investors will be fully exposed to the decline of the least performing index from its initial level.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Phoenix autocallable notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$1,505,000
Maturity:	Sept. 30, 2020
Coupon:	6% per year payable monthly if each index closes at or above coupon barrier level on observation date for that period
Price:	Par
Payout at maturity:	Par if knock-in event has never occurred; exposure to decline of lesser performing index finishes below initial level and knock-in event has occurred; knock-out event will occur if on any trading day during the life of the notes either index falls below 70% of its initial level
Call:	Automatically at par if each index closes at or above initial level on any monthly call observation date after six months
Initial levels:	2,818.46 for S&P, 1,528.17 for Russell
Coupon barriers:	1,972.92 for S&P, 1,069.72 for Russell, 70% of initial levels
Barrier levels:	1,972.92 for S&P, 1,069.72 for Russell, 70% of initial levels
Pricing date:	March 26
Settlement date:	March 29
Agent:	Barclays
Fees:	2.175%
Cusip:	06747MGD2

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