New Issue: Barclays prices $9.91 million autocallable digital notes on two indexes

By Toni Weeks

San Luis Obispo, Calif., Dec. 30 – Barclays Bank plc priced $9.91 million of autocallable digital notes due June 29, 2016 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.

The notes will be automatically called at par plus an annualized return of 9% if both underlying indexes close at or above their initial levels on either June 24, 2015 or Dec. 24, 2015.

If the notes are not called, investors will receive par plus the 13.5% maximum return if the lesser-performing index finishes at or above its initial level.

If the lesser-performing index falls by up to 20%, the payout at maturity will be par plus the digital percentage of 9.5%. Otherwise, investors will share fully in losses of the lesser-performing index at a rate of 1.25% per 1% drop beyond 20%.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Autocallable digital notes
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$9.91 million
Maturity:	June 29, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If lesser-performing index finishes at or above initial level, par plus 13.5%; if lesser-performing index falls by up to 20%, par plus 9.5%; otherwise, 1.25% loss per 1% drop beyond 20% buffer
Call:	At par plus 9% per year if both indexes close at or above their initial levels on June 24, 2015 or Dec. 24, 2015
Initial index levels:	1,206.79 for Russell, 2,081.88 for S&P
Buffer level:	80% of initial levels
Pricing date:	Dec. 24
Settlement date:	Dec. 30
Agent:	Barclays
Fees:	0.15%
Cusip:	06741UNM2

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