New Issue: Barclays sells $9.59 million contingent interest callables on indexes

By Devika Patel

Knoxville, Tenn., April 17 – Barclays Bank plc priced $9.59 million of contingent income callable securities due Oct. 17, 2019 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes pay a contingent coupon at an annual rate of 10.25% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day of that quarter.

The notes are callable at par on any quarterly interest payment date other than the final one beginning on July 18, 2017.

If each index finishes at or above its downside threshold level, 70% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.

Barclays is the agent. Distribution is through Morgan Stanley Wealth Management.

Issuer:	Barclays Bank plc
Issue:	Contingent income callable securities
Underlying indexes:	Russell 2000, S&P 500 and Euro Stoxx 50
Amount:	$9,589,000
Maturity:	Oct. 17, 2019
Coupon:	10.25% per year, payable quarterly if each index closes at or above coupon barrier level on each day of that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, 1% loss for each 1% decline of lowest-performing index
Call option:	At par on any quarterly interest payment date other than final one
Initial index levels:	1,345.244 for Russell, 2,328.95 for S&P and 3,448.26 for Stoxx
Coupon barrier levels:	1,008.933 for Russell, 1,746.713 for S&P and 2,586.195 for Stoxx; 75% of initial levels
Downside thresholds:	941.671 for Russell, 1,630.265 for S&P and 2,413.782 for Stoxx; 70% of initial levels
Pricing date:	April 13
Settlement date:	April 20
Agent:	Barclays
Fees:	1.5%
Cusip:	06741VRT1

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