New Issue: Barclays prices $3.51 million callable contingent coupon notes tied to two indexes

By Susanna Moon

Chicago, April 27 – Barclays Bank plc priced $3.51 million of callable contingent coupon notes due April 28, 2022 linked to the worst 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 pay a contingent quarterly coupon at an annual rate of 7.05% if each index closes at or above its 65% coupon barrier on the observation date for that quarter.

The notes are callable at par on any review date after one year.

The payout at maturity will be par unless either index finishes below it 55% trigger level, in which case investors will be fully exposed to the decline of the worse performing index.

Barclays is the underwriter.

Issuer:	Barclays Bank plc
Issue:	Callable contingent coupon notes
Underlying indexes:	Russell 2000, S&P 500
Amount:	$3,506,000
Maturity:	April 28, 2022
Coupon:	7.05% per year, payable quarter if each index closes at or above 65% coupon barrier on determination date for that quarter
Price:	Par
Payout at maturity:	Par unless either index falls by more than 45%, in which case full exposure to losses of worse performing index
Call option:	At par on any review date beginning April 2018
Initial levels:	1,397.942 for Russell, 2,374.15 for S&P
Coupon barriers:	908.66 for Russell, 1,543.20 for S&P; 65% of initial levels
Trigger levels:	768.87 for Russell, 1,305.78 for S&P; 55% of initial levels
Pricing date:	April 24
Settlement date:	April 27
Underwriter:	Barclays
Fees:	0.75%
Cusip:	06741VSJ2

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