New Issue: Barclays prices $1.25 million of phoenix autocallables on indexes, ETF

By Devika Patel

Knoxville, Tenn., May 5 – Barclays Bank plc priced $1.25 million of phoenix autocallable notes due May 7, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon at the rate of 7.25% per year if each underlying closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that month. Otherwise, no coupon will be paid for that quarter.

The notes will be called at par plus the contingent coupon if each underlying closes at or above its initial level on any quarterly observation date prior to the final one, beginning on Nov. 4, 2017.

The payout at maturity will be par plus the final contingent coupon unless any underlying finishes below its barrier level of 60% of its initial level, in which case investors will lose 1% for each 1% decline of the least performing underlying.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Phoenix autocallable notes
Underlyings:	Russell 2000, S&P 500 and iShares MSCI EAFE exchange-traded fund
Amount:	$1.25 million
Maturity:	May 7, 2020
Coupon:	Each month, notes pay contingent coupon at rate of 7.25% per year if each underlying closes at or above barrier level on observation date for that month; otherwise, no coupon paid that quarter
Price:	Par
Payout at maturity:	Par plus final contingent coupon unless any underlying finishes below barrier level, in which case 1% loss for every 1% that least-performing underlying finishes below initial level
Call:	Automatically at par plus contingent coupon if each underlying closes at or above initial level on a quarterly observation date prior to the final one beginning Nov. 4, 2017
Initial levels:	1,388.85 for Russell 2000, 2,389.52 for S&P 500, $64.87 for ETF
Coupon barrier levels:	972.20 for Russell 2000, 1,672.66 for S&P 500, $45.41 for ETF; 70% of initial levels
Barrier levels:	833.31 for Russell 2000, 1,433.71 for S&P 500, $38.92 for ETF; 60% of initial levels
Pricing date:	May 4
Settlement date:	May 8
Agent:	Barclays
Fees:	0.9%
Cusip:	06741VUY6

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