New Issue: Barclays prices $2 million phoenix autocallables tied to three indexes

By Toni Weeks

San Luis Obispo, Calif., June 4 – Barclays Bank plc priced $2 million of phoenix autocallable notes due June 7, 2018 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 6.15% per year if each index closes at or above its coupon barrier level, 65% of its initial level, on the observation date for that month. Otherwise, no coupon will be paid for that month.

Beginning after six months, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any monthly observation date other than the final date.

If the notes are not called and the final level of the lesser-performing index is greater than or equal to its barrier level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Phoenix autocallable notes
Underlying indexes:	S&P 500, Russell 2000, Nasdaq-100
Amount:	$2 million
Maturity:	June 7, 2018
Coupon:	6.15% per year if each index closes at or above its coupon barrier level on observation date for that month; otherwise, no coupon will be paid for that month
Price:	Par
Payout at maturity:	If final level of lesser-performing index is greater than or equal to 60% barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index finishes below its initial level
Call:	At par plus contingent coupon if each index closes at or above its initial level on any monthly observation date other than final date; first call date is in December 2015
Initial levels:	2,109.6 for S&P, 1,251.8 for Russell, 4,508.89 for Nasdaq
Coupon barrier levels:	1,371.24 for S&P, 813.67 for Russell, 2,930.78 for Nasdaq; 65% of initial levels
Barrier levels:	1,265.76 for S&P, 751.08 for Russell, 2,705.33 for Nasdaq; 60% of initial levels
Pricing date:	June 2
Settlement date:	June 5
Underwriter:	Barclays
Fees:	1.95%
Cusip:	06741UXW9

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