New Issue: Barclays prices $458,000 callable contingent coupon notes linked to Russell, S&P 500

By Susanna Moon

Chicago, Feb. 24 – Barclays Bank plc priced $458,000 of callable contingent coupon notes due Feb. 24, 2021 linked to the less 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 7.5% if each index closes at or above its coupon barrier level, 60% of its initial level, on the observation date for that quarter.

The notes will be callable at par on any contingent coupon date after one year.

The payout at maturity will be par unless either index finishes below its 60% barrier level, in which case investors will be fully exposed to any losses of the worse performing index.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Callable contingent coupon notes
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$458,000
Maturity:	Feb. 24, 2021
Contingent coupon:	7.5% annualized, payable quarterly if each index closes at or above barrier level on observation date for quarter
Price:	Par
Payout at maturity:	If each index finishes at or above barrier level, par; otherwise, full exposure to losses of worse performing index
Call option:	At par on any interest payment date beginning in February 2017
Initial levels:	1,010.01 for Russell, 1,917.78 for S&P
Barrier levels:	606.01 for Russell, 1,150.67 for S&P; 60% of initial levels
Pricing date:	Feb. 19
Settlement date:	Feb. 24
Agent:	Barclays
Fees:	2.65%
Cusip:	06741U5D2

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