New Issue: Barclays prices $3.49 million contingent income autocallables linked to Euro Stoxx, S&P

By Angela McDaniels

Tacoma, Wash., March 1 – Barclays Bank plc priced $3.49 million of contingent income autocallable securities due March 3, 2021 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 9.15% if each index closes at or above its downside threshold level, 70% of its initial index level, on the determination date for that quarter.

Beginning Feb. 27, 2017, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final one.

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.

Barclays is the agent. Morgan Stanley Wealth Management is a dealer.

Issuer:	Barclays Bank plc
Issue:	Contingent income autocallable securities
Underlying indexes:	Euro Stoxx 50 and S&P 500
Amount:	$3,486,200
Maturity:	March 3, 2021
Coupon:	9.15% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
Price:	Par of $10
Payout at maturity:	If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of either index is less than downside threshold level, full exposure to decline of lesser-performing index
Call:	Beginning Feb. 27, 2017, automatically at par plus contingent coupon if each index closes at or above initial level on any determination date other than final one
Initial index levels:	2,929.16 for Euro Stoxx 50 and 1,948.05 for S&P 500
Downside thresholds:	2,050.412 for Euro Stoxx 50 and 1,363.635 for S&P 500; 70% of initial index levels
Pricing date:	Feb. 26
Settlement date:	March 2
Agent:	Barclays
Selected dealer:	Morgan Stanley Wealth Management
Fees:	3%
Cusip:	06740C170

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