New Issue: Barclays prices $3.98 million annual autocallables linked to Euro Stoxx 50, S&P 500

By Angela McDaniels

Tacoma, Wash., Oct. 19 – Barclays Bank plc priced $3.98 million of 0% annual autocallable notes due Oct. 19, 2018 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.

The notes will be automatically called at par plus 11.78% per year if each index closes at or above its call level on any of three annual call valuation dates. For each index, the call level is 100% of the initial level on the first call valuation date, 95% of the initial level on the second call valuation date and 90% of the initial level on the third call valuation 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, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the lesser-performing index from its initial level.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Annual autocallable notes
Underlying index:	Euro Stoxx 50 and S&P 500
Amount:	$3,982,000
Maturity:	Oct. 19, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If final level of lesser-performing index is greater than or equal to barrier level, par; otherwise, full exposure to decline of lesser-performing index from initial level
Call:	Automatically at par plus 11.78% per year if each index closes at or above its call level on Oct. 24, 2016, Oct. 16, 2017 or Oct. 16, 2018
Initial index levels:	3,264.93 for Euro Stoxx 50 and 2,033.11 for S&P 50
Barrier levels:	2,285.45 for Euro Stoxx 50 and 1,423.18 for S&P 500; 70% of initial levels
Call levels:	3,264.93 for Euro Stoxx 50 and 2,033.11 for S&P 500 on first call valuation date (100% of initial levels); 3,101.68 for Euro Stoxx 50 and 1,931.45 for S&P 500 on second call valuation date (95% of initial levels); 2,938.44 for Euro Stoxx 50 and 1,829.80 for S&P 500 on third call valuation date (90% of initial levels)
Pricing date:	Oct. 16
Settlement date:	Oct. 21
Agent:	Barclays
Fees:	2.25%
Cusip:	06741UP81

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