Obbligazione Barclay PLC 0% ( US06741V5H14 ) in USD

Emittente Barclay PLC
Prezzo di mercato refresh price now   100 USD  ⇌ 
Paese  Regno Unito
Codice isin  US06741V5H14 ( in USD )
Tasso d'interesse 0%
Scadenza 18/06/2026



Prospetto opuscolo dell'obbligazione Barclays PLC US06741V5H14 en USD 0%, scadenza 18/06/2026


Importo minimo 1 000 USD
Importo totale /
Cusip 06741V5H1
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata Barclays PLC č una banca multinazionale britannica che offre una vasta gamma di servizi finanziari a clienti privati, aziende e istituzioni in tutto il mondo.

The Obbligazione issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06741V5H14, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 18/06/2026







424B2 1 a16-12609_29424b2.htm 424B2 - 10YNC3M CALLABLE WO RTY-SX5E-SPX [BARC-
AMERICAS.FID812259]

CALCULATION OF REGISTRATION FEE



Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee(1)






Global Medium-Term Notes, Series A
$2,000,000
$201.40

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.



Pricing Supplement dated June 15, 2016
Filed Pursuant to Rule 424(b)(2)
(To the Prospectus dated July 19, 2013, the Prospectus Supplement dated July 19, 2013,
Registration No. 333-190038
the Prospectus Addendum dated February 3, 2015 and the Index Supplement dated July 19, 2013)


$ 2 ,0 0 0 ,0 0 0

Ca lla ble Cont inge nt Coupon N ot e s due J une 1 8 , 2 0 2 6

Link e d t o t he Le a st Pe rform ing I nde x of t he Russe ll 2 0 0 0 ® I nde x , t he EU RO ST OX X
5 0 ® I nde x

a nd t he S& P 5 0 0 ® I nde x

Globa l M e dium -T e rm N ot e s, Se rie s A

Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.

Issuer:
Barclays Bank PLC


Denominations:
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof


Initial Valuation Date:
June 15, 2016


Issue Date:
June 20, 2016


Final Valuation Date:*
June 15, 2026


Maturity Date:*
June 18, 2026


Reference Assets:
The Russell 2000® Index (the "Russell 2000 Index"), the EURO STOXX 50® Index (the "EURO STOXX 50 Index") and the S&P
500® Index (the "S&P 500 Index"), as noted in the following table:











Reference Asset
Bloomberg Ticker
Initial Level
Barrier Level
Coupon Barrier Level



Russell 2000 Index
RTY <Index>
1,147.82
688.69
688.69



EURO STOXX 50 Index
SX5E <Index>
2,797.18
1,678.31
1,678.31



S&P 500 Index
SPX <Index>
2,075.32
1,245.19
1,245.19



The Russell 2000 Index, the EURO STOXX 50 Index and the S&P 500 Index are each referred to in this pricing supplement as an "Index"
and collectively as the "Indices".


Payment at Maturity:
If you hold your Notes to maturity, and if your Notes are not redeemed by us prior to maturity, you will receive on the Maturity Date (in
each case, subject to our credit risk and in addition to any Contingent Coupon that may be payable on such date) a cash payment per $1,000
principal amount Note that you hold determined as follows:



If the Final Level of the Least Performing Index is greater than or equal to its Barrier Level, you will receive a payment of
$1,000 per $1,000 principal amount Note
If the Final Level of the Least Performing Index is less than its Barrier Level, you will receive an amount per $1,000 principal
amount Note calculated as follows:

$1,000 + [$1,000 x Index Return of the Least Performing Index]

If your Notes are not redeemed by us prior to maturity, and if the Final Level of the Least Performing Index is less than its Barrier
Level, your Notes will be fully exposed to the negative performance of the Least Performing Index. You may lose up to 100% of the
principal amount of your Notes.

Any payment on the Notes, including any Contingent Coupons and any payment upon early redemption or at maturity, is not guaranteed
by any third party and is subject to both the creditworthiness of the Issuer and to the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K.
Bail-in Power (or any other resolution measure) by the relevant U.K. resolution authority, you might not receive any amounts owed to
you under the Notes. See "Consent to U.K. Bail-in Power" and "Selected Risk Considerations" in this pricing supplement and "Risk
Factors" in the accompanying prospectus addendum for more information.


Consent to U.K. Bail-in
By acquiring the Notes, you acknowledge, agree to be bound by, and consent to the exercise of, any U.K. Bail-in Power. See "Consent to
Power
U.K. Bail-in Power" on page PS-1 of this pricing supplement.

[Terms of the Notes Continue on the Next Page]



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Initial Issue Price(1)(2)
Price to Public
Agent's Commission(3)
Proceeds to Barclays Bank PLC




Per Note
$1,000
100%
1.24%
98.76%




Total
$2,000,000
$2,000,000
$24,800
$1,975,200




(1) Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all selling concessions, fees or commissions, the public
offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $987.60 and $1,000 per Note. Investors that hold their Notes
in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those
accounts, including the Notes.

(2) Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $971.50 per Note. The estimated value is less than the initial
issue price of the Notes. See "Additional Information Regarding Our Estimated Value of the Notes" on page PS-1 of this pricing supplement.

(3) Barclays Capital Inc. will receive commissions from the Issuer equal to 1.24% of the principal amount of the Notes, or $12.40 per $1,000 principal amount, and will
use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers.

Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-6 of the prospectus supplement and on page PA-1 of the prospectus
addendum and "Selected Risk Considerations" beginning on page PS-10 of this pricing supplement.

We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement
in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing
supplement is being used in a market resale transaction.

The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete. Any representation to the
contrary is a criminal offense.

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured or
guaranteed by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.


Terms of the Notes, Continued

Contingent Coupon:
$31.00 per $1,000 principal amount Note, which is 3.10% of the principal amount per Note (12.40% per annum)
If the Closing Level of each Index on any Observation Date is equal to or greater than its respective Coupon Barrier Level, you will
receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Level of any Index is less than its
Coupon Barrier Level on any Observation Date, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date.


Observation Dates:*
Quarterly, on the 15th of each March, June, September and December during the term of the Notes, beginning in September 2016
and ending on and including the Final Valuation Date


Contingent Coupon Payment Dates:* With respect to any Observation Date, the fifth Business Day after such Observation Date, provided that the Contingent Coupon
Payment Date with respect to the Final Valuation Date will be the Maturity Date


Early Redemption at the Option of
We may redeem your Notes (in whole but not in part) at our sole discretion without your consent at the Redemption Price set forth
the Issuer:
below on any Contingent Coupon Payment Date, provided that we give at least five Business Days' prior written notice to the
trustee. If we exercise our redemption option, the Contingent Coupon Payment Date on which we exercise such option will be
referred to as the "Early Redemption Date".


Redemption Price:
$1,000 per $1,000 principal amount Note that you hold, together with any Contingent Coupon that may be payable on the applicable
Early Redemption Date


Closing Level:
With respect to an Index, on any date, the official closing level of that Index published at the regular weekday close of trading on
that date as displayed on the applicable Bloomberg Professional® service page noted above or any successor page on Bloomberg
Professional® service or any successor service, as applicable, rounded to two decimal places (if applicable)


Coupon Barrier Level:
With respect to an Index, 60.00% of its Initial Level (rounded to two decimal places), as set forth in the table above


Barrier Level:
With respect to an Index, 60.00% of its Initial Level (rounded to two decimal places), as set forth in the table above


Reference Asset Business Day:
A day that is a scheduled trading day with respect to each Index

The term "scheduled trading day", with respect to each Index, has the meaning set forth under "Reference Assets--Indices--Market
Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities" in the
accompanying prospectus supplement.


Least Performing Index:
The Index with the lowest Index Return, as calculated in the manner set forth below.


Index Return:
With respect to each Index, the performance of such Index from its Initial Level to its Final Level, calculated as follows:

Final Level ­ Initial Level
Initial Level


Initial Level:**
With respect to an Index, the Closing Level on June 14, 2016, as set forth in the table above


Final Level:
With respect to an Index, the Closing Level on the Final Valuation Date


Calculation Agent:
Barclays Bank PLC


CUSIP/ISIN:
06741V5H1 / US06741V5H14

* Subject to postponement, as described under "Additional Terms of the Notes--Reference Asset Business Days and Market Disruption Events" in this
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pricing supplement

** For the avoidance of doubt, the Initial Level for each Index is equal to the Closing Level of such Index on June 14, 2016. The Initial Levels are not based on
the level of any Index at any time on the Initial Valuation Date. The Initial Valuation Date, as used in this pricing supplement, refers to the date on which
the Notes were initially priced for sale to the public.



ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES

You should read this pricing supplement together with the prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated
July 19, 2013, the prospectus addendum dated February 3, 2015 and the index supplement dated July 19, 2013 relating to our Global Medium-
Term Notes, Series A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the terms of
the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth under "Risk Factors" in the prospectus supplement, the prospectus addendum
and the index supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisors before you invest in the Notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):

·
Prospectus dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm

·
Prospectus Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm

·
Prospectus Addendum dated February 3, 2015:

http://www.sec.gov/Archives/edgar/data/312070/000119312515031134/d864437d424b3.htm

·
Index Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295727/d570220d424b3.htm

Our SEC file number is 1-10257. As used in this pricing supplement, the "Company," "we," "us," or "our" refers to Barclays Bank PLC.


ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES

Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not
materialize, typically including volatility, interest rates, and our internal funding rates. Our internal funding rates (which are our internally
published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to
maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial
Valuation Date is based on our internal funding rates. Our estimated value of the Notes might be lower if such valuation were based on the levels
at which our benchmark debt securities trade in the secondary market.

Our estimated value of the Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between the initial
issue price of the Notes and our estimated value of the Notes results from several factors, including any sales commissions to be paid to Barclays
Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which
we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the
Notes.

Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it
be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions,
Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.

Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell
the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer
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account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately six
months after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging
our obligations under the Notes and other costs in connection with the Notes which we will no longer expect to incur over the term of the Notes.
We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, including the tenor
of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse
to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any
time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market conditions and other
factors that cannot be predicted.

We urge you to read the "Selected Risk Considerations" beginning on page PS-10 of this pricing supplement.

CONSENT TO U.K. BAIL-IN POWER

Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain
conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail,
(ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the
entity's failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the
stability of the U.K. financial system, public confidence in the U.K. banking system and the protection of depositors and (iv) the objectives of the
resolution measures would not be met to the same extent by the winding up of the entity. Notwithstanding these conditions, there remains
uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in
Power. The U.K. Bail-in Power includes any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of
any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the
Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a
variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment
in the Notes or receive a different security, which may be worth significantly less than the Notes and which may have significantly fewer
protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise its authority to
implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes.

By your acquisition of the Notes, you acknowledge, agree to be bound by, and consent to the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority.

This is only a summary. For more information, please see "Selected Risk Considerations--You May Lose Some or All of Your Investment
If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority" in this pricing supplement and the full definition of
"U.K. Bail-in Power" as well as the risk factors in the accompanying prospectus addendum.

PS-1

SELECTED PURCHASE CONSIDERATIONS

The Notes are not suitable for all investors. The Notes may be a suitable investment for you if all of the following statements are true:

·
You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current

income

·
You understand and accept that any positive return on your investment will be limited to the Contingent Coupons that you may receive on

your Notes

·
You are willing to accept the risk that you may lose some or all of the principal amount of your Notes


·
You do not anticipate that the level of any Index will fall below its Coupon Barrier Level on any Observation Date or its Barrier Level on

the Final Valuation Date

·
You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Level of only one Index is less than

its Coupon Barrier Level an Observation Date and (b) the payment at maturity will be based solely on the Index Return of the Least
Performing Index

·
You are willing to accept the risks associated with an investment linked to the performance of the Indices


·
You are willing to accept the risk that we may, in our sole discretion, redeem the Notes prior to scheduled maturity and that you may not

be able to reinvest your money in an alternative investment with comparable risk and yield

·
You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the notes to

maturity if we do not exercise our early redemption option

·
You are willing to assume our credit risk for all payments on the Notes


·
You are willing to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority


The Notes may not be a suitable investment for you if any of the following statements are true:
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·
You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current income


·
You seek an investment the return on which is not limited to the Continent Coupons that may be payable on the Notes


·
You seek an investment that provides for the full repayment of principal at maturity and you are unwilling to accept the risk that you may

lose some or all of the principal amount of your Notes

·
You anticipate that the level of at least one Index will decline during the term of the Notes such that the level of at least one Index is less

than its Coupon Barrier Level on one or more Observation Dates and/or the Final Level of at least one Index is less than its Barrier Level

·
You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Indices


·
You are unwilling or unable to accept the risk that negative performance of only one Index may cause you to not receive Contingent

Coupons and/or suffer a loss of principal at maturity, regardless of the performance of the other Indices

·
You are unwilling or unable to accept the risk that we may redeem the Notes prior to scheduled maturity


·
You seek an investment for which there will be an active secondary market or and/or you are unable or unwilling to hold the Notes to

maturity if we do not exercise our early redemption option

·
You are unwilling or unable to assume our credit risk for all payments on the Notes


·
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority


You must rely on your own evaluation of the merits of an investment in the Notes. You should reach a decision whether to invest in the Notes
after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out
in this pricing supplement, the prospectus supplement, the prospectus, the prospectus addendum and the index supplement. Neither the Issuer nor
Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.

ADDITIONAL TERMS OF THE NOTES

·
Reference Asset Business Days and Market Disruption Events--The Observation Dates (including the Final Valuation Date), the

Contingent Coupon Payment Dates and the Maturity Date are subject to postponement in the event that a scheduled Observation Date is not a
Reference Asset Business Day or if a Market Disruption Event occurs or is continuing with respect to any Index on a scheduled Observation
Date.

If a scheduled Observation Date is not a Reference Asset Business Day, the Observation Date will be the next following Reference Asset
Business Day. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing with respect to any Index on an
Observation Date, the relevant Observation Date will be postponed. If such postponement occurs, the Closing Levels of the Indices shall be
determined using the Closing Levels on the first following Reference Asset Business Day on which no Market Disruption Event occurs or is
continuing with respect to any Index. In no event, however, will an Observation Date be postponed by more than five Reference Asset
Business Days. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing in respect of any Index on such
fifth day, the Calculation Agent will determine the Closing Level of any Index unaffected by such Market Disruption Event using the Closing
Level on such fifth day, and will make an estimate of the Closing Level of any Index affected by such Market Disruption Event that would
have prevailed on such fifth day in the absence of such Market Disruption Event.

PS-2

In the event that an Observation Date (other than the Final Valuation Date) is postponed, the applicable Contingent Coupon Payment Date will
be the fifth Business Day following the relevant Observation Date, as postponed. If the final Observation Date (the Final Valuation Date) is
postponed, the Maturity Date will be postponed such that the number of business days between the Final Valuation Date and the Maturity Date
remains the same.

Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be postponed by up to
five Reference Asset Business Days, as described above.

For a description of what constitutes a Market Disruption Event with respect to an Index, see "Reference Assets--Indices--Market Disruption
Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities" in the prospectus supplement.
·
Adjustments to the Indices and the Notes--Each Index and the Notes are subject to adjustment under certain circumstances, as described

under "Reference Assets--Indices--Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices" in the
accompanying prospectus supplement.

PS-3

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT COUPON PAYMENT DATE

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The following examples demonstrate the circumstances under which you may receive a Contingent Coupon on a hypothetical Contingent Coupon
Payment Date. The numbers appearing in these tables are purely hypothetical and are provided for illustrative purposes only. These examples do
not take into account any tax consequences from investing in the Notes and make the following key assumptions:

Hypothetical Initial Level of each Index: 100.00*
Coupon Barrier Level for each Index: 60.00 (60.00% of the hypothetical Initial Level set forth above)
Contingent Coupon: $31.00 per $1,000 principal amount Note

* The hypothetical Initial Level of 100.00 and the hypothetical Coupon Barrier Level of 60.00 for each Index have been chosen for illustrative
purposes only. The actual Initial Level and Coupon Barrier Level for each Index are as set forth on the cover of this pricing supplement.

Example 1: The Closing Level of each Index is greater than its Coupon Barrier Level on the relevant Observation Date.

Reference Asset
Closing Level on Relevant
Observation Date
Russell 2000 Index
85.00
EURO STOXX 50 Index
105.00
S&P 500 Index
110.00

Because the Closing Level of each Index is greater than its respective Coupon Barrier Level, you will receive a Contingent Coupon of $31.00, or
3.10% of the principal amount per Note, on the related Contingent Coupon Payment Date.

Example 2: The Closing Level of one Index is greater than its Coupon Barrier Level on the relevant Observation Date and the Closing Level of the
other Index is less than its Coupon Barrier Level.

Reference Asset
Closing Level on Relevant
Observation Date
Russell 2000 Index
105.00
EURO STOXX 50 Index
55.00
S&P 500 Index
85.00

Because the Closing Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the related
Contingent Coupon Payment Date.

Example 3: The Closing Level of each Index is less than its Coupon Barrier Level on the relevant Observation Date.

Reference Asset
Closing Level on Relevant
Observation Date
Russell 2000 Index
55.00
EURO STOXX 50 Index
45.00
S&P 500 Index
50.00

Because the Closing Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the related
Contingent Coupon Payment Date.

Examples 2 and 3 demonstrate that you may not receive a Contingent Coupon on a Contingent Coupon Payment Date. If the Closing Level of at
least one Index is below its Coupon Barrier Level on each Observation Date, you will not receive any Contingent Coupons during the term of your
Notes.

PS-4

HYPOTHETICAL EXAMPLES OF CONTINGENT COUPON PAYMENTS DURING THE TERM OF THE NOTES

The following examples are purely hypothetical and are provided for illustrative purposes only. These examples are intended to illustrate the
amount of Contingent Coupons that you may receive over the term of the Notes (per $1,000 principal amount Note that you hold) under various
circumstances. The following examples do not take into account any tax consequences from investing in the Notes and make the following key
assumptions:


Contingent Coupon: $31.00 per $1,000 principal amount Note


You hold your Notes to maturity and we do NOT exercise our option to redeem your Notes prior to maturity


Example 1: The Closing Level of at least one Index is less than its Coupon Barrier Level on some Observation Dates. The Closing Level of each
Index is greater than their respective Coupon Barrier Levels on other Observation Dates.

Observation Date
Is the Closing Level of any Index
Is a Contingent Coupon Payable on
Contingent Coupon
Less Than its Coupon Barrier
the Related Contingent Coupon
Payment
Level?
Payment Date?
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1
No
Yes
$31.00
2
Yes
No
$0.00
3
Yes
No
$0.00
4
No
Yes
$31.00
5
Yes
No
$0.00
6
No
Yes
$31.00
7
Yes
No
$0.00
8
No
Yes
$31.00
9
Yes
No
$0.00
10
No
Yes
$31.00
11
Yes
No
$0.00
12
No
Yes
$31.00
13
Yes
No
$0.00
14
No
Yes
$31.00
15
Yes
No
$0.00
16
No
Yes
$31.00
17
Yes
No
$0.00
18
No
Yes
$31.00
19
Yes
No
$0.00
20
No
Yes
$31.00
21
Yes
No
$0.00
22
No
Yes
$31.00
23
Yes
No
$0.00
24
No
Yes
$31.00
25
Yes
No
$0.00
26
No
Yes
$31.00
27
Yes
No
$0.00
28
No
Yes
$31.00
29
Yes
No
$0.00
30
No
Yes
$31.00
31
Yes
No
$0.00
32
No
Yes
$31.00
33
Yes
No
$0.00
34
No
Yes
$31.00
35
Yes
No
$0.00
36
No
Yes
$31.00
37
Yes
No
$0.00
38
No
Yes
$31.00
39
Yes
No
$0.00
40 (Final Valuation Date)
No
Yes
$31.00

The total amount of Contingent Coupons that you receive during the term of the Notes is $620.00 per $1,000 principal amount Note that you hold.
This example demonstrates that you will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the Closing Level of each
Index is equal to or greater than its Coupon Barrier Level on the related Observation Date.

PS-5

Example 2: The Closing Level of each Index on each Observation Date is equal to or greater than its respective Coupon Barrier Level.

Observation Date
Is the Closing Level of any Index
Is a Contingent Coupon Payable on
Contingent Coupon
Less Than its Coupon Barrier
the Related Contingent Coupon
Payment
Level?
Payment Date?
1
No
Yes
$31.00
2
No
Yes
$31.00
3
No
Yes
$31.00
4
No
Yes
$31.00
5
No
Yes
$31.00
6
No
Yes
$31.00
7
No
Yes
$31.00
8
No
Yes
$31.00
http://www.sec.gov/Archives/edgar/data/312070/000110465916127792/a16-12609_29424b2.htm[6/16/2016 4:36:34 PM]


9
No
Yes
$31.00
10
No
Yes
$31.00
11
No
Yes
$31.00
12
No
Yes
$31.00
13
No
Yes
$31.00
14
No
Yes
$31.00
15
No
Yes
$31.00
16
No
Yes
$31.00
17
No
Yes
$31.00
18
No
Yes
$31.00
19
No
Yes
$31.00
20
No
Yes
$31.00
21
No
Yes
$31.00
22
No
Yes
$31.00
23
No
Yes
$31.00
24
No
Yes
$31.00
25
No
Yes
$31.00
26
No
Yes
$31.00
27
No
Yes
$31.00
28
No
Yes
$31.00
29
No
Yes
$31.00
30
No
Yes
$31.00
31
No
Yes
$31.00
32
No
Yes
$31.00
33
No
Yes
$31.00
34
No
Yes
$31.00
35
No
Yes
$31.00
36
No
Yes
$31.00
37
No
Yes
$31.00
38
No
Yes
$31.00
39
No
Yes
$31.00
40 (Final Valuation Date)
No
Yes
$31.00

The total amount of Contingent Coupons that you receive during the term of the Notes is $1,240.00 per $1,000 principal amount Note that you
hold. This example demonstrates the maximum possible return that you may earn on your Notes.

PS-6

Example 3: The Closing Level of at least one Index is less than its Coupon Barrier Level on each Observation Date.

Observation Date
Is the Closing Level of any Index
Is a Contingent Coupon Payable on
Contingent Coupon
Less Than its Coupon Barrier
the Related Contingent Coupon
Payment
Level?
Payment Date?
1
Yes
No
$0.00
2
Yes
No
$0.00
3
Yes
No
$0.00
4
Yes
No
$0.00
5
Yes
No
$0.00
6
Yes
No
$0.00
7
Yes
No
$0.00
8
Yes
No
$0.00
9
Yes
No
$0.00
10
Yes
No
$0.00
11
Yes
No
$0.00
12
Yes
No
$0.00
13
Yes
No
$0.00
14
Yes
No
$0.00
15
Yes
No
$0.00
16
Yes
No
$0.00
http://www.sec.gov/Archives/edgar/data/312070/000110465916127792/a16-12609_29424b2.htm[6/16/2016 4:36:34 PM]


17
Yes
No
$0.00
18
Yes
No
$0.00
19
Yes
No
$0.00
20
Yes
No
$0.00
21
Yes
No
$0.00
22
Yes
No
$0.00
23
Yes
No
$0.00
24
Yes
No
$0.00
25
Yes
No
$0.00
26
Yes
No
$0.00
27
Yes
No
$0.00
28
Yes
No
$0.00
29
Yes
No
$0.00
30
Yes
No
$0.00
31
Yes
No
$0.00
32
Yes
No
$0.00
33
Yes
No
$0.00
34
Yes
No
$0.00
35
Yes
No
$0.00
36
Yes
No
$0.00
37
Yes
No
$0.00
38
Yes
No
$0.00
39
Yes
No
$0.00
40 (Final Valuation Date)
Yes
No
$0.00

The total amount of Contingent Coupons that you receive during the term of the Notes is $0.00. This example demonstrates that you may not
receive any Contingent Coupons during the term of the Notes.

The examples above relate solely to the Contingent Coupon payments that you may receive during the term of the Notes and do not relate to the
payment that you may receive at maturity. Regardless of any Contingent Coupons that you may receive during the term of the Notes, you may also
lose some or all of the principal amount of your Notes, as described on the cover of this pricing supplement.

For examples of the payment that you may receive at maturity, please see "Hypothetical Examples of Amounts Payable at Maturity" below.

PS-7

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE AT MATURITY

The following table illustrates a hypothetical range of payments that you may receive at maturity (excluding the final Contingent Coupon payment
that may be payable on the Notes) under various circumstances. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The following
examples do not take into account any tax consequences from investing in the Notes. These examples also make the following key assumptions:

Hypothetical Initial Level of each Index: 100.00*
Coupon Barrier Level for each Index: 60.00 (60.00% of the hypothetical Initial Level set forth above)
Barrier Level for each Index: 60.00 (60.00% of the hypothetical Initial Level set forth above)
You hold your Notes to maturity and we do NOT exercise our option to redeem your Notes prior to maturity

* The hypothetical Initial Level of 100.00, the hypothetical Coupon Barrier Level of 60.00 and the hypothetical Barrier Level of 60.00 for each
Index have been chosen for illustrative purposes only. The actual Initial Level, Coupon Barrier Level and Barrier Level for each Index are as set
forth on the cover of this pricing supplement.







Final Level
Index Return
Russell
EURO
EURO
Index Return of the
2000
STOXX
S&P 500
Russell 2000
STOXX
S&P 500
Least Performing
Payment at
Index
50 Index
Index
Index
50 Index
Index
Index
Maturity**




155.00
175.00
150.00
55.00%
75.00%
50.00%
50.00%
$1,000.00


145.00
140.00
142.00
45.00%
40.00%
42.00%
40.00%
$1,000.00


130.00
150.00
140.00
30.00%
50.00%
40.00%
30.00%
$1,000.00


125.00
120.00
130.00
25.00%
20.00%
30.00%
20.00%
$1,000.00


115.00
120.00
110.00
15.00%
20.00%
10.00%
10.00%
$1,000.00
http://www.sec.gov/Archives/edgar/data/312070/000110465916127792/a16-12609_29424b2.htm[6/16/2016 4:36:34 PM]




110.00
100.00
102.00
10.00%
0.00%
2.00%
0.00%
$1,000.00


90.00
102.50
95.00
-10.00%
2.50%
-5.00%
-10.00%
$1,000.00


102.00
80.00
90.00
2.00%
-20.00%
-10.00%
-20.00%
$1,000.00


95.00
70.00
100.00
-5.00%
-30.00%
0.00%
-30.00%
$1,000.00


60.00
90.00
105.00
-40.00%
-10.00%
5.00%
-40.00%
$1,000.00


50.00
80.00
90.00
-50.00%
-20.00%
-10.00%
-50.00%
$500.00


40.00
85.00
75.00
-60.00%
-15.00%
-25.00%
-60.00%
$400.00


30.00
45.00
60.00
-70.00%
-55.00%
-40.00%
-70.00%
$300.00


40.00
20.00
72.00
-60.00%
-80.00%
-28.00%
-80.00%
$200.00


10.00
95.00
55.00
-90.00%
-5.00%
-45.00%
-90.00%
$100.00


102.00
0.00
60.00
2.00%
-100.00%
-40.00%
-100.00%
$0.00

** per $1,000 principal amount Note, excluding the final Contingent Coupon (if one is payable on the Maturity Date)

The following examples illustrate how the payments at maturity set forth in the table above are calculated:

Example 1: The Final Level of the Russell 2000 is 115.00, the Final Level of the EURO STOXX 50 Index is 120.00 and the Final Level of
the S&P 500 Index is 110.00.

Because the S&P 500 Index has the lowest Index Return, the S&P 500 Index is the Least Performing Index. Because the Final Level of the Least
Performing Index is greater than its Initial Level (and, accordingly, not less than its Barrier Level), you will receive a payment at maturity of
$1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Maturity Date.

Example 2: The Final Level of the Russell 2000 Index is 102.00, the Final Level of the EURO STOXX 50 Index is 80.00 and the Final Level
of the S&P 500 Index is 90.00.

Because the EURO STOXX 50 Index has the lowest Index Return, the EURO STOXX 50 Index is the Least Performing Index. Because the Final
Level of the Least Performing Index is not less than its Barrier Level, you will receive a payment at maturity of $1,000 per $1,000 principal
amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).

Example 3: The Final Level of the Russell 2000 Index is 50.00, the Final Level of the EURO STOXX 50 Index is 80.00 and the Final Level
of the S&P 500 Index is 90.00.

Because the Russell 2000 Index has the lowest Index Return, the Russell 2000 Index is the Least Performing Index. Because the Final Level of the
Least Performing Index is less than its Barrier Level, you will receive a payment at maturity of $500.00 per $1,000 principal amount Note that you
hold, calculated as follows:

$1,000 + [$1,000 x Index Return of the Least Performing Index]

$1,000 + [$1,000 x -50.00%] = $500.00

In addition, because the Final Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the
Maturity Date.

PS-8

Example 4: The Final Level of the Russell 2000 Index is 30.00, the Final Level of the EURO STOXX 50 Index is 45.00 and the Final Level
of the S&P 500 Index is 60.00.

Because the Russell 2000 Index has the lowest Index Return, the Russell 2000 Index is the Least Performing Index. Because the Final Level of the
Least Performing Index is less than its Barrier Level, you will receive a payment at maturity of $300.00 per $1,000 principal amount Note that you
hold, calculated as follows:

$1,000 + [$1,000 x Index Return of the Least Performing Index]

$1,000 + [$1,000 x -70.00%] = $300.00

In addition, because the Final Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the
Maturity Date.

Examples 3 and 4 above demonstrate that, if we do not redeem your Notes prior to maturity, and if the Final Level of the Least Performing Index is
less than its Barrier Level, your investment in the Notes will be fully exposed to the negative performance of the Least Performing Index. You will
not benefit in any way from the Index Returns of the other Indices being higher than the Index Return of the Least Performing Index.

If we do not redeem your Notes prior to maturity, you may lose up to 100% of the principal amount of your Notes.
http://www.sec.gov/Archives/edgar/data/312070/000110465916127792/a16-12609_29424b2.htm[6/16/2016 4:36:34 PM]


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