Barclays plans contingent income callable notes tied to three indexes

By Susanna Moon

Chicago, Sept. 9 – Barclays Bank plc plans to price contingent income autocallable securities due Sept. 20, 2018 linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of at least 9.05% if each index closes at or above its coupon barrier, 65% of its initial level, on a determination date for that quarter.

The notes are callable at par on any quarterly determination date other than the final date.

The payout at maturity will be par plus the final contingent coupon unless any index finishes below the 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.

Barclays is the agent. Morgan Stanley Smith Barney LLC is a dealer.

The notes will price on Sept. 16 and settle on Sept. 21.

The Cusip number is 06741VB84.

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