Barclays plans contingent income callable notes on three indexes

By Sarah Lizee

Olympia, Wash., Oct. 15 – Barclays Bank plc plans to price contingent income callable securities due April 22, 2021 linked to the worst performing of the Nikkei 225 index, 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 pay a contingent coupon at an annual rate of 11.5% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day during that quarter.

The notes are callable at par on any quarterly contingent payment date other than the final one.

If each index finishes at or above its downside threshold level, 70% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

Barclays is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price on Oct. 17.

The Cusip number is 06746XUW1.

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