Barclays plans contingent income autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Oct. 15 – Barclays Bank plc plans to price contingent income autocallable securities due Nov. 3, 2022 linked to the worse performing of the Euro Stoxx Banks index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 8.5% if each index closes at or above its coupon barrier level, 75% of its initial index level, on the determination date for that quarter. The exact contingent interest rate will be set at pricing.

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

If each index finishes at or above its downside threshold level, 55% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lower-performing index.

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

The notes will price Oct. 30.

The Cusip number is 06743Q267.

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