Barclays to price contingent income callable notes on three indexes

By Wendy Van Sickle

Columbus, Ohio, Jan. 21 – Barclays Bank plc plans to price contingent income callable securities due Jan. 30, 2018 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 19.2% if each index closes at or above its downside threshold level, 75% of its initial index level, on the determination date for that quarter. The exact contingent coupon will be set at pricing.

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

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. 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. Morgan Stanley Wealth Management is a dealer.

The notes will price on Jan. 25 and settle on Jan. 28.

The Cusip number is 06741U4D3.

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