Barclays plans contingent income autocallable notes on three indexes

New York, March 15 – Barclays Bank plc plans to price contingent income autocallable securities due April 3, 2020 linked to the worst performing of the S&P MidCap 400 index, the Nasdaq-100 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If each index closes at or above its downside threshold level, 80% of its initial level, on the quarterly determination date, the notes will pay a contingent coupon for that quarter at an annual rate of 8%.

Starting Sept. 29, 2017, the notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level.

At maturity, the payout will be par plus any contingent coupon if each index finishes at or above its 80% downside threshold level. Otherwise, investors will be fully exposed to the decline of the worst performing index.

Barclays is the agent. Morgan Stanley Wealth Management is acting as a dealer.

The notes will price on March 31 and settle on April 5.

The Cusip number is 06741VPE6.

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