New Issue: Barclays sells $3.55 million contingent income callable securities on three indexes

By William Gullotti

Buffalo, N.Y., March 27 – Barclays Bank plc priced $3.55 million contingent income callable securities due March 25, 2026 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filed with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate 12.5% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each scheduled trading day for the observation period.

The notes will be callable at par plus any coupon due on any quarterly payment date.

If each index finishes at or above its downside threshold level, 60% of its initial index level, the payout at maturity will be par plus any final contingent coupon otherwise due.

Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.

Barclays is the agent. Morgan Stanley Wealth Management is the selected dealer.

Issuer:	Barclays Bank plc
Issue:	Contingent income callable securities
Underlying indexes:	Russell 2000 index, S&P 500 index, Nasdaq-100 index
Amount:	$3.55 million
Maturity:	March 25, 2026
Coupon:	12.5% per year, payable quarterly if each index closes at or above coupon barrier on every scheduled trading day during the determination period
Price:	Par
Payout at maturity:	If each index finishes at or above coupon barrier, par plus any final coupon otherwise due; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, full exposure to decline of lowest-performing index
Call option:	At par plus any coupon on any quarterly determination date
Initial levels:	1,744.99 for Russell, 3,951.57 for S&P, 12,562.61 for Nasdaq
Coupon barriers:	1,308.743 for Russell, 2,963.678 for S&P, 9,421.958 for Nasdaq; 75% of initial levels
Downside thresholds:	1,046.994 for Russell, 2,370.942 for S&P, 7,537.566 for Nasdaq; 60% of initial levels
Pricing date:	March 20
Settlement date:	March 23
Agent:	Barclays
Dealer:	Morgan Stanley Wealth Management
Fees:	1.2857%
Cusip:	06749NY55

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