Barclays plans contingent income autocallables linked to Vale

By Marisa Wong

Madison, Wis., June 9 – Barclays Bank plc plans to price contingent income autocallable securities due June 16, 2017 linked to the American Depositary Shares of Vale SA, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of at least 11% per year if Vale shares close at or above the 75% downside threshold level on the determination date for that quarter. The exact coupon will be set at pricing.

If the shares close at or above the initial price on any quarterly determination date other than the final date, the notes will be called at par plus the contingent coupon.

If the notes are not called and Vale shares finish at or above the 75% trigger level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will receive a number of Vale ADSs equal to $10 divided by the initial share price or, at the issuer’s option, the cash value of those shares.

Barclays is the agent with Morgan Stanley Wealth Management as dealer.

The notes will price on June 13 and settle on June 18.

The Cusip number is 06742W745.

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