Barclays to price autocallable contingent income notes linked to Yelp

By Toni Weeks

San Luis Obispo, Calif., March 20 – Barclays Bank plc plans to price autocallable contingent income securities due March 31, 2016 linked to the class A common stock of Yelp Inc., 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 14% if Yelp shares close at or above the downside threshold level, 65% of the initial share price, on the determination date for that quarter. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if Yelp shares close at or above the initial share price on any determination date other than the final date.

If the final share price is greater than or equal to the 65% downside threshold level, the payout at maturity will be par plus the final contingent interest payment. Otherwise, investors will receive a number of Yelp shares equal to $10 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

The notes (Cusip: 06743P624) will price March 27 and settle April 1.

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

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