Barclays plans contingent income autocallables linked to three indexes

By Toni Weeks

San Luis Obispo, Calif., April 24 – Barclays Bank plc plans to price contingent income autocallable securities due Aug. 2, 2018 linked to the worst performing of the MSCI Emerging Markets index, the Russell 2000 index and the Euro Stoxx Banks index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of at least 12% if each index closes at or above its downside threshold level, 75% of the initial level, on the determination date for that quarter. The exact coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination dates other than the final date.

The payout at maturity will be par plus the final contingent coupon unless the worst-performing index finishes below the 75% downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.

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

The notes will price April 30 and settle May 6.

The Cusip number is 06743P392.

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