Barclays plans contingent income autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Dec. 24 – Barclays Bank plc plans to price contingent income autocallable securities due Jan. 3, 2020 linked to the worst performing of the Euro Stoxx Banks index, the Nikkei 225 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 70% of its initial index level, on the determination date for that quarter. The contingent interest rate is expected to be at least 10.15% per year and will be set at pricing.

The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial index level on any quarterly determination date other than the final one.

If each index finishes at or above its downside threshold level, 65% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

Barclays is the agent. Morgan Stanley Smith Barney LLC is a dealer.

The notes will price Dec. 30.

The Cusip number is 06743T360.

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