Barclays plans contingent income callable notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Jan. 15 – Barclays Bank plc plans to price contingent income callable securities due Jan. 24, 2018 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 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 downside threshold level, 75% of its initial index level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 19.55% per year and will be set at pricing.

The notes will be callable at par on any quarterly determination date other than the final one.

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. 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 Wealth Management is a dealer.

The notes will price Jan. 19.

The Cusip number is 06741U3Z5.

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