Barclays will price contingent income autocallables on Euro Stoxx, S&P

By Devika Patel

Knoxville, Tenn., Feb. 23 – Barclays Bank plc plans to price contingent income autocallable securities due March 3, 2021 linked to the worse performing of the Euro Stoxx 50 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 quarterly payment if each index closes at or above its downside threshold level, 70% of its initial index level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 9.15% annually and will be set at pricing.

Beginning Feb. 27, 2017, Barclays may call the notes at par of $1,000 plus any contingent coupon on any quarterly determination date other than the final one if the closing level of each index is greater than or equal to its initial level.

If each index finishes at or above its downside threshold level, 70% of its initial index level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will be fully exposed to the decline of the worst performing index.

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

The notes (Cusip: 06740C170) will price on Feb. 26 and settle on March 2.

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