New Issue: Barclays sells $2 million contingent income autocallables on indexes

By Marisa Wong

Morgantown, W.Va., April 13 – Barclays Bank plc priced $2 million of contingent income autocallable securities due April 3, 2020 linked to the worst performing of the S&P MidCap 400 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes pay a contingent coupon at an annual rate of 8% if each index closes at or above its downside threshold level, 80% of its initial level, on the determination date for that quarter.

After six months, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date other than the final one.

The payout at maturity will be par plus the final contingent coupon unless the final level of any index is less than its downside threshold, 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.

Issuer:	Barclays Bank plc
Issue:	Contingent income autocallable securities
Underlying indexes:	S&P MidCap 400, Nasdaq-100, S&P 500
Amount:	$2,001,000
Maturity:	April 3, 2020
Coupon:	Each quarter, notes pay contingent coupon at an annual rate of 8% if each index closes at or above threshold level on determination date for that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold, par; if final level of any index is less than downside threshold, full exposure to decline of worst-performing index
Call:	After six months, automatically at par if each index closes at or above its initial level on any quarterly determination date other than final one
Initial index levels:	1,719.65 for MidCap, 5,436.232 for Nasdaq, 2,362.72 for S&P
Downside thresholds:	1,375.720 for MidCap, 4,348.986 for Nasdaq, 1,890.176 for S&P; 80% of initial levels
Pricing date:	March 31
Settlement date:	April 5
Agent:	Barclays
Selected dealer:	Morgan Stanley Wealth Management
Fees:	2.5%
Cusip:	06741VPE6

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