Barclays to price contingent income autocallables linked to Citigroup

By Angela McDaniels

Tacoma, Wash., Sept. 29 – Barclays Bank plc plans to price contingent income autocallable securities with step-up redemption threshold level feature due Oct. 9, 2020 linked to the common stock of Citigroup Inc., according to a 424B2 filing with the Securities and Exchange Commission.

If Citigroup shares close at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 8.75%.

The notes will be called at par of $10 plus the contingent coupon if Citigroup shares close at or above the applicable redemption threshold level on any quarterly determination date other than the final determination date. The redemption threshold level is 105% of the initial share price on the first through fourth determination dates, 110% of the initial share price on the fifth through eighth determination dates and 115% of the initial share price on the remaining determination dates.

If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price.

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

The notes will price Oct. 6.

The Cusip number is 06746M545.

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