Barclays to price contingent income autocallables on three indexes

By Marisa Wong

Morgantown, W.Va., Jan. 16 – Barclays Bank plc plans to price contingent income autocallable securities due July 22, 2020 linked to the worst performing of the Nikkei 225 index, Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent payment if each index closes at or above its downside threshold level, 80% of its initial index level, on every trading day for that quarter. The contingent coupon rate is expected to be at least 10% per year and will be set at pricing.

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

If each index finishes at or above its 80% downside threshold level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.

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

The notes will price on Jan. 17.

The Cusip number is 06744CSW2.

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