Barclays plans contingent income callable securities on three indexes

By Sarah Lizee

Olympia, Wash., Aug. 19 – Barclays Bank plc plans to price contingent income callable securities due Aug. 26, 2021 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 12.6% 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 exact coupon will be set at pricing.

The notes will be callable in whole but not in part at par plus the coupon on any quarterly payment date other than the final one.

If each index finishes at or above its downside threshold level, 75% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will lose 1% for each 1% decline of the least-performing index.

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

The notes (Cusip: 06747NE59) will price on Aug. 23.

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