Barclays plans contingent income autocallables linked to two indexes

By Marisa Wong

Madison, Wis., May 6 – Barclays Bank plc plans to price contingent income autocallable securities due May 16, 2018 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon of at least 2.125% if each index closes at or above its downside threshold level, 75% of the initial level, on the determination date for that quarter. The exact coupon will be set at pricing.

The notes will be 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.

The payout at maturity will be par plus the final contingent coupon unless the worse performing index finishes below the downside threshold level, in which case investors will be fully exposed to any losses of the worse performing index.

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

The notes will price May 11 and May 14.

The Cusip number is 06743N686.

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