Barclays plans contingent income callables linked to three indexes

By Tali Rackner

Norfolk, Va., Oct. 22 – Barclays Bank plc plans to price contingent income callable securities due Nov. 2, 2017 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent quarterly payment 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 contingent coupon rate is expected to be at least 3.575% per quarter and will be set at pricing.

Barclays may call the notes at par of $10 plus any contingent coupon on any quarterly determination date other than the final one.

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will be fully exposed to the decline of the worst performing index.

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

The notes will price on Oct. 30 and settle on Nov. 4.

The Cusip number is 06743Q242.

The estimated initial value is expected to be between $9.55 and $9.662 per $10 principal amount.

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