Barclays plans contingent income autocallables tied to Russell, S&P

By Susanna Moon

Chicago, April 14 – Barclays Bank plc plans to price contingent income autocallable securities due May 2, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of at least 8.5% if each index closes at or above its downside threshold level, 80% of its initial level, on a determination date for that quarter.

The notes will be called at par of $10 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 either index finishes below the 80% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.

Barclays is the agent. Morgan Stanley Smith Barney LLC is a dealer.

The notes will price on April 29 and settle on May 4.

The Cusip number is 06740Q625.

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