New Issue: Barclays sells $3.52 million contingent income autocallables on indexes

By Marisa Wong

Morgantown, W.Va., July 8 – Barclays Bank plc priced $3.52 million of contingent income autocallable securities due July 6, 2021 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 9.4% if each index closes at or above its coupon barrier, 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 105% of 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, if any, unless either index finishes below the 70% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.

Barclays is the agent with Morgan Stanley Wealth Management as dealer.

Issuer:	Barclays Bank plc
Issue:	Contingent income autocallable securities
Underlying indexes:	S&P 500, Russell 2000
Amount:	$3.52 million
Maturity:	July 6, 2021
Coupon:	9.4% annualized, payable quarterly if each index closes at or above its coupon barrier on the determination date for that quarter
Price:	Par
Payout at maturity:	If final level of each index is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worse performing index
Call:	At par plus the contingent coupon if each index closes at or above its redemption threshold on any quarterly determination date other than the final date
Initial index levels:	2,098.86 for S&P, 1,151.923 for Russell
Redemption thresholds:	2,203.803 for S&P, 1,209.519 for Russell; 105% of initial levels
Coupon barriers:	1,679.088 for S&P, 921.538 for Russell; 80% of initial levels
Downside thresholds:	1,469.202 for S&P, 806.346 for Russell; 70% of initial levels
Pricing date:	June 30
Settlement date:	July 6
Agent:	Barclays with Morgan Stanley Wealth Management as dealer
Fees:	3%
Cusip:	06744K194

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