Barclays plans contingent income autocallables linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., March 27 – Barclays Bank plc plans to price contingent income autocallable securities due April 5, 2022 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above the downside threshold level, 66% of the initial index level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of at least 6%. The exact rate will be set at pricing.

Beginning March 29, 2018, the notes will be called at par plus the contingent coupon if the index closes at or above the initial index level on any quarterly determination date other than the final determination date.

If the final index level is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.

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

The notes are expected to price March 31.

The Cusip number is 06741VQ47.

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