Barclays plans contingent income autocallable notes on Russell, S&P

By Sarah Lizee

Olympia, Wash., Nov. 13 – Barclays Bank plc plans to price contingent income autocallable securities due Dec. 3, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 9% if each index closes at or above the 80% coupon barrier level on every day that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the quarterly determination dates other than the final one.

The payout at maturity will be par plus the final coupon, if any, unless either index finishes below the 80% downside threshold level, in which case investors will lose 1% for each 1% decline of the worse performing index.

Barclays is the agent with Morgan Stanley Wealth Management handling distribution.

The notes will price on Nov. 30 and settle on Dec. 5.

The Cusip number is 06746XYP2.

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