Barclays plans contingent income autocallables on three indexes

By Sarah Lizee

Olympia, Wash., Aug. 13 – Barclays Bank plc plans to price contingent income autocallable securities due Aug. 21, 2024 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 7.6% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the determination date for that quarter.

Beginning Feb. 18, 2020 the notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date.

The payout at maturity will be par unless any index finishes below its downside threshold level, 75% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.

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

The notes will price on Aug. 16.

The Cusip number is 06747NCA0.

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