Barclays eyes contingent income autocallables on Russell 2000, S&P 500

By Wendy Van Sickle

Columbus, Ohio, April 4 – Barclays Bank plc plans to price contingent income autocallable securities due April 19, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent quarterly payment at a rate of at least 8.2% per year if each index closes at or above its downside threshold level, 75% of its initial index level, on the determination date for that quarter.

Beginning Oct. 17, 2016, the notes may be called at par of $10 plus any contingent coupon on any quarterly determination date if the closing level of each index is greater than or equal to its initial level.

If each index finishes at or above its downside threshold level, 75% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if any.

Otherwise, investors will be fully exposed to the decline of the worse performing index.

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

The notes will price on April 15 and settle on April 20.

The Cusip number is 06744K624.

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