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Barclays plans market-linked step-up autocallables on Russell 2000
By Marisa Wong
Madison, Wis., June 4 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due June 2018 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus a call premium of 9% to 10% per year if the index closes at or above the initial level on any annual observation date.
If the notes are not called and the index finishes above the step-up value, 125% of the initial level, the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 25%.
Investors will be fully exposed to any index decline.
The exact deal terms will be set at pricing.
The notes are expected to price and settle in June.
BofA Merrill Lynch is the agent.
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