Barclays to price autocallable step-up notes linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., Aug. 31 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due September 2018 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium if the index closes at or above the initial index level on either annual observation date. The call premium is expected to be 9% to 10% per year and will be set at pricing.

If the notes are not called and the final index level is greater than the step-up value, 125% of the initial index level, the payout at maturity will be par plus the index return.

If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 25%.

If the final index level is less than the initial level, investors will be fully exposed to the decline.

BofA Merrill Lynch is the agent.

The notes will price in September and settle in October.

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