Barclays plans autocallable market-linked step-up notes on Russell

By Devika Patel

Knoxville, Tenn., Dec. 23 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due January 2022 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium of 7% to 8% per year if the index closes at or above the initial index level on any of the annual observation dates.

If the notes are not called and the final index level is greater than the step-up value, 135% 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, 35%.

If the final index level is less than the initial level by up to 15%, the payout will be par. Otherwise, investors will lose 1% for each 1% decline beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price in January and settle in February.

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