Barclays to price autocallable market-linked step-up notes on Russell

By Devika Patel

Knoxville, Tenn., Aug. 28 – Barclays Bank plc plans to offer 0% autocallable market-linked step-up notes due September 2022 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 of 6% to 7% per year if the index closes at or above its initial index level on any annual call date beginning in September 2018.

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 its 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 its initial level, but finishes at or above the threshold level, 85% of the initial level, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the index beyond the threshold level.

BofA Merrill Lynch is the agent.

The notes will price and settle in September.

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