Barclays plans five-year market-tied step-up autocallabless on Russell

By Susanna Moon

Chicago, Oct. 27 – Barclays Bank plc plans to price market-linked step-up notes due November 2022 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus an annual call premium of 5.5% to 6.5% if the index closes at or above the initial level on any of four annual observation dates. The exact call premium will be set at pricing.

If the notes are not called and the index finishes above its step-up level, 135% of the initial level, the payout at maturity will be par plus the gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up return of 35%.

Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price and settle in November.

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