Barclays plans three-year market-linked step-up autocalls on Russell

By Susanna Moon

Chicago, July 26 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due August 2021 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of 7% to 8% if the index closes at or above its initial level on any annual observation date.

If the index finishes above the step-up level – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

The notes will price and settle in August.

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