Barclays plans enhanced step-up notes with buffer linked to indexes

By Angela McDaniels

Tacoma, Wash., Sept. 29 - Barclays Bank plc plans to price 0% enhanced market-linked step-up notes with buffer due October 2014 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight.

If the final basket level is greater than the step-up value, the payout at maturity will be par of $10 plus the basket return. The step-up value is expected to be 114% to 120% of the initial basket level.

If the final basket level is less than or equal to the step-up value and greater than or equal to 90% of the initial basket level, the payout will be par plus the step-up payment, which is expected to be 14% to 20%.

Investors will lose 1% for every 1% that the basket declines beyond 10%.

The exact step-up value and step-up payment will be set at pricing.

The notes are expected to price in October and settle in November.

Bank of America Merrill Lynch is the underwriter.

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