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Barclays plans autocallable step-up notes linked to S&P 500
By Marisa Wong
Morgantown, W.Va., Dec. 16 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due December 2018 linked to the S&P 500 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 7.5% to 8.5% per year if the index closes at or above the initial index level in January 2017 or December 2017.
If the notes are not called and the final index level is greater than the step-up value, 125% 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, 25%.
If the final index level is less than the initial level, investors will be fully exposed to the decline.
BofA Merrill Lynch is the agent.
The notes will price and settle in December.
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