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Barclays plans leveraged market-linked step-up notes tied to basket
By Susanna Moon
Chicago, Jan. 11 – Barclays Bank plc plans to price 0% leveraged market-linked step-up notes due January 2020 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with an initial weight of 40%, the Euro Stoxx 50 index with an initial weight of 30% and the MSCI EAFE index with an initial weight of 30%.
If the basket finishes above the step-up level – 118% of the initial level – the payout at maturity will be par plus 130% to 150% of the index gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up return of 18%.
Investors will be exposed to any losses.
The exact deal terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes are expected to price in January and settle in February.
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