Barclays to price market-linked step-up notes linked to S&P 500

By Sarah Lizee

Olympia, Wash., Sept. 4 – Barclays Bank plc plans to price 0% market-linked step-up notes due September 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the step-up value, 110% to 116% 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 its initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 10% to 16%.

If the final index level is less than its initial level, investors will lose 1% for each 1% decline.

BofA Merrill Lynch is the agent.

The notes will price in September and settle in October.

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