Barclays plans trigger absolute return step notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., July 18 – Barclays Bank plc plans to price 0% trigger absolute return step securities due July 31, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above the initial index level, the payout at maturity will be par of $10 plus the greater of the index return and the step return, which is expected to be 33.4% to 36.4% and will be set at pricing.

If the index finishes below the initial index level but at or above the downside threshold, 75% of the initial index level, the payout will be par plus the absolute value of the index return.

If the index finishes below the downside threshold, investors will be fully exposed to the index’s decline from its initial level.

UBS Financial Services Inc. and Barclays are the agents.

The notes will price on July 26.

The Cusip number is 06747C793.

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