Barclays plans market-linked step-up autocallables on Regional Banks

By Marisa Wong

Morgantown, W.Va., May 22 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due June 2020 linked to the S&P Regional Banks Select Industry index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium of 11% to 12% per year if the index closes at or above its initial level on either of two annual call observation dates.

If the index finishes above the step-up level, 130% of the initial level, the payout at maturity will be par plus the index gain.

If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 30%.

Investors will be fully exposed to any index decline.

BofA Merrill Lynch is the agent.

The notes will price in May and settle in June.

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