By Wendy Van Sickle
Columbus, Ohio, May 31 – Barclays Bank plc priced $23.88 million of 0% autocallable market-linked step-up notes due June 1, 2020 linked to the S&P Regional Banks Select Industry index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes above the initial level on an annual observation date, the notes will be called at par plus a premium of 12.41% a year.
If the final index level is greater than the step-up value, the payout at maturity will be par of $10 plus the index return. The step-up value is 130% of the initial index level.
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 of 30%.
If the final index level is less than the initial level, investors will have one-to-one exposure to the decline.
BofA Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Market-linked step-up notes
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| Underlying index: | S&P Regional Banks Select Industry
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| Amount: | $23,879,000
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| Maturity: | June 1, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 30%; if final index level is less than initial level, one-to-one exposure to decline
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| Call: | At par plus 12.41% a year if index closes above initial level on an annual observation date
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| Initial index level: | 1,664.85
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| Step-up value: | 2,164.31, 130% of initial level
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| Pricing date: | May 25
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| Settlement date: | June 5
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| Agent: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 06746K853
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