New Issue: Barclays sells $7.62 million step-up notes with 85% trigger on S&P 500

By Susanna Moon

Chicago, Jan. 6 - Barclays Bank plc priced $7.62 million of 0% market-linked step-up notes due Dec. 28, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the step-up value - 146% of the initial level - the payout at maturity will be par of $10 plus the index gain.

If the index finishes above the initial level but at or below the step-up value, the payout at maturity will be par of $10 plus the step-up payment of 46%.

Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond 15%.

Bank of America Merrill Lynch is the agent.

Issuer:	Barclays Bank plc
Issue:	Market-linked step-up notes
Underlying index:	S&P 500
Amount:	$7,617,170
Maturity:	Dec. 28, 2015
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above step-up level, par plus gain; if index gains up to step-up value, par plus 46%; par if index falls by up to 15%; exposure to losses beyond 15%
Initial level:	1,277.30
Step-up level:	1,864.86, 146% of initial level
Threshold level:	1,085.71, 85% of initial level
Pricing date:	Jan. 4
Settlement date:	Jan. 11
Agent:	Bank of America Merrill Lynch
Fees:	2.5%
Cusip:	06741L542

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