Barclays to price autocallable step-up notes linked to index basket

By Angela McDaniels

Tacoma, Wash., June 11 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due June 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with an 85% weight and the MSCI Emerging Markets index with a 15% weight.

The notes will be automatically called if the basket closes at or above the initial basket level on either observation date, which will fall sometime in July 2015 and June 2016. The payout will be $10.80 per $10.00 principal amount of notes if the notes are called in July 2015 or $11.60 if they are called in June 2016.

If the notes are not called and the final basket level is greater than the step-up value, the payout at maturity will be par plus the basket return. The step-up value is expected to be 116% to 122% of the initial basket level.

If the final basket 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, which is expected to be 16% to 22%.

If the final basket level is less than the initial basket level but greater than or equal to the threshold value, 95% of the initial basket level, investors will receive par.

If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond the threshold value.

The exact terms will be set at pricing.

BofA Merrill Lynch is the agent.

The notes are expected to price in June and settle in July.

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