Barclays plans to price market-linked step-up notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., May 27 – Barclays Bank plc plans to price 0% market-linked step-up notes due June 2018 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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 expected to be 111.5% to 117.5% 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, which is expected to be 11.5% to 17.5%.

If the final index level is less than the initial level, investors will lose 1% for every 1% that the index declines below its initial level.

The exact step-up value and step-up payment 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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