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Barclays plans enhanced market-linked step-up notes on S&P 500
By Marisa Wong
Morgantown, W.Va., March 30 – Barclays Bank plc plans to price 0% enhanced market-linked step-up notes with buffer due March 2022 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index finishes above the step-up level – 127% to 133% of the initial level – the payout at maturity will be par plus the gain.
If the index finishes at or below the step-up level but at or above the 90% threshold level, the payout will be par plus the step-up return of 27% to 33%.
Investors will be exposed to any losses beyond 10%.
The exact deal terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes are expected to price in March and settle in April.
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