New Issue: Barclays prices $36.97 million market-linked step-up notes on S&P 500

By Marisa Wong

Morgantown, W.Va., Jan. 31 – Barclays Bank plc priced $36,966,036 of 0% market-linked step-up notes due Jan. 31, 2020 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 level, 109.6% of the initial level, the payout at maturity will be par plus the index gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up return of 9.6%.

Otherwise, investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

Issuer:	Barclays Bank plc
Issue:	Market-linked step-up notes
Underlying index:	S&P 500
Amount:	$36,966,035.50
Maturity:	Jan. 31, 2020
Coupon:	0%
Price:	Par of $10.00
Payout at maturity:	If the index finishes above the step-up level, par plus the index gain; if the index gains up to the step-up level, par plus 9.6%; full exposure to losses
Initial level:	2,839.25
Step-up value:	3,111.82, 109.6% of initial level
Pricing date:	Jan. 25
Settlement date:	Feb. 1
Underwriter:	BofA Merrill Lynch
Fees:	2%
Cusip:	06746P761

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