By Susanna Moon
Chicago, May 22 – Barclays Bank plc priced $18.79 million of 0% autocallable market-linked step-up notes due May 26, 2023 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 6.25% if the index closes at or above its initial level on any annual observation date.
If the index finishes above the step-up level – 135% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 35%.
Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond the buffer.
BofA Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Autocallable market-linked step-up notes
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| Underlying index: | Russell 2000
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| Amount: | $5,447,450
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| Maturity: | May 26, 2023
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| Coupon: | 0%
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| Price: | Par of $10.00
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| Payout at maturity: | If index gains by more than 35%, par plus return; if index gains by up to 35%, par plus 35%; par if index falls by up to 15%; exposure to any losses beyond 15%
|
| Call: | At par plus 6.25% per year if the index closes at or above its initial level on any annual observation date
|
| Initial level: | 1,603.713
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| Step-up value: | 2,165.013, 135% of initial level
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| Pricing date: | May 10
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| Settlement date: | May 17
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 06746R544
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