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

By Angela McDaniels

Tacoma, Wash., Oct. 25 – Barclays Bank plc plans to price 0% autocallable market-linked step-up notes due November 2025 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium if the index closes at or above the initial index level on any of the observation dates, which will occur roughly 13 months, two, three, four and five years after the pricing date. The call premium is expected to be 5.5% to 6.5% for the first observation date, 11% to 13% for the second observation date, 16.5% to 19.5% for the third observation date, 22% to 26% for the fourth observation date and 27.5% to 32.5% for the fifth observation date.

If the notes are not called and the final index level is greater than the step-up value, 130% of the initial index level, the payout at maturity will be par plus the index return.

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, 30%.

If the final index level is less than the initial level but greater than or equal to the threshold value, 85% of the initial index level, the payout will be par.

If the final index level is less than the threshold value, investors will lose 1% for every 1% that the index declines beyond 15%.

BofA Securities Inc. is the agent.

The notes will price and settle in November.

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