Barclays to price capped leveraged buffered notes tied to S&P 500

By Marisa Wong

Morgantown, W.Va., Aug. 20 – Barclays Bank plc plans to price 0% capped leveraged buffered index-linked notes tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature between 18 and 21 months after pricing.

If the index return is positive, the payout at maturity will be par plus 1.5 times the index return, subject to a maximum payout of $1,127.50 to $1,142.50 per $1,000 of notes.

Investors will receive par if the index falls by up to 7.5% and will lose 1.0811% for every 1% index decline beyond the 7.5% buffer.

Barclays is the underwriter.

The Cusip number is 06741UE91.

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