Barclays to price 14-month leveraged buffered notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Aug. 29 – Barclays Bank plc plans to price 0% notes due November 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par of $10 plus 200% of the index return, subject to a maximum return that is expected to be 8% to 12% and will be set at pricing. Investors will receive par if the index declines by 5% or less and will lose 1% for every 1% that it declines beyond 5%.

BofA Merrill Lynch is the agent.

The notes will price in September and settle in October.

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