Barclays plans capped leveraged index return notes tied to S&P 500

Chicago, May 28 – Barclays Bank plc plans to price 0% capped leveraged index return notes with absolute return buffer due in May 2024 linked to the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus 115% of any index gain, up to a maximum return of 145% to 155%.

Investors will receive par plus the absolute value of the return if the index falls by up to 20% and will lose 1% for every 1% decline beyond 20%.

BofA Securities is the agent.

The notes will price in May and settle in June.

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