Barclays plans notes tied to capped quarterly performance of S&P 500

By Marisa Wong

Madison, Wis., Dec. 3 - Barclays Bank plc plans to price notes due Dec. 27, 2019 linked to the capped quarterly performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will equal par plus the greater of zero and the sum of the quarterly returns for the quarterly observation dates beginning on March 23.

For each quarterly observation date, the quarterly return will be the index return relative to the index closing level on the preceding observation date, subject to a floor of negative 10% and a cap of 5% to 5.25%. The exact local cap will be set at pricing.

Based on a local cap of 5% to 5.25%, the maximum return at maturity will be 20% to 26%.

Barclays is the agent.

The notes will price on Dec. 23 and settle on Dec. 27.

The Cusip number is 06741T2N6.

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