Barclays plans notes due 2020 with cap, buffer tied to S&P 500

New York, July 24 – Barclays Bank plc plans to price 0% notes due July 29, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any index gain up to a maximum return of par plus 22.05%.

If the index falls by up to 20% the payout will be par. The notes will give exposure to 1.25 times any decline beyond the 20% buffer.

Barclays is the agent with JPMorgan as placement agent.

The notes will price on July 27 and settle on Aug. 1.

The Cusip number is 06746XK36.

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