Barclays plans to price buffered lock-in notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 5 – Barclays Bank plc plans to price 0% buffered lock-in notes due Feb. 29, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index return is greater than or equal to negative 15%, the payout at maturity will be par plus the lock-in return. Otherwise, investors will lose 1% for every 1% that the index declines beyond 15%.

The lock-in return will be the greater of the highest index return on any observation date and zero. The observation dates are Feb. 26, 2020, Feb. 26, 2021, Feb. 28, 2022, Feb. 27, 2023 and Feb. 26, 2024. With respect to each observation date, the index return will be the percentage change in the index from the initial index level to the index’s closing level on that observation date.

Barclays is the agent.

The notes will price Feb. 28.

The Cusip number is 06747MDH6.

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