Published on 11/28/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $399,000 dual directional notes linked to S&P, Russell
By Devika Patel
Knoxville, Tenn., Nov. 28 – Barclays Bank plc priced $399,000 of 0% dual directional notes due Nov. 28, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the lesser-performing index is greater than its initial level, the payout at maturity will be par plus 115% of the return of the lesser-performing index.
If the final level of the lesser-performing index is less than its initial level but greater than or equal to its barrier level, 80% of its initial level, the payout will be par plus the absolute value of the lesser-performing index’s return.
If the final level of the lesser-performing index is less than its barrier level, investors will lose 1% for every 1% that the lesser-performing index’s final level is below its initial level.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Dual directional notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $399,000
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| Maturity: | Nov. 28, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of lesser-performing index is greater than initial level, par plus 1.15 times the return of lesser-performing index; if final level of lesser-performing index is less than initial level but greater than or equal to barrier level, par plus absolute value of lesser-performing index’s return; if final level of lesser-performing index is less than barrier level, 1% loss for every 1% that lesser-performing index’s final level is below initial level
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| Initial levels: | 2,202.94 for S&P 500 and 1,334.34 for Russell 2000
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| Barrier levels: | 1,762.35 for S&P 500 and 1,067.47 for Russell 2000; 80% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 28
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| Agent: | Barclays
|
| Fees: | 1.45%
|
| Cusip: | 06741VE57
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