Published on 7/13/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $497,000 dual directional notes linked to S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, July 13 – Barclays Bank plc priced $497,000 of 0% dual directional notes due Jan. 6, 2020 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 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, 75% 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
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Issue: | Dual directional notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $497,000
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Maturity: | Jan. 6, 2020
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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 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 index levels: | 2,423.41 for S&P 500 and 1,415.36 for Russell 2000
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Barrier levels: | 1,817.56 for S&P 500 and 1,061.52 for Russell 2000; 75% of initial levels
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Pricing date: | June 30
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Settlement date: | July 6
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Agent: | Barclays
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Fees: | 1.75%
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Cusip: | 06741VWZ1
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