Published on 8/9/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $477,000 dual directional notes linked to S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Aug. 9 – Barclays Bank plc priced $477,000 of 0% dual directional notes due Feb. 5, 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
|
| Issue: | Dual directional notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $477,000
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| Maturity: | Feb. 5, 2020
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| Coupon: | 0%
|
| 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: | 1,425.14 for Russell and 2,470.30 for S&P
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| Barrier levels: | 1,068.86 for Russell and 1,852.73 for S&P; 75% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | Barclays
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| Fees: | 1.25%
|
| Cusip: | 06741VZT2
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