New Issue: Barclays sells $579,000 dual directional notes linked to S&P 500

By Marisa Wong

Morgantown, W.Va., Oct. 2 – Barclays Bank plc priced $579,000 of 0% dual directional notes due Sept. 25, 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 1.5 times any index gain, with the payout capped at par plus 27.75%.

If the index falls by up to 20%, the payout will be par plus the absolute value of the index return.

If the index falls by more than 20%, investors will lose 1% for every 1% index decline below the initial level.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Dual directional notes
Underlying index:	S&P 500
Amount:	$579,000
Maturity:	Sept. 25, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.5 times any index gain, with payout capped at par plus 27.75%; if index falls by up to 20%, par plus absolute value of index return; otherwise, 1% loss for every 1% decline below initial level
Initial index level:	2,502.22
Barrier level:	2,001.78, 80% of initial level
Pricing date:	Sept. 22
Settlement date:	Sept. 29
Agent:	Barclays
Fees:	0.65%
Cusip:	06744CHZ7

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