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Barclays to price dual directional notes linked to S&P 500, Russell
By Sarah Lizee
Olympia, Wash., Nov. 26 – Barclays Bank plc plans to price 0% dual directional notes due Dec. 2, 2021 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 each index finishes at or above its initial level, the payout at maturity will be par plus 1.08 to 1.12 times the return of the worse performing index. The exact upside leverage factor will be set at pricing.
If either index falls by up to 20%, the payout at maturity will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index beyond the 20% buffer.
Barclays is the agent.
The notes will price on Nov. 29.
The Cusip number is 06746XZ63.
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