Barclays plans barrier dual directional notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Feb. 26 – Barclays Bank plc plans to price 0% barrier dual directional notes due March 29, 2024 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 lesser-performing index’s final level is greater than its initial level, the payout at maturity will be par plus 100% to 105% of the lesser-performing index’s return. The exact upside leverage factor will be set at pricing.

If the lesser-performing index’s final level is less than or equal to its initial level but greater than or equal to its barrier level, 60% of its initial level, the payout will be par plus the absolute value of the lesser-performing index’s return.

If the lesser-performing index’s final level is less than its barrier level, investors will lose 1% for every 1% that the lesser-performing index declines beyond 15%.

Barclays is the agent.

The notes will price March 26.

The Cusip number is 06747MFU5.

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