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

By Devika Patel

Knoxville, Tenn., Dec. 22 – Barclays Bank plc plans to price 0% dual directional notes due Dec. 30, 2022 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 value of each index is greater than or equal to its initial level, the payout at maturity will be par plus 1.725 to 1.755 times the return. The exact participation rate will be set at pricing.

If the final level of either index is less than the initial index level but neither index falls by more than 25%, the payout at maturity will be par plus the absolute value of the return

If the final level of either index is less than the initial index level by more than 25%, investors will lose 1% for every 1% that the index level of the worst performing index is less than its initial level.

Barclays is the agent.

The notes (Cusip: 06744CPP0) will price on Dec. 26 and settle on Dec. 29.

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