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Barclays plans to price dual directional notes linked to S&P, Russell
By Sarah Lizee
Olympia, Wash., Nov. 26 – Barclays Bank plc plans to price 0% dual directional notes due May 31, 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 lesser-performing index’s return is greater than or equal to zero, the payout at maturity will be par plus 1.02 to 1.05 times the lesser-performing index’s return. The exact upside leverage factor will be set at pricing.
If the lesser-performing index’s return is less than zero but greater than or equal to negative 15%, the payout will be par plus the absolute value of the lesser-performing index’s return.
If the lesser-performing index’s return is less than negative 15%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 15%.
Barclays is the agent.
The notes will price Nov. 27.
The Cusip number is 06747NQ23.
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