|
Issuer Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-190038
July 2, 2015
Barclays
Bank PLC Return Optimization Securities
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 |
Linked to the EURO STOXX 50® Index due on
or about August 31, 2016
Return Optimization Securities (the “Securities”)
are unsecured and unsubordinated debt obligations issued by Barclays Bank PLC (the “Issuer”) with returns linked to
the performance of the EURO STOXX 50® Index (the “Underlying Index”). If the Index Return is positive,
the Issuer will repay the principal amount of the Securities at maturity plus pay a return equal to the Index Return times the
Multiplier of 3.0, up to the Maximum Gain, which will be set on the Trade Date and will be equal to a percentage between 15.00%
and 18.00%. If the Index Return is zero, the Issuer will repay the principal amount of the Securities at maturity. However, if
the Index Return is negative, you will be exposed to the full decline in the Underlying Index and the Issuer will repay less than
the full principal amount of the Securities at maturity, if anything, resulting in a loss of principal that is proportionate to
the negative Index Return. Investing in the Securities involves significant
risks. The Issuer will not pay any interest on the Securities. You may lose some or all of your principal. Any payment on the
Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed
by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K.
Bail-in Power (as described on page FWP-3 of this free writing prospectus) by the relevant U.K. resolution authority, you might
not receive any amounts owed to you under the Securities. See “Consent to UK Bail-in Power” in this free writing prospectus
and “Risk Factors” in the accompanying prospectus addendum.
| Features |
|
Key Dates1 |
|
q
Enhanced Growth Potential, Subject to Maximum Gain: At maturity, the Securities enhance any positive returns
of the Underlying Index, up to the Maximum Gain. If the Index Return is negative, investors will be exposed to the full
decline in the Underlying Index at maturity.
q
Full Downside Market Exposure: If the Index Return is negative, investors will be exposed to the full decline
in the Underlying Index at maturity and the Issuer will repay less than the full principal amount at maturity, if anything,
resulting in a loss of principal to investors that is proportionate to the negative Index Return. Any payment on the Securities,
including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC.
|
|
Trade Date: |
July 29, 2015 |
| Settlement Date: |
July 31, 2015 |
| Final Valuation Date2: |
August 25, 2016 |
| Maturity Date2: |
August 31, 2016 |
| 1 Expected. In the event we make any change to the expected Trade Date or Settlement Date, the Final Valuation Date and/or Maturity Date may be changed so that the stated term of the Securities remains the same. |
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER
THAN CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES
AT MATURITY, AND THE SECURITIES HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING INDEX. THIS MARKET RISK IS IN ADDITION TO
THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF BARCLAYS BANK PLC. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO
NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE FWP-6 OF THIS FREE WRITING PROSPECTUS, “RISK FACTORS” BEGINNING ON PAGE S-6 OF THE
PROSPECTUS SUPPLEMENT, “RISK FACTORS” BEGINNING ON PAGE PA-1 OF THE PROSPECTUS ADDENDUM AND “KEY RISKS”
BEGINNING ON PAGE IS-2 OF THE INDEX SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER
RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR
ALL OF THE PRINCIPAL AMOUNT OF THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
BY ACQUIRING THE SECURITIES, YOU ACKNOWLEDGE, AGREE TO BE
BOUND BY AND CONSENT TO THE EXERCISE OF, ANY U.K. BAIL-IN POWER. SEE “CONSENT TO BAIL-IN POWER” ON PAGE FWP-3 OF THIS
FREE WRITING PROSPECTUS.
We are offering Return Optimization Securities linked to the EURO
STOXX 50® Index. The return on the Securities is subject to the predetermined Maximum Gain and the corresponding
maximum payment at maturity per $10.00 principal amount Security. The Maximum Gain, maximum payment at maturity per $10.00 Security
and Index Starting Level will be set on the Trade Date. The Index Starting Level will be the Closing Level of the Underlying Index
on the Trade Date. The Securities are offered at a minimum investment of $1,000 (100 Securities).
| Underlying
Index |
Maximum
Gain |
Maximum
Payment at Maturity per Security |
Multiplier |
Index
Starting Level |
CUSIP/
ISIN |
| EURO STOXX 50® Index (SX5E) |
15.00% to 18.00% |
$11.50 to $11.80 |
3.0 |
• |
06743N389 /
US06743N3897 |
See “Additional Information about Barclays Bank PLC
and the Securities” on page FWP-2 of this free writing prospectus. The Securities will have the terms specified in the prospectus
dated July 19, 2013, the prospectus supplement dated July 19, 2013, the prospectus addendum dated February 3, 2015, the index
supplement dated July 19, 2013 and this free writing prospectus.
Neither the U.S. Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Securities or determined that this free writing prospectus
is truthful or complete. Any representation to the contrary is a criminal offense.
The Securities constitute our unsecured and unsubordinated
obligations and are not deposit liabilities of Barclays Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation
or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.
| |
Initial Issue Price1 |
Underwriting
Discount |
Proceeds to Barclays
Bank PLC |
| Per Security |
$10.00 |
$0.20 |
$9.80 |
| Total |
$• |
$• |
$• |
| 1 | Our estimated value of the Securities on the Trade Date, based on our internal pricing models, is expected to be between $9.600
and $9.760 per Security. The estimated value is expected to be less than the initial issue price of the Securities. See “Additional
Information Regarding Our Estimated Value of the Securities” on page FWP-2 of this free writing prospectus. |
| UBS
Financial Services Inc. |
Barclays
Capital Inc. |
| Additional Information about Barclays Bank PLC and the Securities |
Barclays Bank PLC has filed a registration statement (including
a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read
the prospectus dated July 19, 2013, the prospectus supplement dated July 19, 2013, the prospectus addendum dated February 3, 2015,
the index supplement dated July 19, 2013 and other documents Barclays Bank PLC has filed with the SEC for more complete information
about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed for free
by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in
this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative,
such dealer or toll-free 1-888-227-2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital
Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019.
You may revoke your offer to purchase the Securities at any
time prior to the pricing as described on the cover of this free writing prospectus. We reserve the right to change the terms
of, or reject any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes in which case we may reject your offer to purchase.
You should read this free writing prospectus together with the
prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013, the prospectus addendum dated
February 3, 2015 and the index supplement dated July 19, 2013 relating to our Global Medium-Term Securities, Series A, of which
these Securities are a part. This free writing prospectus, together with the documents listed below, contains the terms of the
Securities and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors”
in the prospectus supplement, the prospectus addendum and the index supplement, as the Securities involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you
invest in the Securities.
If the terms discussed in this free writing prospectus differ
from those in the prospectus, prospectus supplement, the prospectus addendum or index supplement, the terms discussed herein will
control.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our SEC file number is 1-10257. References to “Barclays,”
“Barclays Bank PLC,” “we,” “our” and “us” refer only to Barclays Bank PLC and not
to its consolidated subsidiaries. In this document, “Securities” refers to the Return Optimization Securities that
are offered hereby, unless the context otherwise requires.
| Additional Information Regarding Our Estimated Value of the Securities |
The range of the estimated values of the Securities referenced
above may not correlate on a linear basis with the range for the Maximum Gain set forth in this free writing prospectus. We determined
the size of the range for the Maximum Gain based on prevailing market conditions, as well as the anticipated duration of the marketing
period for the Securities. The final terms for the Securities will be determined on the date the Securities are initially priced
for sale to the public (the “Trade Date”) based on prevailing market conditions on the Trade Date, and will be communicated
to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the Trade Date is based on our internal
funding rates. Our estimated value of the Securities might be lower if such valuation were based on the levels at which our benchmark
debt securities trade in the secondary market.
Our estimated value of the Securities on the Trade Date is expected
to be less than the initial issue price of the Securities. The difference between the initial issue price of the Securities and
our estimated value of the Securities is expected to result from several factors, including any sales commissions expected to be
paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to
be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection
with structuring the Securities, the estimated cost that we may incur in hedging our obligations under the Securities, and estimated
development and other costs that we may incur in connection with the Securities.
Our estimated value on the Trade Date is not a prediction of the
price at which the Securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy
or sell the Securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another
affiliate of ours intends to offer to purchase the Securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Trade
Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed
our estimated value on the Trade Date for a temporary period expected to be approximately six months after the initial issue date
of the Securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost
of hedging our obligations under the Securities and other costs in connection with the Securities that we will no longer expect
to incur over the term of the Securities. We made such discretionary election and determined this temporary reimbursement period
on the basis of a number of factors, including the tenor of the Securities and any agreement we may have with the distributors
of the Securities. The amount of our estimated costs that we effectively reimburse to investors in this way may not be allocated
ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the
reimbursement period after the initial issue date of the Securities based on changes in market conditions and other factors that
cannot be predicted.
We urge you to read the “Key Risks” beginning
on page FWP-6 of this free writing prospectus.
You may revoke your offer to purchase the Securities at any
time prior to the Trade Date. We reserve the right to change the terms of, or reject any offer to purchase, the Securities prior
to their Trade Date. In the event of any changes to the terms of the Securities, we will notify you and you will be asked to accept
such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer
to purchase.
| Consent to UK Bail-in Power |
Under the U.K. Banking Act
2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which,
in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to
fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action
will be taken to avoid the entity’s failure, (iii) the exercise of the stabilization powers are necessary taking into account
certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K. banking
system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent
by the winding up of the entity. Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution
authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power. The U.K. Bail-in Power includes
any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of any amounts payable on
the Securities, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the
Securities, including the repayment of principal, into shares or other securities or other obligations of ours or another person,
including by means of a variation to the terms of the Securities. Accordingly, if any U.K. Bail-in Power is exercised you may lose
all or a part of the value of your investment in the Securities or receive a different security, which may be worth significantly
less than the Securities and which may have significantly fewer protections than those typically afforded to debt securities. Moreover,
the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power without providing any advance
notice to the holders of the Securities.
By your acquisition
of the Securities, you acknowledge, agree to be bound by and consent to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
This is only a summary.
For more information, please see “Key Risks—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power
Is Exercised by the Relevant U.K. Resolution Authority” in this free writing prospectus and the full definition of “U.K.
Bail-in Power” as well as the risk factors in the accompanying prospectus addendum.
| Investor Suitability |
| The
Securities may be suitable for you if: |
|
The
Securities may not be suitable for you if: |
| |
|
|
|
¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of some or all of your initial investment, and you are willing to make an investment that has the full downside
market risk of the Underlying Index.
¨ You
believe the Underlying Index will appreciate over the term of the Securities and that any such appreciation is unlikely to exceed
the Maximum Gain.
¨ You
understand and accept that your potential return is limited by the Maximum Gain, and you would be willing to invest in the Securities
if the Maximum Gain were set equal to the bottom of the range specified on the cover of this free writing prospectus (the actual
Maximum Gain will be set on the Trade Date).
¨ You
do not seek current income from this investment, and you are willing to forgo any dividends paid on the securities composing the
Underlying Index.
¨ You
are willing and able to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
¨ You
seek an investment with a return based on the performance of companies in the Eurozone.
¨ You
are willing to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments under the Securities
and understand that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K.
Bail-in Power, you might not receive any amounts owed to you under the Securities, including any repayment of principal.
|
|
¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial
investment.
¨ You
cannot tolerate the loss of some or all of your initial investment, or you are not willing to make an investment that has the full
downside market risk of the Underlying Index.
¨ You
believe the Underlying Index will depreciate over the term of the Securities and the Index Ending Level is likely to be less than
the Index Starting Level, or you believe the Underlying Index will appreciate over the term of the Securities by more than the
Maximum Gain.
¨ You
seek an investment that has unlimited return potential without a cap on appreciation, or you would be unwilling to invest in the
Securities if the Maximum Gain were set equal to the bottom of the range specified on the cover of this free writing prospectus
(the actual Maximum Gain will be set on the Trade Date).
¨ You
seek current income from this investment, or you would prefer to receive any dividends paid on the securities composing the Underlying
Index.
¨ You
are unable or unwilling to hold the Securities to maturity, or you seek an investment for which there will be an active secondary
market.
¨ You
do not seek an investment with a return based on the performance of companies in the Eurozone.
¨ You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings that bear interest at a prevailing market rate.
¨ You
are not willing or are unable to assume the credit risk associated with Barclays Bank PLC, as issuer of the Securities, for any
payments under the Securities, including any repayment of principal.
|
The suitability considerations
identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual
circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other
advisors have carefully considered the suitability of an investment in the Securities in light of your particular circumstances.
You should also review carefully the “Key Risks” beginning on page FWP-6 of this free writing prospectus, the “Risk
Factors” beginning on page S-6 of the prospectus supplement, the “Risk Factors” beginning on page PA-1 of the
prospectus addendum and the “Risk Factors” beginning on page IS-2 of the index supplement for risks related to an
investment in the Securities.
| Indicative Terms1 |
| Issuer: |
Barclays Bank PLC |
| Principal Amount: |
$10 per Security |
| Term2: |
13 months |
| Reference Asset3: |
EURO STOXX 50® Index (Bloomberg ticker symbol “SX5E<Index>“) (the “Underlying Index”) |
| Payment at Maturity (per $10 principal amount Security): |
· If
the Index Return is positive, the Issuer will repay the principal amount plus pay a return equal to the Index
Return multiplied by the Multiplier, but no more than the Maximum Gain. Accordingly, the payment at maturity per $10 principal
amount Security would be calculated as follows:
$10 + ($10 × the
lesser of (a) Index Return × Multiplier and (b) the Maximum Gain)
· If
the Index Return is zero, the Issuer will repay the full principal amount at maturity of $10.00 per $10 principal
amount Security.
· If
the Index Return is negative, the Issuer will repay less than the full principal amount at maturity,
if anything, resulting in a loss of principal that is proportionate to the decline of the Underlying Index from the Trade
Date to the Final Valuation Date. Accordingly, the payment at maturity per $10 principal amount Security would be calculated
as follows:
$10 + ($10 × Index Return)
If
the Index Return is negative, your principal is fully exposed to the decline in the Underlying Index, and you will lose
some or all of the principal amount of the Securities at maturity. Any
payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party.
|
| Multiplier: |
3.0 |
| Maximum Gain: |
15.00% to 18.00%. The actual Maximum Gain will be set on the Trade Date and will not be less than 15.00%. |
| Index Return: |
Index Ending Level – Index Starting Level
Index Starting Level |
| Index Starting Level: |
The Closing Level of the Underlying Index on the Trade Date |
| Index Ending Level: |
The Closing Level of the Underlying Index on the Final Valuation Date |
| Closing Level: |
On any scheduled trading day, the closing level of the Underlying Index as published with respect to the regular weekday close of trading on that scheduled trading day as displayed on the Bloomberg Professional® service (“Bloomberg”) page set forth under “Reference Asset” above or any successor page on Bloomberg or any successor service, as applicable. In certain circumstances, the Closing Level will be based on the alternate calculation of the Underlying Index described in “Reference Assets—Indices—Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices” in the accompanying prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| Investment Timeline |
| |
Trade Date: |
|
The Index Starting Level is observed and the Maximum Gain is set. |
| |
 |
|
|
| |
Maturity Date: |
|
The Index Ending Level is observed and the Index Return is determined
on the Final Valuation Date.
If
the Index Return is positive, the Issuer will repay the principal amount plus pay a return equal to
the Index Return multiplied by the Multiplier, but no more than the Maximum Gain. Accordingly, the payment at maturity
per $10 principal amount Security would be calculated as follows:
$10 + ($10 × the lesser of
(a) Index Return × Multiplier and (b) the Maximum Gain)
If
the Index Return is zero, the Issuer will repay the full principal amount at maturity of $10.00 per $10 principal
amount Security.
If
the Index Return is negative, the Issuer will repay less than the full principal amount at maturity, if anything,
resulting in a loss of principal that is proportionate to the decline of the Underlying Index from the Trade Date to the
Final Valuation Date. Accordingly, the payment at maturity per $10 principal amount Security would be calculated as follows:
$10 + ($10 × Index Return)
If the Index Return
is negative your principal is fully exposed to the decline in the Underlying Index, and you will lose some or all of the
principal amount of the Securities at maturity. Any
payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party.
|
| Investing
in the Securities involves significant risks. The Issuer will not pay any interest on the Securities. You may lose some or
all of your principal. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness
of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations
or become subject to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority, you might not receive
any amounts owed to you under the Securities. |
| 1 | Terms used in this free writing prospectus, but not defined herein, shall have the meanings ascribed to them in the prospectus
supplement. |
| 2 | Expected. In the event we make any change to the expected Trade Date or Settlement Date, the Final Valuation Date and/or Maturity
Date may be changed so that the stated term of the Securities remains the same. The Final Valuation Date and Maturity Date are
subject to postponement in the event of a market disruption event as described under “Reference Assets—Indices—Market
Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” in the prospectus
supplement. Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be
postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on such date. |
| 3 | For a description of adjustments that may affect the reference asset, see “Reference Assets—Indices—Adjustments
Relating to Securities with the Reference Asset Comprised of an Index or Indices” in the prospectus supplement. |
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying Index or the securities composing the Underlying Index.
Some of the risks that apply to an investment in the Securities are summarized below, but we urge you to read the more detailed
explanation of risks relating to the Securities generally in the “Risk Factors” sections of the prospectus supplement
and the prospectus addendum. You should reach an investment decision only after you have carefully considered with your advisors
the suitability of an investment in the Securities in light of your particular circumstances.
| ¨ | You
Risk Losing Some or All of Your Principal — The Securities differ from
ordinary debt securities in that the Issuer will not necessarily repay the full principal
amount of the Securities at maturity. The Issuer will pay you the principal amount of
your Securities only if the Index Ending Level is greater than or equal to the Index
Starting Level and will make such payment only at maturity. If the Index Ending Level
is less than the Index Starting Level, you will be exposed to the full negative Index
Return and the Issuer will repay less than the full principal amount of the Securities
at maturity, if anything, resulting in a loss of the principal amount that is proportionate
to the decline of the Underlying Index from the Trade Date to the Final Valuation Date.
Accordingly, you may lose some or all of your principal. |
| ¨ | The
Multiplier Applies Only if You Hold the Securities to Maturity — You
should be willing to hold your Securities to maturity. If you are able to sell your Securities
prior to maturity in the secondary market, if any, the price you receive likely will
not reflect the full economic value of the Multiplier or the Securities themselves, and
the return you realize may be less than the product of the performance of the Underlying
Index and the Multiplier and may be less than the Underlying Index’s return itself,
even if such return is positive and does not exceed
the Maximum Gain. You can receive the full benefit of the Multiplier, subject to the
Maximum Gain, only if you hold your Securities to maturity. |
| ¨ | Your
Maximum Return on the Securities Is Limited by the Maximum Gain — If
the Index Ending Level is greater than the Index Starting Level, for each $10 principal
amount of Securities, the Issuer will pay you at maturity $10 plus an additional amount
that will not exceed a predetermined percentage of the principal amount, regardless of
the appreciation of the Underlying Index, which may be significant. We refer to this
percentage as the Maximum Gain, which will be set on the Trade Date. Therefore, you will
not benefit from any positive Index Return in excess of an amount that, when multiplied
by the Multiplier, exceeds the Maximum Gain, and your return on the Securities may be
less than the return on a direct investment in the Underlying Index or its underlying
components. |
| ¨ | Credit
of Issuer — The Securities are unsecured and unsubordinated debt obligations
of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Securities, including any repayment
of principal, depends on the ability of Barclays Bank PLC to satisfy its obligations
as they come due and is not guaranteed by any third party. As a result, the actual and
perceived creditworthiness of Barclays Bank PLC may affect the market value of the Securities
and, in the event Barclays Bank PLC were to default on its obligations, you might not
receive any amount owed to you under the terms of the Securities. |
| ¨ | You
May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the
Relevant U.K. Resolution Authority — Under the U.K. Banking Act 2009,
as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in
Power under certain conditions which, in summary, include that such authority determines
that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii)
it is not reasonably likely that (ignoring the other stabilization powers under the U.K.
Banking Act) any other action will be taken to avoid the entity’s failure, (iii)
the exercise of the stabilization powers are necessary taking into account certain public
interest considerations such as the stability of the U.K. financial system, public confidence
in the U.K. banking system and the protection of depositors and (iv) the objectives of
the resolution measures would not be met to the same extent by the winding up of the
entity. Notwithstanding these conditions, there remains uncertainty regarding how the
relevant U.K. resolution authority would assess these conditions in deciding whether
to exercise any U.K. Bail-in Power. The U.K. Bail-in Power includes any statutory write-down
and conversion power, which allows for the cancellation of all, or a portion, of any
amounts payable on the Securities, including any repayment of principal and/or the conversion
of all, or a portion, of any amounts payable on the Securities, including the repayment
of principal, into shares or other securities or other obligations of ours or another
person, including by means of a variation to the terms of the Securities. Accordingly,
if any U.K. Bail-in Power is exercisedv you may lose all or a part of the value of your
investment in the Securities or receive a different security, which may be worth significantly
less than the Securities and which may have significantly fewer protections than those
typically afforded to debt securities. Moreover, the relevant U.K. resolution authority
may exercise its authority to implement the U.K. Bail-in Power without providing any
advance notice to the holders of the Securities. |
By
your acquisition of the Securities, you acknowledge, agree to be bound by and consent to the exercise of, any U.K. Bail-in Power
by the relevant U.K. resolution authority. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority with respect to the Securities will not be a default or an Event of Default (as each term is defined in the indenture)
and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance
with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Securities. Accordingly,
your rights as a holder of the Securities are subject to, and will be varied, if necessary, so as to give effect to, the exercise
of any U.K. Bail-in Power by the relevant U.K.resolution authority. Please see “Consent to U.K. Bail-in Power”
in this free writing prospectus and the risk factors in the accompanying prospectus addendum for more information.
| ¨ | Owning
the Securities Is Not the Same as Owning the Securities Composing the Underlying Index
— The return on your Securities may not reflect the return you would
realize if you actually owned the securities composing the Underlying Index. As a holder
of the Securities, you will not have voting rights or rights to receive dividends or
other distributions or other rights that holders of the securities composing the Underlying
Index would have. |
| ¨ | The
Underlying Index Reflects the Price Return of the Securities Composing the Underlying
Index, Not the Total Return —
The return on the Securities is based on the performance of the Underlying Index, which
reflects changes in the market prices of
the securities composing the Underlying Index. The Underlying Index is not a “total
return” index that, in addition to reflecting those price returns, would also reflect
dividends paid on the securities composing the Underlying Index. Accordingly, the return
on the Securities will not include such a total return feature. |
| ¨ | No
Interest Payments — The Issuer will not make periodic interest payments
on the Securities, and the return on the Securities is limited to the performance of
the Underlying Index from the Trade Date to the Final Valuation Date. |
| ¨ | Dealer
Incentives — We, the Agents and affiliates of the Agents may act in
various capacities with respect to the Securities. The Agents and various affiliates
may act as a principal, agent or dealer in connection with the Securities. Such Agents,
including the sales representatives of UBS Financial Services Inc., will derive compensation
from the distribution of the Securities and such compensation may serve as an incentive
to sell these Securities instead of other investments. We will pay compensation as specified
on the cover of this free writing prospectus to the Agents in connection with the distribution
of the Securities, and such compensation may be passed on to affiliates of the Agents
or other third party distributors. |
| ¨ | Limited
Liquidity — The Securities will not be listed on any securities exchange.
Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer to purchase
the Securities in the secondary market but are not required to do so and may cease any
such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the Securities easily. Because
other dealers are not likely to make a secondary market for the Securities, the price
at which you may be able to trade your Securities is likely to depend on the price, if
any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing
to buy the Securities. |
| ¨ | Potential
Conflicts — We and our affiliates play a variety of roles in connection
with the issuance of the Securities, including acting as calculation agent and hedging
our obligations under the Securities. In performing these duties, the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your
interests as an investor in the Securities. |
| ¨ | Potentially
Inconsistent Research, Opinions or Recommendations by Barclays, UBS Financial Services
Inc. or Their Respective Affiliates — Barclays, UBS Financial Services
Inc. or their respective affiliates and agents may publish research from time to time
on financial markets and other matters that may influence the value of the Securities,
or express opinions or provide recommendations that are inconsistent with purchasing
or holding the Securities. Any research, opinions or recommendations expressed by Barclays,
UBS Financial Services Inc. or their respective affiliates or agents may not be consistent
with each other and may be modified from time to time without notice. You should make
your own independent investigation of the merits of investing in the Securities and the
Underlying Index. |
| ¨ | Potential
Barclays Bank PLC Impact on Value — Trading or transactions by Barclays
Bank PLC or its affiliates in the securities composing the Underlying Index and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the Underlying
Index or the securities composing the Underlying Index may adversely affect the level
of the Underlying Index and, therefore, the market value of the Securities. |
| ¨ | The
Payment at Maturity on Your Securities Is Not Based on the Level of the Underlying Index
at Any Time Other Than the Final Valuation Date —The Index Ending Level
and the Index Return will be based solely on the Closing Level of the Underlying Index
on the Final Valuation Date (subject to adjustments as described in the prospectus supplement).
Therefore, if the level of the Underlying Index drops precipitously on the Final Valuation
Date, the payment at maturity on your Securities that the Issuer pays you may be significantly
less than it would otherwise have been had the payment at maturity been linked to the
level of the Underlying Index at a time prior to such drop. Although the level of the
Underlying Index on the maturity date or at other times during the life of your Securities
may be higher than the level of the Underlying Index on the Final Valuation Date, you
will not benefit from the level of the Underlying Index at any time other than the Final
Valuation Date. |
| ¨ | Non-U.S.
Securities Markets Risks — The securities composing the Underlying Index
are issued by non-U.S. companies and are traded on various non-U.S. exchanges. These
securities may be more volatile and may be subject to different political, market, economic,
exchange rate, regulatory and other risks. Specifically, the
securities composing the Underlying Index are issued by companies located within
the Eurozone. The Eurozone is and has been undergoing financial stress, and the political,
legal and regulatory ramifications are impossible to predict. Changes within the Eurozone
could have a material adverse effect on the performance of the Underlying Index and,
consequently, on the value of the Securities. |
| ¨ | The
Index Return Will Not Be Adjusted for Changes in Exchange Rates Relative to the U.S.
Dollar Even Though the Securities Composing the Underlying Index Are Traded in a Foreign
Currency and the Securities Are Denominated in U.S. Dollars — The value
of your Securities will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies in which the securities composing the Underlying
Index are based. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the Securities, you will not receive any
additional payment or incur any reduction in any payment with respect to the Securities. |
| ¨ | Many
Economic and Market Factors Will Impact the Value of the Securities —
In addition to the level of the Underlying Index on any day, the value of the Securities
will be affected by a number of economic and market factors that may either offset or
magnify each other, including: |
| ¨ | the expected volatility of the Underlying Index and the securities composing the Underlying Index; |
| ¨ | the time to maturity of the Securities; |
| ¨ | the market prices of and dividend rates on the securities composing the Underlying Index; |
| ¨ | interest and yield rates in the market generally; |
| ¨ | supply and demand for the Securities; |
| ¨ | a variety of economic, financial, political, regulatory and judicial events; |
| ¨ | the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities composing the
Underlying Index trade; and |
| ¨ | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| ¨ | The
Estimated Value of Your Securities Is Expected to Be Lower Than the Initial Issue Price
of Your Securities — The estimated value of your Securities on the Trade
Date is expected to be lower, and may be significantly lower, than the initial issue
price of your Securities. The difference between the initial issue price of your Securities
and the estimated value of the Securities is expected as a result of certain factors,
such as any sales commissions expected to be paid to Barclays Capital Inc. or another
affiliate of ours, any selling concessions, discounts, commissions or fees expected to
be allowed or paid to non-affiliated intermediaries, the estimated profit that we or
any of our affiliates expect to earn in connection with structuring the Securities, the
estimated cost that we may incur in hedging our obligations under the Securities, and
estimated development and other costs that we may incur in connection with the Securities. |
| ¨ | The
Estimated Value of Your Securities Might Be Lower if Such Estimated Value Were Based
on the Levels at Which Our Debt Securities Trade in the Secondary Market —
The estimated value of your Securities on the Trade Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels
at which our benchmark debt securities trade in the secondary market. As a result of
this difference, the estimated values referenced above might be lower if such estimated
values were based on the levels at which our benchmark debt securities trade in the secondary
market. Also, this difference in funding rate as well as certain factors, such as sales
commissions, selling concessions, estimated costs and profits mentioned below, reduces
the economic terms of the Securities to you. |
| ¨ | The
Estimated Value of the Securities Is Based on Our Internal Pricing Models, Which May
Prove to Be Inaccurate and May Be Different from the Pricing Models of Other Financial
Institutions — The estimated value of your Securities on the Trade Date
is based on our internal pricing models, which take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize.
These variables and assumptions are not evaluated or verified on an independent basis.
Further, our pricing models may be different from other financial institutions’
pricing models and the methodologies used by us to estimate the value of the Securities
may not be consistent with those of other financial institutions that may be purchasers
or sellers of Securities in the secondary market. As a result, the secondary market price
of your Securities may be materially different from the estimated value of the Securities
determined by reference to our internal pricing models. |
| ¨ | The
Estimated Value of Your Securities Is Not a Prediction of the Prices at Which You May
Sell Your Securities in the Secondary Market, if Any, and Such Secondary Market Prices,
if Any, Will Likely Be Lower Than the Initial Issue Price of Your Securities and May
Be Lower Than the Estimated Value of Your Securities — The estimated
value of the Securities will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Securities
from you in secondary market transactions (if they are willing to purchase, which they
are not obligated to do). The price at which you may be able to sell your Securities
in the secondary market at any time will be influenced by many factors that cannot be
predicted, such as market conditions, and any bid and ask spread for similar sized trades,
and may be substantially less than our estimated value of the Securities. Further, as
secondary market prices of your Securities take into account the levels at which our
debt securities trade in the secondary market, and do not take into account our various
costs related to the Securities such as fees, commissions, discounts, and the costs of
hedging our obligations under the Securities, secondary market prices of your Securities
will likely be lower than the initial issue price of your Securities. As a result, the
price at which Barclays Capital Inc., other affiliates of ours or third parties may be
willing to purchase the Securities from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Securities, and any sale prior
to the maturity date could result in a substantial loss to you. |
| ¨ | The
Temporary Price at Which We May Initially Buy the Securities in the Secondary Market
and the Value We May Initially Use for Customer Account Statements, if We Provide Any
Customer Account Statements at All, May Not Be Indicative of Future Prices of Your Securities
— Assuming that all relevant factors remain constant after the Trade
Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities
in the secondary market (if Barclays Capital Inc. makes a market in the Securities, which
it is not obligated to do) and the value that we may initially use for customer account
statements, if we provide any customer account statements at all, may exceed our estimated
value of the Securities on the Trade Date, as well as the secondary market value of the
Securities, for a temporary period after the initial issue date of the Securities. The
price at which Barclays Capital Inc. may initially buy or sell the Securities in the
secondary market and the value that we may initially use for customer account statements
may not be indicative of future prices of your Securities. Please see “Additional
Information Regarding Our Estimated Value of the Securities” on page FWP-2 for
further information. |
| ¨ | We
and Our Affiliates May Engage in Various Activities or Make Determinations That Could
Materially Affect Your Securities in Various Ways and Create Conflicts of Interest
— We and our affiliates establish the offering price of the Securities for initial
sale to the public, and the offering price is not based upon any independent verification
or valuation. Additionally, the role played by Barclays Capital Inc., as a dealer in
the Securities, could present it with significant conflicts of interest with the role
of Barclays Bank PLC, as issuer of the Securities. For example, Barclays Capital Inc.
or its representatives may derive compensation or financial benefit from the distribution
of the Securities and such compensation or financial benefit may serve as an incentive
to sell these Securities instead of other investments. We may pay dealer compensation
to any of our affiliates acting as agents or dealers in connection with the distribution
of the Securities. Furthermore, we and our affiliates make markets in and trade various
financial instruments or products for their own accounts and for the account of their
clients and otherwise provide investment banking and other financial services with respect
to these financial instruments and products. These financial instruments and products
may include securities, instruments or assets that may serve as the underliers or constituents
of the underliers of the Securities. Such market making, trading activities, other investment
banking and financial services may negatively impact the value of the Securities. Furthermore,
in any such market making, trading activities, and other services, we or our affiliates
may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Securities. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the Securities into account in conducting
these activities. |
| ¨ | The
U.S. Federal Income Tax Consequences of an Investment in the Securities Are Uncertain — There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the Securities, and we do not plan to request a ruling from
the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Securities
are uncertain, and the IRS or a court might not agree with the treatment of the Securities as prepaid forward contracts. If the
IRS were successful in asserting an alternative treatment for the Securities, the tax consequences of the ownership and disposition
of the Securities could be materially and adversely affected. In addition, as described below under “What Are the Tax Consequences
of an Investment in the Securities?,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax
|
treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the Securities, possibly with retroactive effect. You should review carefully the sections
of the accompanying prospectus supplement entitled “Certain U.S. Federal Income Tax Considerations—Certain Notes Treated
as Forward Contracts or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Treatment of Non-U.S.
Holders,” and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the Securities (including
possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
| Hypothetical Examples and Return Table of the Securities at Maturity |
The examples and table below illustrate the payment at maturity
for a $10 principal amount Security on a hypothetical offering of Securities under various scenarios, with the assumptions set
forth below. The hypothetical Index Starting Level of 100.00 has been chosen for illustrative purposes only and may not represent
a likely actual Index Starting Level. The actual Index Starting Level will be the Closing Level of the Underlying Index on the
Trade Date, and the actual Index Ending Level will be the Closing Level of the Underlying Index on the Final Valuation Date. For
historical data regarding the actual Closing Level of the Underlying Index, please see the historical information set forth under
the section titled “EURO STOXX 50® Index” below. The actual Maximum Gain will be set on the Trade Date.
Numbers appearing in the examples and table below have been rounded for ease of analysis. These examples and table below do not
take into account any tax consequences from investing in the Securities. We cannot predict the Closing Level of the Underlying
Index on any day during the term of the Securities, including on the Final Valuation Date. You should not take these examples or
the table below as an indication or assurance of the expected performance of the Securities.
| Term: |
13 months |
| Hypothetical Index Starting Level: |
100.00 |
| Hypothetical Maximum Gain: |
16.50% (the midpoint of the range of 15.00% to 18.00%) |
| Multiplier: |
3.0 |
| Index
Ending Level |
Index
Return1 |
Payment
at Maturity |
Total
Return on Securities
at Maturity2 |
| 180.00 |
80.00% |
$11.65 |
16.50% |
| 170.00 |
70.00% |
$11.65 |
16.50% |
| 160.00 |
60.00% |
$11.65 |
16.50% |
| 150.00 |
50.00% |
$11.65 |
16.50% |
| 140.00 |
40.00% |
$11.65 |
16.50% |
| 130.00 |
30.00% |
$11.65 |
16.50% |
| 120.00 |
20.00% |
$11.65 |
16.50% |
| 110.00 |
10.00% |
$11.65 |
16.50% |
| 105.50 |
5.50% |
$11.65 |
16.50% |
| 105.00 |
5.00% |
$11.50 |
15.00% |
| 102.50 |
2.50% |
$10.75 |
7.50% |
| 101.00 |
1.00% |
$10.30 |
3.00% |
| 100.00 |
0.00% |
$10.00 |
0.00% |
| 95.00 |
-5.00% |
$9.50 |
-5.00% |
| 90.00 |
-10.00% |
$9.00 |
-10.00% |
| 80.00 |
-20.00% |
$8.00 |
-20.00% |
| 70.00 |
-30.00% |
$7.00 |
-30.00% |
| 60.00 |
-40.00% |
$6.00 |
-40.00% |
| 50.00 |
-50.00% |
$5.00 |
-50.00% |
| 40.00 |
-60.00% |
$4.00 |
-60.00% |
| 30.00 |
-70.00% |
$3.00 |
-70.00% |
| 20.00 |
-80.00% |
$2.00 |
-80.00% |
| 10.00 |
-90.00% |
$1.00 |
-90.00% |
| 0.00 |
-100.00% |
$0.00 |
-100.00% |
| 1 | The Index Return excludes any cash dividend payments. |
| 2 | The “total return” is the number, expressed
as a percentage, that results from comparing the payment at maturity per $10 principal amount Security to the purchase price of
$10 per Security. |
Example
1 — The Closing Level of the Underlying Index increases 5.00% from the Index Starting Level of 100.00 to an Index
Ending Level of 105.00, resulting in an Index Return of 5.00%.
Because the Index Return of 5.00% is positive and such Index Return
multiplied by 3.0 is less than the Maximum Gain of 16.50%, the Issuer will pay a payment at maturity calculated as follows per
$10 principal amount Security:
$10 + ($10 × the lesser of (a) Index
Return × Multiplier and (b) the Maximum Gain)
$10 + ($10 × 5.00% × 3.0) = $10
+ $1.50 = $11.50
The payment at maturity of $11.50 per $10 principal amount Security
represents a total return on the Securities of 15.00%.
Example
2 — The Closing Level of the Underlying Index increases 20.00% from the Index Starting Level of 100.00 to an
Index Ending Level of 120.00, resulting in an Index Return of 20.00%.
Because the Index Return of 20.00% is positive and such Index
Return multiplied by 3.0 is greater than the Maximum Gain of 16.50%, the Issuer will pay a payment at maturity calculated as follows
per $10 principal amount Security:
$10 + ($10 × the lesser of (a) Index
Return × Multiplier and (b) the Maximum Gain)
$10+ ($10 × 16.50%) = $10 + $1.65 =
$11.65
The payment at maturity of $11.65 per $10 principal amount Security,
which is the maximum payment on the Securities, represents a total return on the Securities equal to the Maximum Gain of 16.50%.
Example
3 — The Closing Level of the Underlying Index decreases 60.00% from the Index Starting Level of 100.00 to an
Index Ending Level of 40.00, resulting in an Index Return of -60.00%.
Because the Index Return is negative, the Issuer will pay a payment
at maturity calculated as follows per $10 principal amount Security:
$10 + ($10 × Index Return)
$10 + ($10 × -60.00%) = $10 + -$6 =
$4.00
The payment at maturity of $4.00 per $10 principal amount Security
represents a loss on the Securities of 60.00%, which reflects the Index Return of -60.00%.
If the Index Return is negative, at maturity the Issuer will
repay less than the full principal amount, if anything, resulting in a loss of principal to investors that is proportionate to
the decline of the Underlying Index from the Trade Date to the Final Valuation Date.
| What Are the Tax Consequences of an Investment in the Securities? |
You should review carefully the sections entitled “Certain
U.S. Federal Income Tax Considerations—Certain Notes Treated as Forward Contracts or Derivative Contracts” and, if
you are a non-U.S. holder, “—Tax Treatment of Non-U.S. Holders,” in the accompanying prospectus supplement. The
following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Securities.
The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special
tax counsel, it is reasonable to treat the Securities for U.S. federal income tax purposes as prepaid forward contracts with respect
to the Underlying Index. Assuming this treatment is respected, gain or loss on your Securities should be treated as long-term capital
gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the
original issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any
income or loss on the Securities could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the Securities, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax
consequences of an investment in the Securities, including possible alternative treatments and the issues presented by this notice.
The Underlying Index is calculated, maintained and published by
STOXX Limited, a company owned by Deutsche Börse AG and SIX Group AG. The Underlying Index provides a blue-chip representation
of supersector leaders in the Eurozone. The Underlying Index represents supersector leaders in the Eurozone in terms of free-float
market capitalization and covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland,
Italy, Luxembourg, the Netherlands, Portugal and Spain. For more information about the Underlying Index, see “Non-Proprietary
Indices—Equity Indices—EURO STOXX 50® Index” in the accompanying index supplement.
Historical Information
The following graph sets forth the performance of the Underlying
Index from January 2, 2008 through June 26, 2015, based on the daily Closing Levels of the Underlying Index. The Closing Level
of the Underlying Index on June 26, 2015 was 3,621.37.
We obtained the Closing Levels below from Bloomberg, without independent
verification. Historical performance of the Underlying Index should not be taken as an indication of future performance. Future
performance of the Underlying Index may differ significantly from historical performance, and no assurance can be given as to the
Closing Level of the Underlying Index during the term of the Securities, including on the Final Valuation Date. We cannot give
you assurance that the performance of the Underlying Index will result in the return of any of your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
| Supplemental Plan of Distribution |
We will agree to sell to Barclays Capital Inc. and UBS Financial
Services Inc., together the “Agents,” and the Agents will agree to purchase, all of the Securities at the initial issue
price less the underwriting discount indicated on the cover of the pricing supplement, the document that will be filed pursuant
to Rule 424(b)(2) and will contain the final pricing terms of the Securities. UBS Financial Services Inc. may allow a concession
not in excess of the underwriting discount set forth on the cover of the pricing supplement to its affiliates.
We or our affiliates will enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities
and the Agents and/or an affiliate may earn additional income as a result of payments pursuant to the swap, or related hedge transactions.
We have agreed to indemnify the Agents against liabilities, including
certain liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agents may be required
to make relating to these liabilities as described in the prospectus and the prospectus supplement. We have agreed that UBS Financial
Services Inc. may sell all or a part of the Securities that it purchases from us to its affiliates at the price that will be indicated
on the cover of the pricing supplement that will be available in connection with the sale of the Securities.