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Free Writing Prospectus
(To the Prospectus dated July 18, 2016 and
the Prospectus Supplement dated July 18, 2016)
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Filed Pursuant to Rule 433
Registration No. 333-212571
July 26, 2016
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$
Digital Notes Due September 7, 2017
Linked to the STOXX
®
Europe 600 Index
Global Medium-Term Notes, Series A
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General
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·
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Unsecured
and unsubordinated obligations of Barclays Bank PLC maturing September 7, 2017
†
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·
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Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof
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·
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The
Notes are expected to price on or about July 29, 2016
†
(the “Pricing
Date”) and are expected to issue on or about August 3, 2016
†
(the
“Issue Date”).
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Key Terms
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Terms used in this free
writing prospectus, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
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Issuer:
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Barclays Bank PLC
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Reference Asset:
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The STOXX
®
Europe 600 Index (Bloomberg
ticker symbol “SXXP<Index>”) (the “Underlier”)
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Payment at Maturity:
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If
the Final Underlier Value is greater than or equal to the Barrier Value,
you will receive a fixed cash payment on
the Maturity Date per $1,000 principal amount Note that will provide a return equal to the Digital Return, calculated
as follows:
$1,000
+ ($1,000 × Digital Return)
If
the Final Underlier Value is greater than or equal to the Barrier Value, you will receive the maximum payment at maturity
of $1,078.00 per $1,000 principal amount of Notes regardless of Underlier Return, which means that you will not participate
in any appreciation of the Underlier in excess of the Digital Return and your return on the Notes will be less than the
Underlier Return if the Underlier Return is greater than the Digital Return.
If
the Final Underlier Value is less than the Barrier Value,
you will lose 1% of the principal amount of your Notes for
every 1% that the Final Underlier Value is less than the Initial Underlier Value. Under these circumstances, you will
receive a cash payment on the Maturity Date per $1,000 principal amount Note calculated as follows:
$1,000
+ ($1,000 × Underlier Return)
If
the Final Underlier Value is less than the Barrier Value, the Notes will be fully exposed to the decline in the value
of the Underlier and you will lose some or all of your investment at maturity. Any payment on the Notes, including any
repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank
PLC and (b) the risk of 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. See
“Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in this free writing prospectus
and “Risk Factors” in the accompanying prospectus supplement.
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U.K. Bail-in Power Acknowledgment:
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Notwithstanding any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder of the Notes, by acquiring the Notes, each holder of the Notes
acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority. See “Consent to U.K. Bail-in Power” on page 3 of this free writing prospectus.
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Digital Return:
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7.80%. Accordingly, if the Final Underlier Value
is greater than or equal to the Barrier Value, you will receive the Digital Return of 7.80%, which entitles you to the maximum
payment at maturity of $1,078.00 per $1,000 principal amount Note.
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Underlier Return:
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Final
Underlier Value – Initial Underlier Value
Initial Underlier Value
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Barrier Value:
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,
which is 85.00% of the Initial Underlier Value (rounded to two decimal places)
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Initial Underlier Value:
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,
which is the closing level of the Underlier on the Pricing Date
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Final Underlier Value:
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The arithmetic average of the closing levels
of the Underlier on the Averaging Dates (rounded to two decimal places)
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Averaging Dates
†
:
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August 28, 2017, August 29, 2017, August 30,
2017, August 31, 2017 and September 1, 2017. The final Averaging Date, September 1, 2017, is the “Final Valuation Date.”
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Maturity Date
†
:
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September 7, 2017
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Calculation Agent:
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Barclays Bank PLC
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CUSIP/ISIN:
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06741V6V9 / US06741V6V98
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†
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Expected. In the event we make any change to the expected Pricing Date or Issue Date, the Averaging Dates and/or the Maturity
Date may be changed so that the stated term of the Notes remains the same. In addition, the Averaging Dates and the Maturity Date
are subject to postponement. See “Reference Assets—Indices—Market Disruption Events for Securities with an Index
of Equity Securities as a Reference Asset” in the prospectus supplement.
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Initial
Issue Price
1,2
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Price
to Public
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Agent’s
Commission
2
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Proceeds
to Barclays Bank PLC
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Per Note
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$1,000
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100%
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1.04%
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98.96%
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Total
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$●
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$●
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$●
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$●
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1
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Our
estimated value of the Notes on the Pricing Date, based on our internal pricing models,
is expected to be between $970.00 and $979.00 per Note. The estimated value is expected
to be less than the initial issue price of the Notes. See “Additional Information
Regarding Our Estimated Value of the Notes” on page FWP-11 of this free writing
prospectus.
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2
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J.P.
Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for
the Notes. The placement agents will forgo fees for sales to fiduciary accounts. The
total fees represent the amount that the placement agents receive from sales to accounts
other than such fiduciary accounts. The placement agents will receive a fee from the
Issuer or one of its affiliates that will not exceed $10.40 per Note.
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Investing
in the Notes involves a number of risks. See “Risk Factors” beginning on page S-7 of the prospectus supplement and
“Selected Risk Considerations” beginning on page FWP-6 of this free writing prospectus.
The
Notes will not be listed on any U.S. securities exchange or quotation system. Neither the U.S. Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of these Notes or determined that this
free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The
Notes constitute our unsecured and unsubordinated obligations. The Notes are not deposit liabilities of Barclays Bank PLC and
are not covered by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation
or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction.
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JPMorgan
Placement Agent
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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 18, 2016, the prospectus supplement dated July
18, 2016 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 Notes 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 Notes prior to their issuance. In the event
of any changes to the terms of the Notes, 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.
Additional
Terms Specific to the Notes
You
should read this free writing prospectus together with the prospectus dated July 18, 2016, as supplemented by the prospectus supplement
dated July 18, 2016 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This free writing prospectus,
together with the documents listed below, contains the terms of the Notes 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 under “Risk Factors” in the prospectus supplement, as the Notes 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 Notes.
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):
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·
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Prospectus
dated July 18, 2016:
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http://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.htm
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·
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Prospectus
supplement dated July 18, 2016:
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http://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm
Our
SEC file number is 1-10257. As used in this free writing prospectus, “we,” “us” and “our”
refer to Barclays Bank PLC.
Consent
to U.K. Bail-in Power
Notwithstanding
any other agreements, arrangements or understandings between us and any holder of the Notes, by acquiring the Notes, each holder
of the Notes acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances
in which the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include
that a U.K. bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the
“FSMA”) threshold conditions for authorization to carry on certain regulated activities (within the meaning of section
55B FSMA) or, in the case of a U.K. banking group company that is an European Economic Area (“EEA”) or third country
institution or investment firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions
are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the
reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the
Notes; (ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the
Notes into shares or other securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral
on, the holder of the Notes such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or
any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised
by means of a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority
of such U.K. Bail-in Power. Each holder of the Notes further acknowledges and agrees that the rights of the holders of the Notes
are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders of
the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority
in breach of laws applicable in England.
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 as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment
firm in the Group is failing or likely to fail could materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound
by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
What
Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Underlier?
The
following table and examples illustrate the hypothetical payment at maturity and the hypothetical total return on the Notes. The
“total return” as used in this free writing prospectus is the number, expressed as a percentage, that results from
comparing the payment at maturity per $1,000 principal amount Note to $1,000. The table and examples set forth below assume an
Initial Underlier Value of 340.93, which would result in a Barrier Value of 289.79 (85.00% of the Initial Underlier Value), and
the Final Underlier Values set forth below. The actual Initial Underlier Value and Barrier Value will be determined on the Pricing
Date, and the actual Final Underlier Value will be the arithmetic average of the closing levels of the Underlier on the Averaging
Dates. Each hypothetical payment at maturity or total return set forth below is for illustrative purposes only and may not be
the actual payment at maturity or total return applicable to a purchaser of the Notes. The numbers appearing in the following
table and examples have been rounded for ease of analysis. The table and examples below do not take into account any tax consequences
from investing in the Notes.
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Final
Underlier Value
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Underlier
Return
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Payment
at Maturity
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Total
Return on Notes
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681.86
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100.00%
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$1,078.00
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7.80%
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647.77
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90.00%
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$1,078.00
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7.80%
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613.67
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80.00%
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$1,078.00
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7.80%
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579.58
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70.00%
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$1,078.00
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7.80%
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545.49
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60.00%
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$1,078.00
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7.80%
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511.40
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50.00%
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$1,078.00
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7.80%
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477.30
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40.00%
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$1,078.00
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7.80%
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443.21
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30.00%
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$1,078.00
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7.80%
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409.12
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20.00%
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$1,078.00
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7.80%
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392.07
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15.00%
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$1,078.00
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7.80%
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375.02
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10.00%
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$1,078.00
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7.80%
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367.52
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7.80%
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$1,078.00
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7.80%
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357.98
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5.00%
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$1,078.00
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7.80%
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349.45
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2.50%
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$1,078.00
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7.80%
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344.34
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1.00%
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$1,078.00
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7.80%
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340.93
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0.00%
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$1,078.00
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7.80%
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323.88
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-5.00%
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$1,078.00
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7.80%
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306.84
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-10.00%
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$1,078.00
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7.80%
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289.79
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-15.00%
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$1,078.00
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7.80%
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289.76
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-15.01%
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$849.90
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-15.01%
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272.74
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-20.00%
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$800.00
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-20.00%
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238.65
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-30.00%
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$700.00
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-30.00%
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204.56
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-40.00%
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$600.00
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-40.00%
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170.47
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-50.00%
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$500.00
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-50.00%
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136.37
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-60.00%
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$400.00
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-60.00%
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102.28
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-70.00%
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$300.00
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-70.00%
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68.19
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-80.00%
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$200.00
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-80.00%
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34.09
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-90.00%
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$100.00
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-90.00%
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0.00
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-100.00%
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$0.00
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-100.00%
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Hypothetical
Examples of Amount Payable at Maturity
The
following examples illustrate how the payment at maturity and total return in different hypothetical scenarios are calculated.
Example
1: The value of the Underlier increases from the Initial Underlier Value of 340.93
to a Final Underlier Value of 409.12,
resulting in an Underlier Return of 20.00%.
Because
the Final Underlier Value is greater than or equal to the Barrier Value, the investor receives a payment at maturity of $1,078.00
per $1,000 principal amount Note, calculated as follows:
$1,000
+ ($1,000 × Digital Return)
$1,000
+ ($1,000 × 7.80%) = $1,078.00
In
this example, even though the Underlier Return is 20.00%, the total return on the Notes is limited to the Digital Return of 7.80%.
Example
2: The value of the Underlier decreases from the Initial Underlier Value of 340.93
to a Final Underlier Value of 289.79,
resulting in an Underlier Return of -15.00%.
Because
the Final Underlier Value is greater than or equal to the Barrier Value, the investor receives a payment at maturity of $1,078.00
per $1,000 principal amount Note, calculated as follows:
$1,000
+ ($1,000 × Digital Return)
$1,000
+ ($1,000 × 7.80%) = $1,078.00
In
this example, even though the Underlier Return is -15.00%, the total return on the Notes is equal to the Digital Return of 7.80%.
Example
3: The value of the Underlier decreases from the Initial Underlier Value of 340.93
to a Final Underlier Value of 170.47,
resulting in an Underlier Return of -50.00%.
Because
the Final Underlier Value is less than the Barrier Value and the Underlier Return is -50.00%, the investor receives a payment
at maturity of $500.00 per $1,000 principal amount Note, calculated as follows:
$1,000
+ ($1,000 × Underlier Return)
$1,000
+ ($1,000 × -50.00%) = $500.00
The
total return on the Notes is -50.00%.
Selected
Purchase Considerations
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·
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Market
Disruption Events and Adjustments
— The Underlier, the closing level of the
Underlier, the Averaging Dates, the Maturity Date and the payment at maturity are subject
to adjustment as described in the following sections of the accompanying prospectus supplement:
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o
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For
a description of what constitutes a market disruption event as well as the consequences
of that market disruption event, see “Reference Assets—Indices—Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset”;
and
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o
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For
a description of further adjustments that may affect the Underlier, see “Reference
Assets—Indices—Adjustments Relating to Securities with an Index as a Reference
Asset.”
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·
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Tax
Consequences
— You should review carefully the sections entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S.
holder, “—Tax Consequences to 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 Notes. The following discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent therewith.
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Based
on current market conditions, in the opinion of our special tax counsel, the Notes should be treated for U.S. federal income tax
purposes as prepaid forward contracts with respect to the Underlier. Assuming this treatment is respected, gain or loss on your
Notes should be treated as long-term capital gain or loss if you hold your Notes for more than a year, whether or not you are
an initial purchaser of Notes at the original issue price. However, the Internal Revenue Service (the “IRS”) or a
court may not respect this treatment, in which case the timing and character of any income or loss on the Notes 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 Notes, possibly with retroactive
effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes,
including possible alternative treatments and the issues presented by this notice.
Selected
Risk Considerations
An
investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlier
or any of the securities composing the Underlier. These risks are explained in more detail in the “Risk Factors” section
of the prospectus supplement, including but not limited to the risk factors discussed under the following headings:
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·
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“Risk
Factors—Risks Relating to the Securities Generally”; and
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·
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“Risk
Factors—Additional Risks Relating to Securities with Reference Assets That Are
Equity Securities, Indices of Equity Securities or Exchange-Traded Funds that Hold Equity
Securities.”
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In
addition to the risks discussed under the headings above, you should consider the following:
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·
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You
May Lose Some or All of Your Principal —
The Notes differ from ordinary debt
securities in that the Issuer will not necessarily pay the full principal amount at maturity.
If the Final Underlier Value is less than the Barrier Value, you will lose 1% of the
principal amount of your Notes for every 1% that the Final Underlier Value is less than
the Initial Underlier Value. Accordingly, if the Final Underlier Value is less than the
Barrier Value, the Notes will be fully exposed to the decline in the value of the Underlier
and you will lose some or all of your investment at maturity.
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|
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·
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Your
Maximum Gain on the Notes Is Limited to the Digital Return
— If the Final Underlier
Value is greater than or equal to the Barrier Value, for each $1,000 principal amount
Note, you will receive at maturity $1,000
plus
a predetermined percentage of the
principal amount, regardless of any appreciation in the value of the Underlier, which
may be significant. We refer to this percentage as the Digital Return, which is equal
to 7.80%. If the Final Underlier Value is greater than or equal to the Barrier Value,
you will receive the maximum payment at maturity of $1,078.00 per $1,000 principal amount
of Notes regardless of Underlier Return, which means that you will not participate in
any appreciation of the Underlier in excess of the Digital Return and your return on
the Notes will be less than the Underlier Return if the Underlier Return is greater than
the Digital Return.
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·
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Credit
of Issuer
— The Notes 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 Notes, including any repayment of principal,
is subject to 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 Notes 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 Notes.
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|
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·
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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
— Notwithstanding any other agreements,
arrangements or understandings between Barclays Bank PLC and any holder of the Notes,
by acquiring the Notes, each holder of the Notes acknowledges, accepts, agrees to be
bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority as set forth under “Consent to U.K. Bail-in Power” in
this free writing prospectus. Accordingly, any U.K. Bail-in Power may be exercised in
such a manner as to result in you and other holders of the Notes losing all or a part
of the value of your investment in the Notes or receiving a different security from the
Notes, which may be worth significantly less than the Notes and which may have significantly
fewer protections than those typically afforded to debt securities. Moreover, the relevant
U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance
notice to, or requiring the consent of, the holders of the Notes. The exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes
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 Notes. See “Consent
to U.K. Bail-in Power” in this free writing prospectus as well as “U.K. Bail-in
Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is failing or likely to fail
could materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the
securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by
the relevant U.K. resolution authority” in the accompanying prospectus supplement.
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·
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No
Interest Payments
— As a holder of the Notes, you will not receive interest
payments.
|
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·
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Contingent
Repayment of Principal Applies Only at Maturity
— You should be willing to
hold your Notes to maturity. Although the Notes provide for the repayment of your principal
at maturity if the Final Underlier Value is greater than or equal to the Barrier Value,
if you sell your Notes prior to maturity in the secondary market, if any, you may have
to sell your Notes at a loss relative to your initial investment even if the value of
the Underlier is above the Barrier Value. See “Many Economic and Market Factors
Will Impact the Value of the Notes” below.
|
|
|
·
|
Lack
of Liquidity
— The Notes will not be listed on any securities exchange. Barclays
Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market
for the Notes but are not required to do so, and may discontinue any such secondary market
making at any time, without notice. Barclays Capital Inc. may at any time hold unsold
inventory, which may inhibit the development of a secondary market for the Notes. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade
or sell the Notes easily. Because other dealers are not likely to make a secondary market
for the Notes, the price at which you may be able to trade your Notes 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 Notes. The Notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
|
|
·
|
Potential
Conflicts
— We and our affiliates play a variety of roles in connection with
the issuance of the Notes, including acting as Calculation Agent and hedging our obligations
under the Notes. 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 Notes.
|
|
|
·
|
Suitability
of the Notes for Investment
— You should reach a decision to invest in the
Notes only after carefully considering, with your advisors, the suitability of the Notes
in light of your investment objectives and the specific information set out in this free
writing prospectus, the prospectus supplement and the prospectus. Neither the Issuer
nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes
for investment.
|
|
|
·
|
The
Payment at Maturity on Your Notes Is Not Based on the Value of the Underlier at Any Time
Other Than the Averaging Dates
— The Final Underlier Value and the Underlier
Return will be based solely on the arithmetic average of the closing levels of the Underlier
on the Averaging Dates relative to the Initial Underlier Value (subject to adjustments
as described in the prospectus supplement). Therefore, if the value of the Underlier
drops precipitously on one or more of the Averaging Dates, the payment at maturity, if
any, that you will receive for your Notes may be significantly less than it would otherwise
have been had the payment at maturity been linked to the value of the Underlier at a
time prior to such drop or after the value of the Underlier has recovered. Although the
value of the Underlier on the Maturity Date or at other times during the life of your
Notes may be higher than the closing level on the Averaging Dates, you will not benefit
from the value of the Underlier at any time other than on the Averaging Dates.
|
|
|
·
|
Owning
the Notes Is Not the Same as Owning the Securities Composing the Underlier
—
The return on your Notes may not reflect the return you would realize if you actually
owned the securities composing the Underlier. For instance, as a holder of the Notes,
you will not have voting rights, rights to receive cash dividends or any other distributions
or other rights that holders of the securities composing the Underlier would have.
|
|
|
·
|
The
Underlier Reflects the Price Return of the Securities Composing the Underlier, Not the
Total Return
— The return on the Notes is based on the performance of the Underlier,
which reflects changes in the market prices of the securities composing the Underlier.
The Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing the
Underlier. Accordingly, the return on the Notes will not include such a total return
feature.
|
|
|
·
|
No
Direct Exposure to Fluctuations in Foreign Exchange Rates
— The value of your
Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and
the currency in which the securities composing the Underlier are denominated, although
any currency fluctuations could affect the performance of the Underlier. Therefore, if
the applicable currency appreciates or depreciates relative to the U.S. dollar over the
term of the Notes, you will not receive any additional payment with respect to the Notes.
|
|
|
·
|
Non-U.S.
Securities Markets Risks —
The securities composing the Underlier are issued
by non-U.S. companies in non-U.S. securities markets. Investments in securities linked
to the value of such non-U.S. equity securities, such as the Notes, involve risks associated
with the securities markets in the home countries of the issuers of those non-U.S. equity
securities, including risks of volatility in those markets, governmental intervention
in those markets and cross shareholdings in companies in certain countries. Also, there
is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of
the Securities and Exchange Commission, and generally non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements and securities
trading rules different from those applicable to U.S. reporting companies. The prices
of securities in non-U.S. markets may be affected by political, economic, financial and
social factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange laws.
|
|
|
·
|
Many
Economic and Market Factors Will Impact the Value of the Notes
— In addition
to the value of the Underlier on any day, the value of the Notes will be affected by
a number of economic and market factors that may either offset or magnify each other,
including:
|
|
|
o
|
the
expected volatility of the Underlier;
|
|
|
o
|
the
time to maturity of the Notes;
|
|
|
o
|
the
dividend rates on the securities composing the Underlier;
|
|
|
o
|
interest
and yield rates in the market generally;
|
|
|
o
|
supply
and demand for the Notes;
|
|
|
o
|
a
variety of economic, financial, political, regulatory and judicial events;
|
|
|
o
|
the
exchange rates relative to the U.S. dollar with respect to each of the currencies in
which the securities composing the Underlier trade; and
|
|
|
o
|
our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
|
·
|
The
Estimated Value of Your Notes Is Expected to Be Lower Than the Initial Issue Price of
Your Notes
— The estimated value of your Notes on the Pricing Date is expected
to be lower, and may be significantly lower, than the initial issue price of your Notes.
The difference between the initial issue price of your Notes and the estimated value
of the Notes 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 Notes, the estimated cost that we may incur in hedging
our obligations under the Notes, and estimated development and other costs that we may
incur in connection with the Notes.
|
|
|
·
|
The
Estimated Value of Your Notes 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 Notes on the Pricing 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.
|
|
|
·
|
The
Estimated Value of the Notes 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 Notes on the Pricing 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 Notes may not be consistent with those of other
financial institutions that may be purchasers or sellers of Notes in the secondary market.
As a result, the secondary market price of your Notes may be materially different from
the estimated value of the Notes determined by reference to our internal pricing models.
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|
|
·
|
The
Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell
Your Notes in the Secondary Market, if Any, and Such Secondary Market Prices, if Any,
Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than
the Estimated Value of Your Notes
— The estimated value of the Notes 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 Notes 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 Notes 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 Notes. Further, as secondary market prices of your Notes 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 Notes such as fees, commissions, discounts,
and the costs of hedging our obligations under the Notes, secondary market prices of
your Notes will likely be lower than the initial issue price of your Notes. As a result,
the price, at which Barclays Capital Inc., other affiliates of ours or third parties
may be willing to purchase the Notes from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Notes, 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 Notes 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 Notes
—
Assuming that all relevant factors remain constant after the Pricing Date, the price
at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market
(if Barclays Capital Inc. makes a market in the Notes, 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 Notes on
the Pricing Date, as well as the secondary market value of the Notes, for a temporary
period after the initial Issue Date of the Notes. The price at which Barclays Capital
Inc. may initially buy or sell the Notes 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 Notes.
|
|
|
·
|
We
and Our Affiliates May Engage in Various Activities or Make Determinations That Could
Materially Affect Your Notes in Various Ways and Create Conflicts of Interest
—
We and our affiliates establish the offering price of the Notes 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 Notes, could
present it with significant conflicts of interest with the role of Barclays Bank PLC,
as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may
derive compensation or financial benefit from the distribution of the Notes and such
compensation or financial benefit may serve as an incentive to sell these Notes 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 Notes. 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, basket underliers or constituents of the
underliers of the Notes. Such market making, trading activities, other investment banking
and financial services may negatively impact the value of the Notes. 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 Notes. We and our affiliates have no obligation to take
the needs of any buyer, seller or holder of the Notes into account in conducting these
activities.
|
|
|
·
|
The
U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain
— There is no direct legal authority regarding the proper U.S. federal income tax
treatment of the Notes, and we do not plan to request a ruling from the IRS. Consequently,
significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a
court might not agree with the treatment of the Notes as prepaid forward contracts. If
the IRS were successful in asserting an alternative treatment for the Notes, the tax
consequences of the ownership and disposition of the Notes could be materially and adversely
affected. In addition, as described above under “Tax Consequences,” 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 Notes, possibly with retroactive effect. You should review carefully
the sections of the accompanying prospectus supplement entitled “Material U.S.
Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated
as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder,
“—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor
regarding the U.S. federal tax consequences of an investment in the Notes (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.
|
The
STOXX
®
Europe 600 Index
The
Underlier contains the 600 largest stocks by free float market capitalization traded on the major exchanges of 18 European countries.
For more information about the Underlier, see “Annex—The STOXX
®
Europe 600 Index” below.
Historical
Information
The
following table sets forth the quarterly high, low and period-end closing levels for the Underlier, based on daily closing levels
of the Underlier. The graph below sets forth the performance of the Underlier from January 3, 2011 to July 25, 2016, based on
the daily closing levels of the Underlier. The closing level of the Underlier on July 25, 2016 was 340.93.
We
obtained the closing levels below from Bloomberg, without independent verification. Historical performance of the Underlier should
not be taken as an indication of future performance. Future performance of the Underlier may differ significantly from historical
performance, and no assurance can be given as to the closing level of the Underlier during the term of the Notes, including on
any of the Averaging Dates. We cannot give you assurance that the performance of the Underlier will result in the return of any
of your initial investment.
|
Quarter
Begin
|
|
Quarter
End
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
|
1/1/2011
|
|
3/31/2011
|
|
291.16
|
|
262.18
|
|
275.90
|
|
4/1/2011
|
|
6/30/2011
|
|
283.93
|
|
263.98
|
|
272.86
|
|
7/1/2011
|
|
9/30/2011
|
|
275.93
|
|
214.89
|
|
226.18
|
|
10/1/2011
|
|
12/31/2011
|
|
249.42
|
|
217.46
|
|
244.54
|
|
1/1/2012
|
|
3/31/2012
|
|
272.40
|
|
246.42
|
|
263.32
|
|
4/1/2012
|
|
6/30/2012
|
|
267.16
|
|
233.87
|
|
251.17
|
|
7/1/2012
|
|
9/30/2012
|
|
275.95
|
|
250.39
|
|
268.48
|
|
10/1/2012
|
|
12/31/2012
|
|
281.81
|
|
262.86
|
|
279.68
|
|
1/1/2013
|
|
3/31/2013
|
|
298.52
|
|
283.88
|
|
293.78
|
|
4/1/2013
|
|
6/30/2013
|
|
310.59
|
|
275.66
|
|
285.02
|
|
7/1/2013
|
|
9/30/2013
|
|
315.05
|
|
285.46
|
|
310.46
|
|
10/1/2013
|
|
12/31/2013
|
|
328.26
|
|
305.13
|
|
328.26
|
|
1/1/2014
|
|
3/31/2014
|
|
338.39
|
|
317.58
|
|
334.31
|
|
4/1/2014
|
|
6/30/2014
|
|
349.71
|
|
326.58
|
|
341.86
|
|
7/1/2014
|
|
9/30/2014
|
|
348.91
|
|
324.91
|
|
343.08
|
|
10/1/2014
|
|
12/31/2014
|
|
350.97
|
|
310.03
|
|
342.54
|
|
1/1/2015
|
|
3/31/2015
|
|
404.01
|
|
331.61
|
|
397.30
|
|
4/1/2015
|
|
6/30/2015
|
|
414.06
|
|
381.31
|
|
381.31
|
|
7/1/2015
|
|
9/30/2015
|
|
406.80
|
|
339.23
|
|
347.77
|
|
10/1/2015
|
|
12/31/2015
|
|
385.43
|
|
346.23
|
|
365.81
|
|
1/1/2016
|
|
3/31/2016
|
|
358.88
|
|
303.58
|
|
337.54
|
|
4/1/2016
|
|
6/30/2016
|
|
350.75
|
|
308.75
|
|
329.88
|
|
7/1/2016
|
|
7/25/2016*
|
|
340.93
|
|
318.76
|
|
340.93
|
* Information
for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through July 25, 2016. Accordingly, the
“Quarterly High,” “Quarterly Low” and “Quarterly Close” data indicated are for this shortened
period only and do not reflect complete data for the third calendar quarter of 2016.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Certain
Employee Retirement Income Security Act Considerations
Your
purchase of a Note in an Individual Retirement Account (an “IRA”), will be deemed to be a representation and warranty
by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the Issuer, the placement agent nor any of their
respective affiliates has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to
the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee
Retirement Income Security Act (“ERISA”)) with respect to any such IRA assets and (ii) in connection with the purchase
of the Note, the IRA will pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA)
and in connection with any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in
making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair
market value will be paid, and (y) made such determination acting in good faith.
Additional
Information Regarding Our Estimated Value of the Notes
The
final terms for the Notes will be determined on the date the Notes are initially priced for sale to the public (the “Pricing
Date”) based on prevailing market conditions on the Pricing 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 Pricing Date is based on our internal funding rates. Our estimated value of the Notes
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 Notes on the Pricing Date is expected to be less than the initial issue price of the Notes. The difference
between the initial issue price of the Notes and our estimated value of the Notes 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 Notes, the estimated cost that we may incur in hedging
our obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes.
Our
estimated value on the Pricing Date is not a prediction of the price at which the Notes may trade in the secondary market, nor
will it be the price at which Barclays Capital Inc. may buy or sell the Notes 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 Notes in the secondary
market but it is not obligated to do so.
Assuming
that all relevant factors remain constant after the Pricing Date, the price at which Barclays Capital Inc. may initially buy or
sell the Notes 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 Pricing Date for a temporary period expected
to be
approximately
three months after the initial Issue Date of the Notes because, in our discretion, we may elect to effectively reimburse to investors
a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes that we
will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary reimbursement
period on the basis of a number of factors, including the tenor of the Notes and any agreement we may have with the distributors
of the Notes. 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 Notes based on changes in market conditions and other factors that cannot be predicted.
We
urge you to read the “Selected Risk Considerations” beginning on page FWP-6 of this free writing prospectus.
You
may revoke your offer to purchase the Notes at any time prior to the Pricing Date. We reserve the right to change the terms of,
or reject any offer to purchase, the Notes prior to their Pricing Date. In the event of any changes to the terms of the Notes,
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.
Supplemental
Plan of Distribution
J.P.
Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the Notes pursuant to separate placement
agency agreements with the Issuer. The placement agents will forgo fees for sales to fiduciary accounts. The placement agents
will receive a fee from the Issuer or one of its affiliates that will not exceed $10.40 per Note.
Annex—The
STOXX
®
Europe 600 Index
We
have derived all information contained in this free writing prospectus regarding the STOXX
®
Europe 600 Index (the
“Underlier”), including, without limitation, its make-up, method of calculation and changes in its components, from
publicly available information, without independent verification. This information reflects the policies of, and is subject to
change by, STOXX Limited. The Underlier is calculated, maintained and published by STOXX Limited. STOXX Limited has no obligation
to continue to publish, and may discontinue publication of, the Underlier.
The
Underlier is calculated in euros and is reported by Bloomberg under the ticker symbol “SXXP.”
The
Underlier was created by STOXX Limited, a wholly owned subsidiary of Deutsche Börse AG. Publication of the Underlier began
on September 16, 1998, based on an initial Underlier value of 100 at December 31, 1991. The Underlier is disseminated on the STOXX
Limited website: http://www.stoxx.com, which sets forth, among other things, the country and industrial sector weightings of the
securities included in the Underlier and updates these weightings at the end of each quarter. Information contained in the STOXX
Limited website is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
Index
Composition
The
Underlier contains the 600 largest stocks by free float market capitalization traded on the major exchanges of 18 European countries.
The selection list is composed of each company’s most liquid stock with a minimum liquidity of greater than one million
EUR measured over 3-month average daily trading value and is ranked in terms of free-float market capitalization. From the selection
list, the largest 550 stocks qualify for selection. The remaining 50 stocks are selected from the largest remaining current components
ranked between 551 and 750. If the number of stocks selected is still below 600, the largest remaining stocks are selected until
there are enough stocks.
The
composition of the Underlier is reviewed quarterly, based on the closing stock data on the last trading day of the month following
the implementation of the last quarterly index review. The component stocks are announced on the fourth Tuesday of the month immediately
prior to the review implementation month. Changes to the component stocks are implemented after the close on the third Friday
in each of March, June, September and December and are effective the following trading day.
The
free float factors and weighting cap factors for each component stock used to calculate the Underlier, as described below, are
reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review.
Corporate
actions (including initial public offerings, mergers and takeovers, spin-offs, delistings and bankruptcy) that affect the Underlier
composition are immediately reviewed. Any changes are announced, implemented and effective in line with the type of corporate
action and the magnitude of the effect.
Index
Calculation
The
Underlier is calculated with the “Laspeyres formula,” which measures the aggregate price changes in the component
stocks against a fixed base quantity weight. The formula for calculating the Underlier value at any time can be expressed as follows:
|
Index =
|
free
float market capitalization of the Underlier
|
|
Divisor
|
The
“free float market capitalization of the Underlier” is equal to the sum of the products of the price, number of shares,
free float factor and weighting cap factor for each component stock as of the time the Underlier is being calculated.
All
components of the Underlier are subject to a 20% cap.
The
divisor for the Underlier is adjusted to maintain the continuity of the Underlier values despite changes due to corporate actions.
The following is a summary of the adjustments to any component stock made for corporate actions and the effect of such adjustment
on the divisor, where shareholders of the component stock will receive “B” number of shares for every “A”
share held (where applicable).
|
(1)
Special cash dividend:
Cash
distributions that are outside the scope of the regular dividend policy or that the company defines as an extraordinary
distribution
Adjusted
price = closing price – dividend announced by the company × (1 – withholding tax if applicable)
Divisor:
decreases
|
|
(2)
Split and reverse split:
Adjusted
price = closing price × A / B
New
number of shares = old number of shares × B / A
Divisor:
unchanged
|
|
(3)
Rights offering:
If
the subscription price is not available or if the subscription price is equal to or greater than the closing price on
the day before the effective date, then no adjustment is made.
Adjusted
price = (closing price × A + subscription price × B) / (A + B)
New
number of shares = old number of shares × (A + B)/ A
Divisor:
increases
|
|
(4)
Stock dividend:
Adjusted
price = closing price × A / (A + B)
New
number of shares = old number of shares × (A + B) / A
Divisor:
unchanged
|
(5)
S
tock dividend (from treasury stock):
Adjusted
only if treated as extraordinary dividend.
Adjusted
close = close – close × B / (A + B)
Divisor:
decreases
|
|
(6)
S
tock dividend of another company:
Adjusted
price = (closing price × A – price of other company × B) / A
Divisor:
decreases
|
(7)
Return of capital and share consolidation:
Adjusted
price = (closing price – capital return announced by company × (1-withholding tax)) × A / B
New
number of shares = old number of shares × B / A
Divisor:
decreases
|
|
(8)
R
epurchase of shares / self-tender:
Adjusted
price = ((price before tender × old number of shares) – (tender price × number of tendered shares))
/ (old number of shares – number of tendered shares)
New
number of shares = old number of shares – number of tendered shares
Divisor:
decreases
|
(9)
Spin-off:
Adjusted price = (closing price × A – price of spun-off shares × B) / A
Divisor:
decreases
|
|
(10)
Combination stock distribution (dividend or split) and rights offering:
For
this corporate action, the following additional assumptions apply:
Shareholders
receive B new shares from the distribution and C new shares from the rights offering for every A share held.
If
A is not equal to one share, all the following “new number of shares” formulae need to be divided by A:
|
|
-
If rights are applicable after stock distribution (one action applicable to other):
Adjusted
price = (closing price × A + subscription price × C × (1 + B / A)) / ((A + B) × ( 1 + C / A))
New
number of shares = old number of shares × ((A + B) × (1 + C / A)) / A
Divisor:
increases
|
-
If stock distribution is applicable after rights (one action applicable to other):
Adjusted
price = (closing price × A + subscription price × C) /((A + C) × (1 + B / A))
New
number of shares = old number of shares × ((A + C) × (1 + B / A))
Divisor:
increases
|
|
-
Stock distribution and rights (neither action is applicable to the other):
Adjusted
price = (closing price × A + subscription price × C) / (A + B + C)
New
number of shares = old number of shares × (A + B + C) / A
Divisor:
increases
|
|
(11)
Addition / deletion of a company:
No
price adjustments are made. The net change in market capitalization determines the divisor adjustment.
|
(12)
Free float and shares changes:
No
price adjustments are made. The net change in market capitalization determines the divisor adjustment.
|
|
|
|
|
License
Agreement
We
have entered into a non-exclusive license agreement with STOXX whereby we, in exchange for a fee, are permitted to use the Underlier
in connection with certain Notes, including the Notes. The license agreement between STOXX and us provides that the following
language must be set forth herein:
STOXX
and its licensors (the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of the Underlier
and the related trademarks for use in connection with the Notes.
STOXX
and its Licensors do
not
:
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|
·
|
Sponsor,
endorse, sell or promote the Notes.
|
|
|
·
|
Recommend
that any person invest in the Notes or any other Notes.
|
|
|
·
|
Have
any responsibility or liability for or make any decisions about the timing, amount or
pricing of the Notes.
|
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|
·
|
Have
any responsibility or liability for the administration, management or marketing of the
Notes.
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Consider
the needs of the Notes or the owners of the Notes in determining, composing or calculating the Underlier or have any obligation
to do so.
STOXX
and its Licensors will not have any liability in connection with the Notes. Specifically,
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·
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STOXX
and its Licensors do not make any warranty, express or implied and disclaim any and all
warranty about:
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o
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The
results to be obtained by the Notes, the owner of the Notes or any other person in connection
with the use of the Underlier and the data included in the Underlier;
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o
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The
accuracy or completeness of the Underlier and its data;
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o
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The
merchantability and the fitness for a particular purpose or use of the Underlier and
its data;
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STOXX
and its Licensors will have no liability for any errors, omissions or interruptions in the Underlier or its data;
Under
no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages
or losses, even if STOXX or its Licensors knows that they might occur.
The
licensing agreement between Barclays Bank PLC and STOXX is solely for their benefit and not for the benefit of the owners of the
Notes or any other third parties.