The information in
this preliminary pricing supplement is not complete and may be
changed. This preliminary pricing
supplement and the accompanying prospectus, prospectus
supplement, prospectus addendum, and underlying supplement do not
constitute an offer to sell the Notes, and
we are not soliciting an offer to buy the Notes in any state where
the offer or sale is not permitted.
Subject to
Completion
Preliminary
Pricing Supplement dated
July 8, 2020
Preliminary Pricing
Supplement
(To the Prospectus dated August 1, 2019, the Prospectus
Supplement dated August 1, 2019, the
Underlying Supplement dated August 1, 2019 and the Prospectus
Addendum dated May 11, 2020)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333–232144
|

|
$[·]
Barrier
SuperTrackSM Notes
due July 13, 2023
Linked to the
Least Performing of the S&P 500® Index
and
the S&P MidCap
400® Index
Global
Medium-Term Notes,
Series A
|
Terms
used in this pricing supplement, but not defined herein, shall have
the meanings ascribed to them in the prospectus
supplement.
Issuer:
|
Barclays Bank
PLC
|
Denominations:
|
Minimum denomination of
$1,000, and integral multiples of $1,000 in excess
thereof
|
Initial Valuation
Date:
|
July 10,
2020
|
Issue Date:
|
July 15,
2020
|
Final Valuation
Date:*
|
July 10,
2023
|
Maturity
Date:*
|
July 13,
2023
|
Reference
Assets:
|
The S&P
500® Index (the “SPX Index”) and
the S&P MidCap
400® Index (the “MID Index”), as set forth in the
following table:
|
|
|
|
|
|
|
|
|
|
Reference Asset
|
Bloomberg Ticker
|
Initial
Value
|
Barrier
Value
|
|
|
|
SPX Index
|
SPX
<Index>
|
[·]
|
[·]
|
|
|
|
MID Index
|
MID
<Index>
|
[·]
|
[·]
|
|
|
|
|
|
|
|
|
|
The SPX Index and the
MID Index are each referred to herein as a “Reference Asset” and,
collectively, as the “Reference Assets.”
|
Upside Leverage
Factor:
|
1.15
|
Initial
Value:
|
With respect to
each Reference Asset, the Closing Value on the Initial Valuation
Date, as set forth in the table above
|
Barrier
Value:
|
With respect to
each Reference Asset, 60.00% of its Initial Value (rounded to two
decimal places), as set forth in the table above
|
Final Value:
|
With respect to
each Reference Asset, the Closing Value on the Final Valuation
Date
|
Payment at
Maturity:
|
If you hold the Notes to maturity,
you will receive on the Maturity Date a cash payment per $1,000
principal amount Note that you hold determined as
follows:
§
If the Final Value of the
Least Performing Reference Asset is greater than or equal to
its Initial Value, you
will receive an amount per $1,000 principal amount Note
calculated as follows:
$1,000 + [$1,000 ×
Reference Asset Return of
the Least Performing Reference Asset × Upside Leverage Factor]
§
If the Final Value of the
Least Performing Reference Asset is less than its Initial
Value, but greater than or equal to its Barrier
Value, you will receive a payment of $1,000 per $1,000 principal
amount Note
§
If the Final Value of the
Least Performing Reference Asset is less than its Barrier
Value, you will receive an amount per $1,000 principal amount Note
calculated as follows:
$1,000 + [$1,000 ×
Reference Asset Return of
the Least Performing Reference Asset]
If
the Final Value of the Least Performing Reference Asset is less
than its Barrier Value, your Notes will be fully exposed to the decline
of the Least Performing Reference Asset from its Initial
Value. You may lose up to
100.00% of the principal amount of your Notes at
maturity.
Any payment
on the Notes 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 PS–2
of this pricing supplement) by the
relevant U.K.
resolution
authority. If
Barclays Bank PLC were to default on its payment obligations or
become subject to the exercise of any U.K.
Bail-in Power (or any other resolution measure)
by the relevant
U.K. resolution authority, you might not receive any amounts owed to you
under the Notes. See “Consent
to U.K.
Bail-in Power” and “Selected Risk
Considerations” in this pricing supplement and
“Risk Factors” in the accompanying prospectus supplement for
more information.
|
Consent to U.K. Bail-in
Power:
|
Notwithstanding
any other agreements, arrangements or understandings between
Barclays Bank PLC and any holder or beneficial owner of the Notes,
by acquiring the Notes, each holder and beneficial owner 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 PS–2 of this pricing supplement.
|
[Terms of the Notes
Continue on the Next Page]
|
|
Initial
Issue Price(1)(2)
|
|
Price
to Public
|
|
Agent’s Commission(3)
|
|
Proceeds to Barclays Bank
PLC
|
Per
Note
|
|
$1,000
|
|
100%
|
|
0.85%
|
|
99.15%
|
Total
|
|
$[·]
|
|
$[·]
|
|
$[·]
|
|
$[·]
|
(1)
Because dealers who purchase the
Notes for sale to certain fee-based advisory accounts may forgo
some or all selling concessions, fees or commissions, the public
offering price for investors purchasing the Notes in such fee-based
advisory accounts may be between $991.50 and $1,000 per
Note. Investors that
hold their Notes in fee-based advisory or trust accounts may be
charged fees by the investment advisor or manager of such account
based on the amount of assets held in those accounts, including the
Notes.
(2)
Our estimated value of the
Notes on the Initial Valuation Date, based on our internal pricing
models, is expected to be
between $901.60 and $961.60 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 PS–3 of this pricing
supplement.
(3)
Barclays Capital Inc. will
receive commissions from the Issuer of up to $8.50 per $1,000
principal amount Note. Barclays Capital Inc. will use these
commissions to pay variable selling concessions or fees (including
custodial or clearing fees) to other dealers. The actual commission
received by Barclays Capital Inc. will be equal to the selling
concession paid to such dealers.
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 PS–8 of
this pricing supplement.
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 pricing supplement 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.
Terms of the
Notes, Continued
Reference Asset
Return:
|
With respect to
each Reference Asset, an amount calculated as follows:
Final Value – Initial
Value
Initial Value
|
Least Performing
Reference Asset:
|
The Reference
Asset with the lowest Reference Asset Return, as calculated in the
manner set forth above
|
Closing
Value:
|
The term
“Closing Value” means the closing level of the applicable Reference
Asset, as further described under “Reference Assets—Indices—Special
Calculation Provisions” in the prospectus supplement, rounded to
two decimal places (if applicable).
|
Calculation
Agent:
|
Barclays Bank
PLC
|
CUSIP / ISIN:
|
06747QAB3 /
US06747QAB32
|
*
Subject
to postponement,
as described under “Additional Terms of the Notes”
in this pricing supplement

ADDITIONAL DOCUMENTS RELATED
TO THE OFFERING OF THE NOTES
You should
read this pricing supplement together with the prospectus dated
August 1, 2019, as supplemented by the documents listed below,
relating to our Global Medium-Term Notes, Series A, of which
these Notes are a part. This pricing supplement, 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 and “Selected Risk Considerations” in this
pricing 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):
·
Prospectus dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
·
Prospectus Supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
·
Underlying Supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010191/dp110497_424b2-underlying.htm
·
Prospectus Addendum dated May 11, 2020:
https://www.sec.gov/Archives/edgar/data/312070/000110465920059376/a20-19169_1424b3.htm
Our SEC file
number is 1–10257. As used in this pricing supplement, “we,” “us”
or “our” refers to Barclays Bank PLC.
PS-1
CONSENT TO
U.K. BAIL-IN POWER
Notwithstanding any other
agreements, arrangements or understandings between us and any
holder or beneficial owner of the Notes, by acquiring the Notes,
each holder and beneficial owner 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 a 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 or beneficial owner 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 and beneficial
owner of the Notes further acknowledges and agrees that the rights
of the holders or beneficial owners 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 or beneficial
owners 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 “Selected Risk Considerations—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 pricing supplement 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.
PS-2
ADDITIONAL
INFORMATION REGARDING OUR ESTIMATED VALUE OF THE
NOTES
The range of the estimated values
of the Notes referenced above may not correlate on a linear basis
with the range of any other term of the Notes as may be set forth
in this pricing supplement. We determined the size of such range
based on prevailing market conditions, as well as the anticipated
duration of the marketing period for the Notes. The final terms for
the Notes will be determined on the date the Notes are initially
priced for sale to the public, which we refer to as the Initial
Valuation Date, based on prevailing market conditions on or prior
to the Initial Valuation 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 Initial Valuation Date is based on our
internal funding rates. Our estimated value of the Notes may 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 Initial Valuation 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 a result
of several factors, including any sales commissions to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees (including any
structuring or other distribution related fees) 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 which we may incur in
hedging our obligations under the Notes, and estimated development
and other costs which we may incur in connection with the
Notes.
Our estimated value on the Initial
Valuation 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 Initial Valuation
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 Initial Valuation Date for a temporary period expected
to be approximately six months after the Issue Date 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 which 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, which may include the
tenor of the Notes and/or any agreement we may have with the
distributors of the Notes. The amount of our estimated costs which
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 PS–8 of this
pricing supplement.
You may revoke your offer to
purchase the Notes at any time prior to the Initial Valuation
Date. We reserve the right to change the terms
of, or reject any offer to purchase, the Notes prior
to the Initial Valuation 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.
PS-3
SELECTED PURCHASE
CONSIDERATIONS
The Notes are not
suitable for all investors. The Notes may be a suitable investment
for you if all of the following statements are true:
·
You do not seek an investment that produces periodic interest or
coupon payments or other sources of current income.
·
You anticipate that the Final Value of the Least Performing
Reference Asset will be greater than its Barrier Value.
·
You can tolerate a loss of some or all of the principal amount of
your Notes, and you are willing and able to make an investment that
may have the full downside market risk of an investment in the
Least Performing Reference Asset.
·
You are willing and able to accept the individual market risk of
each Reference Asset and understand that any decline in the value
of one Reference Asset will not be offset or mitigated by a lesser
decline or any potential increase in the value of any other
Reference Asset.
·
You understand and accept the risk that the payment at maturity
will be based solely on the performance of the Least
Performing Reference Asset.
·
You understand and are willing and able to accept the risks
associated with an investment linked to the performance of the
Reference Assets.
·
You understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of any
Reference Asset or any securities to which any Reference Asset
provides exposure, nor will you have any voting rights with respect
to any Reference Asset or any securities to which any Reference
Asset provides exposure.
·
You can tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside
fluctuations in the value of the Reference Assets.
·
You do not seek an investment for which there will be an active
secondary market, and you are willing and able to hold the Notes to
maturity.
·
You are willing and able to assume our credit risk for all payments
on the Notes.
·
You are willing and able to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
The Notes may
not be a suitable investment for you if any of the
following statements are true:
·
You seek an investment that produces periodic interest or coupon
payments or other sources of current income.
·
You do not anticipate that the Final Value of the Least Performing
Reference Asset will be greater than its Barrier Value.
·
You seek an investment that provides for the full repayment of
principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose some or all of the principal amount of
your Notes in the event that the Final Value of the Least
Performing Reference Asset falls below its Barrier Value.
·
You anticipate that the Final Value of at least one Reference Asset
be less than its Barrier Value on the Final Valuation Date.
·
You are unwilling or unable to accept the risk that the negative
performance of any one Reference Asset may cause you to earn
no positive return or to suffer a loss of principal at maturity,
regardless of the performance of the other Reference Asset.
·
You are unwilling or unable to accept the individual market risk of
each Reference Asset and/or do not understand that any decline in
the value of one Reference Asset will not be offset or mitigated by
a lesser decline or any potential increase in the value of any
other Reference Asset.
·
You seek an investment that entitles you to dividends or
distributions on, or voting rights related to any Reference Asset
or any securities to which any Reference Asset provides
exposure.
·
You cannot tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside
fluctuations in the value of the Reference Assets.
·
You do not understand and/or are unwilling or unable to accept the
risks associated with an investment linked to the performance of
the Reference Assets.
·
You seek an investment for which there will be an active secondary
market, and/or you are unwilling or unable to hold the Notes to
maturity.
·
You prefer the lower risk, and therefore accept the potentially
lower returns, of fixed income investments with comparable
maturities and credit ratings.
·
You are unwilling or unable to assume our credit risk for all
payments on the Notes.
·
You are unwilling or unable to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
You must
rely on your own evaluation of the merits of an investment in the
Notes. You should reach a decision whether to invest
in the Notes 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 pricing supplement and the
documents referenced under “Additional Documents Related to the
Offering of the Notes” in this pricing supplement. Neither the
Issuer nor Barclays Capital Inc. makes any recommendation as to the
suitability of the Notes for investment.
PS-4
ADDITIONAL TERMS OF THE
NOTES
The
Final Valuation Date and the Maturity Date are subject to
postponement in certain circumstances, as described under
“Reference Assets—Indices—Market Disruption Events for Securities
with an Index of Equity Securities as a Reference Asset,”
“Reference Assets—Least or Best Performing Reference
Asset—Scheduled Trading Days and Market Disruption Events for
Securities Linked to the Reference Asset with the Lowest or Highest
Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” and “Terms of the
Notes—Payment Dates” in the accompanying prospectus
supplement.
In addition,
the Reference Assets and the Notes are subject to adjustment by the
Calculation Agent under certain circumstances, as described under
“Reference Assets—Indices—Adjustments Relating to Securities with
an Index as a Reference Asset” in the accompanying prospectus
supplement.
PS-5
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE AT MATURITY
The following
table illustrates the hypothetical payment at maturity under
various circumstances. The “total return” as used in these examples
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 hypothetical total returns set forth below are for
illustrative purposes only and may not be the actual total returns
applicable to a purchaser of the Notes. The numbers appearing in
the following table and examples have been rounded for ease of
analysis. The hypothetical examples below do not take into account
any tax consequences from investing in the Notes and make the
following key assumptions:
§
Hypothetical Initial Value of each Reference Asset: 100.00
*
§
Hypothetical Barrier Value for each Reference Asset: 60.00
(60.00% of the hypothetical Initial Value set forth above)*
*
The hypothetical Initial
Value of 100.00 and the hypothetical Barrier Value of 60.00 for
each Reference Asset have been chosen for illustrative purposes
only and do not represent likely Initial Values or Barrier Values
for any Reference Asset. The actual Initial Value for each
Reference Asset will be equal to its Closing Value on the Initial
Valuation Date and the actual Barrier Value for each Reference
Asset will be equal to 60.00% of its Initial Value.
For
information regarding recent values of the Reference Assets, please
see “Information Regarding the Reference Assets” in this pricing
supplement.
Final
Value
|
|
Reference Asset
Return
|
|
|
SPX
Index
|
MID
Index
|
|
SPX
Index
|
MID
Index
|
|
Reference Asset Return
of the Least Performing
Reference Asset
|
Payment
at
Maturity**
|
Total
Return on
Notes
|
150.00
|
190.00
|
|
50.00%
|
90.00%
|
|
50.00%
|
$1,575.00
|
57.50%
|
145.00
|
140.00
|
|
45.00%
|
40.00%
|
|
40.00%
|
$1,460.00
|
46.00%
|
130.00
|
150.00
|
|
30.00%
|
50.00%
|
|
30.00%
|
$1,345.00
|
34.50%
|
125.00
|
120.00
|
|
25.00%
|
20.00%
|
|
20.00%
|
$1,230.00
|
23.00%
|
140.00
|
110.00
|
|
40.00%
|
10.00%
|
|
10.00%
|
$1,115.00
|
11.50%
|
115.00
|
105.00
|
|
15.00%
|
5.00%
|
|
5.00%
|
$1,057.50
|
5.75%
|
110.00
|
100.00
|
|
10.00%
|
0.00%
|
|
0.00%
|
$1,000.00
|
0.00%
|
90.00
|
102.50
|
|
-10.00%
|
2.50%
|
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
120.00
|
|
-20.00%
|
20.00%
|
|
-20.00%
|
$1,000.00
|
0.00%
|
95.00
|
70.00
|
|
-5.00%
|
-30.00%
|
|
-30.00%
|
$1,000.00
|
0.00%
|
105.00
|
60.00
|
|
5.00%
|
-40.00%
|
|
-40.00%
|
$1,000.00
|
0.00%
|
50.00
|
120.00
|
|
-50.00%
|
20.00%
|
|
-50.00%
|
$500.00
|
-50.00%
|
40.00
|
135.00
|
|
-60.00%
|
35.00%
|
|
-60.00%
|
$400.00
|
-60.00%
|
40.00
|
30.00
|
|
-60.00%
|
-70.00%
|
|
-70.00%
|
$300.00
|
-70.00%
|
40.00
|
20.00
|
|
-60.00%
|
-80.00%
|
|
-80.00%
|
$200.00
|
-80.00%
|
10.00
|
95.00
|
|
-90.00%
|
-5.00%
|
|
-90.00%
|
$100.00
|
-90.00%
|
102.00
|
0.00
|
|
2.00%
|
-100.00%
|
|
-100.00%
|
$0.00
|
-100.00%
|
**
per $1,000 principal amount
Note
The following examples
illustrate how the payments at maturity set forth in the table
above are calculated:
Example 1: The
Final Value of the SPX Index is
140.00 and the Final Value
of the MID Index is 110.00.
Because the
MID Index has the lowest Reference Asset Return, the MID Index is
the Least Performing Reference Asset. Because the Final Value of
the Least Performing Reference Asset is greater than or equal to
its Initial Value, you will receive a payment at maturity of
$1,115.00 per $1,000 principal amount Note that you hold,
calculated as follows:
$1,000 + [$1,000 ×
Reference Asset Return of the Least Performing Reference Asset ×
Upside Leverage Factor]
$1,000 + [$1,000 ×
10.00% × 1.15] = $1,115.00
The total return on
investment of the Notes is 11.50%.
Example 2: The
Final Value of
the SPX Index
is
90.00 and
the Final Value of the MID Index
is 102.50.
Because the SPX Index has the lowest Reference
Asset Return, the SPX Index is the Least Performing Reference
Asset. Because the Final Value of the Least Performing
Reference Asset is less than its Initial Value but greater than or
equal to its Barrier Value, you will receive a payment at maturity
of $1,000.00 per $1,000 principal amount Note that you hold.
The total return
on investment of the Notes is 0.00%.
PS-6
Example 3: The
Final Value of
the SPX Index
is
40.00 and
the Final Value of the MID Index
is 135.00.
Because the SPX Index has the lowest Reference
Asset Return, the SPX Index is the Least Performing Reference
Asset. Because the Final Value of the Least Performing
Reference Asset is less than its Barrier Value, you will receive a payment at maturity of
$400.00 per $1,000 principal amount Note that you hold,
calculated as follows:
$1,000 + [$1,000 × Reference
Asset Return of the Least Performing Reference Asset]
$1,000 + [$1,000 ×
-60.00%] =
$400.00
The total return
on investment of the Notes is -60.00%.
Example 4: The
Final Value of
the SPX Index
is 40.00 and the Final Value of the MID Index
is 30.00.
Because the MID Index has the lowest Reference
Asset Return, the MID Index is the Least Performing Reference
Asset. Because the Final Value of the Least Performing
Reference Asset is less than its Barrier Value, you will receive a payment at maturity of
$300.00 per $1,000 principal amount Note that you hold,
calculated as follows:
$1,000 + [$1,000 × Reference
Asset Return of the Least Performing Reference Asset]
$1,000 + [$1,000 ×
-70.00%] =
$300.00
The total return
on investment of the Notes is -70.00%.
Each example
above demonstrates that the payment at maturity on your Notes will
be calculated solely based on the Reference Asset Return of
the Least Performing Reference Asset.
Examples 3 and 4 demonstrate that, if the Final
Value of the Least Performing Reference Asset is less than its
Barrier Value, your investment in the Notes will be fully exposed
to the decline of the Least Performing Reference Asset from its
Initial Value. You will not benefit in any way from the
Reference Asset Return of any other Reference Asset being higher
than the Reference Asset Return of the Least Performing Reference
Asset.
You may lose
up to 100.00% of the principal amount of your Notes. Any payment on
the Notes is subject to the credit risk of Barclays Bank
PLC.
PS-7
SELECTED RISK
CONSIDERATIONS
An investment in the
Notes involves significant risks. Investing in the Notes is not
equivalent to investing directly in the Reference Assets or their
components, if any. Some of the risks that apply to an investment
in the Notes are summarized below, but we urge you to read the more
detailed explanation of risks relating to the Notes generally in
the “Risk Factors” section of the prospectus supplement. You should
not purchase the Notes unless you understand and can bear the risks
of investing in the Notes.
· Your
Investment in the Notes May Result in a Significant
Loss—The Notes differ from ordinary debt securities in that the
Issuer will not necessarily repay the full principal amount of the
Notes at maturity. If the Final Value of the Least Performing
Reference Asset is less than its Barrier Value, your Notes will be
fully exposed to the decline of the Least Performing Reference
Asset from its Initial Value. You
may lose up to 100.00% of the principal amount of your
Notes.
· You
Are Exposed to the Market Risk of Each Reference Asset—Your
return on the Notes is not linked to a basket consisting of the
Reference Assets. Rather, it will be contingent upon the
independent performance of each Reference Asset. Unlike an
instrument with a return linked to a basket of underlying assets in
which risk is mitigated and diversified among all the components of
the basket, you will be exposed to the risks related to each
Reference Asset. Poor performance by any Reference Asset over the
term of the Notes may negatively affect your return and will not be
offset or mitigated by any increases or lesser declines in the
value of the other Reference Asset. If the Final Value of any
Reference Asset is less than its Barrier Value, you will be exposed
to the full decline in the Least Performing Reference Asset from
its Initial Value. Accordingly, your investment is subject to the
market risk of each Reference Asset.
· The
Payment at Maturity, If Any, is Based Solely on
the Closing Value of the Least Performing Reference Asset on the
Final Valuation Date—The Final Value of any Reference Asset
will be based solely on its Closing Value on the Final
Valuation Date, and your payment at maturity will be determined
based solely on the performance of the Least Performing Reference
Asset from the Initial Valuation Date to the Final Valuation Date.
Accordingly, if the value of the Least Performing Reference Asset
drops on the Final Valuation Date, the payment at maturity on the
Notes may be significantly less than it would have been had it been
linked to the value of the Reference Asset at any time prior to
such drop.
· 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 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 may not receive any amounts owed
to you under the terms of the Notes.
· 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 or beneficial owner of the Notes, by
acquiring the Notes, each holder and beneficial owner 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 pricing supplement. Accordingly, any U.K. Bail-in Power may be
exercised in such a manner as to result in you and other holders
and beneficial owners 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 and the beneficial owners 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 senior debt
securities 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 pricing supplement 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.
· Owning
the Notes is Not the Same as Owning Any Reference Asset or Any
Securities to which Any Reference Asset Provides Exposure—The
return on the Notes may not reflect the return you would realize if
you actually owned any Reference Asset or any securities to which
any Reference Asset provides exposure. As a holder of the Notes,
you will not have voting rights or rights to receive dividends or
other distributions or any other rights that holders of any
Reference Asset or any securities to which any Reference Asset
provides exposure may have.
· Historical
Performance of the Reference Assets Should Not Be Taken as Any
Indication of the Future Performance of the Reference Assets Over
the Term of the Notes—The value of each Reference Asset has
fluctuated in the past and may, in the future, experience
significant fluctuations. The historical performance of a Reference
Asset is not an indication of the future performance of that
Reference Asset over the term of the Notes. The historical
correlation among the Reference Assets is not an indication of the
future correlation among them over the term of the Notes.
Therefore, the performance of the Reference Assets individually or
in comparison to each other over the term of the Notes may bear no
relation or resemblance to the historical performance of any
Reference Asset.
PS-8
· Each
Reference Asset Reflects the Price Return of the Securities
Composing that Reference Asset, Not the Total Return—The return
on the Notes is based on the performance of the Reference Assets,
which reflects changes in the market prices of the securities
composing the Reference Assets. The Reference Assets are not “total
return” indices that, in addition to reflecting those price
returns, would also reflect dividends paid on the securities
composing that Reference Asset. Accordingly, the return on the
Notes will not include such a total return feature.
· Adjustments
to Any Reference Asset Could Adversely Affect the Value of the
Notes—The sponsor of any Reference Asset may add, delete,
substitute or adjust the securities composing that Reference Asset
or make other methodological changes to that Reference Asset that
could affect its value. The Calculation Agent will calculate the
value to be used as the Closing Value of that Reference Asset in
the event of certain material changes in or modifications to that
Reference Asset. In addition, the sponsor of any Reference Asset
may also discontinue or suspend calculation or publication of that
Reference Asset at any time. Under these circumstances, the
Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to that Reference Asset or, if no
successor index is available, the Calculation Agent will determine
the value to be used as the Closing Value of that Reference Asset.
Any of these actions could adversely affect the value of any
Reference Asset and, consequently, the value of the Notes. See
“Reference Assets—Indices—Adjustments Relating to Securities with
an Index as a Reference Asset” in the accompanying prospectus
supplement.
· The
Notes Are Subject to Risks Associated with Mid
Capitalization Stocks—The MID Index tracks companies that are
considered mid-capitalization companies. These companies often have
greater stock price volatility, lower trading volume and less
liquidity than large-capitalization companies, and therefore
securities linked to the MID Index may be more volatile than an
investment linked to an index with component stocks issued by
large-capitalization companies. Stock prices of mid-capitalization
companies are also more vulnerable than those of
large-capitalization companies to adverse business and economic
developments. In addition, mid-capitalization companies are
typically less stable financially than large-capitalization
companies and may depend on a small number of key personnel, making
them more vulnerable to loss of personnel. Mid-capitalization
companies are often subject to less analyst coverage and may be in
early, and less predictable, periods of their corporate existences.
Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer
financial resources and less competitive strengths than
large-capitalization companies and are more susceptible to adverse
developments related to their products.
· 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 Initial Valuation 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 a result of certain
factors, such as any sales commissions to be paid to Barclays
Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees (including any structuring or other
distribution related fees) 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 which we may incur in hedging our obligations
under the Notes, and estimated development and other costs which 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 Initial Valuation 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 value referenced above might be lower if such estimated
value 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 Initial
Valuation 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 which 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.
· 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.
PS-9
· 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 Initial Valuation 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 Initial Valuation 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 the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates
play a variety of roles in connection with the issuance of the
Notes, as described below. In performing these roles, our and our
affiliates’ economic interests are potentially adverse to your
interests as an investor in the Notes.
In
connection with our normal business activities and in connection
with hedging our obligations under the Notes, we and our affiliates
make markets in and trade various financial instruments or products
for our accounts and for the account of our 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,
derivative instruments or assets that may relate to the Reference
Assets or their components, if any. In any such market making,
trading and hedging activity, and other financial 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. Such market making, trading
and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent
for the Notes, could present 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
incentive to sell the Notes instead of other
investments. Furthermore, 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.
In
addition to the activities described above, we will also act as the
Calculation Agent for the Notes. As Calculation Agent, we will
determine any values of the Reference Assets and make any other
determinations necessary to calculate any payments on the
Notes. In making these determinations, the Calculation Agent
may be required to make discretionary judgements relating to the
Reference Assets, including determining whether a market disruption
event has occurred or whether certain adjustments to the Reference
Assets or other terms of the Notes are necessary, as further
described in the accompanying prospectus supplement. In making
these discretionary judgments, our economic interests are
potentially adverse to your interests as an investor in the Notes,
and any of these determinations may adversely affect any payments
on the Notes.
· 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 willing and able to hold your Notes to maturity.
· 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 Internal
Revenue Service (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, as described below under “Tax Considerations.”
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, in 2007 the 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.
PS-10
· Many
Economic and Market Factors Will Impact the Value of the
Notes—The value of the Notes will be affected by a number of
economic and market factors that interact in complex and
unpredictable ways and that may either offset or magnify each
other, including:
o the
market price of, dividend rate on and expected volatility of the
Reference Assets or the components of the Reference Assets, if
any;
o correlation
(or lack of correlation) of the Reference Assets;
o the time
to maturity of the Notes;
o interest
and yield rates in the market generally;
o a variety
of economic, financial, political, regulatory or judicial
events;
o supply
and demand for the Notes; and
o our
creditworthiness, including actual or anticipated downgrades in our
credit ratings.
PS-11
INFORMATION REGARDING THE
REFERENCE ASSETS
S&P
500® Index
The SPX Index
consists of stocks of 500 companies selected to provide a
performance benchmark for the U.S. equity markets. For more
information about the SPX Index, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Performance of the
SPX Index
The
graph below sets forth the historical performance of the SPX
Index based on the daily Closing Value from January 2, 2015
through July 2, 2020. We obtained the Closing Values shown in
the graph below from Bloomberg Professional® service
(“Bloomberg”). We have not independently verified the accuracy or
completeness of the information obtained from Bloomberg.
Historical Performance of the
S&P 500® Index

PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-12
S&P MidCap
400® Index
The MID Index is
designed to track the performance of the medium market
capitalization segment of the U.S. equity market. For more
information about the MID Index, please see “Indices—The S&P
U.S. Indices” in the accompanying index supplement.
Historical Performance of the
MID Index
The
graph below sets forth the historical performance of the
MID Index based on
the daily Closing Value from January 2, 2015 through
July 2, 2020. We obtained the Closing Values shown in the
graph below from Bloomberg. We have not independently verified the
accuracy or completeness of the information obtained from
Bloomberg.
Historical Performance of the
S&P MidCap 400® Index

PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-13
TAX
CONSIDERATIONS
You should
review carefully the sections in 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.” 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.
Based on current market conditions, in the
opinion of our special tax counsel, it is reasonable to treat the
Notes for U.S. federal income tax purposes as prepaid forward
contracts with respect to the Reference Assets. Assuming
this treatment is respected, upon a sale or exchange of the Notes
(including redemption at maturity), you should recognize capital
gain or loss equal to the difference between the amount realized on
the sale or exchange and your tax basis in the Notes, which should
equal the amount you paid to acquire the Notes. This 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 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.
Treasury
regulations under Section 871(m) generally impose a
withholding tax on certain “dividend equivalents” under certain
“equity linked instruments.” A recent IRS notice excludes from the
scope of Section 871(m) instruments issued prior to
January 1, 2023 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for
U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of
one” within the meaning of the regulations, we expect that these
regulations will not apply to the Notes with regard to non-U.S.
holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is
complex and its application may depend on your particular
circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further
information regarding the potential application of
Section 871(m) will be provided in the pricing supplement
for the Notes. You should consult your tax advisor regarding the
potential application of Section 871(m) to the
Notes.
PS-14
SUPPLEMENTAL PLAN
OF DISTRIBUTION
We will agree to sell to Barclays
Capital Inc. (the “Agent”), and the Agent will agree to purchase
from us, the principal amount of the Notes, and at the price,
specified on the cover of this pricing supplement. The Agent will
commit to take and pay for all of the Notes, if any are
taken.
PS-15
iPath Series B S&P 500 V... (AMEX:VXX)
Historical Stock Chart
From Dec 2020 to Jan 2021
iPath Series B S&P 500 V... (AMEX:VXX)
Historical Stock Chart
From Jan 2020 to Jan 2021