Pricing Supplement dated November 24, 2020
(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
|
| |
|
|
|
$74,000
Barrier
SuperTrackSM Notes due May 31,
2024
Linked
to the Least Performing of the S&P
500® Index, the Nasdaq-100 Index®
and the Dow Jones Industrial Average®
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: |
November 24,
2020 |
| Issue
Date: |
November 30,
2020 |
| Final
Valuation Date:* |
May 28,
2024 |
| Maturity
Date:* |
May 31,
2024 |
| Reference
Assets: |
The
S&P 500® Index (the “SPX Index”), the Nasdaq-100 Index® (the
“NDX Index”) and the Dow Jones Industrial Average® (the “INDU
Index”), as set forth in the following table: |
|
Reference Asset
|
Bloomberg Ticker
|
Initial Value
|
Barrier Value
|
|
SPX Index
|
SPX<Index>
|
3,635.41
|
2,544.79
|
|
NDX Index
|
NDX <Index>
|
12,079.81
|
8,455.87
|
|
INDU Index
|
INDU <Index>
|
30,046.24
|
21,032.37
|
| |
The SPX Index, the NDX Index and the INDU Index
are each referred to herein as a “Reference Asset” and,
collectively, as the “Reference Assets.” |
| Initial
Value: |
With
respect to each Reference Asset, its Closing Value on the Initial
Valuation Date, as set forth in the table above |
| Barrier
Value: |
With
respect to each Reference Asset, 70.00% 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, 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 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%
|
2.85%
|
97.15%
|
|
Total
|
$74,000
|
$74,000
|
$2,109
|
$71,891
|
|
(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 $971.50 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. |
|
(3) |
Barclays Capital Inc. will receive
commissions from the Issuer of $28.50 per $1,000 principal amount
Note. Barclays Capital Inc. will use these commissions to pay
selling concessions or fees (including custodial or clearing fees)
to other 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.
We may use this pricing supplement in the initial sale of Notes.
In addition, Barclays Capital Inc. or another of our affiliates may
use this pricing supplement in market resale transactions in any
Notes after their initial sale. Unless we or our agent informs you
otherwise in the confirmation of sale, this pricing supplement is
being used in a market resale transaction.
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
|
Upside Leverage Factor:
|
1.20
|
|
Least Performing Reference Asset:
|
The Reference Asset with the lowest Reference Asset Return, as
calculated in the manner set forth below
|
|
Reference Asset Return:
|
With respect to each Reference Asset, an amount calculated as
follows:
Final
Value – Initial Value
Initial Value
|
|
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:
|
06747QPY7 / US06747QPY79
|
|
* |
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.
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.
ADDITIONAL INFORMATION
REGARDING OUR ESTIMATED VALUE OF THE NOTES
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
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.
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 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 anticipate that the Final Value
of the Least Performing Reference Asset will be greater than its
Initial Value. |
|
· |
You understand and accept the risk
that the payment at maturity will be based solely on the
Reference Asset Return 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 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 the Least Performing Reference Asset will be less than its
Initial Value. |
|
· |
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 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 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 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.
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.
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 of each Reference Asset:
70.00* (70.00% of the hypothetical Initial Value set forth
above) |
|
* |
The hypothetical Initial Value of 100.00 for each
Reference Asset and the hypothetical Barrier Value of 70.00
for each Reference Asset have been chosen for illustrative purposes
only. The actual Initial Value and Barrier Value for each Reference
Asset are as set forth on the cover of this pricing
supplement. |
|
Final Value
|
|
Reference Asset Return
|
|
|
|
SPX
Index
|
NDX
Index
|
INDU
Index
|
|
SPX
Index
|
NDX
Index
|
INDU
Index
|
|
Reference Asset
Return of the
Least Performing
Reference Asset
|
Payment
at
Maturity**
|
Total
Return on
Notes
|
|
150.00
|
175.00
|
190.00
|
|
50.00%
|
75.00%
|
90.00%
|
|
50.00%
|
$1,600.00
|
60.00%
|
|
145.00
|
180.00
|
140.00
|
|
45.00%
|
80.00%
|
40.00%
|
|
40.00%
|
$1,480.00
|
48.00%
|
|
130.00
|
140.00
|
150.00
|
|
30.00%
|
40.00%
|
50.00%
|
|
30.00%
|
$1,360.00
|
36.00%
|
|
125.00
|
130.00
|
120.00
|
|
25.00%
|
30.00%
|
20.00%
|
|
20.00%
|
$1,240.00
|
24.00%
|
|
140.00
|
120.00
|
110.00
|
|
40.00%
|
20.00%
|
10.00%
|
|
10.00%
|
$1,120.00
|
12.00%
|
|
115.00
|
110.00
|
105.00
|
|
15.00%
|
10.00%
|
5.00%
|
|
5.00%
|
$1,060.00
|
6.00%
|
|
110.00
|
115.00
|
100.00
|
|
10.00%
|
15.00%
|
0.00%
|
|
0.00%
|
$1,000.00
|
0.00%
|
|
90.00
|
100.00
|
102.50
|
|
-10.00%
|
0.00%
|
2.50%
|
|
-10.00%
|
$1,000.00
|
0.00%
|
|
80.00
|
105.00
|
120.00
|
|
-20.00%
|
5.00%
|
20.00%
|
|
-20.00%
|
$1,000.00
|
0.00%
|
|
70.00
|
75.00
|
80.00
|
|
-30.00%
|
-25.00%
|
-20.00%
|
|
-30.00%
|
$1,000.00
|
0.00%
|
|
80.00
|
60.00
|
70.00
|
|
-20.00%
|
-40.00%
|
-30.00%
|
|
-40.00%
|
$600.00
|
-40.00%
|
|
50.00
|
55.00
|
60.00
|
|
-50.00%
|
-45.00%
|
-40.00%
|
|
-50.00%
|
$500.00
|
-50.00%
|
|
40.00
|
90.00
|
120.00
|
|
-60.00%
|
-10.00%
|
20.00%
|
|
-60.00%
|
$400.00
|
-60.00%
|
|
30.00
|
85.00
|
135.00
|
|
-70.00%
|
-15.00%
|
35.00%
|
|
-70.00%
|
$300.00
|
-70.00%
|
|
20.00
|
50.00
|
30.00
|
|
-80.00%
|
-50.00%
|
-70.00%
|
|
-80.00%
|
$200.00
|
-80.00%
|
|
10.00
|
25.00
|
20.00
|
|
-90.00%
|
-75.00%
|
-80.00%
|
|
-90.00%
|
$100.00
|
-90.00%
|
|
0.00
|
80.00
|
95.00
|
|
-100.00%
|
-20.00%
|
-5.00%
|
|
-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,
the Final Value of the NDX Index is 120.00 and the Final
Value of the INDU Index is 110.00.
Because the INDU Index has the lowest Reference Asset Return, the
INDU 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 $1,120.00 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% × 1.20] = $1,120.00
The total return on investment of the Notes is 12.00%.
Example
2: The Final Value of the SPX Index is 80.00,
the Final Value of the NDX Index is 105.00 and the Final
Value of the INDU Index is 120.00.
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 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%.
Example
3: The Final Value of the SPX Index is 40.00,
the Final Value of the NDX Index is 90.00 and the Final
Value of the INDU Index is 120.00.
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
20.00, the Final Value of the NDX Index is
50.00 and the Final Value of the INDU Index is
30.00.
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
$200.00 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 × -80.00%] = $200.00
The total return on investment of the Notes is -80.00%.
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.
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. To receive a positive return on your Notes at
maturity, the Final Value of each Reference Asset must be greater
than its Initial Value. If the Final Value of any Reference Asset
is less than its Barrier Value, you will be exposed to the full
decline in the Lesser Performing Reference Asset from its Initial
Value. Accordingly, your investment is subject to the market risk
of each Reference Asset. |
|
· |
The Payment at Maturity of the
Notes 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. 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,
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 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 between the
Reference Assets is not an indication of the future correlation
between 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 either Reference Asset. |
|
· |
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 reflect 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 the applicable 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
their 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 any 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 the Reference Assets
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 Non-U.S. Securities
Markets—Certain component securities of the NDX Index are
issued by non-U.S. companies in non-U.S. securities markets.
Investments in securities linked to 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 SEC, 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. |
|
· |
The Estimated Value of Your
Notes is Lower Than the Initial Issue Price of Your Notes—The
estimated value of your Notes on the Initial Valuation Date is
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. |
|
· |
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. |
|
· |
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. |
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 Values from January 2, 2015
through November 24, 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
Nasdaq-100 Index®
The
NDX Index is a modified market capitalization-weighted index of
stocks of the 100 largest non-financial companies listed on The
Nasdaq Stock Market. For more information about the NDX
Index, see “Indices—The Nasdaq-100 Index®” in the
accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical performance of the NDX
Index based on the daily Closing Values from January 2, 2015
through November 24, 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 Nasdaq-100
Index®
PAST PERFORMANCE
IS NOT INDICATIVE OF FUTURE RESULTS
Dow Jones Industrial Average®
The INDU Index is a price-weighted index that seeks to measure the
performance of 30 U.S. blue-chip companies and covers all
industries with the exception of transportation and utilities. For
more information about the INDU Index, see “Indices—The Dow Jones
Industrial Average®” in the accompanying underlying
supplement.
Historical Performance of the INDU Index
The graph below sets forth the historical performance of the INDU
Index based on the daily Closing Values from January 2, 2015
through November 24, 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 Dow Jones Industrial
Average®
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
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, our special
tax counsel is of the opinion that these regulations should 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. You should consult your tax advisor
regarding the potential application of Section 871(m) to
the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the “Agent”), and
the Agent has agreed to purchase from us, the principal amount of
the Notes, and at the price, specified on the cover of this pricing
supplement. The Agent commits to take and pay for all of the Notes,
if any are taken.
Validity of
the Notes
In the opinion of Davis
Polk & Wardwell LLP, as special United States products
counsel to Barclays Bank PLC, when the Notes offered by this
pricing supplement have been executed and issued by Barclays Bank
PLC and authenticated by the trustee pursuant to the indenture, and
delivered against payment as contemplated herein, such Notes will
be valid and binding obligations of Barclays Bank PLC, enforceable
in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith) and possible
judicial or regulatory actions giving effect to governmental
actions or foreign laws affecting creditors’ rights, provided that
such counsel expresses no opinion as to the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of
the date hereof and is limited to the laws of the State of New
York. Insofar as this opinion involves matters governed by English
law, Davis Polk & Wardwell LLP has relied, with Barclays
Bank PLC’s permission, on the opinion of Davis Polk &
Wardwell London LLP, dated as of August 3, 2020, filed as an
exhibit to a report on Form 6-K by Barclays Bank PLC on
August 3, 2020, and this opinion is subject to the same
assumptions, qualifications and limitations as set forth in such
opinion of Davis Polk & Wardwell London LLP. In addition,
this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture
and its authentication of the Notes and the validity, binding
nature and enforceability of the indenture with respect to the
trustee, all as stated in the letter of Davis Polk &
Wardwell LLP, dated August 3, 2020, which has been filed as an
exhibit to the report on Form 6-K referred to
above.
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