|
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 supplement 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. Dated March
5, 2021
|
|
Pricing Supplement dated March , 2021
Barclays Bank PLC Trigger Callable Contingent Yield Notes (daily
coupon observation)
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-232144
|
Linked to the least performing of the Nasdaq-100
Index®, the Russell 2000® Index and the
S&P 500® Index due on or about December 7,
2023
The
Trigger Callable Contingent Yield Notes (the “Notes”) are unsecured
and unsubordinated debt obligations issued by Barclays Bank PLC
(the “Issuer”) linked to the least performing of the Nasdaq-100
Index®, the Russell 2000® Index and the
S&P 500® Index (each an “Underlying” and together
the “Underlyings”). On a quarterly basis, unless the Notes have
been previously called, the Issuer will pay you a coupon (the
“Contingent Coupon”) if the Closing Level of each Underlying is
greater than or equal to its specified Coupon Barrier on each
scheduled trading day during the applicable Observation Period.
However,
if the Closing Level of any Underlying is less than its Coupon
Barrier on any scheduled trading day during an Observation Period,
no Contingent Coupon payment will be made with respect to that
Observation Period. The Issuer may, at its election,
call the Notes on any quarterly Observation End Date other than the
Final Valuation Date, regardless of the Closing Level of any
Underlying on that Observation End Date. If the Issuer elects to
call the Notes prior to maturity, the Issuer will pay the principal
amount of your Notes plus any Contingent Coupon that may be due on
the Coupon Payment Date that is also the Call Settlement Date, and
no further amounts will be owed to you under the Notes. If the
Issuer does not elect to call the Notes prior to maturity and the
Closing Level of each Underlying on the Final Valuation Date (the
“Final Underlying Level”) is greater than or equal to its specified
Downside Threshold, the Issuer will pay you a cash payment at
maturity equal to the principal amount of your Notes plus
any Contingent Coupon that may be due on the Coupon Payment Date
that is also the Maturity Date. However, if the Final Underlying
Level of any Underlying is less than its Downside Threshold, the
Issuer will pay you a cash payment at maturity that is less than
the principal amount, if anything, resulting in a percentage loss
of principal equal to the negative Underlying Return of the
Underlying with the lowest Underlying Return (the “Least Performing
Underlying”). In this case, you will have full downside exposure to
the Least Performing Underlying from its Initial Underlying Level
to its Final Underlying Level, and could lose all of your
principal. Investing in the
Notes involves significant risks. You may lose a significant
portion or all of your principal. You may receive few or no
Contingent Coupons during the term of the Notes. You will be
exposed to the market risk of each Underlying on each scheduled
trading day during the Observation Periods and any decline in the
level of one Underlying may negatively affect your return and will
not be offset or mitigated by a lesser decline or any potential
increase in the level of the other Underlyings. The Final
Underlying Level of each Underlying is observed relative to its
Downside Threshold only on the Final Valuation Date, and the
contingent repayment of principal applies only if you hold the
Notes to maturity. Generally, the higher the Contingent Coupon Rate
on a Note, the greater the risk of loss on that Note. Your return
potential on the Notes is limited to any Contingent Coupons paid on
the Notes, and you will not participate in any appreciation of any
Underlying. Any payment on the Notes, including any repayment of
principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party. If Barclays Bank PLC were
to default on its payment obligations or become subject to the
exercise of any U.K. Bail-in Power (as described on page PS-4 of
this pricing supplement) 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” in this pricing supplement and
“Risk Factors” in the accompanying prospectus
supplement.
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q Contingent
Coupon: Unless the Notes have been previously called,
the Issuer will pay you a Contingent Coupon with respect to each
Observation Period if the Closing Level of each Underlying is
greater than or equal to its Coupon Barrier on each scheduled
trading day during that Observation Period. However, if the
Closing Level of any Underlying is less than its Coupon Barrier on
any scheduled trading day during an Observation Period, no
Contingent Coupon payment will be made with respect to that
Observation Period.
q Issuer
Call: The Issuer may, at its election and upon written
notice to the trustee, call the Notes on any quarterly Observation
End Date other than the Final Valuation Date, regardless of the
Closing Level of any Underlying on that Observation End Date. If
the Notes are called, the Issuer will pay the principal amount of
your Notes plus any Contingent Coupon that may be due on the
Coupon Payment Date that is also the Call Settlement Date, and no
further amounts will be owed to you under the Notes.
q Downside
Exposure with Contingent Repayment of Principal at
Maturity: If the Notes are not called and the Final
Underlying Level of each Underlying is greater than or equal to its
Downside Threshold, the Issuer will pay you a cash payment at
maturity equal to the principal amount of your Notes plus any
Contingent Coupon that may be due on the Coupon Payment Date that
is also the Maturity Date. However, if the Final Underlying Level
of any Underlying is less than its Downside Threshold, the Issuer
will repay less than your principal amount, if anything, resulting
in a percentage loss of principal equal to the negative Underlying
Return of the Least Performing Underlying. The contingent repayment
of principal applies only if you hold the Notes to maturity. Any
payment on the Notes, including any repayment of principal, is
subject to the creditworthiness of Barclays Bank PLC.
|
| Trade
Date: |
March 5,
2021 |
| Settlement Date: |
March 10, 2021 |
| Observation Periods / Observation End
Dates: |
Quarterly (see page
PS-8) |
| Final Valuation Date: |
December 4, 2023 |
| Maturity Date: |
December 7, 2023 |
| 1 Expected. In the event we
make any change to the expected Trade Date or Settlement Date, the
Observation End Dates, including the Final Valuation Date, and/or
the Maturity Date may be changed so that the stated term of the
Notes remains the same. With respect to
each Underlying, the Initial Underlying Level is the Closing Level
of that Underlying on March 4, 2021 and is not the Closing Level of
that Underlying on the Trade Date. In addition, the
Observation Dates, including the Final Valuation Date, and the
Maturity Date are subject to postponement. See “Indicative Terms”
on page PS-6 of this pricing supplement. |
NOTICE TO INVESTORS: THE NOTES ARE SIGNIFICANTLY RISKIER THAN
CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY
OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT
MATURITY, AND THE NOTES CAN HAVE THE FULL DOWNSIDE MARKET RISK OF
THE LEAST PERFORMING UNDERLYING. THIS MARKET RISK IS IN ADDITION TO
THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF
BARCLAYS BANK PLC. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT
UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS
INVOLVED IN INVESTING IN THE NOTES.
YOU
SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE PS-9 OF THIS PRICING SUPPLEMENT AND “RISK
FACTORS” BEGINNING ON PAGE S-7 OF THE PROSPECTUS SUPPLEMENT BEFORE
PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR
OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET
VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE A SIGNIFICANT
PORTION OR ALL OF YOUR PRINCIPAL AMOUNT. THE NOTES WILL NOT BE
LISTED ON ANY SECURITIES EXCHANGE.
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-4 OF THIS PRICING SUPPLEMENT.
We are
offering Trigger Callable Contingent Yield Notes linked to the
least performing of the Nasdaq-100 Index®, the Russell
2000® Index and the S&P 500® Index. The
Notes are offered at a minimum investment of 100 Notes at $10 per
Note (representing a $1,000 investment), and integral multiples of
$10 in excess thereof.
|
Underlying |
Contingent
Coupon Rate |
Initial
Underlying Level* |
Coupon
Barrier** |
Downside
Threshold** |
CUSIP/
ISIN |
|
Nasdaq-100 Index®
(NDX) |
12.50% per annum |
12,464.00 |
8,101.60, which is 65.00% of the
Initial Underlying Level |
6,855.20, which is 55.00% of the
Initial Underlying Level |
06744A139 / US06744A1390 |
| Russell 2000® Index (RTY) |
2,146.924 |
1,395.501, which is 65.00% of the
Initial Underlying Level |
1,180.808, which is 55.00% of the
Initial Underlying Level |
| S&P 500® Index (SPX) |
3,768.47 |
2,449.51, which is 65.00% of the
Initial Underlying Level |
2,072.66, which is 55.00% of the
Initial Underlying Level |
* With respect to each Underlying, the
Initial Underlying Level is the Closing Level of that Underlying on
March 4, 2021 and is not the Closing Level of that Underlying on
the Trade Date.
** Rounded to two decimal places for
the Nasdaq-100 Index® and the S&P 500®
Index and rounded to three decimal places for the Russell
2000® Index
See
“Additional Information about Barclays Bank PLC and the Notes” on
page PS-2 of this pricing supplement. The Notes will have the terms
specified in the prospectus dated August 1, 2019, the prospectus
supplement dated August 1, 2019, the prospectus supplement addendum
dated February 18, 2021, the underlying supplement dated August 1,
2019 and this pricing supplement.
Neither the U.S. Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of
the 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.
|
|
Initial
Issue Price1 |
Underwriting
Discount |
Proceeds
to Barclays Bank PLC |
| Per Note |
$10.00 |
$0.10 |
$9.90 |
| Total |
$• |
$• |
$• |
1 Our estimated value of the Notes on the Trade Date,
based on our internal pricing models, is expected to be between
$9.437 and $9.737 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.
| UBS
Financial Services Inc. |
Barclays
Capital Inc. |
| Additional
Information about Barclays Bank PLC and the Notes |
You
should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the prospectus supplement
dated August 1, 2019 relating to our Global Medium-Term Notes,
Series A, of which these Notes are a part, the prospectus
supplement addendum dated February 18, 2021 and the underlying
supplement dated August 1, 2019. 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, 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.
If the terms set forth in this pricing supplement differ from those
set forth in the prospectus, prospectus supplement, prospectus
supplement addendum or underlying supplement, the terms set forth
herein will control.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our SEC file number is 1-10257. As used in this pricing
supplement, “we,” “us” and “our” refer to Barclays Bank PLC. In
this pricing supplement, “Notes” refers to the Trigger Callable
Contingent Yield Notes that are offered hereby, unless the context
otherwise requires.
| 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 Trade Date is based on our internal funding
rates. Our estimated value of the Notes might be lower if such
valuation were based on the levels at which our benchmark debt
securities trade in the secondary market.
Our estimated value of the Notes on the Trade Date is expected to
be less than the initial issue price of the Notes. The difference
between the initial issue price of the Notes and our estimated
value of the Notes is expected to result from several factors,
including any sales commissions expected to be paid to Barclays
Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to
non-affiliated intermediaries, the estimated profit that we or any
of our affiliates expect to earn in connection with structuring the
Notes, the estimated cost that we may incur in hedging our
obligations under the Notes, and estimated development and other
costs that we may incur in connection with the Notes.
Our estimated value on the Trade 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 Trade
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 Trade Date for a temporary period expected to be
approximately three months after the initial issue date of the
Notes because, in our discretion, we may elect to effectively
reimburse to investors a portion of the estimated cost of hedging
our obligations under the Notes and other costs in connection with
the Notes that we will no longer expect to incur over the term of
the Notes. We made such discretionary election and determined this
temporary reimbursement period on the basis of a number of factors,
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 that we effectively reimburse to investors in this
way may not be allocated ratably throughout the reimbursement
period, and we may discontinue such reimbursement at any time or
revise the duration of the reimbursement period after the initial
issue date of the Notes based on changes in market conditions and
other factors that cannot be predicted.
We urge you to read the “Key Risks” beginning on page PS-9 of
this pricing supplement.
You may revoke your offer to purchase the Notes at any time
prior to the Trade Date. We reserve the right to change the terms
of, or reject any offer to purchase, the Notes prior to their Trade
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.
| 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 “Key Risks— Risks Relating to the Issuer—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.
|
The Notes may be suitable for you if:
¨ You fully
understand the risks inherent in an investment in the Notes,
including the risk of loss of your entire principal amount.
¨ You can
tolerate a loss of a significant portion or all of your principal
amount and are willing to make an investment that may have the full
downside market risk of an investment in the Least Performing
Underlying.
¨ You are
willing and able to accept the individual market risk of each
Underlying on each scheduled trading day during the Observation
Periods and understand that any decline in the level of one
Underlying will not be offset or mitigated by a lesser decline or
any potential increase in the level of the other Underlyings.
¨ You believe
each Underlying is likely to close at or above its Coupon Barrier
on each scheduled trading day during each Observation Period, and,
if any Underlying does not, you can tolerate receiving few or no
Contingent Coupons over the term of the Notes.
¨ You believe
the Final Underlying Level of each Underlying is not likely to be
less than its Downside Threshold and, if the Final Underlying Level
of any Underlying is less than its Downside Threshold, you can
tolerate a loss of a significant portion or all of your principal
amount.
¨ You
understand and accept that you will not participate in any
appreciation of any Underlying, which may be significant, and that
your return potential on the Notes is limited to any Contingent
Coupons paid on the Notes.
¨ You can
tolerate fluctuations in the price of the Notes prior to maturity
that may be similar to or exceed the downside fluctuations in the
levels of the Underlyings.
¨ You are
willing and able to hold Notes that the Issuer may elect to call on
any quarterly Observation End Date other than the Final Valuation
Date, and you are otherwise willing and able to hold the Notes to
maturity and accept that there may be little or no secondary market
for the Notes.
¨ You do not
seek guaranteed current income from this investment, you are
willing to accept the risk of contingent yield and you are willing
to forgo any dividends paid on the securities composing the
Underlyings.
¨ You
understand and are willing to accept the risks associated with each
Underlying.
¨ You are
willing and able to assume the credit risk of Barclays Bank PLC, as
issuer of the Notes, for all payments under the Notes and
understand that if Barclays Bank PLC were to default on its payment
obligations or become subject to the exercise of any U.K. Bail-in
Power, you might not receive any amounts due to you under the
Notes, including any repayment of principal.
|
|
The Notes may not be suitable for you if:
¨ You do not
fully understand the risks inherent in an investment in the Notes,
including the risk of loss of your entire principal amount.
¨ You require
an investment designed to provide a full return of principal at
maturity, you cannot tolerate a loss of a significant portion or
all of your principal amount or you are not willing to make an
investment that may have the full downside market risk of an
investment in the Least Performing Underlying.
¨ You are
unwilling or unable to accept the individual market risk of each
Underlying on each scheduled trading day during the Observation
Periods or do not understand that any decline in the level of one
Underlying will not be offset or mitigated by a lesser decline or
any potential increase in the level of the other Underlyings.
¨ You do not
believe each Underlying is likely to close at or above its Coupon
Barrier on each scheduled trading day during each Observation
Period, or you cannot tolerate receiving few or no Contingent
Coupons over the term of the Notes.
¨ You believe
the Final Underlying Level of any Underlying is likely to be less
than its Downside Threshold, which could result in a total loss of
your principal amount.
¨ You seek an
investment that participates in the full appreciation of one or
more of the Underlyings and whose return is not limited to any
Contingent Coupons paid on the Notes.
¨ You cannot
tolerate fluctuations in the price of the Notes prior to maturity
that may be similar to or exceed the downside fluctuations in the
levels of the Underlyings.
¨ You are
unable or unwilling to hold Notes that the Issuer may elect to call
on any quarterly Observation End Date other than the Final
Valuation Date, or you are unable or unwilling to hold the Notes to
maturity and seek an investment for which there will be an active
secondary market.
¨ You seek
guaranteed current income from your investment, you are unwilling
to accept the risk of contingent yield or you prefer to receive any
dividends paid on the securities composing the Underlyings.
¨ You do not
understand or are not willing to accept the risks associated with
each Underlying.
¨ You prefer
the lower risk, and therefore accept the potentially lower returns,
of fixed income investments with comparable maturities and credit
ratings.
¨ You are not
willing or are unable to assume the credit risk of Barclays Bank
PLC, as issuer of the Notes, for all payments due to you under the
Notes, including any repayment of principal.
|
The suitability considerations identified above are not
exhaustive. Whether or not the Notes are a suitable investment for
you will depend on your individual circumstances, and you should
reach an investment decision only after you and your investment,
legal, tax, accounting and other advisors have carefully considered
the suitability of an investment in the Notes in light of your
particular circumstances. You should also review carefully the “Key
Risks” beginning on page PS-9 of this pricing supplement and the
“Risk Factors” beginning on page S-7 of the prospectus supplement
for risks related to an investment in the Notes. For more
information about the Underlyings, please see the sections titled
“Nasdaq-100 Index®,” “Russell 2000® Index”
and “S&P 500® Index” below.
|
Issuer: |
Barclays Bank PLC |
| Principal Amount: |
$10 per Note (subject to minimum investment of
100 Notes) |
| Term2: |
Approximately 2.75 years, unless called earlier
at the election of the Issuer |
| Reference Assets3: |
The Nasdaq-100 Index® (Bloomberg
ticker symbol “NDX<Index>”), the Russell 2000®
Index (Bloomberg ticker symbol “RTY<Index>”) and the S&P
500® Index (Bloomberg ticker symbol “SPX<Index>”)
(each an “Underlying” and together the “Underlyings”) |
| Issuer Call: |
The Issuer may elect to call the Notes on any
quarterly Observation End Date other than the Final Valuation Date,
regardless of the Closing Level of any Underlying on that
Observation End Date. If the Notes are called, the Issuer will pay
the principal amount of your Notes plus any Contingent
Coupon that may be due on the Coupon Payment Date that is also the
Call Settlement Date, and no further amounts will be owed to you
under the Notes. |
| Observation End Dates2: |
As set forth under the “Observation End Dates”
column of the table under “Observation Periods/Observation End
Dates/Coupon Payment Dates/Call Settlement Dates” below. The final
Observation End Date, December 4, 2023, is the “Final Valuation
Date.” |
| Observation Periods: |
There are eleven quarterly Observation Periods.
The first Observation Period will consist of each scheduled trading
day from but excluding the Trade Date to and including the first
Observation End Date. Each subsequent Observation Period will
consist of each scheduled trading day from but excluding an
Observation End Date to and including the next following
Observation End Date. |
| Call Settlement Dates2: |
As set forth under the “Coupon Payment Dates/Call
Settlement Dates” column of the table under “Observation
Periods/Observation End Dates/Coupon Payment Dates/Call Settlement
Dates” below |
| Contingent Coupon: |
If the
Closing Level of each Underlying is greater than or equal to its
Coupon Barrier on each scheduled trading day during an Observation
Period, the Issuer will pay you the Contingent Coupon
applicable to that Observation Period.
If the
Closing Level of any Underlying is less than its Coupon Barrier on
any scheduled trading day during an Observation Period,
the Contingent Coupon applicable to that Observation Period will
not accrue or be payable and the Issuer will not make any payment
to you on the related Coupon Payment Date.
The
Contingent Coupon is a fixed amount potentially payable quarterly
based on the per annum Contingent Coupon Rate.
If a
market disruption event occurs with respect to an Underlying on any
scheduled trading day during an Observation Period (other than an
Observation End Date), that day for that Underlying will be
disregarded for purposes of determining whether a Contingent Coupon
is payable with respect to the applicable Observation Period.
|
| Coupon Barrier: |
With respect to each Underlying, a percentage of
the Initial Underlying Level of that Underlying, as specified on
the cover of this pricing supplement |
| Coupon Payment Dates2: |
As set forth under the “Coupon Payment Dates/Call
Settlement Dates” column of the table under “Observation
Periods/Observation End Dates/Coupon Payment Dates/Call Settlement
Dates” below |
| Contingent Coupon Rate: |
The
Contingent Coupon Rate is 12.50% per annum. Accordingly, the
Contingent Coupon with respect to each Observation Period is equal
to $0.3125 per Note and will be payable only for each Observation
Period in which the Closing Level of each Underlying is greater
than or equal to its Coupon Barrier on each scheduled trading day
during that Observation Period.
Whether Contingent Coupons will be paid on the Notes will depend
on the performance of the Underlyings. The Issuer will not pay you
the Contingent Coupon for any Observation Period in which the
Closing Level of any Underlying is less than its Coupon Barrier on
any scheduled trading day during that Observation Period.
|
Payment
at Maturity
(per Note): |
If the
Issuer does not elect to call the Notes and the Final Underlying
Level of each Underlying is greater than or equal to its Downside
Threshold, the Issuer will pay you a cash payment on the
Maturity Date equal to $10 per Note plus any Contingent
Coupon that may be due on the Coupon Payment Date that is also the
Maturity Date.
If the
Issuer does not elect to call the Notes and the Final Underlying
Level of any Underlying is less than its Downside
Threshold, the Issuer will pay you a cash payment on the
Maturity Date per Note that is less than your principal amount, if
anything, resulting in a percentage loss of principal equal to the
negative Underlying Return of the Least Performing Underlying,
calculated as follows:
$10 × (1 + Underlying Return of the Least Performing
Underlying)
Accordingly, you may lose a significant portion or all of
your principal at maturity, depending on how much the Least
Performing Underlying declines, regardless of the performance of
the other Underlyings. Any payment on the Notes, including any
repayment of principal, is subject to the creditworthiness of
Barclays Bank PLC and is not guaranteed by any third
party.
|
| Underlying Return: |
With
respect to each Underlying:
Final Underlying Level – Initial Underlying Level
Initial Underlying Level
|
| Least Performing Underlying: |
The Underlying with the lowest Underlying
Return |
| Downside Threshold: |
With respect to each Underlying, a percentage of
the Initial Underlying Level of that Underlying, as specified on
the cover of this pricing supplement |
| Initial Underlying Level: |
With respect to each Underlying, the Closing
Level of that Underlying on March 4, 2021, as specified on the
cover of this pricing supplement. The Initial Underlying Level
for each Underlying is not the Closing Level of that Underlying on
the Trade Date. |
| Final Underlying Level: |
With respect to each Underlying, the Closing
Level of that Underlying on the Final Valuation Date |
| Closing Level3: |
With respect to each Underlying, Closing Level
has the meaning set forth under “Reference Assets—Indices—Special
Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
|
1 |
Terms used in this
pricing supplement, but not defined herein, shall have the meanings
ascribed to them in the prospectus supplement. |
|
2 |
In the event that we
make any change to the expected Trade Date or Settlement Date, the
Observation End Dates, including the Final Valuation Date, the
Coupon Payment Dates, the Call Settlement Dates and/or the Maturity
Date may be changed to ensure that the stated term of the Notes
remains the same. Each Observation End Date may be postponed if
that Observation End Date is not a scheduled trading day with
respect to any Underlying or if a market disruption event occurs
with respect to any Underlying on that Observation End Date as
described under “Reference Assets—Indices—Market Disruption Events
for Securities with an Index of Equity Securities as a Reference
Asset” and “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” in the prospectus
supplement. In addition, a Coupon Payment Date, a Call Settlement
Date and/or the Maturity Date will be postponed if that day is not
a business day or if the relevant Observation End Date is postponed
as described under “Terms of the Notes—Payment Dates” in the
accompanying prospectus supplement. |
|
3 |
If an Underlying is discontinued
or if the sponsor of an Underlying fails to publish that
Underlying, the Calculation Agent may select a successor index or,
if no successor index is available, will calculate the value to be
used as the Closing Level of that Underlying. In addition, the
Calculation Agent will calculate the value to be used as the
Closing Level of an Underlying in the event of certain changes in
or modifications to that Underlying. For more information, see
“Reference Assets—Indices—Adjustments Relating to Securities with
an Index as a Reference Asset” in the accompanying prospectus
supplement. |
| |
March 4,
2021: |
|
The Closing Level of
each Underlying (the Initial Underlying Level) is observed and the
Coupon Barrier and Downside Threshold of each Underlying are
determined. |
| |
 |
|
|
| |
Quarterly (callable
by Issuer at its election): |
|
If the Closing Level of each Underlying is greater than or equal to
its Coupon Barrier on each scheduled trading day during an
Observation Period, the Issuer will pay you the Contingent Coupon
applicable to that Observation Period.
However, if the Closing Level of any Underlying is less than its
Coupon Barrier on any scheduled trading day during an Observation
Period, no Contingent Coupon payment will be made with respect to
that Observation Period.
The Issuer may, at its election and upon written notice to the
trustee, call the Notes on any quarterly Observation End Date other
than the Final Valuation Date, regardless of the Closing Level of
any Underlying on that Observation End Date. If the Issuer elects
to call the Notes, the Issuer will pay the principal amount of your
Notes plus any Contingent Coupon that may be due on the Coupon
Payment Date that is also the Call Settlement Date, and no further
amounts will be owed to you under the Notes.
|
| |
|
|
|
| |
Maturity
Date: |
|
The Final Underlying Level of each Underlying is determined as of
the Final Valuation Date.
If the Issuer does not elect to call the Notes and the Final
Underlying Level of each Underlying is greater than or equal to its
Downside Threshold, the Issuer will pay you a cash payment on the
Maturity Date equal to $10 per Note plus any Contingent
Coupon that may be due on the Coupon Payment Date that is also the
Maturity Date.
If the Issuer does not elect to call the Notes and the Final
Underlying Level of any Underlying is less than its Downside
Threshold, the Issuer will pay you a cash payment on the Maturity
Date per Note that is less than your principal amount, if anything,
resulting in a percentage loss of principal equal to the negative
Underlying Return of the Least Performing Underlying, calculated as
follows:
$10 × (1 + Underlying Return of the Least Performing
Underlying)
Accordingly, you may lose a significant portion or all of
your principal at maturity, depending on how much the Least
Performing Underlying declines, regardless of the performance of
the other Underlyings.
|
Investing in the Notes involves significant risks. You may lose
a significant portion or all of your principal amount. You may
receive few or no Contingent Coupons during the term of the Notes.
You will be exposed to the market risk of each Underlying on each
scheduled trading day during the Observation Periods and any
decline in the level of one Underlying may negatively affect your
return and will not be offset or mitigated by a lesser decline or
any potential increase in the level of the other Underlyings. The
contingent repayment of principal applies only if you hold the
Notes to maturity. Generally, the higher the Contingent Coupon Rate
on a Note, the greater the risk of loss on that Note. Your return
potential on the Notes is limited to any Contingent Coupons paid on
the Notes, and you will not participate in any appreciation of any
Underlying. Any payment on the Notes, including any repayment of
principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party. If Barclays Bank PLC were
to default on its payment obligations or become subject to the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority, you might not receive any amounts owed to you under the
Notes.
| Observation
Periods*/Observation End Dates/Coupon Payment Dates/Call Settlement
Dates |
|
Observation End
Dates |
Coupon
Payment Dates / Call Settlement Dates |
|
June 4, 2021 |
June 8, 2021 |
|
September 7, 2021 |
September 9, 2021 |
|
December 6, 2021 |
December 8, 2021 |
|
March 4, 2022 |
March 8, 2022 |
|
June 6, 2022 |
June 8, 2022 |
|
September 6, 2022 |
September 8, 2022 |
|
December 5, 2022 |
December 7, 2022 |
|
March 6, 2023 |
March 8, 2023 |
|
June 5, 2023 |
June 7, 2023 |
|
September 5, 2023 |
September 7, 2023 |
|
December 4, 2023** |
December 7, 2023** |
| *There are eleven quarterly Observation Periods.
The first Observation Period will consist of each scheduled trading
day from but excluding the Trade Date to and including the first
Observation End Date. Each subsequent Observation Period will
consist of each scheduled trading day from but excluding an
Observation End Date to and including the next following
Observation End Date. |
| **The Issuer may not elect to call the Notes on
the Final Valuation Date. Thus, the Maturity Date is not a Call
Settlement Date. |
An investment in the Notes
involves significant risks. Investing in the Notes is not
equivalent to investing directly in any or all of the Underlyings or the
securities composing the Underlyings. 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.
Risks Relating to the Notes Generally
|
¨ |
You
may lose a significant portion or all of your principal
— The Notes differ from ordinary debt securities in that the Issuer
will not necessarily pay the full principal amount of the Notes at
maturity. If the Issuer does not elect to call the Notes, at
maturity, the Issuer will pay you the principal amount of your
Notes only if the Final Underlying Level of each Underlying is
greater than or equal to its Downside Threshold and will make such
payment only at maturity. If the Issuer does not elect to call the
Notes and the Final Underlying Level of any Underlying is less than
its Downside Threshold, you will be exposed to the full decline in
the Least Performing Underlying and the Issuer will repay less than
the full principal amount of the Notes at maturity, if anything,
resulting in a percentage loss of principal equal to the negative
Underlying Return of the Least Performing Underlying. Accordingly,
you may lose a significant portion or all of your principal. |
|
¨ |
You
may not receive any Contingent Coupons — The Issuer will
not necessarily make periodic coupon payments on the Notes. If the
Closing Level of any Underlying on any scheduled trading day during
an Observation Period is less than its Coupon Barrier, the Issuer
will not pay you the Contingent Coupon applicable to that
Observation Period. This will be the case even if the Closing
Levels of the other Underlyings are greater than or equal to their
respective Coupon Barriers on each scheduled trading day during
that Observation Period, and even if the Closing Level of that
Underlying was greater than or equal to its Coupon Barrier on every
other day during that Observation Period. If the Closing Level of
any Underlying is less than its Coupon Barrier on any scheduled
trading day during each Observation Period, the Issuer will not pay
you any Contingent Coupons during the term of the Notes, and you
will not receive a positive return on your Notes. Generally, this
non-payment of the Contingent Coupon coincides with a period of
greater risk of principal loss on your Notes. |
|
¨ |
Your
return potential on the Notes is limited to any Contingent Coupons
paid on the Notes, and you will not participate in any appreciation
of any Underlying — The return potential of the
Notes is limited to the pre-specified per annum Contingent Coupon
Rate, regardless of any appreciation of any Underlying. In
addition, the total return on the Notes will vary based on the
number of Observation Periods in which the Closing Level of each
Underlying has been greater than or equal to its Coupon Barrier on
each scheduled trading day during that Observation Period prior to
maturity or a call at the election of the Issuer. Further, if the
Notes are called at the election of the Issuer, you will not
receive Contingent Coupons or any other payment in respect of any
Observation Periods after the applicable Call Settlement Date.
Because the Notes could be called as early as the first Observation
End Date, the total return on the Notes could be minimal. If the
Notes are not called, you may be subject to the decline in the
level of the Least Performing Underlying even though you will not
participate in any appreciation of any Underlying. As a result, the
return on an investment in the Notes could be less than the return
on a direct investment in any or all of the Underlyings or the
securities composing the Underlyings. |
|
¨ |
You
are exposed to the market risk of each Underlying — Your
return on the Notes is not linked to a basket consisting of the
Underlyings. Rather, it will be contingent upon the independent
performance of each Underlying. 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 Underlying. Poor performance
by any Underlying 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 level of the other Underlyings. To receive a
Contingent Coupon with respect to an Observation Period, the
Closing Level of each Underlying must be greater than or equal to
its Coupon Barrier on each scheduled trading day during that
Observation Period. In addition, if the Notes have not been called
prior to maturity and the Final Underlying Level of any Underlying
is less than its Downside Threshold, you will be exposed to the
full decline in the Least Performing Underlying. Accordingly, your
investment is subject to the market risk of each Underlying. |
|
¨ |
Because the Notes
are linked to the Least Performing Underlying, you are exposed to
greater risks of no Contingent Coupons and sustaining a significant
loss of principal at maturity than if the Notes were linked to
fewer Underlyings — The risk that you will not receive
any Contingent Coupons and lose a significant portion or all of
your principal amount in the Notes at maturity is greater if you
invest in the Notes as opposed to substantially similar securities
that are linked to the performance of a single Underlying or two
Underlyings. With three Underlyings, it is more likely that the
Closing Level of at least one Underlying will be less than its
Coupon Barrier on any scheduled trading day during the specified
Observation Periods or less than its Downside Threshold on the
Final Valuation Date and, therefore, it is more likely that you
will not receive any Contingent Coupons and that you will suffer a
significant loss of principal at maturity. In addition, the
performance of the Underlyings may not be correlated or may be
negatively correlated. The lower the correlation between two
Underlyings, the greater the potential for one of those Underlyings
to close below its Coupon Barrier or Downside Threshold on any
scheduled trading day during an Observation Period or the Final
Valuation Date, respectively, and with three Underlyings there is a
greater potential that one pair of Underlyings will have low or
negative correlation. See “Correlation of the Underlyings”
below. |
It is impossible to predict what the correlations between the
Underlyings will be over the term of the Notes. The Underlyings
represent different equity markets. The Nasdaq-100
Index® represents 100 of the largest non-financial
companies listed on The Nasdaq Stock Market, the Russell
2000® Index represents the small-capitalization segment
of the United States equity market and the S&P 500®
Index represents the large-capitalization segment of the United
States equity market. These different equity markets may not
perform similarly over the term of the Notes.
Although the correlation of the Underlyings’ performance may change
over the term of the Notes, the Contingent Coupon Rate is
determined, in part, based on the correlations of the Underlyings’
performance calculated using our internal models at the time
when
the terms of the Notes are finalized. A higher Contingent Coupon
Rate is generally associated with lower correlation of the
Underlyings, which reflects a greater potential for missed
Contingent Coupons and for a loss of principal at maturity. The
correlations referenced in setting the terms of the Notes are
calculated using our internal models and are not derived from the
returns of the Underlyings over the period set forth under
“Correlation of the Underlyings” below. In addition, other factors
and inputs other than correlation may impact how the terms of the
Notes are set and the performance of the Notes.
|
¨ |
If
the Issuer does not elect to call the Notes, the payment at
maturity, if any, is calculated based solely on the performance of
the Least Performing Underlying — If the
Issuer does not elect to call the Notes pursuant to the Call
Feature, the payment at maturity, if any, will be linked solely to
the performance of the Least Performing Underlying. As a result, in
the event that the Final Underlying Level of the Least Performing
Underlying is less than its Downside Threshold, the Underlying
Return of only the Least Performing Underlying will be used to
determine the return on your Notes, and you will not benefit from
the performance of the other Underlyings, even if the Final
Underlying Level of any of the other Underlyings is greater than or
equal to its Downside Threshold or Initial Underlying Level. |
|
¨ |
Call
and reinvestment risk — The Issuer may, in its sole
discretion, call the Notes on any quarterly Observation End Date
other than the Final Valuation Date regardless of the Closing Level
of any Underlying on that Observation End Date. If the Issuer
elects to call the Notes early, the holding period over which you
would receive the per annum Contingent Coupon Rate could be as
short as approximately three months. In the event the Issuer calls
the Notes, there is no guarantee that you would be able to reinvest
the proceeds at a comparable return and/or with a comparable
Contingent Coupon Rate for a similar level of risk. |
It is more likely that the Issuer will call the Notes at its
election prior to maturity to the extent that the expected interest
payable on the Notes is greater than the interest that would be
payable on other instruments issued by the Issuer of comparable
maturity, terms and credit rating trading in the market. The
greater likelihood of the Issuer calling the Notes in that
environment increases the risk that you will not be able to
reinvest the proceeds from the called Notes in an equivalent
investment with a similar Contingent Coupon Rate. The Issuer is
less likely to call the Notes prior to maturity when the expected
interest payable on the Notes is less than the interest that would
be payable on other comparable instruments issued by the Issuer,
which includes when the level of any of the Underlyings is less
than its Coupon Barrier. Therefore, the Notes are more likely to
remain outstanding when the expected interest payable on the Notes
is less than what would be payable on other comparable instruments
and when your risk of not receiving a Contingent Coupon is
relatively higher.
|
¨ |
The
Contingent Coupon payments are based on the Closing Level of each
Underlying throughout the Observation Periods — Whether
a Contingent Coupon payment will be made with respect to an
Observation Period will be based on the Closing Level of each
Underlying on each scheduled trading day during that Observation
Period. As a result, you will not know whether you will receive the
Contingent Coupon with respect to an Observation Period until the
end of that Observation Period. Moreover, because each Contingent
Coupon payment is based solely on the Closing Level of each
Underlying on any scheduled trading day during an Observation
Period, if the Closing Level of any Underlying on any scheduled
trading day during an Observation Period is less than its Coupon
Barrier, you will not receive any Contingent Coupon with respect to
that Observation Period, even if the Closing Level of that
Underlying was higher on other days during that Observation
Period. |
|
¨ |
Contingent repayment
of principal applies only at maturity — You should be
willing to hold your Notes to maturity. The market value of the
Notes may fluctuate between the date you purchase them and the
Final Valuation Date. If you are able to sell your Notes prior to
maturity in the secondary market, if any, you may have to sell them
at a loss relative to your principal amount even if at that time
the level of any or all of the Underlyings is greater than or equal
to its Downside Threshold. |
|
¨ |
A
higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or
Downside Threshold may reflect greater expected volatility of the
Underlyings, which is generally associated with a greater risk of
loss — Volatility is a measure of the degree of
variation in the levels of the Underlyings over a period of time.
The greater the expected volatilities of the Underlyings at the
time the terms of the Notes are set, the greater the expectation is
at that time that you may not receive one or more, or all,
Contingent Coupon payments and that you may lose a significant
portion or all of your principal at maturity. In addition, the
economic terms of the Notes, including the Contingent Coupon Rate,
the Coupon Barrier and the Downside Threshold, are based, in part,
on the expected volatilities of the Underlyings at the time the
terms of the Notes are set, where higher expected volatilities will
generally be reflected in a higher Contingent Coupon Rate than the
fixed rate we would pay on conventional debt securities of the same
maturity and/or on otherwise comparable securities and/or a lower
Coupon Barrier and/or a lower Downside Threshold as compared to
otherwise comparable securities. Accordingly, a higher Contingent
Coupon Rate will generally be indicative of a greater risk of loss
while a lower Coupon Barrier or Downside Threshold does not
necessarily indicate that the Notes have a greater likelihood of
paying Contingent Coupon payments or returning your principal at
maturity. You should be willing to accept the downside market risk
of each Underlying and the potential loss of a significant portion
or all of your principal at maturity. |
|
¨ |
Owning the Notes is
not the same as owning the securities composing any or all of the
Underlyings — The return on your Notes may not reflect
the return you would realize if you actually owned the securities
composing any or all of the Underlyings. As a holder of the Notes,
you will not have voting rights or rights to receive dividends or
other distributions or other rights that holders of the securities
composing any Underlying would have. |
|
¨ |
No
assurance that the investment view implicit in the Notes will be
successful — It is impossible to predict whether and the
extent to which the level of any Underlying will rise or fall.
There can be no assurance that the level of any Underlying will not
close below its Downside Threshold on the Final Valuation Date. The
level of each Underlying will be influenced by complex and
interrelated political, economic, financial and other factors that
affect that Underlying. You should be willing to accept the
downside risks associated with equities in general and each
Underlying in particular, and the risk of losing a significant
portion or all of your principal amount. |
|
¨ |
Tax
treatment — Significant aspects of the tax treatment of
the Notes are uncertain. You should consult your tax advisor about
your tax situation. See “What Are the Tax Consequences of an
Investment in the Notes?” on page PS-18 of this pricing
supplement. |
Risks Relating to the Issuer
|
¨ |
Credit of
Issuer — The Notes are unsecured and unsubordinated debt
obligations of the Issuer, Barclays Bank PLC, and are not, either
directly or indirectly, an obligation of any third party. Any
payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to
satisfy its obligations as they come due and is not guaranteed by
any third party. As a result, the actual and perceived
creditworthiness of Barclays Bank PLC may affect the market value
of the Notes and, in the event Barclays Bank PLC were to default on
its obligations, you might not receive any amount owed to you under
the terms of the Notes. |
|
¨ |
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 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. |
Risks Relating to the Underlyings
|
¨ |
Each
Underlying reflects the price return of the securities composing
that Underlying, not the total return — The return on
the Notes is based on the performance of the Underlyings, which
reflect changes in the market prices of the securities composing
each Underlying. Each Underlying is not a “total return” index
that, in addition to reflecting those price returns, would also
reflect dividends paid on the securities composing the applicable
Underlying. Accordingly, the return on the Notes will not include
such a total return feature. |
|
¨ |
Adjustments to the
Underlyings could adversely affect the value of the
Notes — The sponsor of an Underlying may add, delete,
substitute or adjust the securities composing that Underlying or
make other methodological changes to that Underlying that could
affect its performance. The Calculation Agent will calculate the
value to be used as the Closing Level of an Underlying in the event
of certain material changes in or modifications to that Underlying.
In addition, the sponsor of an Underlying may also discontinue or
suspend calculation or publication of that Underlying at any time.
Under these circumstances, the Calculation Agent may select a
successor index that the Calculation Agent determines to be
comparable to the discontinued Underlying or, if no successor index
is available, the Calculation Agent will determine the value to be
used as the Closing Level of that Underlying. Any of these actions
could adversely affect the value of the relevant Underlying 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. |
|
¨ |
Non-U.S. securities risks with respect to the Nasdaq-100
Index® — Some of the equity securities composing
the Nasdaq-100 Index® are issued by non-U.S. companies.
Investments in securities linked to the value of such non-U.S.
equity securities, such as the Notes, involve risks associated with
the home countries of the issuers of those non-U.S. equity
securities. 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
Notes are subject to small-capitalization companies risk with
respect to the Russell 2000® Index — The
Russell 2000® Index tracks companies that are considered
small-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 Russell 2000® Index may be more volatile
than an investment linked to an index with component stocks issued
by large-capitalization companies. Stock prices of
small-capitalization companies are also more vulnerable than those
of large-capitalization companies to adverse business and economic
developments. In addition, small-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. Small-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. |
Risks Relating to Conflicts of Interest
|
¨ |
Dealer
incentives — We, the Agents and affiliates of the Agents
act in various capacities with respect to the Notes. The Agents and
various affiliates may act as a principal, agent or dealer in
connection with the Notes. Such Agents, including the sales
representatives of UBS Financial Services Inc., will derive
compensation from the distribution of the Notes and such
compensation may serve as an incentive to sell these Notes instead
of other investments. We will pay compensation as specified on the
cover of this pricing supplement to the Agents in connection with
the distribution of the Notes, and such compensation may be passed
on to affiliates of the Agents or other third party
distributors. |
|
¨ |
Potentially
inconsistent research, opinions or recommendations by Barclays
Capital Inc., UBS Financial Services Inc. or their respective
affiliates — Barclays Capital Inc., UBS Financial
Services Inc. or their respective affiliates and agents may publish
research from time to time on financial markets and other matters
that may influence the value of the Notes, or express opinions or
provide recommendations that are inconsistent with purchasing or
holding the Notes. Any research, opinions or recommendations
expressed by Barclays Capital Inc., UBS Financial Services Inc. or
their respective affiliates or agents may not be consistent with
each other and may be modified from time to time without notice.
You should make your own independent investigation of the merits of
investing in the Notes and each Underlying. |
|
¨ |
Potential Barclays
Bank PLC impact on the levels of the Underlyings —
Trading or transactions by Barclays Bank PLC or its affiliates in
the securities composing the Underlyings and/or over-the-counter
options, futures or other instruments with returns linked to the
performance of any or all Underlyings or the securities composing
the Underlyings, may adversely affect the level of any Underlying
and, therefore, the market value of the Notes. |
|
¨ |
We
and our affiliates may engage in various activities or make
determinations that could materially affect your Notes in various
ways and create conflicts of interest — We and our
affiliates 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 Underlyings
or their components. In any such market making, trading and hedging
activity, investment banking 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 an
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 Underlyings and make any other
determinations necessary to calculate any payments on the Notes. In
making these determinations, we may be required to make
discretionary judgments, including determining whether a market
disruption event has occurred on any date that the value of an
Underlying is to be determined; if an Underlying is discontinued or
if the sponsor of an Underlying fails to publish that Underlying,
selecting a successor index or, if no successor index is available,
determining any value necessary to calculate any payments on the
Notes; and calculating the value of an Underlying on any date of
determination in the event of certain changes in or modifications
to an Underlying. 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.
Risks Relating to the Estimated Value of the Notes and the
Secondary Market
|
¨ |
There may be little
or no secondary market for the Notes — 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. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Notes easily.
Because other dealers are not likely to make a secondary market for
the Notes, the price at which you may be able to trade your Notes
is likely to depend on the price, if any, at which Barclays Capital
Inc. and other affiliates of Barclays Bank PLC are willing to buy
the Notes. The Notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold
your Notes to maturity. |
|
¨ |
Many
economic and market factors will impact the value of the
Notes — Structured notes, including the Notes, can be
thought of as securities that combine a debt instrument with one or
more options or other derivative instruments. As a result, the
factors that influence the values of debt instruments and options
or other derivative instruments will also influence the terms and
features of the Notes at issuance and their value in the secondary
market. Accordingly, in addition to the levels of the Underlyings
on any day, the value of the Notes will be affected by a number of
economic and market factors that may either offset or magnify each
other, including: |
|
¨ |
the expected volatility of the Underlyings and the securities
composing the Underlyings; |
|
¨ |
correlation (or lack of correlation) of the Underlyings; |
|
¨ |
the time to maturity of the Notes; |
|
¨ |
the market prices of, and dividend rates on, the securities
composing the Underlyings; |
|
¨ |
interest and yield rates in the market generally; |
|
¨ |
supply and demand for the Notes; |
|
¨ |
a variety of economic, financial, political, regulatory and
judicial events; and |
|
¨ |
our creditworthiness, including actual or anticipated
downgrades in our credit ratings. |
|
¨ |
The
estimated value of your Notes is expected to be lower than the
initial issue price of your Notes — The estimated value
of your Notes on the Trade Date is expected to be lower, and may be
significantly lower, than the initial issue price of your Notes.
The difference between the initial issue price of your Notes and
the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees expected to be allowed
or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost that we may incur in
hedging our obligations under the Notes, and estimated development
and other costs that we may incur in connection with the
Notes. |
|
¨ |
The
estimated value of your Notes might be lower if such estimated
value were based on the levels at which our debt securities trade
in the secondary market — The estimated value of your
Notes on the Trade Date is based on a number of variables,
including our internal funding rates. Our internal funding rates
may vary from the levels at which our benchmark debt securities
trade in the secondary market. As a result of this difference, the
estimated values referenced above might be lower if such estimated
values were based on the levels at which our benchmark debt
securities trade in the secondary market. Also, this difference in
funding rate as well as certain factors, such as sales commissions,
selling concessions, estimated costs and profits mentioned below,
reduces the economic terms of the Notes to you. |
|
¨ |
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 Trade Date is based on our
internal pricing models, which take into account a number of
variables and are based on a number of subjective assumptions,
which may or may not materialize. These variables and assumptions
are not evaluated or verified on an independent basis. Further, our
pricing models may be different from other financial institutions’
pricing models and the methodologies used by us to estimate the
value of the Notes may not be consistent with those of other
financial institutions that may be purchasers or sellers of Notes
in the secondary market. As a result, the secondary market price of
your Notes may be materially different from the estimated value of
the Notes determined by reference to our internal pricing
models. |
|
¨ |
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 Trade 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 Trade 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. Please see “Additional Information
Regarding Our Estimated Value of the Notes” on page PS-3 for
further information. |
Hypothetical terms only. Actual terms may vary. See the cover
page for actual offering terms.
The examples below illustrate the payment upon a call or at
maturity for a $10 principal amount Note on a hypothetical offering
of the Notes under various scenarios, with the assumptions set
forth below.* You should not take these examples as an indication
or assurance of the expected performance of the Notes. The examples
below do not take into account any tax consequences from investing
in the Notes. Numbers appearing in the examples below have been
rounded for ease of analysis. In these examples, we refer to the
Nasdaq-100 Index®, the Russell 2000® Index
and the S&P 500® Index as the “NDX Index,” the “RTY
Index” and the “SPX Index,” respectively.
| Term: |
Approximately 2.75 years (unless called
earlier at the election of the Issuer) |
| Contingent Coupon Rate: |
12.50% per annum (or 3.125% per quarter) |
| Contingent Coupon: |
$0.3125 per quarter |
| Hypothetical Initial Underlying Level: |
100.00 for the NDX Index, 100.000 for the RTY Index and 100.00
for the SPX Index |
| Hypothetical Coupon Barrier: |
65.00 for the NDX Index, 65.000 for the RTY Index and 65.00 for
the SPX Index (which, with respect to each Underlying, is 65.00% of
the hypothetical Initial Underlying Level of that Underlying) |
| Hypothetical Downside Threshold: |
55.00 for the NDX Index, 55.000 for the RTY Index and 55.00 for
the SPX Index (which, with respect to each Underlying, is 55.00% of
the hypothetical Initial Underlying Level of that Underlying) |
| Observation Periods/Observation End Dates: |
Quarterly, as set forth under “Indicative Terms” and
“Observation Periods/Observation End Dates/Coupon Payment
Dates/Call Settlement Dates” in this pricing supplement. |
|
* |
Terms used for purposes of these
hypothetical examples do not represent the actual Initial
Underlying Levels, Coupon Barriers or Downside Thresholds. The
hypothetical Initial Underlying Levels of 100.00 for the NDX Index,
100.000 for the RTY Index and 100.00 for the SPX Index have been
chosen for illustrative purposes only and do not represent the
actual Initial Underlying Levels for the Underlyings. The actual
Initial Underlying Level, Coupon Barrier and Downside Threshold of
each Underlying are set forth on the cover of this pricing
supplement. For historical Closing Levels of the Underlyings,
please see the historical information set forth under the sections
titled “Nasdaq-100 Index®,” “Russell 2000®
Index” and “S&P 500® Index” below. We cannot predict
the Closing Level of any Underlying on any day during the term of
the Notes, including on any scheduled trading day during any
Observation Period or on the Final Valuation Date. |
The examples below are purely hypothetical. These examples are
intended to illustrate (a) the effect of an Issuer-elected call,
(b) how the payment of a Contingent Coupon with respect to any
Observation Period will depend on whether the Closing Level of any
Underlying is less than its Coupon Barrier on any scheduled trading
day during that Observation Period, (c) how the value of the
payment at maturity on the Notes will depend on whether the Final
Underlying Level of any Underlying is less than its Downside
Threshold and (d) how the total return on the Notes may be less
than the total return on a direct investment in any or all of the
Underlyings in certain scenarios. The “total return” as used in
this pricing supplement is the number, expressed as a percentage,
that results from comparing the total payments per Note over the
term of the Notes to the $10 principal amount.
Example 1 — Issuer Elects to Call the Notes on the Second
Observation End Date
|
Observation
Period |
|
Lowest
Closing Level During Observation Period |
|
Payment
(per Note) |
| First Observation Period |
|
NDX Index: 105.00
RTY Index: 110.000
SPX Index: 90.00
|
|
Notes NOT called at the election of the Issuer. Closing Level
of each Underlying at or above its Coupon Barrier on each scheduled
trading day during first Observation Period; Issuer pays Contingent
Coupon of $0.3125 on first Coupon Payment Date. |
| Second Observation Period |
|
NDX Index: 80.00
RTY Index: 85.000
SPX Index: 90.00
|
|
Issuer elects to call the Notes. Closing Level of each
Underlying at or above its Coupon Barrier on each scheduled trading
day during second Observation Period; Issuer pays principal
plus Contingent Coupon of $0.3125 on Call Settlement
Date. |
| Total Payments (per
Note): |
|
Payment on Call
Settlement Date: |
$10.3125 ($10.00 + $0.3125) |
| |
|
Prior Contingent
Coupons: |
$0.3125 ($0.3125 × 1) |
| |
|
Total: |
$10.625 |
| |
|
Total
Return: |
6.25% |
On the second Observation End Date, the Issuer elects to call the
Notes. Because the Closing Level of each Underlying is at or above
its applicable Coupon Barrier on each scheduled trading day during
the second Observation Period, the Issuer will pay you on the Call
Settlement Date $10.3125 per Note, which is equal to your principal
amount plus the Contingent Coupon due on the Coupon Payment
Date that is also the Call Settlement Date. No further amounts will
be owed to you under the Notes.
In addition, because the Closing Level of each Underlying was
greater than or equal to its Coupon Barrier on each scheduled
trading day during the first Observation Period, the Issuer will
pay the Contingent Coupon of $0.3125 on the first Coupon Payment
Date. Accordingly, the Issuer will have paid a total of $10.625 per
Note for a total return of 6.25% on the Notes.
Example 2 — Notes Are NOT Called and the Final Underlying Level
of Each Underlying Is At or Above Its Downside Threshold and a
Contingent Coupon Is Paid on the Maturity Date
|
Observation
Period |
|
Lowest
Closing Level in Observation Period |
|
Final
Underlying Level |
|
Payment
(per Note) |
| First Observation Period |
|
NDX Index: 115.00
RTY Index: 110.000
SPX Index: 105.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of each Underlying at or above its Coupon
Barrier on each scheduled trading day during first Observation
Period; Issuer pays Contingent Coupon of $0.3125 on first Coupon
Payment Date. |
| Second Observation Period |
|
NDX Index: 80.00
RTY Index: 65.000
SPX Index: 90.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of each Underlying at or above its Coupon
Barrier on each scheduled trading day during second Observation
Period; Issuer pays Contingent Coupon of $0.3125 on second Coupon
Payment Date. |
| Third to Tenth Observation
Periods |
|
Various (at
least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of at least one Underlying below its
Coupon Barrier on at least one scheduled trading day during each of
the third to tenth Observation Periods; Issuer DOES NOT pay
Contingent Coupon on any of the third to tenth Coupon Payment
Dates. |
| Eleventh Observation Period (the
final Observation Period ending on the Final Valuation Date) |
|
NDX Index: 105.00
RTY Index: 75.000
SPX Index: 65.00
|
|
NDX Index: 110.00
RTY Index: 80.000
SPX Index: 65.00
|
|
Notes NOT callable. Final
Underlying Level of each Underlying at or above its Downside
Threshold. Closing Level of each Underlying at or above its Coupon
Barrier on each scheduled trading day during the final Observation
Period; Issuer pays principal plus Contingent Coupon of
$0.3125 on Maturity Date. |
| Total Payments (per
Note): |
|
Payment at
Maturity: |
$10.3125 ($10.00 + $0.3125) |
| |
|
Prior Contingent
Coupons: |
$0.625 ($0.3125 × 2) |
| |
|
Total: |
$10.9375 |
| |
|
Total
Return: |
9.375% |
In this example, the Issuer does not elect to call the Notes and
the Notes remain outstanding until maturity. Because the Final
Underlying Level of each Underlying is greater than or equal to its
Downside Threshold and the Closing Level of each Underlying is
greater than or equal to its Coupon Barrier on each scheduled
trading day during the final Observation Period, the Issuer will
pay you on the Maturity Date $10.3125 per Note, which is equal to
your principal amount plus the Contingent Coupon due on the
Coupon Payment Date that is also the Maturity Date.
In addition, because the Closing Level of each Underlying was
greater than or equal to its Coupon Barrier on each scheduled
trading day during the first and second Observation Periods, the
Issuer will pay the Contingent Coupon of $0.3125 on each of the
first and second Coupon Payment Dates. However, because the Closing
Level of at least one Underlying was less than its Coupon Barrier
on at least one scheduled trading day during the third through
tenth Observation Periods, the Issuer will not pay any Contingent
Coupon on the Coupon Payment Dates following the Observation End
Dates on which those Observation Periods end. Accordingly, the
Issuer will have paid a total of $10.9375 per Note for a total
return of 9.375% on the Notes.
Example 3 — Notes Are NOT Called and the Final Underlying Level
of Each Underlying Is At or Above Its Downside Threshold But No
Contingent Coupon Is Paid on the Maturity Date
|
Observation
Period |
|
Lowest
Closing Level in Observation Period |
|
Final
Underlying Level |
|
Payment
(per Note) |
| First Observation Period |
|
NDX Index: 115.00
RTY Index: 110.000
SPX Index: 105.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of each Underlying at or above its Coupon
Barrier on each scheduled trading day during first Observation
Period; Issuer pays Contingent Coupon of $0.3125 on first Coupon
Payment Date. |
| Second Observation Period |
|
NDX Index: 80.00
RTY Index: 75.000
SPX Index: 90.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of each Underlying at or above its Coupon
Barrier on each scheduled trading day during second Observation
Period; Issuer pays Contingent Coupon of $0.3125 on second Coupon
Payment Date. |
| Third to Tenth Observation
Periods |
|
Various (at
least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of at least one Underlying below its
Coupon Barrier on at least one scheduled trading day during each of
the third to tenth Observation Periods; Issuer DOES NOT pay
Contingent Coupon on any of the third to tenth Coupon Payment
Dates. |
| Eleventh Observation Period (the
final Observation Period ending on the Final Valuation Date) |
|
NDX Index: 90.00
RTY Index: 50.000
SPX Index: 65.00
|
|
NDX Index: 95.00
RTY Index: 65.000
SPX Index: 85.00
|
|
Notes NOT callable. Final
Underlying Level of each Underlying at or above its Downside
Threshold. Closing Level of RTY Index below its Coupon Barrier on
at least one scheduled trading day during final Observation Period;
Issuer repays principal but does not pay any Contingent Coupon on
Maturity Date. |
| Total Payments (per
Note): |
|
Payment at
Maturity: |
$10.00 |
| |
|
Prior Contingent
Coupons: |
$0.625 ($0.3125 × 2) |
| |
|
Total: |
$10.625 |
| |
|
Total
Return: |
6.25% |
In this example, the Issuer does not elect to call the Notes and
the Notes remain outstanding until maturity. Because the Final
Underlying Level of each Underlying is greater than or equal to its
Downside Threshold but the Closing Level of at least one Underlying
is less than its Coupon Barrier on at least one scheduled trading
day during the final Observation Period, the Issuer will pay you on
the Maturity Date $10.00 per Note, which is equal to your principal
amount, but the Issuer will not pay any Contingent Coupon on the
Coupon Payment Date that is also the Maturity Date.
In addition, because the Closing Level of each Underlying was
greater than or equal to its Coupon Barrier on each scheduled
trading day during the first and second Observation Periods, the
Issuer will pay the Contingent Coupon of $0.3125 on each of the
first and second Coupon Payment Dates. However, because the Closing
Level of at least one Underlying was less than its Coupon Barrier
on at least one scheduled trading day during the third through
tenth Observation Periods, the Issuer will not pay any Contingent
Coupon on the Coupon Payment Dates following the Observation End
Dates on which those Observation Periods end. Accordingly, the
Issuer will have paid a total of $10.625 per Note for a total
return of 6.25% on the Notes.
Example 4 — Notes Are NOT Called and the Final Underlying Level
of At Least One Underlying Is Below Its Downside Threshold
|
Observation
Period |
|
Lowest
Closing Level in Observation Period |
|
Final
Underlying Level |
|
Payment
(per Note) |
| First Observation Period |
|
NDX Index: 40.00
RTY Index: 45.000
SPX Index: 30.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of each Underlying below its Coupon
Barrier on at least one scheduled trading day during first
Observation Period; Issuer DOES NOT pay Contingent Coupon on first
Coupon Payment Date. |
| Second Observation Period |
|
NDX Index: 105.00
RTY Index: 45.000
SPX Index: 80.00
|
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of RTY Index below its Coupon Barrier on
at least one scheduled trading day during second Observation
Period; Issuer DOES NOT pay Contingent Coupon on second Coupon
Payment Date. |
| Third to Tenth Observation
Periods |
|
Various (at
least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of
the Issuer. Closing Level of at least one Underlying below its
Coupon Barrier on at least one scheduled trading day during each of
the third to tenth Observation Periods; Issuer DOES NOT pay
Contingent Coupon on any of the third to tenth Coupon Payment
Dates. |
| Eleventh Observation Period (the
final Observation Period ending on the Final Valuation Date) |
|
NDX Index: 45.00
RTY Index: 110.000
SPX Index: 80.00
|
|
NDX Index: 45.00
RTY Index: 110.000
SPX Index: 80.00
|
|
Notes NOT callable. Closing Level
of NDX Index below its Coupon Barrier and Downside Threshold;
Issuer DOES NOT pay Contingent Coupon on Maturity Date; Issuer
repays less than the principal amount resulting in a percentage
loss of principal equal to the decline of the Least Performing
Underlying. |
| Total Payments (per
Note): |
|
Payment at
Maturity: |
$4.50 |
| |
|
Prior Contingent
Coupons: |
$0.00 |
| |
|
Total: |
$4.50 |
| |
|
Total
Return: |
-55.00% |
In this example, the Issuer does not elect to call the Notes and
the Notes remain outstanding until maturity. Because the Final
Underlying Level of at least one Underlying is less than its
Downside Threshold on the Final Valuation Date, at maturity, the
Issuer will pay you a total of $4.50 per Note, for a total return of
-55.00% on the Notes, calculated as follows:
$10 × (1 + Underlying Return of the Least Performing
Underlying)
Step 1: Calculate the Underlying Return of each
Underlying:
Underlying Return of the NDX Index:
|
Final Underlying Level – Initial Underlying Level |
= |
45.00 – 100.00 |
=
-55.00% |
| Initial Underlying Level |
100.00 |
Underlying Return of the RTY Index:
|
Final Underlying Level – Initial Underlying Level |
= |
110.000 – 100.000 |
=
10.00% |
| Initial Underlying Level |
100.000 |
Underlying Return of the SPX Index:
|
Final Underlying Level – Initial Underlying Level |
= |
80.00 – 100.00 |
=
-20.00% |
| Initial Underlying Level |
100.00 |
Step 2: Determine the Least Performing Underlying. The NDX
Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10 × (1 + Underlying Return of the Least Performing Underlying) =
$10 × (1 + -55.00%) = $4.50
In addition, because the Closing Level of at least one Underlying
is less than its Coupon Barrier on at least one scheduled trading
day during each Observation Period, the Issuer will not pay any
Contingent Coupons over the term of the Notes.
| What
Are the Tax Consequences of an Investment in the
Notes? |
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 with Associated Contingent
Coupons” and, if you are a non-U.S. holder, “—Tax Consequences to
Non-U.S. Holders.” The following discussion supersedes the
discussion in the accompanying prospectus supplement to the extent
it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and (ii) any
Contingent Coupons as ordinary income, as described in the section
entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or
Derivative Contracts with Associated Contingent Coupons” in the
accompanying prospectus supplement. Our special tax counsel, Davis
Polk & Wardwell LLP, has advised that it believes this
treatment to be reasonable, but that there are other reasonable
treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, Exchange or Redemption of a Note. Assuming the
treatment described above is respected, upon a sale or exchange of
the Notes (including upon early redemption or 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 (assuming Contingent Coupons are properly
treated as ordinary income, consistent with the position referred
to above). This gain or loss should be short-term capital gain or
loss unless you hold the Notes for more than one year, in which
case the gain or loss should be long-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the
issue price. The deductibility of capital losses is subject to
limitations. If you sell your Notes between the time your right to
a Contingent Coupon is fixed and the time it is paid, it is likely
that you will be treated as receiving ordinary income equal to the
Contingent Coupon. Although uncertain, it is possible that proceeds
received from the sale or exchange of your Notes prior to an
Observation End Date but that can be attributed to an expected
Contingent Coupon payment could be treated as ordinary income. You
should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the IRS
or a court may adopt, in which case the timing and character of any
income or loss on the Notes could be materially 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 and the relevance of factors such as the nature
of the underlying property to which the instruments are linked.
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
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.
Non-U.S. Holders. Insofar as we have responsibility as a
withholding agent, we do not currently intend to treat Contingent
Coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However,
non-U.S. holders should in any event expect to be required to
provide appropriate Forms W-8 or other documentation in order to
establish an exemption from backup withholding, as described under
the heading “—Information Reporting and Backup Withholding” in the
accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect
to amounts withheld.
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
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. 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.
The
Nasdaq-100 Index® (the “NDX Index”) is a modified market
capitalization-weighted index that is designed to measure the
performance of 100 of the 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 Information
The following graph sets forth the historical performance of the
NDX Index from January 2, 2008 through March 4, 2021, based on the
daily Closing Levels of the NDX Index. The Closing Level of the NDX
Index on March 4, 2021 was 12,464.00. The dotted lines represent
the Coupon Barrier and the Downside Threshold of 8,101.60 and
6,855.20, respectively, which are equal to 65.00% and 55.00%,
respectively, of the Initial Underlying Level of the NDX Index.
We obtained the Closing Levels of the NDX Index from Bloomberg
Professional® service (“Bloomberg”), without independent
verification. Historical performance of the NDX Index should not be
taken as an indication of future performance. Future performance of
the NDX Index may differ significantly from historical performance,
and no assurance can be given as to the Closing Level of the NDX
Index during the term of the Notes, including on any scheduled
trading day during an Observation Period or on the Final Valuation
Date. We cannot give you assurance that the performance of the NDX
Index will not result in a loss of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
The
Russell 2000® Index (the “RTY Index”) measures the
capitalization-weighted price performance of 2,000
small-capitalization stocks and is designed to track the
performance of the small-capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The
Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the
RTY Index from January 2, 2008 through March 4, 2021, based on the
daily Closing Levels of the RTY Index. The Closing Level of the RTY
Index on March 4, 2021 was 2,146.924. The dotted lines represent
the Coupon Barrier and the Downside Threshold of 1,395.501 and
1,180.808, respectively, which are equal to 65.00% and 55.00%,
respectively, of the Initial Underlying Level of the RTY Index.
We obtained the Closing Levels of the RTY Index from Bloomberg,
without independent verification. Historical performance of the RTY
Index should not be taken as an indication of future performance.
Future performance of the RTY Index may differ significantly from
historical performance, and no assurance can be given as to the
Closing Level of the RTY Index during the term of the Notes,
including on any scheduled trading day during an Observation Period
or on the Final Valuation Date. We cannot give you assurance that
the performance of the RTY Index will not result in a loss of your
principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
The
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 Information
The following graph sets forth the historical performance of the
SPX Index from January 2, 2008 through March 4, 2021, based on the
daily Closing Levels of the SPX Index. The Closing Level of the SPX
Index on March 4, 2021 was 3,768.47. The dotted lines represent the
Coupon Barrier and the Downside Threshold of 2,449.51 and 2,072.66,
respectively, which are equal to 65.00% and 55.00%, respectively,
of the Initial Underlying Level of the SPX Index.
We obtained the Closing Levels of the SPX Index from Bloomberg,
without independent verification. Historical performance of the SPX
Index should not be taken as an indication of future performance.
Future performance of the SPX Index may differ significantly from
historical performance, and no assurance can be given as to the
Closing Level of the SPX Index during the term of the Notes,
including on any scheduled trading day during an Observation Period
or on the Final Valuation Date. We cannot give you assurance that
the performance of the SPX Index will not result in a loss of your
principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
| Correlation
of the Underlyings |
The
following graph sets forth the historical performances of the
Nasdaq-100 Index®, the Russell 2000® Index
and the S&P 500® Index from January 2, 2008 through
March 4, 2021, based on the daily Closing Levels of the
Underlyings. For comparison purposes, each Underlying has been
normalized to have a Closing Level of 100.00 on January 2, 2008 by
dividing the Closing Level of that Underlying on each day by the
Closing Level of that Underlying on January 2, 2008 and multiplying
by 100.00.
We obtained the Closing Levels used to determine the normalized
Closing Levels set forth below from Bloomberg, without independent
verification. Historical performance of the Underlyings should not
be taken as an indication of future performance. Future performance
of the Underlyings may differ significantly from historical
performance, and no assurance can be given as to the Closing Levels
of the Underlyings during the term of the Notes, including on any
scheduled trading day during an Observation Period or on the Final
Valuation Date. We cannot give you assurance that the performances
of the Underlyings will not result in a loss of your principal
amount.
PAST PERFORMANCE AND CORRELATION OF THE UNDERLYINGS ARE NOT
INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION.
The correlation of a pair of Underlyings represents a statistical
measurement of the degree to which the returns of those Underlyings
were similar to each other over a given period in terms of timing
and direction. The correlation between a pair of Underlyings is
scaled from 1.0 to -1.0, with 1.0 indicating perfect positive
correlation (i.e., the value of both Underlyings are increasing
together or decreasing together and the ratio of their returns has
been constant), 0 indicating no correlation (i.e., there is no
statistical relationship between the returns of that pair of
Underlyings) and -1.0 indicating perfect negative correlation
(i.e., as the value of one Underlying increases, the value of the
other Underlying decreases and the ratio of their returns has been
constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those
Underlyings are. The graph above illustrates the historical
performance of each of the Underlyings relative to the other
Underlyings over the time period shown and provides an indication
of how close the relative performance of one Underlying has
historically been to another. However, the graph does not provide a
precise measurement of the correlation of the Underlyings.
Moreover, any historical correlation of the Underlyings is not
indicative of the degree of correlation of the Underlyings, if any,
that will be experienced over the term of the Notes.
The lower (or more negative) the correlation between two
Underlyings, the less likely it is that those Underlyings will move
in the same direction at the same time and, therefore, the greater
the potential for one of those Underlyings to close below its
Coupon Barrier or Downside Threshold on any day during an
Observation Period or the Final Valuation Date, respectively. This
is because the less positively correlated a pair of Underlyings
are, the greater the likelihood that at least one of the
Underlyings will decrease in value. However, even if two
Underlyings have a higher positive correlation, one or both of
those Underlyings might close below its Coupon Barrier or Downside
Threshold on any day during an Observation Period or the Final
Valuation Date, respectively, as both of those Underlyings may
decrease in value together.
Although the correlation of the Underlyings’ performance may change
over the term of the Notes, the Contingent Coupon Rate is
determined, in part, based on the correlations of the Underlyings’
performance calculated using our internal models at the time when
the terms of the Notes are finalized. A higher Contingent Coupon
Rate is generally associated with lower correlation of the
Underlyings, which reflects a greater potential for missed
Contingent Coupons and for a loss of principal at maturity. The
correlations referenced in setting the terms of the Notes are
calculated using our internal models and are not derived from the
returns of the Underlyings over the period set forth above. In
addition, other factors and inputs other than correlation may
impact how the terms of the Notes are set and the performance of
the Notes.
| Supplemental
Plan of Distribution |
We
have agreed to sell to Barclays Capital Inc. and UBS Financial
Services Inc., together the “Agents,” and the Agents have agreed to
purchase, all of the Notes at the initial issue price less the
underwriting discount indicated on the cover of this pricing
supplement. UBS Financial Services Inc. may allow a concession not
in excess of the underwriting discount set forth on the cover of
this pricing supplement to its affiliates.
We or our affiliates have entered or will enter into swap
agreements or related hedge transactions with one of our other
affiliates or unaffiliated counterparties in connection with the
sale of the Notes and the Agents and/or an affiliate may earn
additional income as a result of payments pursuant to the swap, or
related hedge transactions.
We have agreed to indemnify the Agents against liabilities,
including certain liabilities under the Securities Act of 1933, as
amended, or to contribute to payments that the Agents may be
required to make relating to these liabilities as described in the
prospectus and the prospectus supplement. We have agreed that UBS
Financial Services Inc. may sell all or a part of the Notes that it
purchases from us to its affiliates at the price that is indicated
on the cover of this pricing supplement.
