The Airbag Autocallable Yield Notes (the “Notes”)
are unsecured and unsubordinated debt obligations issued by Barclays Bank PLC (the “Issuer”) linked to the performance
of the common stock of Juniper Networks, Inc. (the “Underlying”). On a monthly basis, unless the Notes have been previously
called, the Issuer will pay you a coupon (the “Monthly Coupon”) regardless of the performance of the Underlying. The
Issuer will automatically call the Notes if the Closing Price of the Underlying on any quarterly Observation Date is greater than
or equal to the Closing Price of the Underlying on the Trade Date (the “Initial Underlying Price”). If the Notes are
automatically called, the Issuer will pay the principal amount of your Notes plus the Monthly Coupon 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 Notes are
not automatically called and the Closing Price of the Underlying on the Final Valuation Date (the “Final Underlying Price”)
is greater than or equal to the specified Conversion Price, the Issuer will pay you a cash payment at maturity equal to the principal
amount of your Notes plus the final Monthly Coupon. However, if the Notes are not automatically called and the Final Underlying
Price is less than the Conversion Price, at maturity, the Issuer will pay the final Monthly Coupon and will deliver to you a number
of shares of the Underlying equal to the principal amount per Note divided by the Conversion Price (the “Share Delivery
Amount”) for each of your Notes, which shares are expected to be worth less than your principal amount and may have no value
at all. Investing in the Notes involves significant risks. You may lose some or all of your principal. The Final Underlying
Price is observed relative to the Conversion Price 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 Coupon Rate on a Note, the greater the risk of loss
on that Note. Your return potential on the Notes is expected to be limited to the Monthly Coupons paid on the Notes, and you are
not expected to participate in any appreciation of the 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.
We are offering Airbag Autocallable Yield Notes linked
to the common stock of Juniper Networks, Inc.. The total coupon payable over the term of the Notes, per annum Coupon Rate, Initial
Underlying Price and Conversion Price will be set on the Trade Date. The Notes will be issued in minimum denominations equal to
$1,000 and integral multiples of $1,000. The Monthly Coupon is a fixed amount payable monthly based on the per annum Coupon Rate
(subject to the automatic call feature of the Notes).
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, and the prospectus supplement addendum dated February 18, 2021. 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 or prospectus supplement addendum, 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 Airbag Autocallable 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 five 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 and to the exclusion of any other term of
the Notes or 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); (iii) the cancellation of the Notes and/or (iv) 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 preceding discussion
supersedes the discussion in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
Investor
Suitability
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The Notes may be suitable for you if:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of some or all of your investment and are willing to make an investment that may have up to the full downside
market risk of an investment in the Underlying.
t You
understand that you may not receive a cash payment at maturity and are instead willing to accept delivery of the shares of the
Underlying if the Final Underlying Price is less than the Conversion Price.
t You
believe the Final Underlying Price is not likely to be less than the Conversion Price and, if it is, you can tolerate receiving
shares of the Underlying at maturity expected to be worth less than your principal amount and that may have no value at all.
t You
understand and accept that you are not expected to participate in any appreciation of the Underlying, which may be significant,
and that your return potential on the Notes is limited to the Monthly Coupons paid on the Notes.
t 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 price of the Underlying.
t You
are willing and able to hold Notes that will be called on the earliest quarterly Observation Date on which the Closing Price of
the Underlying is greater than or equal to the Initial Underlying Price, 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.
t You
would be willing to invest in the Notes if the Coupon Rate were set equal to the minimum Coupon Rate specified on the cover of
this pricing supplement (the actual Coupon Rate will be set on the Trade Date).
t You
are willing to forgo any dividends paid on the Underlying.
t You
understand and are willing to accept the single equity risk associated with the Notes and understand and are willing to accept
the risks associated with the Underlying.
t 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.
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The Notes may not be suitable for you if:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
t You
require an investment designed to provide a full return of principal at maturity, you cannot tolerate a loss of some or all of
your investment or you are not willing to make an investment that may have up to the full downside market risk of an investment
in the Underlying.
t You
require a cash payment at maturity and are not willing to accept delivery of the shares of the Underlying if the Final Underlying
Price is less than the Conversion Price.
t You
believe the Final Underlying Price is likely to be less than the Conversion Price, which could result in a total loss of your principal
amount, or you cannot tolerate receiving shares of the Underlying at maturity expected to be worth less than your principal amount
and that may have no value at all.
t You
seek an investment that participates in the full appreciation in the price of the Underlying and whose return is not limited to
the Monthly Coupons paid on the Notes.
t 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 price of the Underlying.
t You
are unable or unwilling to hold Notes that will be called on the earliest quarterly Observation Date on which the Closing Price
of the Underlying is greater than or equal to the Initial Underlying Price, 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.
t You
would be unwilling to invest in the Notes if the Coupon Rate were set equal to the minimum Coupon Rate specified on the cover of
this pricing supplement (the actual Coupon Rate will be set on the Trade Date).
t You
prefer to receive any dividends paid on the Underlying.
t You
do not understand or are unwilling to accept the single equity risk associated with the Notes or do not understand or are not willing
to accept the risks associated with the Underlying.
t 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.
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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 Underlying, please see the
sections titled “Information about the Underlying” and “Juniper Networks, Inc.” below.
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Issuer:
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Barclays Bank PLC
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Principal Amount:
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$1,000 per Note
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Term2,3:
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Approximately one year, unless called earlier
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Reference Asset3:
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The common stock of Juniper Networks, Inc. (Bloomberg ticker symbol “JNPR”) (the “Underlying”)
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Automatic Call Feature:
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The Issuer will automatically call the Notes if the Closing Price of the Underlying on any quarterly Observation Date is greater than or equal to the Initial Underlying Price. If the Notes are automatically called, the Issuer will pay the principal amount of your Notes plus the Monthly Coupon 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.
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Observation Dates2:
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Quarterly, on July 12, 2021, October 12, 2021, January 12, 2022 and April 12, 2022. The final Observation Date, April 12, 2022, is the “Final Valuation Date.”
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Call Settlement Dates2:
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The Coupon Payment Date immediately following the applicable Observation Date; provided that, if the Notes are automatically called on the Final Valuation Date, the related Call Settlement Date will be the Maturity Date.
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Coupon Payment Dates2:
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Monthly, until maturity or earlier automatic call as listed in the “Coupon Payment Dates” section below.
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Monthly Coupon:
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The Monthly Coupon is a fixed amount payable monthly
based on the per annum Coupon Rate, regardless of the performance of the Underlying, subject to an earlier automatic call.
The Coupon Rate is at least 8.00% per annum. Accordingly,
the Monthly Coupon payable on each Coupon Payment Date is at least 0.6667% ($6.6667 per Note) per month. The actual Monthly Coupon
will be based on the per annum Coupon Rate as set on the Trade Date.
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Payment at Maturity (per Note)5:
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Ø If
the Notes are not automatically called and the Final Underlying Price is greater than or equal to the Conversion Price, the
Issuer will pay you a cash payment on the Maturity Date equal to $1,000 per Note plus the final Monthly Coupon.
Ø If
the Notes are not automatically called and the Final Underlying Price is less than the Conversion Price, at maturity, the
Issuer will pay the final Monthly Coupon and will deliver to you a number of shares of the Underlying equal to the Share Delivery
Amount (subject to adjustments) for each Note.
The Share Delivery Amount is expected to be worth
less than the principal amount and may have no value at all. Accordingly, you may lose some or all of your principal at maturity,
depending on how much the Underlying declines. 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.
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Conversion Price3:
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A percentage of the Initial Underlying Price of the Underlying, as specified on the cover of this pricing supplement
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Share Delivery Amount3:
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A number of shares of the Underlying equal to (1) the principal amount per Note of $1,000 divided by (2) the Conversion Price (rounded to four decimal places)
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Initial Underlying Price3:
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The Closing Price of the Underlying on the Trade Date
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Final Underlying Price3:
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The Closing Price of the Underlying on the Final Valuation Date
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Closing Price3:
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Closing Price has the meaning set forth under “Reference Assets—Equity Securities—Special Calculation Provisions” in the prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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1
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Terms used in this pricing
supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus
supplement.
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2
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In the event that we make
any change to the expected Trade Date or Settlement Date, the Coupon Payment Dates, the
Observation Dates, including the Final Valuation Date, and/or the Maturity Date may be
changed to ensure that the stated term of the Notes remains the same. Each Observation
Date may be postponed if that Observation Date is not a scheduled trading day or if a
market disruption event occurs on that Observation Date as described under “Reference
Assets—Equity Securities—Market Disruption Events for Securities with an
Equity Security as a Reference Asset” in the accompanying 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 Date is
postponed as described under “Terms of the Notes—Payment Dates” in
the accompanying prospectus supplement.
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3
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In the case of certain corporate
events related to the Underlying, the Calculation Agent may adjust any variable, including
but not limited to, the Underlying, Initial Underlying Price, Final Underlying Price,
Conversion Price, Share Delivery Amount and Closing Price of the Underlying if the Calculation
Agent determines that the event has a diluting or concentrative effect on the theoretical
value of the shares of the Underlying. If you receive shares of the Underlying at maturity,
we will pay cash in lieu of delivering any fractional shares of the Underlying in an
amount equal to that fraction times the Final Underlying Price. If, due to an
event beyond our control, we determine it is impossible, impracticable (including unduly
burdensome) or illegal for us to deliver shares of the Underlying to you at maturity,
we will pay the cash equivalent of the Share Delivery Amount in lieu of delivering shares.
The Calculation Agent may accelerate the Maturity Date upon the occurrence of certain
reorganization events and additional adjustment events. For more information, see “Reference
Assets—Equity Securities—Share Adjustments Relating to Securities with an
Equity Security as a Reference Asset” in the accompanying prospectus supplement.
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Trade Date:
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The Closing Price of the Underlying (the Initial Underlying Price) is observed, the Coupon Rate is set and the Conversion Price and Share Delivery Amount are determined.
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Monthly
(including at maturity if not previously called):
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The Issuer will pay you the applicable Monthly Coupon.
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Quarterly
(including the Final Valuation Date):
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The Issuer will automatically
call the Notes if the Closing Price of the Underlying on any quarterly Observation Date is greater than or equal to the Initial
Underlying Price.
If the Notes are automatically
called, the Issuer will pay the principal amount of your Notes plus the Monthly Coupon 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.
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Maturity Date:
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The Final Underlying Price is determined as of the Final
Valuation Date.
If the Notes are not automatically called and the
Final Underlying Price is greater than or equal to the Conversion Price, the Issuer will pay you a cash payment on the Maturity
Date equal to $1,000 per Note plus the final Monthly Coupon.
If the Notes are not automatically called and the
Final Underlying Price is less than the Conversion Price, at maturity, the Issuer will pay the final Monthly Coupon and will
deliver to you a number of shares of the Underlying equal to the Share Delivery Amount (subject to adjustments) for each Note.
The Share Delivery Amount is expected to be worth
less than the principal amount and may have no value at all. Accordingly, you may lose some or all of your principal at maturity,
depending on how much the Underlying declines.
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Investing in the Notes involves significant risks. You may
lose some or all of your principal. The Final Underlying Price is observed relative to the Conversion Price only on the Final Valuation
Date, and the contingent repayment of principal applies only if you hold the Notes to maturity. You may receive shares at maturity
that are expected to be worth less than your principal amount and may have no value at all. Generally, the higher the Coupon Rate
on a Note, the greater the risk of loss on that Note. Your return potential on the Notes is expected to be limited to the Monthly
Coupons paid on the Notes, and you are not expected to participate in any appreciation of the 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.
Coupon
Payment Dates
Subject to the automatic call feature of the Notes, the Monthly
Coupon is a fixed amount payable monthly on the Coupon Payment Dates listed below. The record date for each Coupon Payment Date
will be the date that is one business day prior to the related Coupon Payment Date.
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May 14, 2021
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November 16, 2021
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June 16, 2021
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December 15, 2021
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July 14, 2021
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January 14, 2022
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August 16, 2021
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February 16, 2022
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September 15, 2021
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March 16, 2022
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October 14, 2021
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April 18, 2022
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Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlying. 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
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t
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You may lose some or all of your principal — The Notes
differ from ordinary debt securities in that the Issuer will not necessarily pay the full principal amount of the Notes at maturity.
If the Notes are not automatically called, the Issuer will pay you the principal amount of your Notes in cash only if the Final
Underlying Price is greater than or equal to the Conversion Price and will make such payment only at maturity. If the Notes are
not automatically called and the Final Underlying Price is less than the Conversion Price, the Issuer will pay the final Monthly
Coupon and will deliver to you a number of shares of the Underlying equal to the Share Delivery Amount at maturity for each Note
that you own. Therefore, if the Notes are not automatically called and the Final Underlying Price is less than the Conversion Price,
you will receive the final Monthly Coupon, but you will be exposed to any such decline below the Conversion Price at a proportionately
higher rate than the percentage decline of the Underlying below the Conversion Price, as measured from the Initial Underlying Price.
Based on the Conversion Price of 88% of the Initial Underlying Price, if the Notes were not automatically called and the Final
Underlying Price were less than the Conversion Price, you would lose approximately 1.1364% of your $1,000 principal amount per
Note at maturity for each additional 1% that the Final Underlying Price was less than the Conversion Price, as measured from the
Initial Underlying Price. If you receive shares of the Underlying at maturity, their value on the Final Valuation Date will be
less than the principal amount of the Notes, and they may have no value at all. The value of those shares may decrease further
between the Final Valuation Date and the Maturity Date.
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t
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Your return potential on the Notes is expected to be limited to
the Monthly Coupons paid on the Notes, and you are not expected to participate in any appreciation of the Underlying —
The return potential of the Notes is expected to be limited to the pre-specified per annum Coupon Rate, regardless of any appreciation
of the Underlying. In addition, if the Notes are automatically called pursuant to the automatic call feature, you will not receive
Monthly Coupons or any other payment in respect of any Coupon Payment Dates after the applicable Call Settlement Date. Because
the Notes could be called as early as the first Observation Date, the total return on the Notes could be minimal. If the Notes
are not automatically called, you may be subject to the decline in the price of the Underlying even though you are not expected
to participate in any of the Underlying’s appreciation. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the Underlying.
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t
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Reinvestment risk — If
your Notes are automatically called early, the holding period over which you would receive the per annum Coupon Rate could be as
short as approximately three months. There is no guarantee that you would be able to reinvest the proceeds from an investment in
the Notes in a comparable investment with a similar level of risk in the event the Notes are automatically called prior to the
Maturity Date. The likelihood that the Notes will be automatically called prior to the Maturity Date is highest earlier in their
term. Generally, the longer the Notes remain outstanding, the less likely it is that the Notes will be automatically called, due
to the decline in the price of the Underlying that has caused the Notes not to be automatically called on an earlier Observation
Date and the shorter time remaining for the price of the Underlying to increase to or above the Initial Underlying Price on a subsequent
Observation Date. If the Notes are not automatically called, you might be exposed to the full decline in the Underlying.
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t
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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 price of the Underlying is greater than
or equal to the Conversion Price.
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t
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You may receive cash at maturity in lieu of shares of the Underlying
— If you receive shares of the Underlying at maturity, we will pay cash in lieu of delivering any fractional shares of the
Underlying in an amount equal to that fraction times the Final Underlying Price. In addition, if, due to an event beyond our control,
we determine it is impossible, impracticable (including unduly burdensome) or illegal for us to deliver shares of the Underlying
to you at maturity, we will pay the cash equivalent of the Share Delivery Amount (as determined by the Calculation Agent in good
faith and in a commercially reasonable manner) in lieu of delivering shares. See “Terms of the Notes — Payment at Maturity”
in the accompanying prospectus supplement.
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t
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If you receive shares of the Underlying at maturity, those shares
may be worth less on the Maturity Date than their value based on the Final Underlying Price — If you receive shares of
the Underlying at maturity, the value of those shares on the Maturity Date depends on the value of the Underlying on the Maturity
Date rather than the Final Underlying Price. The value of those shares may have declined further below the Final Underlying Price
as of the Maturity Date and, as a result, the value of the payment at maturity may be less than if you had received on the Maturity
Date the cash value of those shares, calculated based on the Final Underlying Price. We will not make any adjustment to the Share
Delivery Amount to account for any fluctuations in the value of the Underlying and you will bear the risk of any decline in the
value of the shares of the Underlying you receive at maturity below the Final Underlying Price.
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t
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A higher Coupon Rate and/or a lower Conversion Price may reflect
greater expected volatility of the Underlying, which is generally associated with a greater risk of loss — Volatility
is a measure of the degree of variation in the price of the Underlying over a period of time. The greater the expected volatility
at the time the terms of the Notes are set, the greater the expectation is at that time that you may lose some or all of your principal
at maturity. In addition, the economic terms of the Notes, including the Coupon Rate and the Conversion Price, are based, in part,
on the expected volatility of the Underlying at the time the terms of the Notes are set, where higher expected volatility will
generally be reflected in a higher 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 Conversion Price as compared to otherwise comparable securities. Accordingly,
a higher Coupon Rate will generally be indicative of a greater risk of loss while a lower Conversion Price does not necessarily
indicate that the Notes have a greater likelihood of returning your principal at maturity. You should be willing to accept the
downside market risk of the Underlying and the potential loss of some or all of your principal at maturity.
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t
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Owning the Notes is not the same as owning the Underlying —
The return on your Notes may not reflect the return you would realize if you actually owned the Underlying. For instance, as a
holder of the Notes, you will not have voting rights, rights to receive cash dividends or other distributions or any other rights
that holders of the Underlying would have.
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t
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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 price of the Underlying will rise or
fall. There can be no assurance that the price of the Underlying will not close below the Conversion Price on the Final Valuation
Date. The price of the Underlying will be influenced by complex and interrelated political, economic, financial and other factors
that affect the Underlying. You should be willing to accept the downside risks of owning equities in general and the Underlying
in particular, and the risk of losing some or all of your principal amount.
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t
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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-17 of this pricing supplement.
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Risks Relating to the Issuer
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t
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Credit of Issuer — The Notes are unsecured and unsubordinated
debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party.
Any payment to be made on the Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy
its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness
of Barclays Bank PLC may affect the market value of the Notes and, in the event Barclays Bank PLC were to default on its obligations,
you might not receive any amount owed to you under the terms of the Notes.
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t
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You may lose some
or all of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority — Notwithstanding
and to the exclusion of any other term of the Notes or 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.
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Risks Relating to the Underlying
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t
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Single equity risk — The price of the Underlying can rise
or fall sharply due to factors specific to the Underlying and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review
financial and other information filed periodically with the SEC by the issuer of the Underlying.
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t
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Anti-dilution protection is limited, and the Calculation Agent has
discretion to make anti-dilution adjustments —The Calculation Agent may in its sole discretion make adjustments affecting
the amounts payable on the Notes upon the occurrence of certain corporate events (such as stock splits or extraordinary or special
dividends) that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the Underlying.
However, the Calculation Agent might not make such adjustments in response to all events that could affect the Underlying. The
occurrence of any such event and any adjustment made by the Calculation Agent (or a determination by the Calculation Agent not
to make any adjustment) may adversely affect the market price of, and any amounts payable on, the Notes. See “Reference Assets—Equity
Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying
prospectus supplement.
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Reorganization or other events could adversely affect the value
of the Notes or result in the Notes being accelerated — Upon the occurrence of certain reorganization events or a nationalization,
expropriation, liquidation, bankruptcy, insolvency or de-listing of the Underlying, the Calculation Agent will make adjustments
to the Underlying that may result in payments on the Notes being based on the performance of shares, cash or other assets distributed
to holders of the Underlying upon the occurrence of such event or, in some cases, the Calculation Agent may accelerate the Maturity
Date for a payment determined by the Calculation Agent. Any of these actions could adversely affect the value of the Underlying
and, consequently, the value of the Notes. Any amount payable upon acceleration could be significantly less than the amount(s)
that would be due on the Notes if they were not accelerated. See “Reference Assets—Equity Securities—Share Adjustments
Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement.
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Risks Relating to Conflicts of Interest
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t
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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.
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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
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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 the Underlying.
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t
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Potential Barclays Bank PLC impact on the market price of the Underlying
— Trading or transactions by Barclays Bank PLC or its affiliates in the Underlying and/or over-the-counter options, futures
or other instruments with returns linked to the performance of the Underlying may adversely affect the market price of the Underlying
and, therefore, the market value of the Notes.
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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.
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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 Underlying. 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 Underlying
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 the Underlying is to be determined; determining whether to adjust any variable described herein in the case of certain corporate
events related to the Underlying that the Calculation Agent determines have a diluting or concentrative effect on the theoretical
value of the shares of the Underlying; determining the cash equivalent of the Share Delivery Amount; and determining whether to
accelerate the maturity date upon the occurrence of certain reorganization events and additional adjustment events. 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
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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.
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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 price of the Underlying 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:
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t
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the expected volatility of the Underlying;
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t
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the time to maturity of the Notes;
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the dividend rate on the Underlying;
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interest and yield rates in the market generally;
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supply and demand for the Notes;
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a variety of economic, financial, political, regulatory and judicial
events; and
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our creditworthiness, including actual or anticipated downgrades in
our credit ratings.
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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.
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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
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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.
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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.
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The estimated value of your Notes is not a prediction of the prices
at which you may sell your Notes in the secondary market, if any, and such secondary market prices, if any, will likely be lower
than the initial issue price of your Notes and may be lower than the estimated value of your Notes — The estimated value
of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may
be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not
obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced
by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may
be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account
the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to
the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices
of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions,
if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a
substantial loss to you.
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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.
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Hypothetical
Examples
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 $1,000 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 or the table below as an indication or assurance of the expected performance of the
Notes. The examples and the table below do not take into account any tax consequences from investing in the Notes. Numbers appearing
in the examples and the table below have been rounded for ease of analysis.
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Term:
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Approximately one year (unless called earlier)
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Hypothetical Coupon Rate **:
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8.00% per annum (or 0.6667% per month) (the minimum Coupon Rate that may be set on the Trade Date)
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Hypothetical Monthly Coupon:
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$6.6667 per month
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Hypothetical Initial Underlying Price:
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$100.00
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Hypothetical Conversion Price:
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$88.00 (which is 88% of the hypothetical Initial Underlying Price)
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Hypothetical Share Delivery Amount:
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11.3636 shares per Note ($1,000 / hypothetical Conversion Price of $88.00)
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Observation Dates:
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Observation Dates will occur quarterly as set forth under “Indicative Terms—Observation Dates” in this pricing supplement.
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*
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Terms used for purposes of these hypothetical
examples may not represent the actual Coupon Rate per annum, Initial Underlying Price,
Conversion Price or Share Delivery Amount. The hypothetical Initial Underlying Price
of $100.00 has been chosen for illustrative purposes only and may not represent a likely
actual Initial Underlying Price. The actual Coupon Rate per annum, Initial Underlying
Price, Conversion Price and Share Delivery Amount will be determined on the Trade Date.
For historical Closing Prices of the Underlying, please see the historical information
set forth under the section titled “Juniper Networks, Inc.” below. We cannot
predict the Closing Price of the Underlying on any day during the term of the Notes,
including on any Observation Date.
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**
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The Monthly Coupon is a fixed amount
payable monthly based on the per annum Coupon Rate (unless earlier called).
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The examples below and the return table on the following page
are purely hypothetical. These examples and the table below are intended to illustrate (a) under what circumstances the Notes will
be subject to an automatic call, (b) how the value of the payment at maturity on the Notes will depend on whether the Final Underlying
Price is less than the Conversion Price and (c) how the total return on the Notes may be less than the total return on a direct
investment in the Underlying 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 $1,000 principal
amount.
Example 1 — Notes Are Automatically Called on the First
Observation Date
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Date
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Closing
Price
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Payment
(per Note)
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First Observation Date
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$105.00
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Closing Price of Underlying at or above Initial Underlying Price; Notes are automatically called. Issuer pays principal plus Monthly Coupon of $6.6667 on Call Settlement Date. Issuer has already paid two Monthly Coupons of $6.6667 each prior to the first Observation Date.
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Total Payments (per
Note):
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Payment on Call Settlement Date:
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$1,006.6667 ($1,000.00 + $6.6667)
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Prior Monthly Coupons:
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$13.3334 ($6.6667 × 2)
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Total:
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$1,020.0001
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Total Return:
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2.00%
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Because the Closing Price of the Underlying is greater than or
equal to the Initial Underlying Price on the first Observation Date, the Notes are automatically called on that Observation Date.
The Issuer will pay you on the Call Settlement Date $1,006.6667 per Note, which is equal to your principal amount plus the
Monthly 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, the Issuer will have paid Monthly Coupons of $6.6667 on each of the two preceding Coupon Payment Dates.
Accordingly, the Issuer will have paid a total of $1,020.0001 per Note for a 2.00% total return on the Notes.
Example 2 — Notes Are Automatically Called on the Final
Valuation Date
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Date
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Closing
Price
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Payment
(per Note)
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First Observation Date
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$85.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Second Observation Date
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$90.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Third Observation Date
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$95.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Fourth Observation Date
(the Final Valuation Date)
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$115.00
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Closing Price of Underlying at or above Initial Underlying Price; Notes are automatically called; Issuer pays principal plus Monthly Coupon of $6.6667 on Call Settlement Date, which is also the Maturity Date. Issuer has already paid eleven Monthly Coupons of $6.6667 each prior to the Final Valuation Date.
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Total Payments (per
Note):
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Payment on Call Settlement Date:
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$1,006.6667 ($1,000.00 + $6.6667)
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Prior Monthly Coupons:
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$73.3337 ($6.6667 × 11)
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Total:
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$1,080.0004
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Total Return:
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8.00%
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Because the Closing Price of the Underlying is less than the
Initial Underlying Price on each Observation Date until the final Observation Date (which is the Final Valuation Date) and the
Closing Price of the Underlying is greater than or equal to the Initial Underlying Price on the Final Valuation Date, the Notes
are automatically called on the Final Valuation Date. The Issuer will pay you on the Call Settlement Date (which is also the Maturity
Date) $1,006.6667 per Note, which is equal to your principal amount plus the Monthly Coupon due on the Coupon Payment Date
that is also the Call Settlement Date. In addition, the Issuer will have paid Monthly Coupons of $6.6667 on each of the eleven
preceding Coupon Payment Dates. Accordingly, the Issuer will have paid a total of $1,080.0004 per Note for a total return of 8.00%
on the Notes.
Example 3 — Notes Are NOT Automatically Called and the
Final Underlying Price Is At or Above the Conversion Price
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Date
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Closing
Price
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Payment
(per Note)
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First Observation Date
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$95.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Second Observation Date
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$90.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Third Observation Date
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$85.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Fourth Observation Date
(the Final Valuation Date)
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$92.50
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Closing Price of Underlying below Initial Underlying Price; Notes are NOT automatically called. Final Underlying Price at or above the Conversion Price; Issuer pays principal plus Monthly Coupon of $6.6667 on the final Coupon Payment Date, which is also the Maturity Date. Issuer has already paid eleven Monthly Coupons of $6.6667 each prior to the Final Valuation Date.
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Total Payments (per
Note):
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Payment at Maturity:
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$1,006.6667 ($1,000.00 + $6.6667)
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Prior Monthly Coupons:
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$73.3337 ($6.6667 × 11)
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Total:
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$1,080.0004
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Total Return:
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8.00%
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Because the Closing Price of the Underlying is less than the
Initial Underlying Price on each Observation Date, the Notes are not automatically called. Because the Final Underlying Price is
greater than or equal to the Conversion Price, the Issuer will pay you on the Maturity Date $1,006.6667 per Note, which is equal
to your principal amount plus the final Monthly Coupon. In addition, the Issuer will have paid Monthly Coupons of $6.6667
on each of the eleven preceding Coupon Payment Dates. Accordingly, the Issuer will have paid a total of $1,080.0004 per Note for
a total return of 8.00% on the Notes.
Example 4 — Notes Are NOT Automatically Called and the
Final Underlying Price Is Below the Conversion Price
|
Date
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Closing
Price
|
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Payment
(per Note)
|
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First Observation Date
|
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$95.00
|
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Second Observation Date
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$80.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Third Observation Date
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$65.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called.
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Fourth Observation Date
(the Final Valuation Date)
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$40.00
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Closing Price of Underlying below Initial Underlying Price; Notes NOT automatically called. Final Underlying Price below Conversion Price; Issuer delivers the Share Delivery Amount (with fractional shares paid in cash) plus pays Monthly Coupon of $6.6667 on the final Coupon Payment Date, which is also the Maturity Date. Issuer has already paid eleven Monthly Coupons of $6.6667 each prior to the Final Valuation Date.
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Total Payments (per
Note):
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Value of Shares Received (as of Final Valuation
Date*):
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$440.00 (11 shares × $40.00)
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Value of Fractional Shares Paid in Cash:
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$14.544 (0.3636 shares × $40.00)
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Value of the Final Monthly Coupon:
|
$6.6667
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Total Value of Payment at Maturity:
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$461.2107
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|
|
Prior Monthly Coupons:
|
$73.3337 ($6.6667 × 11)
|
|
|
|
Total:
|
$534.5444
|
|
|
|
Total Return:
|
-46.5456%
|
Because the Closing Price of the Underlying is less than the
Initial Underlying Price on each Observation Date, the Notes are not automatically called. Because the Final Underlying Price is
less than the Conversion Price, the Issuer will deliver to you on the Maturity Date the number of shares of the Underlying equal
to the Share Delivery Amount for every Note you hold and will pay cash based on the Final Underlying Price for any fractional shares
included in the Share Delivery Amount plus the final Monthly Coupon. In addition, the Issuer will have paid Monthly Coupons
of $6.6667 on each of the eleven preceding Coupon Payment Dates. Accordingly, the Issuer will have delivered shares and paid cash
with a total value of $534.5444 per Note for a total return of -46.5456% on the Notes, as of the Final Valuation Date*.
* The value of shares received at maturity and the total return
on the Notes at that time depends on the value of the Underlying on the Maturity Date, rather than the Final Valuation Date, and
is expected to be worth less than the principal amount or may have no value at all.
Hypothetical
Return Table of the Notes at Maturity
The table below assumes that the Notes are not automatically
called at any time during the term of the Notes prior to the Final Valuation Date pursuant to the automatic call feature and illustrates
the payment at maturity per Note on a hypothetical offering of the Notes, based on the following assumptions*:
|
Principal Amount:
|
$1,000
|
|
Term:
|
Approximately one year (unless called earlier)
|
|
Hypothetical Coupon Rate per annum**:
|
8.00% per annum (or 0.6667% per month) (the minimum Coupon Rate per annum that may be set on the Trade Date)
|
|
Hypothetical Monthly Coupon:
|
$6.6667 per month
|
|
Hypothetical Initial Underlying Price:
|
$100.00
|
|
Hypothetical Conversion Price:
|
$88.00 (which is 88% of the hypothetical Initial Underlying Price)
|
|
Hypothetical Share Delivery Amount:
|
11.3636 shares per Note ($1,000 / hypothetical Conversion Price of $88.00)
|
|
Hypothetical Dividend Yield on the Underlying***
|
2.00% per annum
|
|
|
*
|
Terms used for purposes of these hypothetical
examples may not represent the actual Coupon Rate per annum, Initial Underlying Price,
Conversion Price or Share Delivery Amount. The hypothetical Initial Underlying Price
of $100.00 has been chosen for illustrative purposes only and may not represent a likely
Initial Underlying Price. The actual Coupon Rate per annum, Initial Underlying Price,
Conversion Price and Share Delivery Amount will be determined on the Trade Date. For
historical Closing Prices of the Underlying, please see the historical information set
forth under the section titled “Juniper Networks, Inc.” below.
|
|
|
**
|
The Monthly Coupon is a fixed amount
payable monthly based on the per annum Coupon Rate (unless earlier called).
|
|
|
***
|
Dividend yield assumed received by
holders of the Underlying during the term of the Notes. The actual dividend yield for
the Underlying may vary from the assumed dividend yield used for purposes of the following
examples. Regardless, investors in the Notes will not receive any dividends paid on the
Underlying.
|
|
Underlying
|
|
No Previous Automatic Call and Conversion Event
Does Not Occur(1)
|
|
No Previous Automatic Call and Conversion Event Occurs(2)
|
|
Final Underlying Price(3)
|
|
Underlying
Return
|
|
Total Return on
the Underlying
Equity at
Maturity(4)
|
|
Payment at
Maturity +
Coupon
Payments
|
|
Total Return on
the Notes at
Maturity(5)
|
|
Value
of Share
Delivery
Amount(6)
|
|
Value
of Share
Delivery
Amount +
Coupon
Payments(7)
|
|
Total Return on
the Notes at
Maturity(8)
|
|
$150.00
|
|
50.00%
|
|
52.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$145.00
|
|
45.00%
|
|
47.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$140.00
|
|
40.00%
|
|
42.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$135.00
|
|
35.00%
|
|
37.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$130.00
|
|
30.00%
|
|
32.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$125.00
|
|
25.00%
|
|
27.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$120.00
|
|
20.00%
|
|
22.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$115.00
|
|
15.00%
|
|
17.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$110.00
|
|
10.00%
|
|
12.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$105.00
|
|
5.00%
|
|
7.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$100.00
|
|
0.00%
|
|
2.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$95.00
|
|
-5.00%
|
|
-3.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$90.00
|
|
-10.00%
|
|
-8.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$88.00
|
|
-12.00%
|
|
-10.00%
|
|
$1,080.0004
|
|
8.00%
|
|
n/a
|
|
n/a
|
|
n/a
|
|
$85.00
|
|
-15.00%
|
|
-13.00%
|
|
n/a
|
|
n/a
|
|
$965.91
|
|
$1,045.91
|
|
4.591%
|
|
$80.00
|
|
-20.00%
|
|
-18.00%
|
|
n/a
|
|
n/a
|
|
$909.09
|
|
$989.09
|
|
-1.091%
|
|
$75.00
|
|
-25.00%
|
|
-23.00%
|
|
n/a
|
|
n/a
|
|
$852.27
|
|
$932.27
|
|
-6.773%
|
|
$70.00
|
|
-30.00%
|
|
-28.00%
|
|
n/a
|
|
n/a
|
|
$795.45
|
|
$875.45
|
|
-12.455%
|
|
$65.00
|
|
-35.00%
|
|
-33.00%
|
|
n/a
|
|
n/a
|
|
$738.63
|
|
$818.63
|
|
-18.137%
|
|
$60.00
|
|
-40.00%
|
|
-38.00%
|
|
n/a
|
|
n/a
|
|
$681.82
|
|
$761.82
|
|
-23.818%
|
|
$55.00
|
|
-45.00%
|
|
-43.00%
|
|
n/a
|
|
n/a
|
|
$625.00
|
|
$705.00
|
|
-29.50%
|
|
$50.00
|
|
-50.00%
|
|
-48.00%
|
|
n/a
|
|
n/a
|
|
$568.18
|
|
$648.18
|
|
-35.182%
|
|
$40.00
|
|
-60.00%
|
|
-58.00%
|
|
n/a
|
|
n/a
|
|
$454.54
|
|
$534.54
|
|
-46.546%
|
|
$30.00
|
|
-70.00%
|
|
-68.00%
|
|
n/a
|
|
n/a
|
|
$340.91
|
|
$420.91
|
|
-57.909%
|
|
$20.00
|
|
-80.00%
|
|
-78.00%
|
|
n/a
|
|
n/a
|
|
$227.27
|
|
$307.27
|
|
-69.273%
|
|
(1)
|
A conversion event does not
occur if the Final Underlying Price is greater than or equal to the Conversion Price.
|
|
(2)
|
A conversion event occurs if the Final Underlying
Price is less than the Conversion Price.
|
|
(3)
|
The Final Underlying Price is as of the Final
Valuation Date if the Final Underlying Price is greater than or equal to the Conversion Price. If the Final Underlying Price
is less than the Conversion Price, the Final Underlying Price is as of the Final Valuation Date and the Maturity Date. The
Final Underlying Price range is provided for illustrative purposes only. The actual Underlying return may be below -70% and
you therefore may lose up to 100% of your principal amount.
|
|
(4)
|
The total return on the Underlying at maturity
assumes a 2.00% cash dividend payment.
|
|
(5)
|
The total return on the Notes at maturity includes
Monthly Coupons received during the term of the Notes.
|
|
(6)
|
The value of the Share Delivery Amount consists
of the total shares included in the Share Delivery Amount times the Closing Price of the Underlying on the Maturity
Date, rather than the Final Valuation Date. The value of the Share Delivery Amount may decline from the Final Valuation Date
to the Maturity Date. If you receive the Share Delivery Amount at maturity, we will pay cash in lieu of delivering any fractional
shares in an amount equal to that fraction times the Final Underlying Price. If, due to an event beyond our control,
we determine it is impossible, impracticable (including unduly burdensome) or illegal for us to deliver shares of the Underlying
to you at maturity, we will pay the cash equivalent of the Share Delivery Amount (as determined by the Calculation Agent in
good faith and in a commercially reasonable manner) in lieu of delivering shares.
|
|
(7)
|
The value of the Share Delivery Amount, including
cash in lieu of fractional shares, plus the Monthly Coupons received during the term of the Notes
|
|
(8)
|
The total return at maturity on the Notes includes
Monthly Coupons received during 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 Put Options and Deposits” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.”
The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes.
Due to the lack of direct legal authority, there is substantial
uncertainty regarding the U.S. federal income tax consequences of an investment in the Notes. Our special tax counsel believes
that it is reasonable to treat a Note for U.S. federal income tax purposes as a put option (the “Put Option”) written
by you to us with respect to the applicable Underlying, secured by a cash deposit equal to the Issue Price of the Note (the “Deposit”),
which will have an annual yield based on our cost of borrowing, as shown below. If this treatment is respected, only a portion
of each Monthly Coupon payment will be attributable to interest on the Deposit; the remainder will represent premium attributable
to your grant of the Put Option (“Put Premium”). We will determine the portion of each Monthly Coupon payment that
we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation in the pricing supplement
for the Notes. By purchasing the Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently with the
treatment and allocation as described above. We will follow this approach in determining our information reporting responsibilities,
if any. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent
therewith.
Assuming the treatment and allocation described above are respected,
(a) interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to the
taxable disposition of the Notes (including pursuant to an automatic call or at maturity), and (b) assuming that you are an initial
purchaser of Notes purchasing the Notes at the Issue Price for cash, (i) if at maturity or upon an automatic call the Notes are
settled in cash, you will recognize short-term capital gain in an amount equal to the total Put Premium received and (ii) if at
maturity you receive the Underlying, you generally will not recognize gain or loss with respect to the Put Premium or the Underlying
received; instead, the total Put Premium will reduce your basis in the Underlying. This discussion does not address the U.S. federal
income tax consequences of the ownership or disposition of the Underlying that you may receive at maturity. You should consult
your tax advisor regarding the potential U.S. federal tax consequences of the ownership and disposition of the Underlying.
There are, however, other reasonable treatments that the Internal
Revenue Service (the “IRS”) or a court may adopt for the Notes, in which case the timing and character of your income
or loss could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses on a number of issues, the most relevant of which for investors in the Notes are the character of income or
loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income
realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the Notes would be viewed as
similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the Notes, possibly with retroactive effect. You should consult your tax advisor regarding all aspects of the U.S. federal income
tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Purchasers who are not initial purchasers of Notes at the Issue Price should also consult their tax advisors with respect to the
tax consequences of an investment in the Notes, including possible alternative treatments, as well as the allocation of the purchase
price of the Notes between the Deposit and the Put Option.
The discussions above and in the accompanying prospectus supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
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.
Consistent with the position described above, below are the portions
of each Monthly Coupon payment that we intend, in determining our reporting responsibilities (if any), to treat as attributable
to interest on the Deposit and to Put Premium:
|
Coupon Rate per Annum(1)
|
Interest on Deposit
per Annum(1)
|
Put Premium
per Annum(1)
|
|
%
|
%
|
%
|
(1) To be determined on the Trade Date
|
Information
about the Underlying
|
Included below is a brief description of the issuer of the Underlying.
This information has been obtained from publicly available sources. We obtained the Closing Price information for the Underlying
from Bloomberg Professional® service (“Bloomberg”), without independent verification. You should not
take the historical prices of the Underlying as an indication of future performance.
We urge you to read the following section in the accompanying
prospectus supplement: “Reference Assets — Equity Securities — Reference Asset Issuer and Reference Asset Information.”
Companies with securities registered under the Securities Exchange Act of 1934, as amended, are required to file financial and
other information specified by the SEC periodically. Such information can be reviewed electronically through a website maintained
by the SEC at http://www.sec.gov. Information filed with the SEC by the issuer of the Underlying can be located by reference to
its SEC file number provided below.
Information from outside sources is not incorporated by reference
in, and should not be considered part of, this pricing supplement or any accompanying prospectus or prospectus supplement. We have
not independently verified the accuracy or completeness of the information contained in outside sources.
According to publicly available information, Juniper Networks,
Inc. (the “Company”) designs, develops and sells products and services that enable customers to build networks for
their businesses through automation.
Information filed by the Company with the SEC can be located
by reference to its SEC file number: 001-34501. The Company’s common stock is listed on the New York Stock Exchange under
the ticker symbol “JNPR.”
Historical Information
The graph below illustrates the historical performance of the
Underlying from October 29, 2009 through April 5, 2021. The Closing Price of the Underlying on April 5, 2021 was $25.71. The dotted
line represents a hypothetical Conversion Price of $22.62, which is equal to 88.00% of the Closing Price on April 5, 2021. The
actual Conversion Price will be determined on the Trade Date and will equal 88.00% of the Closing Price of the Underlying on the
Trade Date.
We obtained the Closing Prices of the Underlying from Bloomberg,
without independent verification. Historical performance of the Underlying should not be taken as an indication of future performance.
Future performance of the Underlying may differ significantly from historical performance, and no assurance can be given as to
the Closing Price of the Underlying during the term of the Notes, including on any Observation Date. We cannot give you assurance
that the performance of the Underlying will not result in a loss on your initial investment. The Closing Prices below may have
been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.