VXX iPath Series B S&P 500 VIX ShortTerm Futures ETN

PS-6 

 

Investment Timeline

 

April 8, 2021:		The Closing Price of each Underlying (the Initial Underlying Price) is observed and the Downside Threshold of each Underlying is determined.
Annually:		The Issuer will automatically call the Notes if (i) the Closing Price of each Underlying on any annual Observation Date preceding the Final Valuation Date is greater than or equal to its Initial Underlying Price or (ii) the Final Underlying Price of each Underlying is greater than or equal to its specified Downside Threshold.   The Final Underlying Price of each Underlying is determined as of the Final Valuation Date.   If the Notes are automatically called, the Issuer will pay you a Call Price equal to the principal amount of your Notes plus a Call Return, and no further amounts will be owed to you under the Notes. The Call Return increases based on the per annum Call Return Rate for each additional year the Notes remain outstanding.
Maturity Date:		If the Notes are not automatically called and, therefore, the Final Underlying Price of either Underlying is less than its Downside Threshold, the Issuer will pay you a cash payment on the Maturity Date per Note that is less than your principal amount, if anything, resulting in a percentage loss on your investment equal to the negative Underlying Return of the Lesser Performing Underlying, calculated as follows:   $10 × (1 + Underlying Return of the Lesser Performing Underlying)   Accordingly, you may lose a significant portion or all of your principal at maturity, depending on how much the Lesser Performing Underlying declines, regardless of the performance of the other Underlying.

Investing in the Notes involves significant risks. You may lose a significant portion or all of your initial investment. You will be exposed to the market risk of each Underlying and any decline in the price of one Underlying may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase in the price of the other Underlying. The Final Underlying Price of each Underlying is observed relative to its Downside Threshold only on the Final Valuation Date, and the contingent repayment of principal applies only if you hold the Notes to maturity. Generally, the higher the Call Return Rate on a Note, the greater the risk of loss on that Note. Your return potential on the Notes is limited to any Call Return paid on the Notes, and you will not participate in any appreciation of either 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.

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in either or both of the Underlyings. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes generally in the “Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear the risks of investing in the Notes.

Risks Relating to the Notes Generally

Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Call Return Rate is determined, in part, based on the correlation of the Underlyings’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Call Return Rate is generally associated with lower correlation of the Underlyings, which reflects a lower likelihood of the Notes being automatically called on any Observation Date for the applicable Call Price and a greater potential for a loss on your investment at maturity. The correlation referenced in setting the terms of the Notes is calculated using our internal models and is not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings” below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the Notes.

Risks Relating to the Issuer

Risks Relating to the Underlyings

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.

Risks Relating to Conflicts of Interest

In connection with our normal business activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative instruments or assets that may relate to the Underlyings. In any such market making, trading and hedging activity, investment banking and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial services may negatively impact the value of the Notes.

In addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation.

In addition to the activities described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underlyings and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an Underlying is to be determined; determining whether to adjust any variable described herein in the case of certain corporate events related to an Underlying that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the shares of that Underlying; 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

Hypothetical terms only. Actual terms may vary. See the cover page for actual offering terms.

The examples below illustrate the payment upon a call or at maturity for a $10 principal amount Note on a hypothetical offering of the Notes under various scenarios, with the assumptions set forth below.* You should not take these examples as an indication or assurance of the expected performance of the Notes. The examples below do not take into account any tax consequences from investing in the Notes. Numbers appearing in the examples below have been rounded for ease of analysis. In these examples, we refer to the American depositary shares of Baidu, Inc. and the common stock of DocuSign, Inc. as the “BIDU Underlying” and the “DOCU Underlying,” respectively.

Because the Closing Price of each Underlying is greater than or equal to its Initial Underlying Price on the first Observation Date (which is approximately one year after the Trade Date), the Notes are automatically called on that Observation Date. The Issuer will pay you on the related Call Settlement Date a Call Price of $11.955 per Note for a total return of 19.55% on the Notes. No further amounts will be owed to you under the Notes.

As indicated in this example, any positive return on your Notes will not exceed the Call Price with respect to the applicable Observation Date, regardless of any appreciation in the value of either Underlying, which may be significant.

In this example, the Notes are not automatically called prior to the Final Valuation Date because the Closing Price of at least one Underlying on each Observation Date preceding the Final Valuation Date is less than its Initial Underlying Price, even if the other Underlying has appreciated.

However, because the Final Underlying Price of each Underlying is greater than or equal to its Downside Threshold, the Notes are automatically called on the Final Valuation Date. The Issuer will pay you on the Maturity Date a Call Price of $17.82 per Note for a total return of 78.20% on the Notes.

In this example, the Notes are not automatically called prior to the Final Valuation Date because the Closing Price of at least one Underlying on each Observation Date preceding the Final Valuation Date is less than its Initial Underlying Price, even if the other Underlying has appreciated.

In addition, the Notes are not automatically called on the Final Valuation Date because the Final Underlying Price of at least one Underlying on the Final Valuation Date is less than its Downside Threshold. Because the Final Underlying Price of at least one Underlying is less than its Downside Threshold on the Final Valuation Date, at maturity, the Issuer will pay you a total of $4.50 per Note, for a total return of -55.00% on the Notes, calculated as follows:

$10 × (1 + Underlying Return of the Lesser Performing Underlying)

Step 1: Calculate the Underlying Return of each Underlying:

Underlying Return of the BIDU Underlying:

Underlying Return of the DOCU Underlying:

Step 2: Determine the Lesser Performing Underlying: The BIDU Underlying is the Underlying with the lower Underlying Return.

Step 3: Calculate the Payment at Maturity:

$10 × (1 + Underlying Return of the Lesser Performing Underlying)

= $10 × (1 + -55.00%) = $4.50

As this example illustrates, if the Notes have not been previously called and if the Final Underlying Price of either Underlying is less than its Downside Threshold, you will incur a loss on the Notes at maturity, even if the other Underlying has appreciated.

You should review carefully the sections in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.

Based on current market conditions, in the opinion of our special tax counsel, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Underlyings. Assuming this treatment is respected, upon a sale or exchange of your Notes (including redemption upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal the amount you paid to acquire your Notes. This gain or loss should be long-term capital gain or loss if you hold your Notes for more than a year, whether or not you are an initial purchaser of Notes at the original issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the Notes could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.

Non-U.S. Holders. Insofar as we have responsibility as a withholding agent, we do not intend to treat payments on the Notes to non-U.S. holders (as defined in the accompanying prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.

Treasury regulations under Section 871(m) generally impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, we expect that these regulations should not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding the potential application of Section 871(m) to the Notes.

Included in the following pages is a brief description of the issuers of each of the Underlyings. This information has been obtained from publicly available sources. We obtained the Closing Price information for each of the Underlyings 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, Baidu, Inc. (the “BIDU Company”) a Cayman Islands company with operations primarily conducted in China, is a technology company with artificial intelligence capabilities.

Information filed by the BIDU Company with the SEC can be located by reference to its SEC file number: 000-51469. The BIDU Company’s American depositary shares (the “BIDU Underlying”) are listed on The Nasdaq Stock Market under the ticker symbol “BIDU.”

Historical Information

The following graph sets forth the historical performance of the BIDU Underlying from January 2, 2008 through April 8, 2021, based on the daily Closing Prices of the BIDU Underlying. The Closing Price of the BIDU Underlying on April 8, 2021 was $226.77. The dotted line represents the Downside Threshold of $136.06, which is equal to 60.00% of the Initial Underlying Price of the BIDU Underlying.

We obtained the Closing Prices of the BIDU Underlying from Bloomberg, without independent verification. Historical performance of the BIDU Underlying should not be taken as an indication of future performance. Future performance of the BIDU Underlying may differ significantly from historical performance, and no assurance can be given as to the Closing Price of the BIDU Underlying during the term of the Notes, including on any Observation Date. We cannot give you assurance that the performance of the BIDU Underlying will not result in a loss of your principal amount. 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.

According to publicly available information, DocuSign, Inc. (the “DOCU Company”) operates the DocuSign Agreement Cloud, a cloud software suite for automating and connecting the entire agreement process and includes DocuSign eSignature, which allows an agreement to be signed electronically on a variety of devices.

Information filed by the DOCU Company with the SEC can be located by reference to its SEC file number: 001-38465. The DOCU Company’s common stock (the “DOCU Underlying”) is listed on The Nasdaq Stock Market under the ticker symbol “DOCU.”

Historical Information

The following graph sets forth the historical performance of the DOCU Underlying from April 27, 2018 through April 8, 2021, based on the daily Closing Prices of the DOCU Underlying. The DOCU Underlying commenced regular trading on The Nasdaq Stock Market on April 27, 2018 and therefore has limited historical performance. The Closing Price of the DOCU Underlying on April 8, 2021 was $212.28. The dotted line represents the Downside Threshold of $127.37, which is equal to 60.00% of the Initial Underlying Price of the DOCU Underlying.

We obtained the Closing Prices of the DOCU Underlying from Bloomberg, without independent verification. Historical performance of the DOCU Underlying should not be taken as an indication of future performance. Future performance of the DOCU Underlying may differ significantly from historical performance, and no assurance can be given as to the Closing Price of the DOCU Underlying during the term of the Notes, including on any Observation Date. We cannot give you assurance that the performance of the DOCU Underlying will not result in a loss of your principal amount. 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.

The following graph sets forth the historical performances of the American depositary shares of Baidu, Inc. and the common stock of DocuSign, Inc. from April 27, 2018 through April 8, 2021, based on the daily Closing Prices of the Underlyings. For comparison purposes, each Underlying has been normalized to have a Closing Price of 100.00 on April 27, 2018 by dividing the Closing Price of that Underlying on each day by the Closing Price of that Underlying on April 27, 2018 and multiplying by 100.00.

We obtained the Closing Prices used to determine the normalized Closing Prices set forth below from Bloomberg, without independent verification. Historical performance of the Underlyings should not be taken as an indication of future performance. Future performance of the Underlyings may differ significantly from historical performance, and no assurance can be given as to the Closing Prices of the Underlyings during the term of the Notes, including on any Observation Date. We cannot give you assurance that the performances of the Underlyings will not result in a loss of your principal amount.

PAST PERFORMANCE AND CORRELATION OF THE UNDERLYINGS ARE NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION.

The correlation of a pair of Underlyings represents a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e., the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the ratio of their returns has been constant).

The closer the relationship of the returns of a pair of Underlyings over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each Underlying relative to each other over the time period shown and provides an indication of how close the relative performance of each Underlying has historically been to the other Underlying. However, the graph does not provide a precise measurement of the correlation of the Underlyings. Moreover, any historical correlation of the Underlyings is not indicative of the degree of correlation of the Underlyings, if any, that will be experienced over the term of the Notes.

The lower (or more negative) the correlation between the Underlyings, the less likely it is that the Underlyings will move in the same direction at the same time and, therefore, the greater the potential for one of the Underlyings to close below its Initial Underlying Price on any Observation Date preceding the Final Valuation Date or its Downside Threshold on the Final Valuation Date. This is because the less positively correlated the Underlyings are, the greater the likelihood that at least one of the Underlyings will decrease in value. However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings might close below its Initial Underlying Price on any Observation Date preceding the Final Valuation Date or its Downside Threshold on the Final Valuation Date, as both of the Underlyings may decrease in value together.

Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Call Return Rate is determined, in part, based on the correlation of the Underlyings’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Call Return Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for a loss on your investment at maturity. The correlation referenced in setting the terms of the Notes is calculated using our internal models and is not derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the Notes.