The information in
this preliminary pricing supplement is not complete and may be
changed. This preliminary pricing supplement and the
accompanying prospectus and prospectus supplement do not
constitute an offer to sell these
securities, and we are not
soliciting an offer to buy these securities in any state where the
offer or sale is not permitted.
Subject to
Completion
Preliminary Pricing
Supplement dated November 6, 2019
Preliminary Pricing Supplement
(To Prospectus dated August 1, 2019
and
the Prospectus Supplement dated August 1, 2019)
|
Filed Pursuant
to Rule 424(b)(2) Registration No. 333-232144
|

US$
CAPPED
FIXED –TO –
FLOATING RATE NOTES LINKED TO 3-MONTH USD LIBOR DUE JUNE 2,
2023
Principal
Amount:
|
US$
|
Issuer:
|
Barclays Bank PLC
|
Issue
Price:
|
100%
|
Series:
|
Global Medium-Term Notes,
Series A
|
Payment at
Maturity:
|
If you hold the Notes to maturity, you
will receive 100% of your principal, subject to the
creditworthiness of Barclays Bank PLC and the exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority.
Any payment
on the Notes is not guaranteed by any third party and is subject to
both the creditworthiness of the Issuer and to the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority. If
Barclays Bank PLC were to default on its payment obligations or
become subject to the exercise of any U.K. Bail-in Power (or any
other resolution measure) by the relevant U.K. resolution
authority, you might not receive any amounts owed to you under the
Notes. See “Consent to
U.K. Bail-in Power” and
“Selected Risk
Factors” in this
pricing supplement and “Risk Factors” in the accompanying
prospectus supplement for more information.
|
Original Trade
Date(*):
|
November 26,
2019
|
Maturity
Date:
|
June 2, 2023
|
Original Issue
Date:
|
December 2, 2019
|
Denominations:
|
Minimum denominations of US$1,000 and
integral multiples of US$1,000 thereafter.
|
Reference
Rate:
|
3-month USD LIBOR, determined as set forth
under “Reference Assets – Floating Interest Rate – LIBOR” in the
accompanying prospectus supplement.
|
Maximum Interest
Rate:
|
3.25% per annum
|
Minimum Interest
Rate:
|
0.00% per annum
|
Fixed
Rate:
|
3.25% per annum
|
Spread:
|
0.00% per annum
|
Interest
Rate:
|
For each Interest Period commencing on or
after the Original Issue Date to but excluding December 2,
2020 (the “Fixed Rate Period”), the interest rate per annum
will be equal to the Fixed Rate.
For each Interest Period commencing on or
after December 2, 2020 to but excluding the Maturity Date (the
“Floating Rate Period”), the interest rate per annum will be
equal to the lesser of (a) the sum of the Reference Rate and
the Spread and (b) the Maximum Interest Rate, subject to the
Minimum Interest Rate.
|
Interest Payment
Amount:
|
For each Interest Period, the
interest payment amount per $1,000 principal amount Note will be
calculated as follows:
$1,000 × Interest Rate × (days in
Interest Period/360)
where the number of days in the Interest
Period will be based on a 30/360 Day Count Convention.
|
Consent to U.K. Bail-in
Power
|
Notwithstanding any other agreements,
arrangements or understandings between Barclays Bank PLC and any
holder or beneficial owner of the Notes, by acquiring the Notes,
each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of,
any U.K. Bail-in Power by the relevant U.K. resolution authority.
See “Consent to U.K. Bail-in
Power” on page PS-3 of this pricing
supplement.
|
(*) For the avoidance of
doubt, the Original Trade Date is also referred to as the “Pricing
Date” in this pricing supplement.
[Terms of
Note continue on the following page]
|
|
Price to
Public(1)
|
|
Agent’s
Commission (2)
|
|
Proceeds to
Barclays Bank PLC(2)
|
Per Note
|
|
100%
|
|
1.00%
|
|
99.00%
|
Total
|
|
$
|
|
$
|
|
$
|
(1) Our estimated value of
the Notes on the Original Trade Date, based on our internal pricing
models, is expected to be between $985.00 and $992.50 per
Note. The estimated value is expected to be less than the
initial issue price of the Notes. See “Additional Information
Regarding Our Estimated Value of the Notes” below.
(2) Barclays Capital Inc.
will receive commissions from the Issuer of up to $10.00 per $1,000
principal amount, and may retain all or a portion of these
commissions or use all or a portion of these commissions to pay
variable selling concessions or fees to other dealers.
Investing in the
Notes involves a number of risks. See “Risk Factors”
beginning on page S-7 of the prospectus supplement and
“Selected
Risk Factors”
beginning on page PS–4 of this pricing
supplement.
The Notes will not be
listed on any U.S. securities exchange or quotation system. Neither
the U.S. Securities and Exchange Commission nor any state
securities commission has approved or disapproved of these
securities or determined that this pricing supplement is truthful
or complete. Any representation to the contrary is a criminal
offense.
The Notes constitute our
direct, unconditional, unsecured and unsubordinated obligations and
are not deposit liabilities of either Barclays PLC or Barclays Bank
PLC and are not covered by the U.K. Financial Services Compensation
Scheme or insured or guaranteed by the U.S. Federal Deposit
Insurance Corporation or any other governmental agency of the
United States, the United Kingdom or any other
jurisdiction.
Interest Payment
Dates:
|
Payable quarterly in arrears on the
2nd calendar day of each
March, June, September and December, commencing on
March 2, 2020 and ending on the Maturity Date. For the
avoidance of doubt, the final Interest Payment Date will be the
Maturity Date.
|
Interest
Period:
|
The initial Interest Period will begin on,
and include, the Original Issue Date and end on, but exclude, the
first Interest Payment Date. Each subsequent Interest Period
will begin on, and include, the Interest Payment Date for the
immediately preceding Interest Period and end on, but exclude, the
next following Interest Payment Date. The final Interest
Period will end on, but exclude, the Maturity Date.
|
Interest Reset
Dates:
|
For any Interest Period during the
Floating Rate Period, the first day of such period.
|
Interest Determination
Dates:
|
Two London Business Days prior to the
relevant Interest Reset Date.
|
Business Day
Convention/Day Count Fraction:
|
Following, unadjusted; 30/360
|
Business
Day:
|
A Monday, Tuesday, Wednesday, Thursday or
Friday that is neither a day on which banking institutions in New
York City generally are authorized or obligated by law, regulation,
or executive order to be closed.
|
Settlement:
|
DTC; Book-entry; Transferable.
|
Listing:
|
The Notes will not be listed on any U.S.
securities exchange or quotation system.
|
Agent:
|
Barclays Capital Inc.
|
CUSIP/ISIN:
|
06747NQV9/ US06747NQV90
|

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. 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.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the
SEC website):
·
Prospectus dated August 1,
2019:
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
·
Prospectus Supplement dated
August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
Our SEC file number is
1-10257. As used in this term sheet, the “Company,” “we,”
“us,” or “our” refers to Barclays Bank PLC.
You may revoke your offer to
purchase the Notes at any time prior to the time at which we accept
such offer by notifying the applicable agent. We reserve the
right to change the terms of, or reject any offer to purchase the
Notes prior to their issuance. In the event of any changes to
the terms of the Notes, we will notify you and you will be asked to
accept such changes in connection with your purchase. You may
also choose to reject such changes in which case we may reject your
offer to purchase.
PS-1
ADDITIONAL
INFORMATION REGARDING OUR ESTIMATED VALUE OF THE
NOTES
The final terms for the
Notes will be determined on the date the Notes are initially priced
for sale to the public (the “Pricing Date”) based on prevailing
market conditions on or prior to the Pricing Date, and will be
communicated to investors either orally or in a final pricing
supplement.
Our internal pricing
models take into account a number of variables and are based on a
number of subjective assumptions, which may or may not materialize,
typically including volatility, interest rates and our internal
funding rates. Our internal funding rates (which are our internally
published borrowing rates based on variables, such as market
benchmarks, our appetite for borrowing and our existing obligations
coming to maturity) may vary from the levels at which our benchmark
debt securities trade in the secondary market. Our estimated value
on the Pricing 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 Pricing 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 Pricing 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 Pricing 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 Pricing Date for a temporary period expected to be
approximately 6 months after the Original 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 Original
Issue Date of the Notes based on changes in market conditions and
other factors that cannot be predicted.
We urge you to read
“Selected Risk
Factors” beginning on PS-4 of this pricing
supplement.
PS-2
CONSENT TO U.K.
BAIL-IN POWER
Notwithstanding any other
agreements, arrangements or understandings between us and any
holder or beneficial owner of the Notes, by acquiring the Notes,
each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of,
any U.K. Bail-in Power by the relevant U.K. resolution
authority.
Under the U.K. Banking
Act 2009, as amended, the relevant U.K. resolution authority may
exercise a U.K. Bail-in Power in circumstances in which the
relevant U.K. resolution authority is satisfied that the resolution
conditions are met. These conditions include that a U.K. bank or
investment firm is failing or is likely to fail to satisfy the
Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated
activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is a European Economic Area
(“EEA”) or third country institution or investment firm, that the
relevant EEA or third country relevant authority is satisfied that
the resolution conditions are met in the respect of that
entity.
The U.K. Bail-in Power
includes any write-down, conversion, transfer, modification and/or
suspension power, which allows for (i) the reduction or
cancellation of all, or a portion, of the principal amount of,
interest on, or any other amounts payable on, the Notes;
(ii) the conversion of all, or a portion, of the principal
amount of, interest on, or any other amounts payable on, the Notes
into shares or other securities or other obligations of Barclays
Bank PLC or another person (and the issue to, or conferral on, the
holder or beneficial owner of the Notes such shares, securities or
obligations); and/or (iii) the amendment or alteration of the
maturity of the Notes, or amendment of the amount of interest or
any other amounts due on the Notes, or the dates on which interest
or any other amounts become payable, including by suspending
payment for a temporary period; which U.K. Bail-in Power may be
exercised by means of a variation of the terms of the Notes solely
to give effect to the exercise by the relevant U.K. resolution
authority of such U.K. Bail-in Power. Each holder and beneficial
owner of the Notes further acknowledges and agrees that the rights
of the holders or beneficial owners of the Notes are subject to,
and will be varied, if necessary, solely to give effect to, the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and
acknowledgment is not a waiver of any rights holders or beneficial
owners of the Notes may have at law if and to the extent that any
U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For more information, please
see “Selected Risk Factors—You May Lose Some or All of Your
Investment If Any U.K. Bail-in Power Is Exercised by the Relevant
U.K. Resolution Authority” in this pricing supplement as well as
“U.K. Bail-in Power,” “Risk Factors—Risks Relating to the
Securities Generally—Regulatory action in the event a bank or
investment firm in the Group is failing or likely to fail could
materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
PS-3
SELECTED RISK
FACTORS
An investment in the Notes
involves significant risks. You should read the risks summarized
below in connection with, and the risks summarized below are
qualified by reference to, the risks described in more detail in
the “Risk Factors” section beginning on page S-7
of the prospectus
supplement. We urge you to consult your investment, legal,
tax, accounting and other advisers and to invest in the Notes only
after you and your advisors have carefully considered the
suitability of an investment in the Notes in light of your
particular circumstances.
·
Issuer Credit
Risk— 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, depends on the ability of Barclays Bank
PLC to satisfy its obligations as they come due and is not
guaranteed by any third party. As a result, the actual and
perceived creditworthiness of Barclays Bank PLC may affect the
market value of the Notes and, in the event Barclays Bank PLC were
to default on its obligations, you might not receive any amount
owed to you under the terms of the Notes.
·
You May Lose
Some or All of Your Investment If Any U.K. Bail-in Power Is
Exercised by the Relevant U.K. Resolution
Authority—Notwithstanding any other
agreements, arrangements or understandings between Barclays Bank
PLC and any holder or beneficial owner of the Notes, by
acquiring the Notes, each holder and beneficial owner of the Notes
acknowledges, accepts, agrees to be bound by, and consents to the
exercise of, any U.K. Bail-in Power by the relevant U.K. resolution
authority as set forth under “Consent to U.K. Bail-in Power” in
this pricing supplement. Accordingly, any U.K. Bail-in Power may be
exercised in such a manner as to result in you and other holders
and beneficial owners of the Notes losing all or a part of the
value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than
the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant
U.K. resolution authority may exercise the U.K. Bail-in Power
without providing any advance notice to, or requiring the consent
of, the holders or the beneficial owners of the Notes. The exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes will not be a default or an Event of
Default (as each term is defined in the senior debt securities
indenture) and the trustee will not be liable for any action that
the trustee takes, or abstains from taking, in either case, in
accordance with the exercise of the U.K. Bail-in Power by the
relevant U.K. resolution authority with respect to the Notes. See
“Consent to U.K. Bail-in Power” in this pricing supplement as well
as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the
Securities Generally—Regulatory action in the event a bank or
investment firm in the Group is failing or likely to fail could
materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
·
Reference Rate /
Interest Payment Risk—Because any
interest payments on the Notes during the Floating Rate Period will
be based on a floating rate of interest, you will be exposed to
risks not associated with a conventional fixed-rate debt
instrument. These risks include fluctuation of the applicable
Reference Rate and the possibility that, for any given Interest
Period, you may receive an amount of interest based on a rate less
than the Fixed Rate, including an amount based on the Minimum
Interest Rate. We have no control over a number of matters
that may affect interest rates such as the Reference Rate,
including economic, financial and political events that are
important in determining the existence, magnitude and longevity of
these risks and their results. In recent years, interest
rates have been volatile, and volatility also could be
characteristic of the future. It is possible that the
Reference Rate could decline significantly, including to a rate
equal to or less than zero. If the Reference Rate were to
decline to a level such that the sum of the Reference Rate and the
Spread did not result in a rate greater than the Minimum Interest
Rate for any Interest Period during the Floating Rate Period, you
would receive an interest payment based on the Minimum Interest
Rate on the related Interest Payment Date. Because the
Minimum Interest Rate is set to 0.00%, you would receive no
interest payment on the related Interest Payment Date. In
addition, the floating Interest Rate for the Notes may be less than
the floating rate payable on a similar Note or other instrument of
the same maturity issued by us or an issuer with the same or a
comparable credit rating.
·
Interest Payments
Will Be Limited by the Fixed Rate and the Maximum Interest Rate
Features of the Note—The Interest
Rate on the Notes for any Interest Period during the Fixed Rate
Period will be limited to the Fixed Rate, and the Interest Rate on
the Notes for any Interest Period during the Floating Rate Period
will be limited to the Maximum Interest Rate. As a result, in the
event that the Interest Rate otherwise calculated for any
applicable Interest Period during the Floating Interest Period
exceeds the Maximum Interest Rate, your interest payment for the
relevant Interest Period will be based on the Maximum Interest
Rate, and you will not benefit from any increase in the Interest
Rate above 3.25%.
PS-4
·
Suitability of the
Notes for Investment—You should reach
a decision whether to invest in the Notes after carefully
considering, with your advisors, the suitability of the Notes in
light of your investment objectives and the specific information
set out in this pricing supplement, the prospectus supplement and
the prospectus. Neither the Issuer nor Barclays Capital Inc. makes
any recommendation as to the suitability of the Notes for
investment.
·
We and Our
Affiliates May Engage in Various Activities or Make
Determinations That Could Materially Affect Your Notes in Various
Ways and Create Conflicts of Interest— We and our affiliates play a
variety of roles in connection with the issuance of the Notes, as
described below. In performing these roles, our and our affiliates’
economic interests are potentially adverse to your interests as an
investor in the Notes.
In connection
with our normal business activities and in connection with hedging
our obligations under the Notes, we and our affiliates make markets
in and trade various financial instruments or products for our
accounts and for the account of our clients and otherwise provide
investment banking and other financial services with respect to
these financial instruments and products. These financial
instruments and products may include securities, derivative
instruments or assets that may relate to interest rates, including
the Reference Rate. In any such market making, trading and hedging
activity, and other services, we or our affiliates may take
positions or take actions that are inconsistent with, or adverse
to, the investment objectives of 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. Furthermore, we and our affiliates establish the offering
price of the Notes for initial sale to the public, and the offering
price is not based upon any independent verification or
valuation.
In addition
to the activities described above, we will also act as the
Calculation Agent for the Notes. As Calculation Agent, we
will determine any values of the Reference Rate and make any other
determinations necessary to calculate any payments on the Notes. In
making these determinations, we may be required to make certain
discretionary judgments. In making these discretionary judgments,
our economic interests are potentially adverse to your interests as
an investor in the Notes, and any of these determinations may
adversely affect any payments on the Notes.
·
Lack of
Liquidity—The Notes will not be
listed on any securities exchange. Barclays Capital Inc. and
other affiliates of Barclays Bank PLC intend to make a secondary
market for the Notes but are not required to do so, and may
discontinue any such secondary market making at any time, without
notice. Barclays Capital Inc. may at any time hold unsold
inventory, which may inhibit the development of a secondary market
for the Notes. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the
Notes easily. Because other dealers are not likely to make a
secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at
which Barclays Capital Inc. and other affiliates of Barclays Bank
PLC are willing to buy the Notes. The Notes are not designed
to be short-term trading instruments. Accordingly, you should
be able and willing to hold your Notes to maturity.
·
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 Pricing Date is expected to be lower, and may
be significantly lower, than the initial issue price of your Notes.
The difference between the initial issue price of your Notes and
the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees expected to be allowed
or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost that we may incur in
hedging our obligations under the Notes, and estimated development
and other costs that we may incur in connection with the
Notes.
·
The Estimated Value
of Your Notes Might Be Lower if Such Estimated Value Were Based on
the Levels at Which Our Debt Securities Trade in the Secondary
Market — The estimated value of your
Notes on the Pricing 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.
PS-5
·
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
Pricing Date is based on our internal pricing models, which take
into account a number of variables and are based on a number of
subjective assumptions, which may or may not materialize. These
variables and assumptions are not evaluated or verified on an
independent basis. Further, our pricing models may be different
from other financial institutions’ pricing models and the
methodologies used by us to estimate the value of the Notes may not
be consistent with those of other financial institutions that may
be purchasers or sellers of Notes in the secondary market. As a
result, the secondary market price of your Notes may be materially
different from the estimated value of the Notes determined by
reference to our internal pricing models.
·
The Estimated Value
of Your Notes Is Not a Prediction of the Prices at Which You
May Sell Your Notes in the Secondary Market, if Any, and Such
Secondary Market Prices, if Any, Will Likely Be Lower Than the
Initial Issue Price of Your Notes and May Be Lower Than the
Estimated Value of Your Notes — The
estimated value of the Notes will not be a prediction of the prices
at which Barclays Capital Inc., other affiliates of ours or third
parties may be willing to purchase the Notes from you in secondary
market transactions (if they are willing to purchase, which they
are not obligated to do). The price at which you may be able to
sell your Notes in the secondary market at any time will be
influenced by many factors that cannot be predicted, such as market
conditions, and any bid and ask spread for similar sized trades,
and may be substantially less than our estimated value of the
Notes. Further, as secondary market prices of your Notes take into
account the levels at which our debt securities trade in the
secondary market, and do not take into account our various costs
related to the Notes such as fees, commissions, discounts, and the
costs of hedging our obligations under the Notes, secondary market
prices of your Notes will likely be lower than the initial issue
price of your Notes. As a result, the price, at which Barclays
Capital Inc., other affiliates of ours or third parties may be
willing to purchase the Notes from you in secondary market
transactions, if any, will likely be lower than the price you paid
for your Notes, and any sale prior to the maturity date could
result in a substantial loss to you.
·
The Reference Rate
and the Manner in Which It Is Calculated May Change in the
Future — The Reference Rate and other
interest rate, equity, foreign exchange rate and other types of
indices which are deemed to be “benchmarks,” including those in
widespread and long-standing use, have been the subject of recent
international, national and other regulatory scrutiny and
initiatives and proposals for reform. Some of these reforms are
already effective while others are still to be implemented or are
under consideration. There can be no assurance that the method by
which the Reference Rate is calculated will continue in its current
form. Any changes in the method of calculation could reduce the
Reference Rate and thus have a negative impact on the payments on
the Notes (if any) and on the value of the Notes in the secondary
market.
·
Uncertainty About
the Future of LIBOR May Adversely Affect the Notes
— On July 27, 2017, the Chief Executive of
the United Kingdom Financial Conduct Authority, which regulates
LIBOR, announced that it intends to stop persuading or compelling
banks to submit rates for the calculation of LIBOR to the
administrator of LIBOR after 2021. Further, on July 12, 2018
the FCA announced that LIBOR may cease to be a regulated
“benchmark.” The announcement indicates that the continuation of
LIBOR on the current basis (or at all) cannot and will not be
guaranteed after 2021. It is impossible to predict whether and to
what extent banks will continue to provide LIBOR submissions to the
administrator of LIBOR or whether any additional reforms to LIBOR
may be enacted in the United Kingdom, the United States or
elsewhere. At this time, no consensus exists as to what rate or
rates may become accepted alternatives to LIBOR, and it is
impossible to predict the effect of any such alternatives on the
value of securities that are linked to or otherwise related to
LIBOR, such as the Notes. Uncertainty as to the nature of
alternative reference rates and as to potential changes or other
reforms to LIBOR may adversely affect LIBOR rates during the term
of the Notes, your return on the Notes and the trading market for
LIBOR-based securities.
·
LIBOR May Be
Replaced by a Successor or Substitute Rate If It Is Discontinued or
Ceased to Be Published — If the
Calculation Agent determines in its sole discretion on or prior to
the relevant Interest Determination Date that LIBOR has ceased or
will cease to be published, has been or will be permanently or
indefinitely discontinued, or is no longer representative, in each
case resulting in a Benchmark Event (as defined in the accompanying
prospectus supplement), the Calculation Agent will determine a
Successor Rate or an Alternative Reference Rate (each as defined in
the accompanying prospectus supplement) as LIBOR for that Interest
Determination Date. If the Calculation Agent has determined a
Successor Rate or an Alternative Reference Rate, the Calculation
Agent may apply an Adjustment Spread (as defined in the
accompanying prospectus supplement) to the relevant Successor Rate
or Alternative Reference Rate and/or specify changes to the terms
of the Notes, including but not limited to the relevant spread, day
count convention and screen page, definitions of business
day, Interest Determination Date and/or the definition of
LIBOR, and the method for determining the fallback rate in relation
to the Successor Rate or Alternative Reference Rate, in order to
follow market practice in relation to the Successor Rate, the
Alternative Reference Rate (as applicable) and/or the
PS-6
Adjustment
Spread. The circumstances that can lead to a Benchmark Event are
beyond our control and subsequent use of a Successor Rate or an
Alternative Reference Rate following such Benchmark Event may
result in payments on the Notes that are lower than or that do not
otherwise correlate over time with the payments that could have
been made on the Notes if LIBOR remained available in its current
form. Furthermore, any of the foregoing determinations or actions
by the Calculation Agent could result in adverse consequences to
the Reference Rate on the applicable Interest Determination Date,
which could adversely affect the return on and the market value of
the Notes. For additional information relating to the
adjustments that the Calculation Agent may make in respect of LIBOR
upon certain events, please see “Reference Assets – Floating
Interest Rate – LIBOR” in the accompanying prospectus
supplement.
·
Historical
Performance of the Reference Rate Should Not Be Taken as Any
Indication of the Future Performance of the Reference Rate Over the
Term of the Notes — The historical
performance of the Reference Rate is not an indication of the
future performance of the Reference Rate over the term of the
Notes. Therefore, the performance of the Reference Rate over the
term of the Notes may bear no relation or resemblance to the
historical performance of the Reference Rate.
·
The Reference Rate
Will Be Affected by a Number of Factors and May Be
Volatile — Many factors may affect
the Reference Rate including, but not limited to:
o
supply and demand among banks in London for U.S.
dollar-denominated deposits with a term of approximately three
months;
o
sentiment regarding underlying strength in the
U.S. and global economies;
o
expectations regarding the level of price
inflation;
o
sentiment regarding credit quality in the U.S.
and global credit markets;
o
central bank policy regarding interest
rates;
o
inflation and expectations concerning
inflation;
o
performance of capital markets; and
o
any statements from public government officials
regarding the cessation of the Reference Rate.
These and
other factors may have a negative impact on the payments on the
Notes (if any) and on the value of the Notes in the secondary
market. Additionally, these factors may cause volatility of the
Reference Rate, and volatility of the Reference Rate may adversely
affect your return on the Notes.
·
Many Economic and
Market Factors Will Impact the Value of the
Notes—In addition to the Reference
Rate, 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:
o
the expected volatility of the Reference
Rate;
o
the time to maturity of the Notes;
o
interest and yield rates in the market
generally;
o
a variety of economic, financial, political,
regulatory or judicial events;
o
supply and demand for the Notes; and
o
our creditworthiness, including actual or
anticipated downgrades in our credit ratings.
PS-7
HYPOTHETICAL
INTEREST RATE AND INTEREST PAYMENT CALCULATIONS
The examples below
illustrate how the applicable Interest Rate is determined for any
hypothetical Interest Period and the interest payment amounts you
may receive on the Notes in a number of different hypothetical
scenarios. These examples are only hypothetical and do not
indicate the actual payments or return you will receive on the
Notes. The examples below assume that the Notes are held
until maturity and do not take into account the tax consequences of
an investment in the Notes.
Interest Rate
Calculation
Step 1:
Determine the applicable Interest Rate for each Interest
Period.
For each Interest Period
during the Fixed Rate Period, the interest rate per annum will be
equal to the Fixed Rate.
For each
Interest Period during the Floating Rate
Period, the effective per annum Interest Rate payable on the Notes
on each Interest Payment Date will be a floating rate equal to the
lesser of (a) the sum of the Reference Rate and the Spread and
(b) the Maximum Interest Rate, subject to the Minimum Interest
Rate. The per annum value for the
Reference Rate is determined on the relevant Interest Reset Date by
observing the Reference Rate on the Interest Determination Date
relating to that Interest Reset Date. Once the Calculation Agent has determined the value of the
Reference Rate, the Calculation Agent then will determine the per
annum Interest Rate for that Interest Period by calculating the sum
of the Reference Rate and the Spread, provided that
(i) if the sum of the Reference Rate and the Spread is greater
than the Maximum Interest Rate, the Interest Rate for that Interest
Period will equal the Maximum Interest Rate, and (ii) if the
sum of the Reference Rate and the Spread is less than the Minimum
Interest Rate, the Interest Rate for that Interest Period will
equal the Minimum Interest Rate.
For further information
concerning the Interest Determination Dates for the Reference Rate,
see “Interest Mechanics—How Floating Interest Rates Are Reset” in
the accompanying prospectus supplement.
Step 2:
Calculate the interest payment amount payable for each Interest
Payment Date.
For each Interest
Period, once the Calculation Agent has determined the applicable
per annum Interest Rate, the Calculation Agent will calculate the
interest payment amount per $1,000 principal amount Note as
follows:
$1,000 × Interest Rate × (days in
Interest Period/360)
where the number of days
in the Interest Period will be based on a 30/360 Day Count
Convention.
Example Interest Rate and
Interest Payment Calculations
The following examples
illustrate how the per annum Interest Rate and interest payment
amounts would be calculated for any given Interest Payment Date
during the Floating Rate Period. The hypothetical Reference
Rate values have been chosen for illustrative purposes only and may
not represent actual likely Reference Rate values that will be
relevant for calculating any payments on the Notes. For
historical Reference Rate values, please see the information set
forth under the section titled “HISTORICAL INFORMATION”
below. The examples below are based on the Maximum Interest
Rate of 3.25% per annum, the Minimum Interest Rate of 0.00% per
annum and the Spread of 0.00%. We have assumed that the Notes have
quarterly Interest Payment Dates, that interest payments will be
calculated using a 30/360 day count basis (such that the applicable
day count fraction for the quarterly interest payment for the
Interest Period will be 90/360) and that the principal amount of
the Notes is $1,000. These values and assumptions have been
chosen arbitrarily for the purposes of the below examples, and
should not be taken as indicative of the terms of any particular
Notes or the future performance of the Reference Rate. The
specific terms for each issuance of Notes will be determined on the
Original Trade Date.
Example
1: The Reference Rate
is equal to 2.60%.
Because the sum of the
Reference Rate of 2.60% and the Spread of 0.00% is less than the
Maximum Interest Rate, the Interest Rate would be equal to 2.60%
per annum (the sum of the Reference Rate and the
Spread).
PS-8
The interest payment
amount per $1,000 principal amount Note will be calculated as
follows:
$1,000 × 2.60% × (90/360) =
$6.50
Example
2: The Reference Rate
is equal to 4.25%.
Because the sum of the
Reference Rate of 4.25% and the Spread of 0.00% is greater than the
Maximum Interest Rate, the Interest Rate would be equal to 3.25%
per annum (the Maximum Interest Rate).
The interest payment
amount per $1,000 principal amount Note will be calculated as
follows:
$1,000 × 3.25% × (90/360) =
$8.125
Example
3: The Reference Rate
is equal to -0.20%.
Because the sum of the
Reference Rate of -0.20% and the Spread of 0.00% is less than the
Minimum Interest Rate, the Interest Rate would be equal to 0.00%
per annum (the Minimum Interest Rate). No interest payment
would be due on the related Interest Payment Date.
PS-9
HISTORICAL
INFORMATION
The following
graph sets forth the Reference Rate for the period from
January 1, 2014 to October 29, 2019. The
Reference Rate on October 29, 2019 was 1.92713%. The
historical performance of the Reference Rate should not be taken as
an indication of its future performance. Future
performance of the Reference Rate may differ significantly from
historical performance, and no assurance can be given as to the
Reference Rate during the term of the Notes, including on the
Interest Determination Dates during the Floating Rate Period.
We obtained the information in the graph below from Bloomberg
Professional®
service, without independent
verification.

PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-10
TAX
CONSIDERATIONS
You should
review carefully the sections entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Indebtedness for U.S. Federal Income Tax Purposes” and,
if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders,” in the accompanying prospectus supplement. The discussion
below applies to you only if you are an initial purchaser of the
Notes; if you are a secondary purchaser of the Notes, the tax
consequences to you may be different. In the opinion of our special
tax counsel, Davis Polk & Wardwell LLP, the Notes should
be treated as debt instruments for U.S. federal income tax
purposes. The remainder of this discussion assumes that this
treatment is correct.
Assuming the
treatment described above is correct, in the opinion of our special
tax counsel, the Notes should be treated for U.S. federal income
tax purposes as variable rate debt instruments. Based on market
conditions as of the issue date of the Notes, we will determine
whether the Notes are treated for U.S. federal income tax purposes
(1) as providing for a single qualified floating rate (“QFR”)
or (2) as providing for a single fixed rate followed by a
QFR.
If the
initial fixed rate on the Notes is within 0.25% of the Reference
Rate plus the Spread as of the issue date of the Notes, the Notes
will be treated as providing for a single QFR. In that case, the
Notes will not be treated as issued with original issue discount
(“OID”) and interest paid on the Notes will be treated as qualified
stated interest (“QSI”).
However, if
the initial fixed rate on the Notes is not within 0.25% of the
Reference Rate plus the Spread as of the issue date of the Notes,
the Notes will be treated as providing for a single fixed rate
followed by a QFR. In that case, under Treasury regulations
applicable to variable rate debt instruments, the Notes may be
treated as issued with OID. In that case, in order to determine the
amount of QSI and OID in respect of the Notes, an equivalent fixed
rate debt instrument must be constructed. The equivalent fixed rate
debt instrument is constructed in the following manner:
(i) first, the initial fixed rate is converted to a QFR that
would preserve the fair market value of the Notes, and
(ii) second, each QFR (including the QFR determined under
(i) above) is converted to a fixed rate substitute (which will
generally be the value of that QFR as of the issue date of the
Notes). The rules described under “—Original Issue Discount
Notes” in the accompanying prospectus supplement are then applied
to the equivalent fixed rate debt instrument for purposes of
calculating the amount of OID on the Notes. Under these rules, the
Notes will generally be treated as providing for QSI at a rate
equal to the lowest rate of interest in effect at any time under
the equivalent fixed rate debt instrument, and any interest in
excess of that rate will generally be treated as part of the stated
redemption price at maturity and, therefore, as giving rise to
OID.
QSI on the
Notes will generally be taxable to you as ordinary income at the
time it accrues or is received, in accordance with your method of
tax accounting. If the Notes are issued with OID, you will be
required to include the OID in income for U.S. federal income tax
purposes as it accrues, in accordance with a constant-yield method
based on a compounding of interest. If the Notes are not issued
with OID, all stated interest on the Notes will be treated as QSI
and will be taxable to you as ordinary interest income at the time
it accrues or is received in accordance with your method of tax
accounting. If the amount of interest you receive on your Notes in
a calendar year is greater than the interest assumed to be paid or
accrued under the equivalent fixed rate debt instrument, the excess
is treated as additional QSI taxable to you as ordinary income.
Otherwise, any difference will reduce the amount of QSI you are
treated as receiving and will therefore reduce the amount of
ordinary income you are required to take into income.
The
discussions herein and in the accompanying prospectus supplement do
not address the consequences to taxpayers subject to special tax
accounting rules under Section 451(b).
Information
regarding the determination of QSI and the amount of OID, if any,
on the Notes may be obtained by requesting them from Barclays Cross
Asset Sales Americas, at (212) 528-7198.
Upon a sale
or exchange (including redemption at maturity), you will generally
recognize taxable gain or loss equal to the difference between the
amount realized on the sale or exchange (not including any amount
attributable to accrued but unpaid QSI) and your tax basis in the
Notes, which will generally equal the amount you paid to acquire
the Notes, increased by the amount of OID (if any) previously
included in income by you with respect to the Notes and reduced by
any payments other than QSI received by you with respect to the
Notes. This gain or loss will generally be long-term capital gain
or loss if you have held the Notes for more than one year. The
deductibility of capital losses is subject to
limitation.
Non-U.S.
Holders. We do not believe that non-U.S. holders should be required
to provide a Form W-8 in order to avoid 30% U.S. withholding
tax with respect to the interest payments (or OID, if any),
although the Internal Revenue Service could challenge this
position. 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
PS-11
supplement.
If any withholding is required, we will not be required to pay any
additional amounts with respect to amounts withheld.
You should
consult your tax advisor regarding the U.S. federal tax
consequences of an investment in the Notes, as well as tax
consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
SUPPLEMENTAL
PLAN OF DISTRIBUTION
We will agree to sell to Barclays
Capital Inc. (the “Agent”), and the Agent will agree to
purchase from us, the principal amount of the Notes, and at the
price, specified on the cover of the related pricing supplement,
the document that will be filed pursuant to
Rule 424(b) containing the final pricing terms of the
Notes. The Agent will commit to take and pay for all of the
Notes, if any are taken.
PS-12
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