The information in
this preliminary pricing supplement is not complete and may be
changed. This preliminary pricing
supplement and the accompanying prospectus, prospectus
supplement and underlying supplement do not constitute an
offer to sell the Notes, and
we are not soliciting an offer to buy the Notes in any state where
the offer or sale is not permitted.
Subject to
Completion
Preliminary Pricing
Supplement dated November 11, 2019
Preliminary Pricing
Supplement
(To the Prospectus dated
August 1, 2019, the Prospectus Supplement dated August 1,
2019 and the Underlying Supplement dated August 1,
2019)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333–232144
|

|
$[·]
Phoenix
AutoCallable Notes due December 10, 2024
Linked to
the Least Performing of the Dow Jones Industrial
Average®
and the
S&P 500® Index
Global
Medium-Term Notes,
Series A
|
Terms
used in this pricing supplement, but not defined herein, shall have
the meanings ascribed to them in the prospectus
supplement.
Issuer:
|
|
Barclays Bank
PLC
|
Denominations:
|
|
Minimum denomination of
$1,000, and integral multiples of $1,000 in excess
thereof
|
Initial Valuation
Date:
|
|
December 5,
2019
|
Issue Date:
|
|
December 10,
2019
|
Final Valuation
Date:*
|
|
December 5,
2024
|
Maturity
Date:*
|
|
December 10,
2024
|
Reference
Assets:
|
|
The Dow Jones
Industrial Average® (the “DJIA Index”“) and the S&P
500® Index(the “S&P 500 Index”),
as set forth in the following table:
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Asset
|
Bloomberg Ticker
|
Initial
Value
|
Call
Value
|
Coupon
Barrier Value
|
Barrier
Value
|
|
|
|
|
DJIA Index
|
INDU
<Index>
|
[·]
|
[·]
|
[·]
|
[·]
|
|
|
|
|
S&P 500
Index
|
SPX
<Index>
|
[·]
|
[·]
|
[·]
|
[·]
|
|
|
|
|
|
|
The DJIA Index
and the S&P 500 Index are each referred to herein as a
“Reference Asset” and, collectively, as the “Reference
Assets.”
|
Automatic
Call:
|
|
The Notes
cannot be redeemed for the first year after the Issue Date. If, on
any Call Valuation Date prior to the Final Valuation Date, the
Closing Value of each Reference
Asset is greater than or equal to its Call Value, the
Notes will be automatically redeemed for a cash payment per $1,000
principal amount Note equal to the Redemption Price payable on the
Call Settlement Date. No further amounts will be payable on the
Notes after the Call Settlement Date.
|
Payment at
Maturity:
|
|
If the Notes
are not redeemed prior to scheduled maturity, and if you
hold the Notes to maturity, you will receive on the Maturity Date a
cash payment per $1,000 principal amount Note that you hold (in
each case, in addition to any Contingent Coupon that may be payable
on such date) determined as follows:
§
If the Final Value of the
Least Performing Reference Asset is greater than or equal
to its Barrier Value, you will receive a payment of $1,000 per
$1,000 principal amount Note.
§
If the Final Value of the
Least Performing Reference Asset is less than its Barrier
Value, you will receive an amount per $1,000 principal amount Note
calculated as follows:
$1,000 + [$1,000 ×
Reference Asset Return of the Least Performing Reference
Asset]
If the Notes
are not redeemed prior to scheduled
maturity,
and if the Final Value of the Least
Performing Reference Asset is less than its Barrier Value,
your Notes will be fully exposed to
the decline of the Least Performing Reference Asset from its
Initial Value. You may lose
up to 100.00% of the principal amount of your Notes at
maturity.
Any payment
on the Notes, including any
repayment of principal, is
not guaranteed by any third party and
is subject to (a) the creditworthiness of Barclays Bank PLC
and (b) the risk of exercise of any
U.K. Bail-in
Power (as described on page PS–2 of
this pricing supplement) by the relevant U.K.
resolution
authority. If
Barclays Bank PLC were to default on its payment obligations or
become subject to the exercise of any U.K.
Bail-in Power (or any other resolution measure)
by
the relevant U.K. resolution authority, you might not receive any amounts owed to you
under the Notes. See “Consent to
U.K.
Bail-in Power” and “Selected Risk
Considerations” in this pricing supplement and
“Risk Factors” in the accompanying prospectus
supplement for
more information.
|
Consent to U.K. Bail-in
Power:
|
|
Notwithstanding
any other agreements, arrangements or understandings between
Barclays Bank PLC and any holder or beneficial owner of the Notes,
by acquiring the Notes, each holder and beneficial owner of the
Notes acknowledges, accepts, agrees to be bound by, and consents to
the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority. See “Consent to
U.K. Bail-in Power” on page PS–2 of this pricing supplement.
|
|
|
|
|
|
|
|
|
|
|
|
|
[Terms of the Notes
Continue on the Next Page]
|
|
Initial Issue
Price(1)(2)
|
|
Price to
Public
|
|
Agent’s
Commission(3)
|
|
Proceeds to
Barclays Bank PLC
|
Per
Note
|
|
$1,000
|
|
100%
|
|
0.75%
|
|
99.25%
|
Total
|
|
$[·]
|
|
$[·]
|
|
$[·]
|
|
$[·]
|
(1)
Because dealers who purchase the
Notes for sale to certain fee-based advisory accounts may forgo
some or all selling concessions, fees or commissions, the public
offering price for investors purchasing the Notes in such fee-based
advisory accounts may be between $992.50 and $1,000 per
Note. Investors that
hold their Notes in fee-based advisory or trust accounts may be
charged fees by the investment advisor or manager of such account
based on the amount of assets held in those accounts, including the
Notes.
(2)
Our estimated value of the
Notes on the Initial Valuation Date, based on our internal pricing
models, is expected to be between $927.80 and $967.80 per Note. The
estimated value is expected to be less than the initial issue price
of the Notes. See “Additional Information Regarding Our Estimated
Value of the Notes” on page PS–3 of this pricing supplement.
(3)
Barclays Capital Inc. will
receive commissions from the Issuer of up to $7.50 per $1,000
principal amount Note. Barclays Capital Inc. will use these
commissions to pay variable selling concessions or fees (including
custodial or clearing fees) to other dealers. The actual commission
received by Barclays Capital Inc. will be equal to the selling
concession paid to such dealers.
Investing in the
Notes involves a number of risks. See “Risk
Factors” beginning on page S–7
of the prospectus supplement and “Selected Risk
Considerations” beginning on
page PS–10
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 (the “SEC”) nor any state
securities commission has approved or disapproved of these Notes or
determined that this pricing supplement is truthful or
complete. Any representation to the contrary is a criminal
offense.
The Notes constitute our
unsecured and unsubordinated obligations. The Notes are not deposit
liabilities of Barclays Bank PLC and are not covered by the
U.K.
Financial Services Compensation Scheme or insured by the
U.S. Federal Deposit Insurance Corporation or any
other governmental agency or deposit insurance agency of the United
States, the United Kingdom or any other
jurisdiction.
Terms of the
Notes, Continued
Contingent
Coupon:
|
|
$15.50 per
$1,000 principal amount Note, which is 1.55% of the principal
amount per Note (based on 6.20% per annum rate)
If the Closing
Value of each Reference
Asset on an Observation Date is greater than or equal
to its respective Coupon Barrier Value, you will receive a
Contingent Coupon on the related Contingent Coupon Payment Date. If
the Closing Value of any Reference
Asset on an Observation Date is less than its Coupon Barrier
Value, you will not receive a Contingent Coupon on the related
Contingent Coupon Payment Date.
|
Observation
Dates:*
|
|
The
5th calendar day of each March, June,
September and December during the term of the Notes,
beginning in March 2020, provided that the final
Observation Date will be the Final Valuation Date
|
Contingent Coupon
Payment Dates:*
|
|
With respect to
any Observation Date, the fifth business day after such Observation
Date, provided that the Contingent Coupon Payment Date with
respect to the Final Valuation Date will be the Maturity
Date
|
Call Valuation
Dates:*
|
|
Each Observation Date
scheduled to occur during the term of the Notes, beginning in
December 2020 and ending in and including
September 2024
|
Call Settlement
Date:*
|
|
The Contingent Coupon
Payment Date following the Call Valuation Date on which an
Automatic Call occurs
|
Initial
Value:
|
|
With respect to each
Reference Asset, the Closing Value on the Initial Valuation Date
(rounded to two decimal places), as set forth in the table
above
|
Call Value:
|
|
With respect to each
Reference Asset, 100.00% of its Initial Value (rounded to two
decimal places), as set forth in the table above
|
Coupon Barrier
Value:
|
|
With respect to each
Reference Asset, 75.00% of its Initial Value (rounded to two
decimal places), as set forth in the table above
|
Barrier
Value:
|
|
With respect to each
Reference Asset, 60.00% of its Initial Value (rounded to two
decimal places), as set forth in the table above
|
Final Value:
|
|
With respect to each
Reference Asset, the Closing Value on the Final Valuation Date
(rounded to two decimal places)
|
Redemption
Price:
|
|
$1,000 per
$1,000 principal amount Note that you hold, plus the Contingent
Coupon that will otherwise be payable on the Call Settlement
Date
|
Reference Asset
Return:
|
|
With respect to each
Reference Asset, an amount calculated as follows:
Final Value –
Initial Value
Initial Value
|
Least Performing
Reference Asset:
|
|
The Reference
Asset with the lowest Reference Asset Return, as calculated in the
manner set forth above
|
Closing
Value:
|
|
The term
“Closing Value” means the closing level of the applicable Reference
Asset, as further described under “Reference Assets—Indices—Special
Calculation Provisions” in the prospectus supplement, rounded to
two decimal places (if applicable).
|
Calculation
Agent:
|
|
Barclays Bank
PLC
|
CUSIP / ISIN:
|
|
06747NRF3 /
US06747NRF32
|
*
Subject
to postponement,
as described under “Additional Terms of the Notes”
in this pricing supplement

ADDITIONAL DOCUMENTS RELATED
TO THE OFFERING OF THE NOTES
You should
read this pricing supplement together with the prospectus dated
August 1, 2019, as supplemented by the prospectus supplement
dated August 1, 2019 and the underlying 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 and “Selected Risk
Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you
to consult your investment, legal, tax, accounting and other
advisors before you invest in the Notes.
You may access
these documents on the SEC website at www.sec.gov as follows (or if
such address has changed, by reviewing our filings for the relevant
date on the SEC website):
·
Prospectus dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
·
Prospectus Supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
·
Underlying Supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010191/dp110497_424b2-underlying.htm
Our
SEC file number is 1–10257. As used in this pricing
supplement, “we,” “us” or “our” refers to Barclays Bank PLC.
PS-1
CONSENT TO
U.K. BAIL-IN POWER
Notwithstanding any other
agreements, arrangements or understandings between us and any
holder or beneficial owner of the Notes, by acquiring the Notes,
each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of,
any U.K. Bail-in Power by the relevant U.K. resolution
authority.
Under the U.K.
Banking Act 2009, as amended, the relevant U.K. resolution
authority may exercise a U.K. Bail-in Power in circumstances in
which the relevant U.K. resolution authority is satisfied that the
resolution conditions are met. These conditions include that a U.K.
bank or investment firm is failing or is likely to fail to satisfy
the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated
activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is a European Economic Area
(“EEA”) or third country institution or investment firm, that the
relevant EEA or third country relevant authority is satisfied that
the resolution conditions are met in respect of that
entity.
The U.K.
Bail-in Power includes any write-down, conversion, transfer,
modification and/or suspension power, which allows for (i) the
reduction or cancellation of all, or a portion, of the principal
amount of, interest on, or any other amounts payable on, the Notes;
(ii) the conversion of all, or a portion, of the principal
amount of, interest on, or any other amounts payable on, the Notes
into shares or other securities or other obligations of Barclays
Bank PLC or another person (and the issue to, or conferral on, the
holder or beneficial owner of the Notes such shares, securities or
obligations); and/or (iii) the amendment or alteration of the
maturity of the Notes, or amendment of the amount of interest or
any other amounts due on the Notes, or the dates on which interest
or any other amounts become payable, including by suspending
payment for a temporary period; which U.K. Bail-in Power may be
exercised by means of a variation of the terms of the Notes solely
to give effect to the exercise by the relevant U.K. resolution
authority of such U.K. Bail-in Power. Each holder and beneficial
owner of the Notes further acknowledges and agrees that the rights
of the holders or beneficial owners of the Notes are subject to,
and will be varied, if necessary, solely to give effect to, the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and
acknowledgment is not a waiver of any rights holders or beneficial
owners of the Notes may have at law if and to the extent that any
U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—You
May Lose Some or All of Your Investment If Any U.K. Bail-in
Power Is Exercised by the Relevant U.K. Resolution Authority” in
this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is
failing or likely to fail could materially adversely affect the
value of the securities” and “Risk Factors—Risks Relating to the
Securities Generally—Under the terms of the securities, you have
agreed to be bound by the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority” in the accompanying prospectus
supplement.
PS-2
ADDITIONAL
INFORMATION REGARDING OUR ESTIMATED VALUE OF THE
NOTES
The range of the estimated values
of the Notes referenced above may not correlate on a linear basis
with the range of any other term of the Notes as may be set forth
in this pricing supplement. We determined the size of such range
based on prevailing market conditions, as well as the anticipated
duration of the marketing period for the Notes. The final terms for
the Notes will be determined on the date the Notes are initially
priced for sale to the public, which we refer to as the Initial
Valuation Date, based on prevailing market conditions on or prior
to the Initial Valuation 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 Initial Valuation Date is based on our
internal funding rates. Our estimated value of the Notes may be
lower if such valuation were based on the levels at which our
benchmark debt securities trade in the secondary market.
Our estimated value of the Notes on
the Initial Valuation Date is 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 a result
of several factors, including any sales commissions to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees (including any
structuring or other distribution related fees) to be allowed or
paid to non-affiliated intermediaries, the estimated profit that we
or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost which we may incur in
hedging our obligations under the Notes, and estimated development
and other costs which we may incur in connection with the
Notes.
Our estimated value on the Initial
Valuation Date is not a prediction of the price at which the Notes
may trade in the secondary market, nor will it be the price at
which Barclays Capital Inc. may buy or sell the Notes in the
secondary market. Subject to normal market and funding conditions,
Barclays Capital Inc. or another affiliate of ours intends to offer
to purchase the Notes in the secondary market but it is not
obligated to do so.
Assuming that
all relevant factors remain constant after the Initial Valuation
Date, the price at which Barclays Capital Inc. may initially buy or
sell the Notes in the secondary market, if any, and the value that
we may initially use for customer account statements, if we provide
any customer account statements at all, may exceed our estimated
value on the Initial Valuation Date for a temporary period expected
to be approximately six months after the Issue Date because, in our
discretion, we may elect to effectively reimburse to investors a
portion of the estimated cost of hedging our obligations under the
Notes and other costs in connection with the Notes which we will no
longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement
period on the basis of a number of factors, which may include the
tenor of the Notes and/or any agreement we may have with the
distributors of the Notes. The amount of our estimated costs which
we effectively reimburse to investors in this way may not be
allocated ratably throughout the reimbursement period, and we may
discontinue such reimbursement at any time or revise the duration
of the reimbursement period after the initial Issue Date of the
Notes based on changes in market conditions and other factors that
cannot be predicted.
We urge you to read
the “Selected Risk Considerations”
beginning on page PS–10 of this pricing
supplement.
You may revoke your offer to
purchase the Notes at any time prior to the Initial Valuation
Date. We reserve the right to change the terms
of, or reject any offer to purchase, the Notes prior
to the Initial Valuation 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.
PS-3
SELECTED PURCHASE
CONSIDERATIONS
The Notes are not
suitable for all investors. The Notes may be a suitable investment
for you if all of the following statements are true:
·
You do not seek an investment that produces fixed periodic interest
or coupon payments or other non-contingent sources of current
income, and you can tolerate receiving few or no Contingent Coupons
over the term of the Notes in the event the Closing Value of any
Reference Asset falls below its Coupon Barrier Value on one or more
of the specified Observation Dates.
·
You understand and accept that you will not participate in any
appreciation of any Reference Asset, which may be significant, and
that your return potential on the Notes is limited to the
Contingent Coupons, if any, paid on the Notes.
·
You can tolerate a loss of a significant portion or all of the
principal amount of your Notes, and you are willing and able to
make an investment that may have the full downside market risk of
an investment in the Least Performing Reference Asset.
·
You do not anticipate that the Closing Value of any
Reference Asset will fall below its Coupon Barrier Value on any
Observation Date or below its Barrier Value on the Final Valuation
Date.
·
You understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of any
Reference Asset or any securities to which any Reference Asset
provides exposure, nor will you have any voting rights with respect
to any Reference Asset or any securities to which any Reference
Asset provides exposure.
·
You are willing and able to accept the individual market risk of
each Reference Asset and understand that any decline in the value
of one Reference Asset will not be offset or mitigated by a lesser
decline or any potential increase in the value of any other
Reference Asset.
·
You understand and accept the risks that (a) you will not
receive a Contingent Coupon if the Closing Value of only one
Reference Asset is less than its Coupon Barrier Value on an
Observation Date and (b) you will lose some or all of your
principal at maturity if the Final Value of only one
Reference Asset is less than its Barrier Value.
·
You understand and accept the risk that, if the Notes are not
redeemed prior to scheduled maturity, the payment at maturity, if
any, will be based solely on the Reference Asset Return of
the Least Performing Reference Asset.
·
You understand and are willing and able to accept the risks
associated with an investment linked to the performance of the
Reference Assets.
·
You are willing and able to accept the risk that the Notes may be
redeemed prior to scheduled maturity and that you may not be able
to reinvest your money in an alternative investment with comparable
risk and yield.
·
You can tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside
fluctuations in the values of the Reference Assets.
·
You do not seek an investment for which there will be an active
secondary market, and you are willing and able to hold the Notes to
maturity if the Notes are not redeemed.
·
You are willing and able to assume our credit risk for all payments
on the Notes.
·
You are willing and able to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
The Notes may
not be a suitable investment for you if any of the
following statements are true:
·
You seek an investment that produces fixed periodic interest or
coupon payments or other non-contingent sources of current income,
and/or you cannot tolerate receiving few or no Contingent Coupons
over the term of the Notes in the event the Closing Value of any
Reference Asset falls below its Coupon Barrier Value on one or more
of the specified Observation Dates.
·
You seek an investment that participates in the full appreciation
of any or all of the Reference Assets rather than an investment
with a return that is limited to the Contingent Coupons, if any,
paid on the Notes.
·
You seek an investment that provides for the full repayment of
principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose some or all of the principal amount of
your Notes in the event that the Final Value of the Least
Performing Reference Asset falls below its Barrier Value.
·
You anticipate that the Closing Value of at least one
Reference Asset will decline during the term of the Notes such that
the Closing Value of at least one Reference Asset will fall below
its Coupon Barrier Value on one or more Observation Dates and/or
the Final Value of at least one Reference Asset will fall below its
Barrier Value.
·
You are unwilling or unable to accept the individual market risk of
each Reference Asset and/or do not understand that any decline in
the value of one Reference Asset will not be offset or mitigated by
a lesser decline or any potential increase in the value of any
other Reference Asset.
·
You do not understand and/or are unwilling or unable to accept the
risks associated with an investment linked to the performance of
the Reference Assets.
·
You seek an investment that entitles you to dividends or
distributions on, or voting rights related to any Reference Asset
or any securities to which any Reference Asset provides
exposure.
·
You are unwilling or unable to accept the risk that the negative
performance of only one Reference Asset may cause you to not
receive Contingent Coupons and/or suffer a loss of principal at
maturity, regardless of the performance of any other Reference
Asset.
·
You are unwilling or unable to accept the risk that the Notes may
be redeemed prior to scheduled maturity.
PS-4
·
You cannot tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside
fluctuations in the values of the Reference Assets.
·
You seek an investment for which there will be an active secondary
market, and/or you are unwilling or unable to hold the Notes to
maturity if the Notes are not redeemed.
·
You prefer the lower risk, and therefore accept the potentially
lower returns, of fixed income investments with comparable
maturities and credit ratings.
·
You are unwilling or unable to assume our credit risk for all
payments on the Notes.
·
You are unwilling or unable to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
You must
rely on your own evaluation of the merits of an investment in the
Notes. You should reach a decision whether to invest
in the Notes after carefully considering, with your advisors, the
suitability of the Notes in light of your investment objectives and
the specific information set out in this pricing supplement and the
documents referenced under “Additional Documents Related to the
Offering of the Notes” in this pricing supplement. Neither the
Issuer nor Barclays Capital Inc. makes any recommendation as to the
suitability of the Notes for investment.
ADDITIONAL TERMS OF THE
NOTES
The
Observation Dates (including the Final Valuation Date), the
Contingent Coupon Payment Dates, any Call Settlement Date and the
Maturity Date are subject to postponement in certain circumstances,
as described under “Reference Assets—Indices—Market Disruption
Events for Securities with an Index of Equity Securities as a
Reference Asset,” “Reference Assets—Least or Best Performing
Reference Asset—Scheduled Trading Days and Market Disruption Events
for Securities Linked to the Reference Asset with the Lowest or
Highest Return in a Group of Two or More Equity Securities,
Exchange-Traded Funds and/or Indices of Equity Securities” and
“Terms of the Notes—Payment Dates” in the accompanying prospectus
supplement.
In addition,
the Reference Assets and the Notes are subject to adjustment by the
Calculation Agent under certain circumstances, as described under
“Reference Assets—Indices—Adjustments Relating to Securities with
an Index as a Reference Asset” in the accompanying prospectus
supplement.
PS-5
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE ON A SINGLE CONTINGENT COUPON PAYMENT
DATE
The following
examples demonstrate the circumstances under which you may receive
a Contingent Coupon on a hypothetical Contingent Coupon Payment
Date. The numbers appearing in these tables are purely hypothetical
and are provided for illustrative purposes only. These examples do
not take into account any tax consequences from investing in the
Notes and make the following key assumptions:
§
Hypothetical Initial Value of each Reference Asset:
100.00*
§
Hypothetical Coupon Barrier Value for each Reference Asset:
75.00 (75.00% of the hypothetical Initial Value set forth
above)*
§
Hypothetical Call Value for each Reference Asset: 100.00
(100.00% of the hypothetical Initial Value set forth above)*
*
The hypothetical Initial
Value of 100.00, the hypothetical Coupon Barrier Value of
75.00 and the hypothetical
Call Value of 100.00 for each Reference Asset have been chosen for
illustrative purposes only and do not represent likely Initial
Values, Coupon Barrier Values or Call Values for any Reference
Asset. The actual Initial Value for each Reference Asset will be
equal to its Closing Value on the Initial Valuation Date and the
actual Coupon Barrier Value and Call Value for each Reference Asset
will each be equal to 75.00% and 100.00%, respectively, of its
Initial Value.
Example 1: The
Closing Value of each Reference Asset is greater than its Coupon
Barrier Value on the relevant Observation Date.
Reference Asset
|
Closing Value on
Relevant Observation
Date
|
DJIA Index
|
95.00
|
S&P 500
Index
|
125.00
|
Because the
Closing Value of each Reference Asset is greater than its
respective Coupon Barrier Value, you will receive a Contingent
Coupon of $15.50 (1.55% of the principal amount per Note) on the
related Contingent Coupon Payment Date.
Example 2: The
Closing Value of one Reference Asset is greater than its Coupon
Barrier Value on the relevant Observation Date and the Closing
Value of at least one Reference Asset is less than its Coupon
Barrier Value on the relevant Observation Date.
Reference Asset
|
Closing Value on
Relevant Observation
Date
|
DJIA Index
|
135.00
|
S&P 500
Index
|
55.00
|
Because the
Closing Value of at least one Reference Asset is less than its
Coupon Barrier Value, you will not receive a Contingent Coupon on
the related Contingent Coupon Payment Date.
Example 3: The
Closing Value of each Reference Asset is less than its Coupon
Barrier Value on the relevant Observation Date.
Reference Asset
|
Closing Value on
Relevant Observation
Date
|
DJIA Index
|
55.00
|
S&P 500
Index
|
50.00
|
Because the Closing
Value of at least one Reference Asset is less than its Coupon
Barrier Value, you will not receive a Contingent Coupon on the
related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate
that you may not receive a Contingent Coupon on a Contingent Coupon
Payment Date. If the Closing Value of any Reference
Asset is below its Coupon Barrier Value on each Observation
Date, you will not receive any Contingent Coupons during the
term of your Notes.
In each of the examples
above, because the Closing Value of at least one
Reference Asset is below its Call Value on the relevant Call
Valuation Date, the Notes will not be redeemed on such
date. The Notes will be redeemed only if the Closing Value
of each Reference Asset on any Call Valuation Date is greater than
or equal to its respective Call Value.
PS-6
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE UPON AUTOMATIC CALL
The following
examples demonstrate the hypothetical total return upon an
Automatic Call under various circumstances. The “total return” as
used in these examples is the number, expressed as a percentage,
that results from comparing the aggregate payments per $1,000
principal amount Note to $1,000. The hypothetical total returns set
forth below are for illustrative purposes only and may not be the
actual total returns applicable to a purchaser of the Notes. The
numbers appearing in the following tables and examples have been
rounded for ease of analysis. The hypothetical examples below do
not take into account any tax consequences from investing in the
Notes and make the following key assumption:
§
The Closing Value of at least one Reference Asset is less than its
Coupon Barrier Value on each Observation Date that is not a Call
Valuation Date. Accordingly, no Contingent Coupons are paid on any
Observation Date that is not a Call Valuation Date.
Example 1: The
Notes are redeemed on the first Call Valuation Date.
Call Valuation
Date
|
Is the Closing Value
of
Any Reference Asset Less
Than its Coupon Barrier
Value?
|
Is the Closing Value of
Any
Reference Asset Less Than its Call
Value?
|
Payment on Contingent
Coupon Payment Date (per $1,000 principal amount Note)
|
1
|
No
|
No
|
$1,015.50
|
Because the
Closing Value of each Reference Asset on the first Call Valuation
Date is greater than or equal to its Call Value, the Notes are
redeemed and you will receive the Redemption Price on the related
Call Settlement Date.
The Notes will
cease to be outstanding after the Call Settlement Date, and you
will not receive any further payments on the Notes.
The total
return on investment of the Notes is 1.55%.
Example 2: The
Notes are redeemed on the third Call Valuation Date.
Call Valuation
Date
|
Is the Closing Value
of
Any Reference Asset Less
Than its Coupon Barrier
Value?
|
Is the Closing Value of
Any
Reference Asset Less Than its Call
Value?
|
Payment on Contingent
Coupon Payment Date (per $1,000 principal amount Note)
|
1
|
Yes
|
Yes
|
$0.00
|
2
|
No
|
Yes
|
$15.50
|
3
|
No
|
No
|
$1,015.50
|
Because the Closing Value of each Reference
Asset on the third Call Valuation Date is greater than or equal to
its Call Value, the Notes are redeemed and you will receive
the Redemption Price on the related Call Settlement
Date.
The
Notes will cease to be outstanding after the Call Settlement Date,
and you will not receive any further payments on the
Notes.
The total
return on investment of the Notes is 3.10%.
Example 3: The
Notes are redeemed on the final Call Valuation Date.
Call Valuation
Date
|
Is the Closing Value
of
Any Reference Asset Less
Than its Coupon Barrier
Value?
|
Is the Closing Value of
Any
Reference Asset Less Than its Call
Value?
|
Payment on Contingent
Coupon Payment Date (per $1,000 principal amount Note)
|
1
|
Yes
|
Yes
|
$0.00
|
2-15
|
Yes
|
Yes
|
$0.00
|
16
|
No
|
No
|
$1,015.50
|
Because the Closing Value of each Reference
Asset on the final Call Valuation Date is greater than or equal to
its Call Value, the Notes are redeemed and you will receive
the Redemption Price on the related Call Settlement Date.
Example 3 assumes that the Closing Value of at least one Reference
Asset is less than its Coupon Barrier Value on each Observation
Date prior to the final Call Valuation Date. Accordingly, no
Contingent Coupons are payable on the Notes until the final Call
Valuation Date.
The
Notes will cease to be outstanding after the Call Settlement Date,
and you will not receive any further payments on the
Notes.
The total
return on investment of the Notes is 1.55%.
Each of the
examples demonstrate that the return on the Notes upon an Automatic
Call will be limited to the Contingent Coupons, if any, that may be
payable on the Notes up to and including the applicable Call
Settlement Date. Each of these examples also demonstrate that a
Contingent Coupon will be payable on a Contingent Coupon Payment
Date only if the Closing Value of the Least Performing Reference
Asset is greater than or equal to the Coupon Barrier Value on an
Observation Date. If the Closing Value of the Least Performing
Reference Asset on an Observation Date is less than the Coupon
Barrier Value, you will not receive a Contingent Coupon on the
related Contingent Coupon Payment Date. If the Closing Value of the
Least Performing Reference Asset is less than its Coupon Barrier
Value on each Observation Date, you will not receive any Contingent
Coupons during the term of the Notes.
PS-7
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE AT MATURITY
The
following table illustrates the hypothetical payment at maturity
under various circumstances. The numbers appearing in the following
table and examples have been rounded for ease of analysis. The
hypothetical examples below do not take into account any tax
consequences from investing in the Notes and make the following key
assumptions:
§
Hypothetical Initial Value of each Reference Asset:
100.00*
§
Hypothetical Coupon Barrier Value for each Reference Asset:
75.00 (75.00% of the hypothetical Initial Value set forth
above)*
§
Hypothetical Call Value for each Reference Asset: 100.00
(100.00% of the hypothetical Initial Value set forth above)*
§
Hypothetical Barrier Value for each Reference Asset: 60.00
(60.00% of the hypothetical Initial Value set forth above)*
§
You hold the Notes to maturity, and the Notes are NOT
redeemed prior to scheduled maturity.
*
The hypothetical Initial
Value of 100.00, the hypothetical Coupon Barrier Value of
75.00, the hypothetical
Call Value of 100.00 and the hypothetical Barrier Value of 60.00 for
each Reference Asset have been chosen for illustrative purposes
only and do not represent likely Initial Values, Coupon Barrier
Values, Call Values or Barrier Values for any Reference Asset. The
actual Initial Value for each Reference Asset will be equal to its
Closing Value on the Initial Valuation Date and the actual Coupon
Barrier Value, Call Value and Barrier Value for each Reference
Asset will each be equal to 75.00%, 100.00% and 60.00%,
respectively, of its Initial Value.
For
information regarding recent values of the Reference Assets, please
see “Information Regarding the Reference Assets” in this pricing
supplement.
Final
Value
|
|
Reference Asset
Return
|
|
|
DJIA
Index
|
S&P
500
Index
|
|
DJIA
Index
|
S&P
500
Index
|
|
Reference Asset
Return of the Least
Performing
Reference Asset
|
Payment
at
Maturity**
|
155.00
|
150.00
|
|
55.00%
|
50.00%
|
|
50.00%
|
$1,000.00
|
140.00
|
145.00
|
|
40.00%
|
45.00%
|
|
40.00%
|
$1,000.00
|
135.00
|
130.00
|
|
35.00%
|
30.00%
|
|
30.00%
|
$1,000.00
|
130.00
|
120.00
|
|
30.00%
|
20.00%
|
|
20.00%
|
$1,000.00
|
112.00
|
110.00
|
|
12.00%
|
10.00%
|
|
10.00%
|
$1,000.00
|
100.00
|
100.00
|
|
0.00%
|
0.00%
|
|
0.00%
|
$1,000.00
|
90.00
|
110.00
|
|
-10.00%
|
10.00%
|
|
-10.00%
|
$1,000.00
|
80.00
|
102.00
|
|
-20.00%
|
2.00%
|
|
-20.00%
|
$1,000.00
|
75.00
|
90.00
|
|
-25.00%
|
-10.00%
|
|
-25.00%
|
$1,000.00
|
70.00
|
105.00
|
|
-30.00%
|
5.00%
|
|
-30.00%
|
$1,000.00
|
60.00
|
120.00
|
|
-40.00%
|
20.00%
|
|
-40.00%
|
$1,000.00
|
135.00
|
50.00
|
|
35.00%
|
-50.00%
|
|
-50.00%
|
$500.00
|
40.00
|
50.00
|
|
-60.00%
|
-50.00%
|
|
-60.00%
|
$400.00
|
115.00
|
30.00
|
|
15.00%
|
-70.00%
|
|
-70.00%
|
$300.00
|
20.00
|
55.00
|
|
-80.00%
|
-45.00%
|
|
-80.00%
|
$200.00
|
50.00
|
10.00
|
|
-50.00%
|
-90.00%
|
|
-90.00%
|
$100.00
|
0.00
|
105.00
|
|
-100.00%
|
5.00%
|
|
-100.00%
|
$0.00
|
**
per $1,000 principal amount Note, excluding the final Contingent
Coupon that may be payable on the Maturity Date
The following examples
illustrate how the payments at maturity set forth in the table
above are calculated:
Example 1: The
Final Value of the DJIA Index is 130.00 and the Final Value
of the S&P 500 Index is 120.00.
Because the
S&P 500 Index has the lowest Reference Asset Return, the
S&P 500 Index is the Least Performing Reference Asset. Because
the Final Value of the Least Performing Reference Asset is greater
than or equal to its Barrier Value, you will receive a payment at
maturity of $1,000 per $1,000 principal amount Note that you hold
(plus the Contingent Coupon that will otherwise be payable
on the Maturity Date).
Example 2: The
Final Value of the DJIA Index is 80.00 and the Final Value
of the S&P 500 Index is 102.00.
Because the
DJIA Index has the lowest Reference Asset Return, the DJIA Index is
the Least Performing Reference Asset. Because the Final Value of
the Least Performing Reference Asset is greater than or equal to
its Barrier Value, you will receive a payment at maturity of $1,000
per $1,000 principal amount Note that you hold (plus the
Contingent Coupon that will otherwise be payable on the Maturity
Date).
Example 3: The Final Value of
the DJIA Index is 60.00 and the Final Value of the S&P 500
Index is 120.00.
Because the DJIA Index has the lowest Reference
Asset Return, the DJIA Index is the Least Performing Reference
Asset. Because the Final Value of the Least Performing Reference
Asset is greater than or equal to its Barrier Value, you will
receive a payment at maturity of $1,000 per $1,000 principal amount
Note that you hold. Because, however, the Final Value of at
least one Reference Asset is less than its Coupon Barrier Value,
you will not receive a Contingent Coupon on the Maturity Date.
PS-8
Example 4: The
Final Value of the DJIA Index is 135.00 and the Final Value
of the S&P 500 Index is 50.00.
Because the
S&P 500 Index has the lowest Reference Asset Return, the
S&P 500 Index is the Least Performing Reference Asset. Because
the Final Value of the Least Performing Reference Asset is less
than its Barrier Value, you will receive a payment at maturity of
$500.00 per $1,000 principal amount Note that you hold, calculated
as follows:
$1,000 + [$1,000 ×
Reference Asset Return of the Least Performing Reference
Asset]
$1,000 + [$1,000 ×
-50.00%] = $500.00
In addition,
because the Final Value of at least one Reference Asset is less
than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the Maturity Date.
Example 5: The
Final Value of the DJIA Index is 115.00 and the Final Value
of the S&P 500 Index is 30.00.
Because the
S&P 500 Index has the lowest Reference Asset Return, the
S&P 500 Index is the Least Performing Reference Asset. Because
the Final Value of the Least Performing Reference Asset is less
than its Barrier Value, you will receive a payment at maturity of
$400.00 per $1,000 principal amount Note that you hold, calculated
as follows:
$1,000 + [$1,000 ×
Reference Asset Return of the Least Performing Reference
Asset]
$1,000 + [$1,000 ×
-70.00%] = $300.00
In addition,
because the Final Value of at least one Reference Asset is less
than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the Maturity Date
Examples 4 and
5 demonstrate that if the Notes are not redeemed prior to scheduled
maturity, and if the Final Value of the Least Performing Reference
Asset is less than its Barrier Value, your investment in the Notes
will be fully exposed to the decline of the Least Performing
Reference Asset from its Initial Value. You will not benefit in any
way from the Reference Asset Return of any other Reference Asset
being higher than the Reference Asset Return of the Least
Performing Reference Asset.
If the Notes
are not redeemed prior to scheduled maturity,
you may lose up to 100.00% of the
principal amount of your Notes. Any payment on the Notes, including the
repayment of principal, is subject to the credit risk of Barclays
Bank PLC.
PS-9
SELECTED RISK
CONSIDERATIONS
An investment
in the Notes involves significant risks. Investing in the Notes is
not equivalent to investing directly in the Reference Assets or
their components. Some of the risks that apply to an investment in
the Notes are summarized below, but we urge you to read the more
detailed explanation of risks relating to the Notes generally in
the “Risk Factors” section of the prospectus supplement. You should
not purchase the Notes unless you understand and can bear the risks
of investing in the Notes.
§
Your Investment in the Notes May Result in a Significant
Loss—The Notes differ from ordinary debt securities in that the
Issuer will not necessarily repay the full principal amount of the
Notes at maturity. If the Notes are not redeemed prior to scheduled
maturity, and if the Final Value of the Least Performing Reference
Asset is less than its Barrier Value, your Notes will be fully
exposed to the decline of the Least Performing Reference Asset from
its Initial Value. You may lose up
to 100.00% of the principal amount of your Notes.
·
Potential Return is
Limited to the Contingent Coupons, If
Any, and You Will Not Participate in Any Appreciation of Any
Reference Asset—The potential positive return on the Notes is
limited to the Contingent Coupons, if any, that may be payable
during the term of the Notes. You will not participate in any
appreciation in the value of any Reference Asset, which may be
significant, even though you will be exposed to the depreciation in
the value of the Least Performing Reference Asset if the Notes are
not redeemed and the Final Value of the Least Performing Reference
Asset is less than its Barrier Value.
·
You May Not Receive Any Contingent Coupon Payments on the
Notes—The Issuer will not necessarily make periodic coupon
payments on the Notes. You will receive a Contingent Coupon on a
Contingent Coupon Payment Date only if the Closing Value of
each Reference Asset on the related Observation Date is greater
than or equal to its respective Coupon Barrier Value. If the
Closing Value of any Reference Asset on an Observation Date is less
than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the related Contingent Coupon Payment Date. If the
Closing Value of at least one Reference Asset is less than its
respective Coupon Barrier Value on each Observation Date, you will
not receive any Contingent Coupons during the term of the
Notes.
·
Because the Notes Are Linked to the Least Performing
Reference Asset, You Are Exposed to Greater Risks of No Contingent
Coupons and Sustaining a Significant Loss of Principal at Maturity
Than If the Notes Were Linked to a Single Reference Asset—The
risk that you will not receive any Contingent Coupons and lose a
significant portion or all of your principal amount in the Notes at
maturity is greater if you invest in the Notes as opposed to
substantially similar securities that are linked to the performance
of a single Reference Asset. With multiple Reference Assets, it is
more likely that the Closing Value of at least one Reference Asset
will be less than its Coupon Barrier Value on the specified
Observation Dates or less than its Barrier Value on the Final
Valuation Date, and therefore, it is more likely that you will not
receive any Contingent Coupons and that you will suffer a
significant loss of principal at maturity. Further, the performance
of the Reference Assets may not be correlated or may be negatively
correlated. The lower the correlation between multiple Reference
Assets, the greater the potential for one of those Reference Assets
to close below its Coupon Barrier Value or Barrier Value on an
Observation Date or the Final Valuation Date, respectively.
It
is impossible to predict what the correlation among the Reference
Assets will be over the term of the Notes. The Reference Assets
represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
Although the correlation of the Reference
Assets’ performance may change over the term of the Notes, the
Contingent Coupon rate is determined, in part, based on the
correlation of the Reference Assets’ performance calculated using
our internal models at the time when the terms of the Notes are
finalized. A higher Contingent Coupon is generally associated with
lower correlation of the Reference Assets, which reflects a greater
potential for missed Contingent Coupons and for a loss of principal
at maturity.
·
You Are Exposed to the Market Risk of Each Reference
Asset—Your return on the Notes is not linked to a basket
consisting of the Reference Assets. Rather, it will be contingent
upon the independent performance of each Reference Asset. Unlike an
instrument with a return linked to a basket of underlying assets in
which risk is mitigated and diversified among all the components of
the basket, you will be exposed to the risks related to each
Reference Asset. Poor performance by any Reference Asset over the
term of the Notes may negatively affect your return and will not be
offset or mitigated by any increases or lesser declines in the
value of any other Reference Asset. To receive a Contingent Coupon,
the Closing Value of each Reference Asset must be greater than or
equal to its Coupon Barrier Value on the applicable Observation
Date. In addition, if the Notes have not been redeemed prior to
scheduled maturity, and if the Final Value of any Reference Asset
is less than its Barrier Value, you will be exposed to the full
decline in the Least Performing Reference Asset from its Initial
Value. Accordingly, your investment is subject to the market risk
of each Reference Asset.
·
The Notes Are Subject to Volatility Risk—Volatility is a
measure of the degree of variation in the price of an asset (or
level of an index) over a period of time. The amount of any coupon
payments that may be payable under the Notes is based on a number
of factors, including the expected volatility of the Reference
Assets. The amount of such coupon payments will be paid at a per
annum rate that is higher than the fixed rate that we would pay on
a conventional debt security of the same tenor and is higher than
it otherwise would have been had the expected volatility of the
Reference Assets been lower. As volatility of a Reference Asset
increases, there will typically be a greater likelihood that
(a) the Closing Value of that Reference Asset on one or more
Observation Dates will be less than its Coupon Barrier Value and
(b) the Final Value of that Reference Asset will be less than
its Barrier Value.
Accordingly, you should understand that a
higher coupon payment amount reflects, among other things, an
indication of a greater likelihood that you will (a) not
receive coupon payments with respect to one or more Observation
Dates and/or (b) incur a loss of principal at maturity than
would have been the case had the coupon payments been lower. In
addition, actual volatility over the term of the Notes may be
significantly higher than the expected volatility at the time the
terms of the Notes were determined. If actual
PS-10
volatility is higher than expected, you will
face an even greater risk that you will not receive coupon payments
and/or that you will lose some or all of your principal at maturity
for the reasons described above.
·
Early Redemption and Reinvestment Risk—While the original
term of the Notes is as indicated on the cover page of this
pricing supplement, the Notes may be redeemed prior to maturity, as
described above, and the holding period over which you may receive
coupon payments could be as short as approximately one year.
The
Redemption Price that you receive on a Call Settlement Date,
together with any coupon payments that you may have received prior
to the Call Settlement Date, may be less than the aggregate amount
of payments that you would have received had the Notes not been
redeemed. 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 redeemed prior to the Maturity Date. No additional
payments will be due after the relevant Call Settlement Date. The
fact that the Notes may be redeemed prior to maturity may also
adversely impact your ability to sell your Notes and the price at
which they may be sold.
·
If the Notes Are Not Redeemed Prior to Scheduled Maturity,
the Payment at Maturity, If Any, is Based Solely on the
Closing Value of the Least Performing Reference Asset on the Final
Valuation Date—If the Notes are not redeemed prior to scheduled
maturity, the Final Values will be based solely on the Closing
Values of the Reference Assets on the Final Valuation Date, and
your payment at maturity, if any, will be determined based solely
on the performance of the Least Performing Reference Asset from the
Initial Valuation Date to the Final Valuation Date. Accordingly, if
the value of the Least Performing Reference Asset drops on the
Final Valuation Date, the payment at maturity on the Notes, if any,
may be significantly less than it would have been had it been
linked to the value of the Reference Asset at any time prior to
such drop.
If
the Final Value of the Least Performing Reference Asset is less
than its Barrier Value, you will lose some or all of the principal
amount of your Notes. Your losses will not be offset in any way by
virtue of the Reference Asset Return of any other Reference Asset
being higher than the Reference Asset Return of the Least
Performing Reference Asset.
·
Credit of Issuer—The Notes are unsecured and unsubordinated
debt obligations of the Issuer, Barclays Bank PLC, and are not,
either directly or indirectly, an obligation of any third party.
Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to
satisfy its obligations as they come due and is not guaranteed by
any third party. As a result, the actual and perceived
creditworthiness of Barclays Bank PLC may affect the market value
of the Notes, and in the event Barclays Bank PLC were to default on
its obligations, you may not receive any amounts owed to you under
the terms of the Notes.
·
You May Lose Some or All of Your Investment If Any
U.K. Bail-in Power Is Exercised by the
Relevant U.K. Resolution
Authority—Notwithstanding any other agreements, arrangements or
understandings between Barclays Bank PLC and any holder or
beneficial owner of the Notes, by acquiring the Notes, each holder
and beneficial owner of the Notes acknowledges, accepts, agrees to
be bound by, and consents to the exercise of, any U.K. Bail-in
Power by the relevant U.K. resolution authority as set forth under
“Consent to U.K. Bail-in Power” in this pricing supplement.
Accordingly, any U.K. Bail-in Power may be exercised in such a
manner as to result in you and other holders and beneficial owners
of the Notes losing all or a part of the value of your investment
in the Notes or receiving a different security from the Notes,
which may be worth significantly less than the Notes and which may
have significantly fewer protections than those typically afforded
to debt securities. Moreover, the relevant U.K. resolution
authority may exercise the U.K. Bail-in Power without providing any
advance notice to, or requiring the consent of, the holders and the
beneficial owners of the Notes. The exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority with respect to the
Notes will not be a default or an Event of Default (as each term is
defined in the senior debt securities indenture) and the trustee
will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the
exercise of the U.K. Bail-in Power by the relevant U.K. resolution
authority with respect to the Notes. See “Consent to U.K. Bail-in
Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is
failing or likely to fail could materially adversely affect the
value of the securities” and “Risk Factors—Risks Relating to the
Securities Generally—Under the terms of the securities, you have
agreed to be bound by the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority” in the accompanying prospectus
supplement.
·
Contingent Repayment of Any Principal Amount Applies Only at
Maturity or upon Any Redemption—You should be willing to hold
your Notes to maturity or any redemption. Although the Notes
provide for the contingent repayment of the principal amount of
your Notes at maturity, provided that the Final Value of the Least
Performing Reference Asset is greater than or equal to its Barrier
Value, or upon any redemption, if you sell your Notes prior
to such time in the secondary market, if any, you may have to sell
your Notes at a price that is less than the principal amount even
if at that time the value of each Reference Asset has increased
from its Initial Value. See “Many Economic and Market Factors Will
Impact the Value of the Notes” below.
·
Each Reference Asset Reflects the Price Return of the Securities
Composing that Reference Asset, Not the Total Return—The return
on the Notes is based on the performance of the Reference Assets,
which reflects changes in the market prices of the securities
composing the Reference Assets. The Reference Assets are not “total
return” indices that, in addition to reflecting those price
returns, would also reflect dividends paid on the securities
composing that Reference Asset. Accordingly, the return on the
Notes will not include such a total return feature.
·
Owning the Notes is Not the Same as Owning Any Reference Asset
or Any Securities to which Any Reference Asset Provides
Exposure—The return on the Notes may not reflect the return you
would realize if you actually owned any Reference Asset or any
securities to which any Reference Asset provides exposure. As a
holder of the Notes, you will not have voting rights or rights to
receive dividends or other distributions or any other rights that
holders of any Reference Asset or any securities to which any
Reference Asset provides exposure may have.
PS-11
·
Historical Performance of the
Reference Assets Should Not Be Taken as Any Indication of the
Future Performance of the Reference Assets Over the Term of the
Notes—The value of each Reference Asset has fluctuated
in the past and may, in the future, experience significant
fluctuations. The historical performance of a Reference Asset is
not an indication of the future performance of that Reference Asset
over the term of the Notes. The historical correlation among the
Reference Assets is not an indication of the future correlation
among them over the term of the Notes. Therefore, the performance
of the Reference Assets individually or in comparison to each other
over the term of the Notes may bear no relation or resemblance to
the historical performance of any Reference Asset.
·
Adjustments to Any Reference Asset Could Adversely Affect the
Value of the Notes—The sponsor of any Reference Asset may add,
delete, substitute or adjust the securities composing that
Reference Asset or make other methodological changes to that
Reference Asset that could affect its value. The Calculation Agent
will calculate the value to be used as the Closing Value of that
Reference Asset in the event of certain material changes in or
modifications to that Reference Asset. In addition, the sponsor of
any Reference Asset may also discontinue or suspend calculation or
publication of that Reference Asset at any time. Under these
circumstances, the Calculation Agent may select a successor index
that the Calculation Agent determines to be comparable to that
Reference Asset or, if no successor index is available, the
Calculation Agent will determine the value to be used as the
Closing Value of that Reference Asset. Any of these actions could
adversely affect the value of any Reference Asset and,
consequently, the value of the Notes. See “Reference
Assets—Indices—Adjustments Relating to Securities with an Index as
a Reference Asset” in the accompanying prospectus supplement.
·
The 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 Initial Valuation 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 a result of certain
factors, such as any sales commissions to be paid to Barclays
Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees (including any structuring or other
distribution related fees) to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our
affiliates expect to earn in connection with structuring the Notes,
the estimated cost which we may incur in hedging our obligations
under the Notes, and estimated development and other costs which we
may incur in connection with the Notes.
·
The Estimated Value of Your Notes Might be Lower if Such
Estimated Value Were Based on the Levels at Which Our Debt
Securities Trade in the Secondary Market—The estimated value of
your Notes on the Initial Valuation Date is based on a number of
variables, including our internal funding rates. Our internal
funding rates may vary from the levels at which our benchmark debt
securities trade in the secondary market. As a result of this
difference, the estimated value referenced above might be lower if
such estimated value were based on the levels at which our
benchmark debt securities trade in the secondary market.
·
The Estimated Value of the Notes is Based on Our Internal
Pricing Models, Which May Prove to be Inaccurate and
May be Different from the Pricing Models of Other
Financial Institutions—The estimated value of your Notes on the
Initial Valuation Date is based on our internal pricing models,
which take into account a number of variables and are based on a
number of subjective assumptions, which may or may not materialize.
These variables and assumptions are not evaluated or verified on an
independent basis. Further, our pricing models may be different
from other financial institutions’ pricing models and the
methodologies used by us to estimate the value of the Notes may not
be consistent with those of other financial institutions which may
be purchasers or sellers of Notes in the secondary market. As a
result, the secondary market price of your Notes may be materially
different from the estimated value of the Notes determined by
reference to our internal pricing models.
·
The Estimated Value of Your Notes Is Not a Prediction of the
Prices at Which You May Sell Your Notes in the Secondary
Market, if any, and Such Secondary Market
Prices, If Any, Will Likely be Lower Than the
Initial Issue Price of Your Notes and May be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes
will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to
purchase the Notes from you in secondary market transactions (if
they are willing to purchase, which they are not obligated to do).
The price at which you may be able to sell your Notes in the
secondary market at any time will be influenced by many factors
that cannot be predicted, such as market conditions, and any bid
and ask spread for similar sized trades, and may be substantially
less than our estimated value of the Notes. Further, as secondary
market prices of your Notes take into account the levels at which
our debt securities trade in the secondary market, and do not take
into account our various costs related to the Notes such as fees,
commissions, discounts, and the costs of hedging our obligations
under the Notes, secondary market prices of your Notes will likely
be lower than the initial issue price of your Notes. As a result,
the price at which Barclays Capital Inc., other affiliates of ours
or third parties may be willing to purchase the Notes from you in
secondary market transactions, if any, will likely be lower than
the price you paid for your Notes,
and any sale prior to the Maturity Date could result in a
substantial loss to you.
·
The Temporary Price at Which We May Initially Buy The Notes
in the Secondary Market And the Value We May Initially Use for
Customer Account Statements, If We Provide Any Customer
Account Statements At All, May Not Be Indicative of
Future Prices of Your Notes—Assuming that all relevant
factors remain constant after the Initial Valuation Date, the price
at which Barclays Capital Inc. may initially buy or sell the Notes
in the secondary market (if Barclays Capital Inc. makes a market in
the Notes, which it is not obligated to do) and the value that we
may initially use for customer account statements, if we provide
any customer account statements at all, may exceed our estimated
value of the Notes on the Initial Valuation Date, as well as the
secondary market value of the Notes, for a temporary period after
the initial Issue Date of the Notes. The price at which Barclays
Capital Inc. may initially buy or sell the Notes in the secondary
market and the value that we may initially use for customer account
statements may not be indicative of future prices of your
Notes.
PS-12
·
We and Our Affiliates May Engage in Various Activities or
Make Determinations That Could Materially Affect the Notes in
Various Ways and Create Conflicts of Interest—We and our
affiliates play a variety of roles in connection with the issuance
of the Notes, as described below. In performing these roles, our
and our affiliates’ economic interests are potentially adverse to
your interests as an investor in the Notes.
In
connection with our normal business activities and in connection
with hedging our obligations under the Notes, we and our
affiliates make markets in and trade various financial instruments
or products for our accounts and for the account of our clients and
otherwise provide investment banking and other financial services
with respect to these financial instruments and products. These
financial instruments and products may include securities,
derivative instruments or assets that may relate to the Reference
Assets or their components. In any such market making, trading and
hedging activity, and other financial services, we or our
affiliates may take positions or take actions that are inconsistent
with, or adverse to, the investment objectives of the holders of
the Notes. We and our affiliates have no obligation to take the
needs of any buyer, seller or holder of the Notes into account in
conducting these activities. Such market making, trading and
hedging activity, investment banking and other financial services
may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent
for the Notes, could present significant conflicts of interest with
the role of Barclays Bank PLC, as issuer of the Notes. For example,
Barclays Capital Inc. or its representatives may derive
compensation or financial benefit from the distribution of the
Notes and such compensation or financial benefit may serve
as incentive to sell the Notes instead of other
investments. Furthermore, we and our affiliates establish the
offering price of the Notes for initial sale to the public, and the
offering price is not based upon any independent verification or
valuation.
In
addition to the activities described above, we will also act as the
Calculation Agent for the Notes. As Calculation Agent, we will
determine any values of the Reference Assets and make any other
determinations necessary to calculate any payments on the
Notes. In making these determinations, the Calculation Agent
may be required to make discretionary judgements relating to the
Reference Assets, including determining whether a market disruption
event has occurred or whether certain adjustments to the Reference
Assets or other terms of the Notes are necessary, as further
described in the accompanying prospectus supplement. In making
these discretionary judgments, our economic interests are
potentially adverse to your interests as an investor in the Notes,
and any of these determinations may adversely affect any payments
on the Notes.
·
Lack of Liquidity—The Notes will not be listed on any
securities exchange. Barclays Capital Inc. and other affiliates of
Barclays Bank PLC intend to make a secondary market for the Notes
but are not required to do so, and may discontinue any such
secondary market making at any time, without notice. Barclays
Capital Inc. may at any time hold unsold inventory, which may
inhibit the development of a secondary market for the Notes. Even
if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes,
the price at which you may be able to trade your Notes is likely to
depend on the price, if any, at which Barclays Capital Inc. and
other affiliates of Barclays Bank PLC are willing to buy the Notes.
The Notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Notes to
maturity.
·
Tax Treatment—Significant aspects of the tax
treatment of the Notes are uncertain. You should consult your tax
advisor about your tax situation. See “Tax Considerations”
below.
·
Many Economic and Market Factors Will Impact the Value of the
Notes—The value of the Notes will be affected by a number of
economic and market factors that interact in complex and
unpredictable ways and that may either offset or magnify each
other, including:
o
the market price of, dividend rate on and expected volatility of
the Reference Assets and the components of each Reference
Asset;
o
correlation (or lack of correlation) of the Reference Assets;
o
the time to maturity of the Notes;
o
interest and yield rates in the market generally;
o
a variety of economic, financial, political, regulatory or judicial
events;
o
supply and demand for the Notes; and
o
our creditworthiness, including actual or anticipated downgrades in
our credit ratings.
PS-13
INFORMATION REGARDING THE
REFERENCE ASSETS
Dow Jones Industrial
Average®
The DJIA Index is a price-weighted index that
seeks to measure the performance of 30 U.S. blue-chip companies.
The DJIA Index covers all industries with the exception of
transportation and utilities. For more information about the
DJIA Index, please see “Indices—The Dow Jones Industrial
Average®” in the
accompanying underlying supplement.
Historical Performance of the
DJIA Index
The
graph below sets forth the historical performance of the
DJIA Index based on the daily Closing Values from January 2,
2014 through November 7, 2019. We obtained the Closing Values
shown in the graph below from Bloomberg. We have not independently
verified the accuracy or completeness of the information obtained
from Bloomberg.
Historical Performance of the
Dow Jones Industrial Average®

PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-14
S&P
500® Index
The S&P
500 Index consists of stocks of 500 companies selected to provide a
performance benchmark for the U.S. equity markets. For more
information about the S&P 500 Index, see “Indices—The S&P
U.S. Indices” in the accompanying underlying supplement.
Historical Performance of the
S&P 500 Index
The
graph below sets forth the historical performance of the
S&P 500 Index based on the daily Closing Values from
January 2, 2014 through November 7, 2019. We obtained the
Closing Values shown in the graph below from Bloomberg. We have not
independently verified the accuracy or completeness of the
information obtained from Bloomberg.
Historical Performance of the
S&P 500® Index

PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-15
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 Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders,” in the accompanying prospectus
supplement.
In determining
our reporting responsibilities, if any, we intend to treat
(i) the Notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and
(ii) any Contingent Coupon payments as ordinary income, as
described in the section entitled “Material U.S. Federal Income Tax
Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent
Coupons” in the accompanying prospectus supplement. Our special tax
counsel, Davis Polk & Wardwell LLP, has advised that it
believes this treatment to be reasonable, but that there are other
reasonable treatments that the Internal Revenue Service (the “IRS”)
or a court may adopt.
Sale, exchange
or redemption of a Note. Assuming the treatment described above is
respected, upon a sale or exchange of the Notes (including
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 the Notes
(assuming Contingent Coupon payments are properly treated as
ordinary income, consistent with the position referred to above).
This gain or loss should be long-term capital gain or loss if you
hold the Notes for more than one year, whether or not you are an
initial purchaser of the Notes at the issue price. The
deductibility of capital losses is subject to limitations. If you
sell your Notes between the time your right to a Contingent Coupon
payment is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the
Contingent Coupon payment. Although uncertain, it is possible that
proceeds received from the sale or exchange of your Notes prior to
an Observation Date but that can be attributed to an expected
Contingent Coupon payment could be treated as ordinary income. You
should consult your tax advisor regarding this issue.
As noted
above, there are other reasonable treatments that the IRS or a
court may adopt, in which case the timing and character of any
income or loss on the Notes could be materially affected. In
addition, in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to
these instruments and the relevance of factors such as the nature
of the underlying property to which the instruments are linked.
While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could
materially affect the tax consequences of an investment in the
Notes, possibly with retroactive effect. You should consult your
tax advisor regarding the U.S. federal income tax consequences of
an investment in the Notes, including possible alternative
treatments and the issues presented by this notice.
Non-U.S.
holders. Insofar as we have responsibility as a withholding agent,
we do not currently intend to treat Contingent Coupon payments to
non-U.S. holders (as defined in the accompanying prospectus
supplement) as subject to U.S. withholding tax. However, non-U.S.
holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish
an exemption from backup withholding, as described under the
heading “—Information Reporting and Backup Withholding” in the
accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect
to amounts withheld.
Treasury regulations under
Section 871(m) generally impose a withholding tax on
certain “dividend equivalents” under certain “equity linked
instruments.” A recent IRS notice excludes from the scope of
Section 871(m) instruments issued prior to
January 1, 2021 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 will 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.
PS-16
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-17
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