The information in this preliminary pricing supplement is not
complete and may be changed. This preliminary pricing supplement
and the accompanying prospectus, prospectus supplement, underlying
supplement and prospectus supplement addendum do not constitute an
offer to sell these Notes, and we are not soliciting an offer to
buy these Notes in any state where the offer or sale is not
permitted.
Subject to Completion
Preliminary Pricing Supplement dated January 14,
2022
Preliminary
Pricing Supplement
(To the
Prospectus dated August 1, 2019, the Prospectus Supplement dated
August 1, 2019, the
Underlying Supplement dated August 1, 2019 and the Prospectus
Supplement Addendum dated
February 18, 2021)
|
Filed
Pursuant to Rule 424(b)(2)
Registration
No. 333—232144
|
|
$[●]
Callable
Contingent Coupon Notes due January 29, 2025
Linked
to the Least Performing of the Russell 2000®
Index, the Nasdaq-100 Index® and the
iShares® Silver
Trust
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:
|
January
24, 2022
|
Issue
Date:
|
January
27, 2022
|
Final
Valuation Date:*
|
January
24, 2025
|
Maturity
Date:*
|
January
29, 2025
|
Reference
Assets:
|
The
Russell 2000® Index (the “RTY Index”), the Nasdaq-100
Index® (the “NDX Index”) and the
iShares® Silver Trust (the “SLV Fund”), as set
forth in the following table:
The RTY
Index and the NDX Index are each referred to herein as an “Index”
and, collectively, as the “Indices”. The Indices and the SLV Fund
are each referred to herein as a “Reference Asset” and,
collectively, as the “Reference Assets.”
|
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-4 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
and to the exclusion of any other term of the Notes or any other
agreements, arrangements or understandings between Barclays Bank
PLC and any holder or beneficial owner of the Notes, by acquiring
the Notes, each holder and beneficial owner of the Notes
acknowledges, accepts, agrees to be bound by, and consents to the
exercise of, any U.K. Bail-in Power by the relevant U.K. resolution
authority. See “Consent to
U.K. Bail-in Power” on page PS-4 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
|
100.00%
|
1.00%
|
99.00%
|
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
$990.00 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 $933.60
and $963.60 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—5 of this pricing supplement.
|
(3)
|
Barclays
Capital Inc. will receive commissions from the Issuer of up to
$10.00 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-12 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
|
|
Early
Redemption at the Option of the Issuer:
|
The
Notes cannot be redeemed for the first six months after the Issue
Date. We may redeem the Notes (in whole but not in part) at our
sole discretion without your consent at the Redemption Price set
forth below on any Call Valuation Date. No further amounts will be
payable on the Notes after they have been redeemed.
|
Contingent
Coupon:
|
$8.54167
per $1,000 principal amount Note, which is 0.854167% of the
principal amount per Note (rounded to six decimal places, as
applicable) (based on 10.25% 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
24th calendar day of each month during the term of the
Notes, beginning in February 2022, 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 during the term of the Notes, beginning in July 2022 and
ending in and including December 2024. If we exercise our early
redemption option on a Call Valuation Date, we will provide written
notice to the trustee on such Call Valuation Date.
|
Call
Settlement Date:*
|
The
Contingent Coupon Payment Date following the Call Valuation Date on
which we exercise our early redemption option
|
Initial
Value:
|
With
respect to each Reference Asset, the Closing Value on the Initial
Valuation Date, as set forth in the table above
|
Coupon
Barrier Value:
|
With
respect to each Reference Asset, 70.00% 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
|
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, the performance of such Reference
Asset from its Initial Value to its Final Value, 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:
|
All
references in this pricing supplement to the Closing Value of the
RTY Index and the NDX Index mean the closing level of the RTY Index
and the NDX Index, as further described under “Reference
Assets—Indices—Special Calculation Provisions” in the prospectus
supplement and all references in this pricing supplement to the
Closing Value of the SLV Fund mean the closing price of one share
of the SLV Fund, as further described under “Reference
Assets—Exchange-Traded Funds—Special Calculation Provisions” in the
prospectus supplement, rounded to two decimal places (if
applicable).
|
Calculation
Agent:
|
Barclays
Bank PLC
|
CUSIP /
ISIN:
|
06748X5Y3
/ US06748X5Y30
|
* Subject
to postponement, as described under “Additional Terms of the Notes”
in this pricing supplement
PS—2
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 documents listed
below, 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:
|
●
|
Prospectus
Supplement dated August 1, 2019:
|
●
|
Underlying
Supplement dated August 1, 2019:
|
●
|
Prospectus
Supplement Addendum dated February 18, 2021:
|
Our SEC
file number is 1—10257. As used in this pricing supplement, “we,”
“us” or “our” refers to Barclays Bank PLC.
PS—3
CONSENT
TO U.K. BAIL-IN POWER
Notwithstanding
and to the exclusion of any other term of the Notes or any other
agreements, arrangements or understandings between us and
any holder or beneficial owner of the Notes, by
acquiring the Notes, each holder and beneficial owner of the Notes
acknowledges, accepts, agrees to be bound by, and consents to the
exercise of, any U.K. Bail-in Power by the relevant U.K. resolution
authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution
authority may exercise a U.K. Bail-in Power in circumstances in
which the relevant U.K. resolution authority is satisfied that the
resolution conditions are met. These conditions include that a U.K.
bank or investment firm is failing or is likely to fail to satisfy
the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated
activities (within the meaning of section 55B FSMA) or, in the
case of a U.K. banking group company that is a European Economic
Area (“EEA”) or third country institution or investment firm, that
the relevant EEA or third country relevant authority is satisfied
that the resolution conditions are met in respect of that
entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer,
modification and/or suspension power, which allows for (i) the
reduction or cancellation of all, or a portion, of the principal
amount of, interest on, or any other amounts payable on, the Notes;
(ii) the conversion of all, or a portion, of the principal amount
of, interest on, or any other amounts payable on, the Notes into
shares or other securities or other obligations of Barclays Bank
PLC or another person (and the issue to, or conferral on, the
holder or beneficial owner of the Notes such shares, securities or
obligations); (iii) the cancellation of the Notes and/or (iv) the
amendment or alteration of the maturity of the Notes, or amendment
of the amount of interest or any other amounts due on the Notes, or
the dates on which interest or any other amounts become payable,
including by suspending payment for a temporary period; which U.K.
Bail-in Power may be exercised by means of a variation of the terms
of the Notes solely to give effect to the exercise by the relevant
U.K. resolution authority of such U.K. Bail-in Power. Each holder
and beneficial owner of the Notes further acknowledges and agrees
that the rights of the holders or beneficial owners of the Notes
are subject to, and will be varied, if necessary, solely to give
effect to, the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority. For the avoidance of doubt, this consent
and acknowledgment is not a waiver of any rights holders or
beneficial owners of the Notes may have at law if and to the
extent that any U.K. Bail-in Power is exercised by the relevant
U.K. resolution authority in breach of laws applicable in
England.
For
more information, please see “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.
The
preceding discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent
therewith.
PS—4
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.
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—5
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 any 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 any 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
the 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 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.
|
●
|
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.
|
PS—6
●
|
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.
PS—7
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—Exchange-Traded Funds—Market
Disruption Events for Securities with an Exchange-Traded Fund
that Holds 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” and “Reference
Assets—Exchange-Traded Funds—Adjustments Relating to Securities
with an Exchange-Traded Fund as a Reference Asset” in the
accompanying prospectus supplement.
PS—8
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: 70.00 (70.00% of the
hypothetical Initial Value set forth above)*
|
* The
hypothetical Initial Value of 100.00 and the
hypothetical Coupon Barrier Value of 70.00 for
each Reference Asset have been chosen for illustrative purposes
only and do not represent a likely Initial Value or Coupon Barrier
Value 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 for each
Reference Asset will be equal to 70.00% 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
|
RTY
Index
|
100.00
|
NDX
Index
|
75.00
|
SLV
Fund
|
$80.00
|
Because
the Closing Value of each Reference Asset is greater than its
respective Coupon Barrier Value, you will receive a Contingent
Coupon of $8.54167 (0.854167% 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
|
RTY
Index
|
80.00
|
NDX
Index
|
69.00
|
SLV
Fund
|
$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.
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
|
RTY
Index
|
68.00
|
NDX
Index
|
50.00
|
SLV
Fund
|
$45.00
|
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 the Notes.
PS—9
HYPOTHETICAL
EXAMPLES OF AMOUNTS PAYABLE AT MATURITY
The
following table illustrates the hypothetical payment at maturity
under various circumstances. The examples set forth below are
purely hypothetical and are provided for illustrative purposes
only. 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: 70.00 (70.00% 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 70.00 and the
hypothetical Barrier Value of 60.00 for each
Reference Asset have been chosen for illustrative purposes only and
do not represent a likely Initial Value, Coupon Barrier Value or
Barrier Value 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
Barrier Value for each Reference Asset will be equal to 70.00% 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
|
|
|
RTY
Index
(Reference
Asset A)
|
NDX
Index
(Reference
Asset B)
|
SLV
Fund
(Reference
Asset C)
|
|
RTY
Index
(Reference
Asset A)
|
NDX
Index
(Reference
Asset B)
|
SLV
Fund
(Reference
Asset C)
|
|
Reference
Asset Return of the Least Performing Reference
Asset
|
Payment
at Maturity**
|
140.00
|
145.00
|
$150.00
|
|
40.00%
|
45.00%
|
50.00%
|
|
40.00%
|
$1,000.00
|
135.00
|
130.00
|
$140.00
|
|
35.00%
|
30.00%
|
40.00%
|
|
30.00%
|
$1,000.00
|
120.00
|
125.00
|
$122.00
|
|
20.00%
|
25.00%
|
22.00%
|
|
20.00%
|
$1,000.00
|
112.00
|
110.00
|
$115.00
|
|
12.00%
|
10.00%
|
15.00%
|
|
10.00%
|
$1,000.00
|
100.00
|
105.00
|
$120.00
|
|
0.00%
|
5.00%
|
20.00%
|
|
0.00%
|
$1,000.00
|
140.00
|
90.00
|
$105.00
|
|
40.00%
|
-10.00%
|
5.00%
|
|
-10.00%
|
$1,000.00
|
80.00
|
102.00
|
$105.00
|
|
-20.00%
|
2.00%
|
5.00%
|
|
-20.00%
|
$1,000.00
|
70.00
|
105.00
|
$115.00
|
|
-30.00%
|
5.00%
|
15.00%
|
|
-30.00%
|
$1,000.00
|
70.00
|
65.00
|
$60.00
|
|
-30.00%
|
-35.00%
|
-40.00%
|
|
-40.00%
|
$1,000.00
|
135.00
|
50.00
|
$110.00
|
|
35.00%
|
-50.00%
|
10.00%
|
|
-50.00%
|
$500.00
|
150.00
|
40.00
|
$100.00
|
|
50.00%
|
-60.00%
|
0.00%
|
|
-60.00%
|
$400.00
|
40.00
|
30.00
|
$90.00
|
|
-60.00%
|
-70.00%
|
-10.00%
|
|
-70.00%
|
$300.00
|
20.00
|
55.00
|
$50.00
|
|
-80.00%
|
-45.00%
|
-50.00%
|
|
-80.00%
|
$200.00
|
50.00
|
10.00
|
$55.00
|
|
-50.00%
|
-90.00%
|
-45.00%
|
|
-90.00%
|
$100.00
|
0.00
|
105.00
|
$80.00
|
|
-100.00%
|
5.00%
|
-20.00%
|
|
-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 Reference Asset A is 135.00, the Final
Value of Reference Asset B is 130.00 and the Final Value of
Reference Asset C is $140.00.
Because
Reference Asset B has the lowest Reference Asset Return, Reference
Asset B 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).
PS—10
Example
2: The Final Value of Reference Asset A is 140.00, the Final Value
of Reference Asset B is 90.00 and the Final Value of
Reference Asset C is $105.00.
Because
Reference Asset B has the lowest Reference Asset Return, Reference
Asset B 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 Reference Asset A is 70.00, the
Final Value of Reference Asset B is 65.00 and the Final Value of
Reference Asset C is $60.00.
Because
Reference Asset C has the lowest Reference Asset Return, Reference
Asset C 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.
Example
4: The Final Value of Reference Asset A is 135.00, the Final Value
of Reference Asset B is 50.00 and the Final Value of Reference
Asset C is $110.00.
Because
Reference Asset B has the lowest Reference Asset Return, Reference
Asset B 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
4 demonstrates 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—11
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, if any. Some of the risks that apply to
an investment in the Notes are summarized below, but we urge you to
read the more detailed explanation of risks relating to the Notes
generally in the “Risk Factors” section of the prospectus
supplement. You should not purchase the Notes unless you understand
and can bear the risks of investing in the Notes.
Risks
Relating to the Notes Generally
●
|
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.
|
PS—12
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 amount of such 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 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 of this pricing supplement, the
Notes may be redeemed prior to maturity, as described above, and
the holding period over which you may receive any coupon payments
that may be payable under the Notes could be as short as
approximately six months.
|
The
Redemption Price that you would 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.
It is
more likely that we will redeem the Notes at our sole discretion
prior to maturity to the extent that the expected interest payable
on the Notes is greater than the interest that would be payable on
other instruments issued by us of comparable maturity, terms and
credit rating trading in the market. We are less likely to redeem
the Notes prior to maturity when the expected interest payable on
the Notes is less than the interest that would be payable on other
comparable instruments issued by us, which includes when the value
of any Reference Asset is less than its Coupon Barrier Value.
Therefore, the Notes are more likely to remain outstanding when the
expected interest payable on the Notes is less than what would be
payable on other comparable instruments and when your risk of not
receiving a Contingent Coupon is relatively higher.
●
|
Any
Payment on the Notes Will Be Determined Based on the Closing Values
of the Reference Assets on the Dates Specified—Any payment on
the Notes will be determined based on the Closing Values of the
Reference Assets on the dates specified. You will not benefit from
any more favorable values of the Reference Assets determined at any
other time.
|
●
|
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.
|
●
|
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.
|
●
|
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.
|
Risks
Relating to the Issuer
●
|
Credit
of Issuer—The Notes are unsecured and unsubordinated debt
obligations of the Issuer, Barclays Bank PLC, and are not, either
directly or indirectly, an obligation of any third party. Any
payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to
satisfy its obligations as they come due and is not guaranteed by
any third party. As a result, the actual and
perceived creditworthiness of Barclays Bank PLC may affect the
market value of the Notes, and in the event Barclays Bank PLC were
to default on its obligations, you 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 and to the exclusion of any other
term of the Notes or any other agreements, arrangements or
understandings between Barclays Bank PLC and any holder or
beneficial owner of the Notes, by acquiring the Notes, each holder
and beneficial owner of the Notes acknowledges, accepts, agrees to
be bound by, and consents to the exercise of, any U.K. Bail-in
Power by the relevant U.K. resolution authority as set forth under
“Consent to U.K. Bail-in Power” in this pricing supplement.
Accordingly, any U.K. Bail-in Power may be exercised in such a
manner as to result in you and other holders and beneficial owners
of the Notes losing all or a part of the value of your investment
in the Notes or receiving a different security from the Notes,
which may be worth significantly less than the Notes and which may
have significantly fewer protections than those typically afforded
to debt securities. Moreover, the relevant U.K. resolution
authority may exercise the U.K. Bail-in Power without providing any
advance notice to, or requiring the consent of, the holders and 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
|
PS—13
by the
relevant U.K. resolution authority with respect to the Notes. See
“Consent to U.K. Bail-in Power” in this pricing supplement as well
as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the
Securities Generally—Regulatory action in the event a bank or
investment firm in the Group is failing or likely to fail could
materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Risks
Relating to the Reference Assets
●
|
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.
|
●
|
Each
Index Reflects the Price Return of the Securities Composing
that Index, Not the Total Return—The return on the Notes is
based on the performance of the Indices, which reflects changes in
the market prices of the securities composing that Index. The
Indices are not "total return" indices that, in addition to
reflecting those price returns, would also reflect dividends paid
on the securities composing that Index. Accordingly, the return on
the Notes will not include such a total return
feature.
|
●
|
Adjustments
to Any Index Could Adversely Affect the Value of the
Notes—The sponsor of any Index may add, delete, substitute or
adjust the securities composing that Index or make other
methodological changes to that Index that could affect its value.
The Calculation Agent will calculate the value to be used as the
Closing Value of that Index in the event of certain material
changes in or modifications to that Index. In addition, the sponsor
of any Index may also discontinue or suspend calculation or
publication of that Index at any time. Under these circumstances,
the Calculation Agent may select a successor index that the
Calculation Agent determines to be comparable to that Index or, if
no successor index is available, the Calculation Agent will
determine the value to be used as the Closing Value of that Index.
Any of these actions could adversely affect the value of any Index
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
Notes Are Subject to Risks Associated with Non-U.S. Securities
Markets—Certain component securities of the NDX Index are
issued by non-U.S. companies in non-U.S. securities markets.
Investments in securities linked to the value of such non-U.S.
equity securities, such as the Notes, involve risks associated with
the securities markets in the home countries of the issuers of
those non-U.S. equity securities, including risks of volatility in
those markets, governmental intervention in those markets and cross
shareholdings in companies in certain countries. Also, there is
generally less publicly available information about companies in
some of these jurisdictions than there is about U.S. companies that
are subject to the reporting requirements of the SEC, and generally
non-U.S. companies are subject to accounting, auditing and
financial reporting standards and requirements and securities
trading rules different from those applicable to U.S. reporting
companies. The prices of securities in non-U.S. markets may be
affected by political, economic, financial and social factors in
those countries, or global regions, including changes in
government, economic and fiscal policies and currency exchange
laws.
|
●
|
The
Notes Are Subject to Risks Associated with Small
Capitalization Stocks—The RTY Index tracks companies that are
considered small-capitalization companies. These companies often
have greater stock price volatility, lower trading volume and less
liquidity than large-capitalization companies, and therefore
securities linked to the RTY Index may be more volatile than an
investment linked to an index with component stocks issued by
large-capitalization companies. Stock prices of
small-capitalization companies are also more vulnerable than those
of large-capitalization companies to adverse business and economic
developments. In addition, small-capitalization companies are
typically less stable financially than large-capitalization
companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel.
Small-capitalization companies are often subject to less analyst
coverage and may be in early, and less predictable, periods of
their corporate existences. Such companies tend to have smaller
revenues, less diverse product lines, smaller shares of their
product or service markets, fewer financial resources and less
competitive strengths than large-capitalization companies and are
more susceptible to adverse developments related to their
products.
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Certain
Features of Exchange-Traded Funds Will Impact the Value of the
Notes—The performance of the SLV Fund will not fully replicate
the performance of its Underlying Index (as defined below), and the
SLV Fund may hold securities not included in its Underlying Index.
The value of the SLV Fund is subject to:
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Management
Risk. This is the risk that the investment strategy for the SLV
Fund, the implementation of which is subject to a number of
constraints, may not produce the intended results. However, the SLV
Fund is not actively managed and the investment advisor of the SLV
Fund will generally not attempt to take defensive positions in
declining markets.
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Derivatives
Risk. The SLV Fund may invest in derivatives, including forward
contracts, futures contracts, options on futures contracts, options
and swaps. A derivative is a financial contract, the value of which
depends on, or is derived from, the value of an underlying asset
such as a security or an index. Compared to conventional
securities, derivatives can be more sensitive to changes in
interest rates or to sudden fluctuations in market prices, and thus
the SLV Fund’s losses, and, as a consequence, the losses on your
Notes, may be greater than if the SLV Fund invested only in
conventional securities.
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PS—14
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Transaction
costs and fees. Unlike its Underlying Index, the SLV Fund will
reflect transaction costs and fees that will reduce its performance
relative to its Underlying Index.
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Generally,
the longer the time remaining to maturity, the more the market
price of the Notes will be affected by the factors described above.
In addition, the SLV Fund may diverge significantly from the
performance of its Underlying Index due to differences in trading
hours between the SLV Fund and the securities composing its
Underlying Index or other circumstances. During periods of market
volatility, the component securities held by the SLV Fund may be
unavailable in the secondary market, market participants may be
unable to calculate accurately the intraday net asset value per
share of the SLV Fund and the liquidity of the SLV Fund may be
adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares in
the SLV Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are
willing to buy and sell shares of the SLV Fund. As a result, under
these circumstances, the market value of the SLV Fund may vary
substantially from the net asset value per share of the SLV Fund.
Because the Notes are linked to the performance of the SLV Fund and
not its Underlying Index, the return on your Notes may be less than
that of an alternative investment linked directly to its Underlying
Index.
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Adjustments
to the SLV Fund or its Underlying Index Could Adversely Affect the
Value of the Notes or Result in the Notes Being Accelerated—The
investment adviser of the SLV Fund may add, delete or substitute
the component securities held by the SLV Fund or make changes to
its investment strategy, and the sponsor of the Underlying Index
that the SLV Fund is designed to track may add, delete, substitute
or adjust the securities composing its Underlying Index or make
other methodological changes to its Underlying Index that could
affect its performance. In addition, if the shares of the SLV Fund
are delisted or if the SLV Fund is liquidated or otherwise
terminated, the Calculation Agent may select a successor fund that
the Calculation Agent determines to be comparable to the SLV Fund
or, if no successor fund is available, the Maturity Date of the
Notes will be accelerated for a payment determined by the
Calculation Agent. Any of these actions could adversely affect the
value of the SLV Fund and, consequently, the value of the
Notes. Any amount payable upon acceleration could be significantly
less than the amount(s) that would be due on the securities if they
were not accelerated. See “Reference Assets—Exchange-Traded
Funds—Adjustments Relating to Securities with an Exchange-Traded
Fund as a Reference Asset—Discontinuance of an Exchange-Traded
Fund” in the accompanying prospectus supplement.
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Anti-Dilution
Protection Is Limited, and the Calculation Agent Has Discretion to
Make Anti-Dilution Adjustments—The Calculation Agent may in its
sole discretion make adjustments affecting the amounts payable on
the Notes upon the occurrence of certain events that the
Calculation Agent determines have a diluting or concentrative
effect on the theoretical value of the shares of the SLV Fund.
However, the Calculation Agent might not make such adjustments in
response to all events that could affect the shares of the SLV
Fund. The occurrence of any such event and any adjustment made by
the Calculation Agent (or a determination by the Calculation
Agent not to make any adjustment) may adversely affect any amounts
payable on the Notes. See “Reference Assets—Exchange-Traded
Funds—Adjustments Relating to Securities with an Exchange-Traded
Fund as a Reference Asset—Anti-dilution Adjustments” in the
accompanying prospectus supplement.
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The
Notes Are Subject to Risks Associated with Silver—The SLV Fund
seeks to reflect generally the performance of the price of silver,
less The SLV Fund’s expenses and liabilities. The price of silver
is primarily affected by global demand for and supply of silver.
Silver prices can fluctuate widely and may be affected by numerous
factors. These include general economic trends, technical
developments, substitution issues and regulation, as well as
specific factors including industrial and jewelry demand,
expectations with respect to the rate of inflation, the relative
strength of the U.S. dollar (the currency in which the price of
silver is generally quoted) and other currencies, interest rates,
central bank sales, forward sales by producers, global or regional
political or economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and
Peru. The demand for and supply of silver affect silver prices, but
not necessarily in the same manner as supply and demand affect the
prices of other commodities. The supply of silver consists of a
combination of new mine production and existing stocks of bullion
and fabricated silver held by governments, public and private
financial institutions, industrial organizations and private
individuals. In addition, the price of silver has on occasion been
subject to very rapid short-term changes due to speculative
activities. From time to time, above-ground inventories of silver
may also influence the market. The major end uses for silver
include industrial applications, jewelry and silverware. It is not
possible to predict the aggregate effect of all or any combination
of these factors.
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Risks
Relating to Conflicts of Interest
●
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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.
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In
connection with our normal business activities and in connection
with hedging our obligations under the Notes, we and our affiliates
make markets in and trade various financial instruments or products
for our accounts and for the account of our clients and otherwise
provide investment banking and other financial services with
respect to these financial instruments and products. These
financial instruments and products may include securities,
derivative instruments or assets that may relate to the Reference
Assets or their components, if any. 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
PS—15
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.
Risks
Relating to the Estimated Value of the Notes and the
Secondary Market
●
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The
Estimated Value of Your Notes is Expected to be Lower
Than the Initial Issue Price of Your Notes—The estimated value
of your Notes on the 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.
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The
Estimated Value of Your Notes Might be Lower if Such
Estimated Value Were Based on the Levels at Which Our Debt
Securities Trade in the Secondary Market—The estimated value of
your Notes on the 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.
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The
Estimated Value of the Notes is Based on Our Internal Pricing
Models, Which May Prove to be Inaccurate and May be Different from
the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the 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.
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The
Estimated Value of Your Notes Is Not a Prediction of the Prices at
Which You May Sell Your Notes in the Secondary Market, if any, and
Such Secondary Market Prices, If Any, Will Likely be Lower Than the
Initial Issue Price of Your Notes and May be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes
will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to
purchase the Notes from you in secondary market transactions (if
they are willing to purchase, which they are not obligated to do).
The price at which you may be able to sell your Notes in the
secondary market at any time will be influenced by many factors
that cannot be predicted, such as market conditions, and any bid
and ask spread for similar sized trades, and may be substantially
less than our estimated value of the Notes. Further, as secondary
market prices of your Notes take into account the levels at which
our debt securities trade in the secondary market, and do not take
into account our various costs related to the Notes such as fees,
commissions, discounts, and the costs of hedging our obligations
under the Notes, secondary market prices of your Notes will likely
be lower than the initial issue price of your Notes. As a
result, the price at which Barclays Capital Inc., other affiliates
of ours or third parties may be willing to purchase the Notes from
you in secondary market transactions, if any, will likely be lower
than the price you paid for your Notes, and any sale prior to the
Maturity Date could result in a substantial loss to
you.
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The
Temporary Price at Which We May Initially Buy The Notes in the
Secondary Market And the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account
Statements At All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after
the 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.
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PS—16
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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 willing and able to hold your Notes to
maturity.
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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:
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the
market price of, dividend rate on and expected volatility of the
Reference Assets or the components of the Reference Assets, if
any;
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correlation
(or lack of correlation) of the Reference Assets;
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the
time to maturity of the Notes;
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interest
and yield rates in the market generally;
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a
variety of economic, financial, political, regulatory or judicial
events;
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supply
and demand for the Notes; and
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our
creditworthiness, including actual or anticipated downgrades in our
credit ratings.
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PS—17
INFORMATION
REGARDING THE REFERENCE ASSETS
Russell
2000® Index
The RTY
Index measures the capitalization-weighted price performance of
2,000 small-capitalization stocks and is designed to track the
performance of the small capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The
Russell Indices” in the accompanying underlying
supplement.
Historical
Performance of the RTY Index
The
graph below sets forth the historical performance of the RTY Index
based on the daily Closing Value from January 4, 2017 through
January 12, 2022. We obtained the Closing Values shown in the graph
below from Bloomberg Professional® service
(“Bloomberg”). We have not independently verified the accuracy or
completeness of the information obtained from
Bloomberg.
Historical
Performance of the Russell
2000® Index
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—18
Nasdaq-100
Index®
The NDX
Index is a modified market capitalization-weighted index of stocks
of the 100 largest non-financial companies listed on The Nasdaq
Stock Market. For more information about the NDX Index, see
“Indices—The Nasdaq-100 Index®” in the accompanying
underlying supplement.
Historical
Performance of the NDX Index
The
graph below sets forth the historical performance of the NDX Index
based on the daily Closing Value from January 4, 2017 through
January 12, 2022. 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 Nasdaq-100
Index®
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—19
iShares® Silver
Trust
We have
derived all information contained in this pricing supplement
regarding the SLV Fund from publicly available information, without
independent verification. This information reflects the policies
of, and is subject to change by, iShares® Delaware Trust Sponsor
LLC, a subsidiary of BlackRock, Inc., the sponsor of the SLV Fund.
The Bank of New York Mellon is the trustee of the SLV Fund, and
JPMorgan Chase Bank, N.A. is the custodian of the SLV Fund. The SLV
Fund trades under the ticker symbol “SLV” on NYSE Arca,
Inc.
The SLV
Fund seeks to reflect generally the performance of the price of
silver, less the SLV Fund’s expenses and liabilities. The assets of
the SLV Fund consist primarily of silver held by a custodian on
behalf of the SLV Fund. The SLV Fund issues shares in exchange for
deposits of silver and distributes silver in connection with the
redemption of shares. The shares of the SLV Fund are intended to
constitute a simple and cost-effective means of making an
investment similar to an investment in silver.
The SLV
Fund does not engage in any activity designed to derive a profit
from changes in the price of silver. The SLV Fund’s only ordinary
recurring expense is expected to be the sponsor’s fee, which is
accrued daily at an annualized rate equal to 0.50% of the net asset
value of the SLV Fund and is payable monthly in arrears. The
trustee of the SLV Fund will, when directed by the sponsor of the
SLV Fund, and, in the absence of such direction, may, in its
discretion, sell silver in such quantity and at such times as
may be necessary to permit payment of the SLV Fund sponsor’s fee
and of SLV Fund expenses or liabilities not assumed by the sponsor.
As a result of the recurring sales of silver necessary to pay the
SLV Fund sponsor’s fee and the SLV Fund expenses or liabilities not
assumed by the SLV Fund sponsor, the net asset value of the SLV
Fund will decrease over the life of the SLV Fund.
Information
provided to or filed with the SEC by the SLV Fund pursuant to the
Securities Act of 1933, as amended, and the Securities Exchange Act
of 1934, as amended, can be located by reference to SEC file
numbers 333-216971 and 001-32863, respectively, through the SEC’s
website at http://www.sec.gov. The SLV Fund is not a mutual fund or
any other type of investment company within the meaning of the
Investment Company Act of 1940, as amended, and is not subject to
regulation thereunder. The SLV Fund is not a commodity pool for
purposes of the Commodity Exchange Act of 1936, as amended,
and its sponsor is not subject to regulation by the Commodity
Futures Trading Commission as a commodity pool operator, or a
commodity trading advisor.
Historical
Performance of the SLV Fund
The
graph below sets forth the historical performance of the SLV
Fund based on the daily Closing Value from January 4, 2017
through January 12, 2022. 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 iShares® Silver
Trust
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—20
TAX
CONSIDERATIONS
You
should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax
Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion
supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In
determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and (ii) any
Contingent 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 upon early redemption or redemption at maturity), you
should recognize capital gain or loss equal to the difference
between the amount realized on the sale or exchange and your tax
basis in the Notes, which should equal the amount you paid to
acquire the Notes (assuming Contingent Coupon payments are properly
treated as ordinary income, consistent with the position referred
to above). This gain or loss should be short-term capital gain or
loss unless you hold the Notes for more than one year, in which
case the gain or loss should be long-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the
issue price. The deductibility of capital losses is subject to
limitations. If you sell your Notes between the time your right to
a Contingent Coupon 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, 2023 that do
not have a “delta of one” with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on our
determination that the Notes do not have a “delta of one” within
the meaning of the regulations, we expect that these regulations
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—21
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 this pricing
supplement. The Agent will commit to take and pay for all of the
Notes, if any are taken.
Prohibition
of sales to UK retail investors
The
Notes are not intended to be offered, sold or otherwise made
available to, and should not be offered, sold or otherwise made
available to, any retail investor in the United Kingdom (“UK”). For
these purposes, a UK retail investor means a person who is one (or
more) of: (i) a retail client, as defined in point (8) of Article 2
of Regulation (EU) No 2017/565 as it forms part of UK domestic law
by virtue of the European Union (Withdrawal) Act 2018 (as amended,
the “EUWA”); or (ii) a customer within the meaning of the
provisions of the Financial Services and Markets Act 2000 (as
amended, the “FSMA”) and any rules or regulations made under the
FSMA to implement Directive (EU) 2016/97, where that customer would
not qualify as a professional client, as defined in point (8) of
Article 2(1) of Regulation (EU) No 600/2014 as it forms part of UK
domestic law by virtue of the EUWA; or (iii) not a qualified
investor as defined in Article 2 of Regulation (EU) 2017/1129 as it
forms part of UK domestic law by virtue of the EUWA (as amended,
the “UK Prospectus Regulation”). Consequently, no key
information document required by Regulation (EU) No 1286/2014 as it
forms part of UK domestic law by virtue of the EUWA (as amended,
the “UK PRIIPs Regulation”) for offering or selling the Notes or
otherwise making them available to retail investors in the United
Kingdom has been prepared and therefore offering or selling the
Notes or otherwise making them available to any retail investor in
the United Kingdom may be unlawful under the UK PRIIPs
Regulation.
Prohibition
of sales to EEA retail investors
The
Notes are not intended to be offered, sold or otherwise made
available to, and should not be offered, sold or otherwise made
available to any retail investor in the European Economic Area
(“EEA”). For these purposes, an EEA retail investor means a person
who is one (or more) of: (i) a retail client as defined in point
(11) of Article 4(1) 2014/65/EU (as amended, “MiFID II”); (ii) a
customer within the meaning of Directive (EU) 2016/97, as amended,
where that customer would not qualify as a professional client as
defined in point (10) of Article 4(1) of MiFID II; or (iii) not a
qualified investor as defined in Regulation (EU) 2017/1129 (as
amended the “EU Prospectus Regulation”). Consequently, no key
information document required by Regulation (EU) No 1286/2014 (as
amended, the “EU PRIIPs Regulation”) for offering or selling the
Notes or otherwise making them available to Retail Investors in the
European Economic Area has been prepared and therefore offering
or selling such Notes or otherwise making them available to
any retail investor in the European Economic Area may be unlawful
under the EU PRIIPs Regulation.
The
preceding discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent
therewith.
PS—22
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