|
The information in this preliminary pricing supplement is not
complete and may be changed. This preliminary pricing supplement
and the accompanying prospectus, prospectus supplement, prospectus
supplement addendum and underlying supplement do not constitute an
offer to sell the securities and we are not soliciting an offer to
buy the securities in any state where the offer or sale is not
permitted.
Subject to Completion. Dated March 10, 2022
|
 |
March 2022
Registration Statement No. 333-232144
Pricing Supplement dated March , 2022
Filed pursuant to Rule 424(b)(2)
|
Structured
Investments
Opportunities in International Equities
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Unlike conventional debt securities, the securities do not
guarantee the payment of interest or any return of principal at
maturity. Instead, the securities offer the opportunity for
investors to receive a contingent quarterly payment equal to at
least 1.625% of the stated principal amount (the actual contingent
quarterly payment will be determined on the pricing date) with
respect to each quarterly determination date on which the closing
level of the underlier is greater than or equal to 50% of the
initial underlier value, which we refer to as the downside
threshold level. However, if on any determination date the closing
level of the underlier is less than the downside threshold level,
investors will not receive any contingent quarterly payment for the
related quarterly period. In addition, on any contingent payment
date (other than the final contingent payment date), we will
have the right to redeem the securities at our discretion for
an amount per security equal to the stated principal amount
plus any contingent quarterly payment otherwise due. Any
early redemption of the securities will be at our discretion and
will not automatically occur based on the performance of the
underlier. If the securities are not redeemed prior to maturity and
the final underlier value is greater than or equal to the downside
threshold level, the payment at maturity due on the securities will
be equal to the stated principal amount plus the contingent
quarterly payment otherwise due. However, if the securities are not
redeemed prior to maturity and the final underlier value is less
than the downside threshold level, at maturity investors will lose
1% of the stated principal amount for every 1% that the final
underlier value is less than the initial underlier value. Under
these circumstances, the amount investors receive will be less than
50% of the stated principal amount and could be zero. The
securities are for investors who are willing and able to risk their
principal and forgo guaranteed interest payments, in exchange for
the opportunity to receive contingent quarterly payments at a
potentially above-market rate, subject to early redemption at our
discretion. Investors will not participate in any appreciation of
the underlier even though investors will be exposed to the
depreciation in the value of the underlier if the securities have
not been redeemed prior to maturity and the final underlier value
is less than the downside threshold level. Investors may lose their entire
initial investment in the securities. The securities are unsecured
and unsubordinated debt obligations of Barclays Bank PLC. Any
payment on the securities, including any repayment of principal, is
subject to the creditworthiness of Barclays Bank PLC and is not
guaranteed by any third party. If Barclays Bank PLC were to default
on its payment obligations or become subject to the exercise of any
U.K. Bail-in Power (as described on page 5 of this document) by the
relevant U.K. resolution authority, you might not receive any
amounts owed to you under the securities. See “Risk Factors” and
“Consent to U.K. Bail-in Power” in this document and “Risk Factors”
in the accompanying prospectus supplement.
|
SUMMARY
TERMS |
|
|
Issuer: |
Barclays Bank PLC |
|
Reference asset*: |
EURO STOXX 50® Index (Bloomberg ticker
symbol “SX5E <Index>”) (the “underlier”) |
|
Aggregate principal amount: |
$ |
|
Stated principal amount: |
$1,000 per security |
|
Pricing date†: |
March
18, 2022 |
|
Original issue date†: |
March
23, 2022 |
|
Maturity
date†: |
March 21, 2024 |
|
Optional early
redemption: |
On
any contingent payment date (other than the final contingent
payment date), we will have the right to redeem the securities, in
whole, but not in part, at our discretion, for the early redemption
payment. If we decide to redeem the securities on a contingent
payment date, we will give you notice on or before the immediately
preceding determination date. Any early redemption of the
securities will be at our discretion and will not automatically
occur based on the performance of the underlier. No further
payments will be made on the securities after they have been
redeemed. |
|
Early redemption payment: |
The early redemption payment will be an amount
per security equal to (i) the stated principal amount plus (ii) any
contingent quarterly payment otherwise due. |
|
Contingent quarterly
payment: |
· If, on any
determination date, the closing level of the underlier is
greater than or equal to the downside threshold level, we
will pay a contingent quarterly payment of at least $16.25 (at
least 1.625% of the stated principal amount) per security on the
related contingent payment date. The actual contingent quarterly
payment will be determined on the pricing date.
· If, on any
determination date, the closing level of the underlier is less
than the downside threshold level, no contingent quarterly
payment will be made with respect to that determination
date.
|
|
Payment at maturity: |
If the securities are not redeemed prior to maturity, you will
receive on the maturity date a cash payment per security determined
as follows:
· If
the final underlier value is greater than or equal to the
downside threshold level:
(i) stated principal amount plus (ii) the contingent
quarterly payment otherwise due
· If
the final underlier value is less than the downside
threshold level:
stated principal amount × underlier performance factor
Under these circumstances, the payment at maturity will be
less than the stated principal amount of $1,000 and will represent
a loss of more than 50%, and possibly all, of an investor’s initial
investment. Investors may lose their entire initial investment in
the securities. Any payment on the securities, 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 by the relevant U.K.
resolution authority.
|
|
U.K. Bail-in Power
acknowledgment: |
Notwithstanding and to the exclusion of any other
term of the securities or any other agreements, arrangements or
understandings between Barclays Bank PLC and any holder or
beneficial owner of the securities, by acquiring the securities,
each holder and beneficial owner of the securities 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 5 of this
document. |
|
Downside threshold level: |
, which
is equal to 50% of the initial underlier value (rounded to three
decimal places) |
|
Initial underlier value: |
, which
is the closing level of the underlier on the pricing
date |
|
Final underlier value: |
The closing level of the underlier on the final
determination date |
|
Underlier performance
factor: |
final underlier value / initial underlier
value |
|
|
(terms continued on the next
page) |
|
Commissions and initial issue
price: |
Initial issue
price(1) |
Price to
public(1) |
Agent’s commissions |
Proceeds to issuer |
|
Per security |
$1,000 |
$1,000 |
$10.00(2)
$5.00(3)
|
$985.00 |
|
Total |
$ |
$ |
$ |
$ |
| (1) |
Our estimated value of the securities on the pricing date,
based on our internal pricing models, is expected to be between
$952.30 and $972.30 per security. The estimated value is expected
to be less than the initial issue price of the securities. See
“Additional Information Regarding Our Estimated Value of the
Securities” on page 4 of this document. |
|
(2) |
Morgan Stanley Wealth Management and its financial advisors
will collectively receive from the agent, Barclays Capital Inc., a
fixed sales commission of $10.00 for each security they sell. See
“Supplemental Plan of Distribution” in this document. |
|
(3) |
Reflects a structuring fee payable to Morgan Stanley Wealth
Management by the agent or its affiliates of $5.00 for each
security. |
One or more of our affiliates may purchase up to 15% of the
aggregate principal amount of the securities and hold such
securities for investment for a period of at least 30 days.
Accordingly, the total principal amount of the securities may
include a portion that was not purchased by investors on the
original issue date. Any unsold portion held by our affiliate(s)
may affect the supply of securities available for secondary trading
and, therefore, could adversely affect the price of the securities
in the secondary market. Circumstances may occur in which our
interests or those of our affiliates could be in conflict with your
interests.
Investing in the securities involves risks not associated with
an investment in conventional debt securities. See “Risk Factors”
beginning on page 13 of this document and beginning on page S-7 of
the prospectus supplement. You should read this document together
with the related prospectus, prospectus supplement, prospectus
supplement addendum and underlying supplement, each of which can be
accessed via the hyperlinks below, before you make an investment
decision.
The securities 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 the
securities or determined that this document is truthful or
complete. Any representation to the contrary is a criminal
offense.
The securities constitute
our unsecured and unsubordinated obligations. The securities 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.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
| Terms continued from previous
page: |
|
Determination dates†: |
June
20, 2022, September 19, 2022, December 19, 2022, March 20, 2023,
June 19, 2023, September 18, 2023, December 18, 2023 and March 18,
2024. We also refer to March 18, 2024 as the final determination
date. |
| Contingent
payment dates†: |
June
23, 2022, September 22, 2022, December 22, 2022, March 23, 2023,
June 22, 2023, September 21, 2023, December 21, 2023 and the
maturity date |
|
Closing level*: |
Closing
level has the meaning set forth under “Reference
Assets—Indices—Special Calculation Provisions” in the prospectus
supplement. |
|
Additional terms: |
Terms
used in this document, but not defined herein, will have the
meanings ascribed to them in the prospectus supplement. |
|
CUSIP / ISIN: |
06748XL74
/ US06748XL742 |
|
Listing: |
The
securities will not be listed on any securities
exchange. |
|
Selected dealer: |
Morgan
Stanley Wealth Management (“MSWM”) |
|
* |
If the
underlier is discontinued or if the sponsor of the underlier fails
to publish the underlier, the calculation agent may select a
successor index or, if no successor index is available, will
calculate the value to be used as the closing level of the
underlier. In addition, the calculation agent will calculate the
value to be used as the closing level of the underlier in the event
of certain changes in or modifications to the underlier. For more
information, see “Reference Assets—Indices—Adjustments Relating to
Securities with an Index as a Reference Asset” in the accompanying
prospectus supplement. |
|
† |
Expected. In the event that we make any change to
the pricing date or the original issue date, the determination
dates, the contingent payment dates and/or the maturity date may be
changed so that the stated term of the securities remains the same.
Each determination date may be postponed if that determination date
is not a scheduled trading day or if a market disruption event
occurs on that determination date as described under “Reference
Assets—Indices—Market Disruption Events for Securities with an
Index of Equity Securities as a Reference Asset” in the
accompanying prospectus supplement. In addition, a contingent
payment date and/or the maturity date will be postponed if that day
is not a business day or if the relevant determination date is
postponed as described under “Terms of the Notes—Payment Dates” in
the accompanying prospectus supplement. |
|
Barclays Capital
Inc. |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Additional Terms of the Securities
You should read this document
together with the prospectus dated August 1, 2019, as supplemented
by the prospectus supplement dated August 1, 2019 relating to our
Global Medium-Term Notes, Series A, of which the securities are a
part, the prospectus supplement addendum dated February 18, 2021
and the underlying supplement dated August 1, 2019. This document,
together with the documents listed below, contains the terms of the
securities and supersedes all prior or contemporaneous oral
statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully
consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement, as the securities 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 securities.
You may access these
documents on the SEC website at www.sec.gov as follows (or if such
address has changed, by reviewing our filings for the relevant date
on the SEC website):
Our SEC file number is
1-10257 and our Central Index Key, or CIK, on the SEC website is
0000312070. As used in this document, “we,” “us” and “our” refer to
Barclays Bank PLC.
In connection with this
offering, Morgan Stanley Wealth Management is acting in its
capacity as a selected dealer.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Additional Information Regarding Our Estimated Value of the
Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or
may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which
are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our
existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary
market. Our estimated value on the pricing date is based on our
internal funding rates. Our estimated value of the securities might
be lower if such valuation were based on the levels at which our
benchmark debt securities trade in the secondary market.
Our estimated value of the securities on the pricing date is
expected to be less than the initial issue price of the securities.
The difference between the initial issue price of the securities
and our estimated value of the securities is expected to result
from several factors, including any sales commissions expected to
be paid to Barclays Capital Inc. or another affiliate of ours, any
selling concessions, discounts, commissions or fees expected to be
allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in
connection with structuring the securities, the estimated cost that
we may incur in hedging our obligations under the securities, and
estimated development and other costs that we may incur in
connection with the securities. These other costs will include a
fee paid to LFT Securities, LLC, an entity in which an affiliate of
Morgan Stanley Wealth Management has an ownership interest, for
providing certain electronic platform services with respect to this
offering.
Our estimated value on the pricing date is not a prediction of the
price at which the securities may trade in the secondary market,
nor will it be the price at which Barclays Capital Inc. may buy or
sell the securities 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 securities in
the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the
pricing date, the price at which Barclays Capital Inc. may
initially buy or sell the securities in the secondary market, if
any, and the value that we may initially use for customer account
statements, if we provide any customer account statements at all,
may exceed our estimated value on the pricing date for a temporary
period expected to be approximately 40 days after the initial issue
date of the securities because, in our discretion, we may elect to
effectively reimburse to investors a portion of the estimated cost
of hedging our obligations under the securities and other costs in
connection with the securities that we will no longer expect to
incur over the term of the securities. 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
securities and/or any agreement we may have with the distributors
of the securities. The amount of our estimated costs that we
effectively reimburse to investors in this way may not be allocated
ratably throughout the reimbursement period, and we may discontinue
such reimbursement at any time or revise the duration of the
reimbursement period after the initial issue date of the securities
based on changes in market conditions and other factors that cannot
be predicted.
We urge you to read “Risk Factors” beginning on page 13 of this
document.
You may revoke your offer to
purchase the securities at any time prior to the pricing date. We
reserve the right to change the terms of, or reject any offer to
purchase, the securities prior to their pricing date. In the event
of any changes to the terms of the securities, 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.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Consent to U.K.
Bail-in Power
Notwithstanding and to the
exclusion of any other term of the securities or any other
agreements, arrangements or understandings between us and any
holder or beneficial owner of the securities, by acquiring the
securities, each holder and beneficial owner of the securities
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 securities; (ii)
the conversion of all, or a portion, of the principal amount of,
interest on, or any other amounts payable on, the securities 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 securities such shares,
securities or obligations); (iii) the cancellation of the
securities and/or (iv) the amendment or alteration of the maturity
of the securities, or amendment of the amount of interest or any
other amounts due on the securities, 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 securities
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 securities further acknowledges and agrees
that the rights of the holders or beneficial owners of the
securities 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 securities 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 “Risk Factors—Risks Relating to the Issuer—You may lose
some or all of your investment if any U.K. bail-in power is
exercised by the relevant U.K. resolution authority” in this
document as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event
a bank or investment firm in the Group is failing or likely to fail
could materially adversely affect the value of the securities” and
“Risk Factors—Risks Relating to the Securities Generally—Under the
terms of the securities, you have agreed to be bound by the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority” in the accompanying prospectus
supplement.
The preceding discussion
supersedes the discussion in the accompanying prospectus and
prospectus supplement to the extent it is inconsistent
therewith.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Investment Summary
Contingent Income Callable Securities
Principal at Risk Securities
The Contingent Income Callable Securities due March 21, 2024 Based
on the Value of the EURO STOXX 50® Index, which we refer
to as the securities, provide an opportunity for investors to
receive a contingent quarterly payment, which is an amount equal to
at least $16.25 (at least 1.625% of the stated principal amount),
with respect to each quarterly determination date on which the
closing level of the underlier is greater than or equal to 50% of
the initial underlier value, which we refer to as the downside
threshold level. However, if the closing level of the underlier is
less than the downside threshold level on a determination date,
investors will not receive any contingent quarterly payment for
that determination date. The actual contingent quarterly payment
will be determined on the pricing date. The closing level of the
underlier could be below the downside threshold level on most or
all of the determination dates so that you receive few or no
contingent quarterly payments over the term of the securities.
On any contingent payment date (other than the final contingent
payment date), we will have the right to redeem the securities
at our discretion for an early redemption payment equal to the
stated principal amount plus any contingent quarterly
payment otherwise due. If the securities are redeemed prior to
maturity, investors will receive no further contingent quarterly
payments. Any early redemption of the securities will be at our
discretion and will not automatically occur based on the
performance of the underlier. At maturity, if the securities have
not previously been redeemed and the final underlier value is
greater than or equal to the downside threshold level, the payment
at maturity will be equal to the stated principal amount
plus the contingent quarterly payment otherwise due.
However, if the securities have not previously been redeemed and
the final underlier value is less than the downside threshold
level, investors will lose 1% of the stated principal amount for
every 1% that the final underlier value is less than the initial
underlier value. Under these circumstances, the amount investors
receive will be less than 50% of the stated principal amount and
could be zero. Investors in the securities must be willing and able
to accept the risk of losing their entire initial investment and
also the risk of not receiving any contingent quarterly payment
throughout the entire term of the securities. In addition,
investors will not participate in any appreciation of the
underlier.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Key Investment Rationale
The securities are for investors who are willing and able to risk
their principal and forgo guaranteed interest payments, in exchange
for the opportunity to receive contingent quarterly payments at a
potentially above-market rate, subject to early redemption at our
discretion. The securities offer investors an opportunity to
receive a contingent quarterly payment of at least $16.25 (at least
1.625% of the stated principal amount) with respect to each
determination date on which the closing level of the underlier is
greater than or equal to the downside threshold level. The actual
contingent quarterly payment will be determined on the pricing
date. In addition, the following scenarios reflect the potential
payment on the securities, if any, upon an early redemption or at
maturity:
|
Scenario 1 |
On any contingent payment date (other than the final contingent
payment date), we redeem the securities.
§
The
securities will be redeemed for (i) the stated principal amount
plus (ii) any contingent quarterly payment otherwise
due.
§
Investors
will not participate in any appreciation of the underlier from the
initial underlier value and will receive no further contingent
quarterly payments.
Any early redemption of the securities will be at our discretion
and will not automatically occur based on the performance of the
underlier. It is more likely that we will redeem the securities
when it would otherwise be advantageous for you to continue to hold
the securities. As such, we will be more likely to redeem the
securities when the expected interest payable on the securities is
greater than the interest that would be payable on other
instruments of a comparable maturity and credit rating trading in
the market. In other words, we will be more likely to redeem the
securities when the securities are paying an above-market coupon.
If the securities are redeemed prior to maturity, no further
contingent quarterly payments will be made on the securities and
you may be forced to reinvest in a lower interest rate environment.
There is no guarantee that you would be able to reinvest the
proceeds from an investment in the securities in a comparable
investment with a similar level of risk in the event the securities
are redeemed prior to the maturity date. On the other hand, we will
be less likely to exercise our redemption right when the expected
interest payable on the securities is less than the interest that
would be payable on other instruments of a comparable maturity and
credit rating trading in the market. Under these circumstances, it
is also more likely that you will receive few or no contingent
quarterly payments and that you will suffer a significant loss on
your investment at maturity.
|
|
Scenario 2 |
The securities are not redeemed prior to maturity and the final
underlier value is greater than or equal to the downside
threshold level.
§
The
payment due at maturity will be (i) the stated principal amount
plus (ii) the contingent quarterly payment otherwise
due.
§ Investors
will not participate in any appreciation of the underlier from the
initial underlier value.
|
|
Scenario 3 |
The securities are not redeemed prior to maturity and the final
underlier value is less than the downside threshold
level.
§
The
payment due at maturity will be equal to the stated principal
amount times the underlier performance factor. In this case,
at maturity, the securities pay less than 50% of the stated
principal amount and the percentage loss of the stated principal
amount will be equal to the percentage decrease in the final
underlier value from the initial underlier value. For example,
if the final underlier value is 55% less than the initial underlier
value, the securities will pay $450.00 per security, or 45% of the
stated principal amount, for a loss of 55% of the stated principal
amount. Investors will lose a significant portion and may
lose all of their principal in this scenario.
|
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Selected Purchase
Considerations
The
securities are not suitable for all investors. The securities
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. |
|
§ |
You do not anticipate that the final underlier value will be less
than the downside threshold level on the final determination date,
and you are willing and able to accept the risk that, if it is, you
will lose a significant portion or all of the stated principal
amount. |
|
§ |
You do not anticipate that the closing level of the underlier will
be less than the downside threshold level on any determination
date, and you are willing and able to accept the risk that, if it
is, you may receive few or no contingent quarterly payments over
the term of the securities. |
|
§ |
You are willing and able to forgo participation in any appreciation
of the underlier, and you understand that any return on your
investment will be limited to the contingent quarterly payments
that may be payable on the securities. |
|
§ |
You are willing and able to accept the risks associated with an
investment linked to the performance of the underlier, as explained
in more detail in the “Risk Factors” section of this
document. |
|
§ |
You understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of the
securities composing the underlier, nor will you have any voting
rights with respect to the securities composing the
underlier. |
|
§ |
You are willing and able to accept the risk that we may redeem the
securities at our discretion prior to scheduled maturity, that it
is more likely that we will redeem the securities when it would
otherwise be advantageous for you to continue to hold the
securities and that you may not be able to reinvest your money in
an alternative investment with comparable risk and
yield. |
|
§ |
You do not seek an investment for which there will be an active
secondary market and you are willing and able to hold the
securities to maturity if the securities are not redeemed at our
discretion. |
|
§ |
You are willing and able to assume our credit risk for all payments
on the securities. |
|
§ |
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
securities 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. |
|
§ |
You seek an investment that provides for the full repayment of
principal at maturity. |
|
§ |
You anticipate that the final underlier value will be less than the
downside threshold level on the final determination date, or you
are unwilling or unable to accept the risk that, if it is, you will
lose a significant portion or all of the stated principal
amount. |
|
§ |
You anticipate that the closing level of the underlier will be less
than the downside threshold level on one or more determination
dates, or you are unwilling or unable to accept the risk that, if
it is, you may receive few or no contingent quarterly payments over
the term of the securities. |
|
§ |
You seek exposure to any upside performance of the underlier or you
seek an investment with a return that is not limited to the
contingent quarterly payments that may be payable on the
securities. |
|
§ |
You are unwilling or unable to accept the risks associated with an
investment linked to the performance of the underlier, as explained
in more detail in the “Risk Factors” section of this
document. |
|
§ |
You seek an investment that entitles you to dividends or
distributions on, or voting rights related to, the securities
composing the underlier. |
|
§ |
You are unwilling or unable to accept the risk that we may redeem
the securities at our discretion prior to scheduled
maturity. |
|
§ |
You seek an investment for which there will be an active secondary
market and/or you are unwilling or unable to hold the securities to
maturity if they are not redeemed at our discretion. |
|
§ |
You are unwilling or unable to assume our credit risk for all
payments on the securities. |
|
§ |
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
securities. You should reach a decision whether to invest
in the securities after carefully considering, with your advisors,
the suitability of the securities in light of your investment
objectives and the specific information set forth in this document,
the prospectus, the prospectus supplement, the prospectus
supplement addendum and the underlying supplement. Neither the
issuer nor Barclays Capital Inc. makes any recommendation as to the
suitability of the securities for investment.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on whether we exercise our option to redeem
the securities and on the closing level of the underlier on the
determination dates.
Diagram #1: Contingent Payment Dates Prior to the Maturity Date
Diagram #2: Payment at Maturity If Not
Redeemed Early at Our Option
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see
“Hypothetical Examples” below.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Hypothetical Examples
The numbers appearing in the following examples may have been
rounded for ease of analysis. The examples below assume that the
securities will be held until maturity or earlier redemption and do
not take into account the tax consequences of an investment in the
securities. The examples below are based on the following
terms:*
|
Hypothetical Initial Underlier
Value: |
100.00 |
|
Hypothetical Downside Threshold
Level: |
50.000,
which is 50% of the hypothetical initial underlier
value |
|
Hypothetical Contingent Quarterly
Payment: |
$16.25
(1.625% of the stated principal amount). The actual contingent
quarterly payment will be set on the pricing date and will be at
least 1.625% of the stated principal amount. |
|
Stated Principal Amount: |
$1,000
per security |
*
Terms used for purposes of these hypothetical examples may not
represent the actual initial underlier value, downside threshold
level or contingent quarterly payment applicable to the securities.
In particular, the hypothetical initial underlier value of 100.00
used in these examples has been chosen for illustrative purposes
only and may not represent a likely actual initial underlier value.
Please see “EURO STOXX 50® Index Overview” below for
recent actual values of the underlier. The actual initial underlier
value, downside threshold level and contingent quarterly payment
applicable to the securities will be determined on the pricing
date.
In Examples 1 and 2, we redeem the securities on one of the
contingent payment dates prior to the final contingent payment
date. In Examples 3 and 4, the securities are not redeemed prior
to, and remain outstanding until, maturity. Any early redemption of
the securities will be at our discretion and will not automatically
occur based on the performance of the underlier.
|
|
Example
1 |
Example
2 |
Determination
Dates |
Hypothetical
Closing Level |
Contingent
Quarterly Payment (per security) |
Early
Redemption Payment (per
security) |
Hypothetical
Closing Level |
Contingent
Quarterly Payment (per security) |
Early
Redemption
Payment (per security) |
|
#1 |
40.00 |
$0 |
N/A |
110.00 |
$16.25 |
N/A |
|
#2 |
125.00 |
—* |
$1,016.25 |
25.00 |
$0 |
N/A |
|
#3 |
N/A |
N/A |
N/A |
40.00 |
$0 |
N/A |
|
#4 |
N/A |
N/A |
N/A |
43.00 |
$0 |
N/A |
|
#5 |
N/A |
N/A |
N/A |
90.00 |
$16.25 |
N/A |
|
#6 |
N/A |
N/A |
N/A |
85.00 |
$16.25 |
N/A |
|
#7 |
N/A |
N/A |
N/A |
45.00 |
$0 |
$1,000.00 |
|
Final
Determination Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
|
Payment
at Maturity |
N/A |
N/A |
*
If we redeem the securities, the early redemption payment will
include any contingent quarterly payment otherwise due.
In Example 1, we redeem the securities on the contingent payment
date following the second determination date. As the closing level
of the underlier on the second determination date is greater than
or equal to the downside threshold level, the early redemption
payment you receive following the second determination date will
include the contingent quarterly payment due with respect to that
determination date, and the early redemption payment will be
calculated as follows:
stated principal amount +
contingent quarterly payment = $1,000 + $16.25 = $1,016.25
In this example, the optional early redemption feature limits
the term of your investment to approximately 6 months and you may
not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent
quarterly payments. Further, although the underlier has appreciated
by 25% from the initial underlier value as of the second
determination date, upon early redemption, you receive only
$1,016.25 per security and do not benefit from such
appreciation.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
In Example 2, we redeem the securities on the contingent payment
date following the seventh determination date. As the closing
levels of the underlier on the first, fifth and sixth determination
dates are greater than or equal to the downside threshold level,
you receive the contingent quarterly payment of $16.25 with respect
to those determination dates. However, because the closing level of
the underlier is below the downside threshold level on the seventh
determination date, the early redemption payment you receive
following the seventh determination date will not include any
contingent quarterly payment with respect to that determination
date, and the early redemption payment will be equal to the stated
principal amount of $1,000.00.
In this example, the optional early redemption feature limits
the term of your investment to approximately 21 months and you may
not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent
quarterly payments.
|
|
Example
3 |
Example
4 |
Determination
Dates |
Hypothetical
Closing Level |
Contingent
Quarterly Payment (per security) |
Early
Redemption Payment (per
security) |
Hypothetical
Closing Level |
Contingent
Quarterly Payment (per security) |
Early
Redemption
Payment (per security) |
|
#1 |
40.00 |
$0 |
N/A |
20.00 |
$0 |
N/A |
|
#2 |
42.00 |
$0 |
N/A |
35.00 |
$0 |
N/A |
|
#3 |
35.00 |
$0 |
N/A |
32.50 |
$0 |
N/A |
|
#4 |
30.00 |
$0 |
N/A |
40.00 |
$0 |
N/A |
|
#5 |
45.00 |
$0 |
N/A |
43.00 |
$0 |
N/A |
|
#6 |
40.00 |
$0 |
N/A |
35.00 |
$0 |
N/A |
|
#7 |
45.00 |
$0 |
N/A |
40.00 |
$0 |
N/A |
|
Final
Determination Date |
40.00 |
$0 |
N/A |
60.00 |
—* |
N/A |
|
Payment
at Maturity |
$400.00 |
$1,016.25 |
*
The final contingent quarterly payment, if any, will be paid at
maturity.
Examples 3 and 4 illustrate the payment at maturity per security
based on the final underlier value.
In Example 3, the securities are not redeemed prior to maturity and
the closing level of the underlier is below the downside threshold
level on each determination date throughout the term of the
securities. As a result, you do not receive any contingent
quarterly payments during the term of the securities. In addition,
because the final underlier value is less than the downside
threshold level, at maturity, you are fully exposed to the decline
in the closing level of the underlier. Thus, investors will receive
a cash payment at maturity that is significantly less than the
stated principal amount per security, calculated as follows:
($1,000 × underlier
performance factor)
= $1,000 × (final underlier
value / initial underlier value)
= $1,000 × (40.00 / 100.00) =
$400.00
In this example, the cash payment you receive at maturity is
significantly less than the stated principal amount.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
In Example 4, the securities are not redeemed prior to maturity and
the closing level of the underlier is below the downside threshold
level on each of the
determination dates prior to the final determination date. As a
result, you do not receive any contingent quarterly payments
following those determination dates. In addition, the closing level
of the underlier decreases to a final underlier value of 60.00.
Although the final underlier value is less than the initial
underlier value, because the final underlier value is still not
less than the downside threshold level, you receive the stated
principal amount plus the contingent quarterly payment
otherwise due. Your payment at maturity is calculated as
follows:
$1,000 + $16.25 = $1,016.25
In this example, although the final underlier value represents a
decline of 40% from the initial underlier value, you receive the
stated principal amount per security plus the contingent quarterly
payment otherwise due, equal to a total payment of $1,016.25 per
security at maturity.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Risk Factors
An investment in the securities involves significant risks. We
urge you to consult your investment, legal, tax, accounting and
other advisors before you invest in the securities. Investing in
the securities is not equivalent to investing directly in the
underlier or the securities composing the underlier. Some of the
risks that apply to an investment in the securities are summarized
below, but we urge you to read the more detailed explanation of
risks relating to the securities generally in the “Risk Factors”
section of the prospectus supplement. You should not purchase the
securities unless you understand and can bear the risks of
investing in the securities.
Risks Relating to the Securities Generally
|
§ |
The
securities do not guarantee the return of any principal. The
terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of
any of the stated principal amount at maturity. Instead, if the
securities have not been redeemed prior to maturity and if the
final underlier value is less than the downside threshold level,
you will be exposed to the decline in the closing level of the
underlier, as compared to the initial underlier value, on a 1-to-1
basis and you will receive for each security that you hold at
maturity an amount in cash equal to the stated principal amount
times the underlier performance factor. Under these
circumstances, your payment at maturity will be less than 50% of
the stated principal amount and could be zero. |
|
§ |
You
will not receive any contingent quarterly payment for any quarterly
period where the closing level of the underlier on the applicable
determination date is less than the downside threshold level.
The terms of the securities differ from those of ordinary debt
securities in that they do not provide for regular interest
payments. Instead, a contingent quarterly payment will be made with
respect to a quarterly period only if the closing level of the
underlier is greater than or equal to the downside threshold level
on the related determination date. If the closing level of the
underlier is below the downside threshold level on any
determination date, you will not receive a contingent quarterly
payment for the related quarterly period. The closing level of the
underlier could be below the downside threshold level on most or
all of the determination dates so that you receive few or no
contingent quarterly payments over the term of the securities. If
you do not receive sufficient contingent quarterly payments over
the term of the securities, the overall return on the securities
may be less than the amount that would be paid on a conventional
debt security of the issuer of comparable maturity. |
|
§ |
You
will not participate in any appreciation in the value of the
underlier. You will not participate in any appreciation in the
value of the underlier from the initial underlier value even though
you will be exposed to the depreciation in the value of the
underlier if the securities have not been redeemed prior to
maturity and the final underlier value is less than the downside
threshold level. The return on the securities will be limited to
the contingent quarterly payment that is paid with respect to each
determination date on which the closing level of the underlier is
greater than or equal to the downside threshold level. |
|
§ |
Early
redemption risk. The term of your investment in the securities
may be limited to as short as approximately three months by the
optional early redemption feature of the securities. Any early
redemption of the securities will be at our discretion and will not
automatically occur based on the performance of the underlier. It
is more likely that we will redeem the securities when it would
otherwise be advantageous for you to continue to hold the
securities. As such, we will be more likely to redeem the
securities when the expected interest payable on the securities is
greater than the interest that would be payable on other
instruments of a comparable maturity and credit rating trading in
the market. In other words, we will be more likely to redeem the
securities when the securities are paying an above-market coupon.
If the securities are redeemed prior to maturity, no further
contingent quarterly payments will be made on the securities and
you may be forced to reinvest in a lower interest rate environment.
There is no guarantee that you would be able to reinvest the
proceeds from an investment in the securities in a comparable
investment with a similar level of risk in the event the securities
are redeemed prior to the maturity date. On the other hand, we will
be less likely to exercise our redemption right when the expected
interest payable on the securities is less than the interest that
would be payable on other instruments of a comparable maturity and
credit rating trading in the market. Under these circumstances, it
is also more likely that you will receive few or no contingent
quarterly payments and that you will suffer a significant loss on
your investment at maturity. |
|
§ |
Any
payment on the securities will be determined based on the closing
levels of the underlier on the dates specified. Any payment on
the securities will be determined based on the closing levels of
the underlier on the dates specified. You will not benefit from any
more favorable value of the underlier determined at any other
time. |
|
§ |
Contingent
repayment of principal applies only at maturity. You should be
willing and able to hold the securities to maturity. If you sell
the securities prior to maturity in the secondary market, if any,
you may have to sell the securities at a loss relative to your
initial investment even if the level of the underlier is above the
downside threshold level. |
|
§ |
The
securities are subject to volatility risk. Volatility is a
measure of the degree of variation in the level of the underlier
over a period of time. The contingent quarterly payment is
determined based on a number of factors, including the expected
volatility of the underlier. The contingent quarterly payment 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 be
if the level of expected volatility of the underlier taken into
account in determining the terms of the securities were lower. As
volatility of the underlier increases, there will typically be a
greater likelihood |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
that (a) the closing level of the underlier will be less than the
downside threshold level on one or more determination dates and (b)
the final underlier value will be less than the downside threshold
level.
Accordingly, you should understand that a higher contingent
quarterly payment reflects, among other things, an indication of a
greater likelihood that you will (a) not receive contingent
quarterly payments with respect to one or more determination dates
and/or (b) incur a loss of principal at maturity than would have
been the case had the contingent quarterly payment been lower. In
addition, actual volatility over the term of the securities may be
significantly higher than the expected volatility at the time the
terms of the securities were determined. If actual volatility is
higher than expected, you will face an even greater risk that you
will not receive contingent quarterly payments and/or that you will
lose a significant portion or all of your principal at maturity for
the reasons described above.
|
§ |
Investing
in the securities is not equivalent to investing in the underlier
or the securities composing the underlier. Investors in the
securities will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect
to the securities composing the underlier. |
|
§ |
Tax
treatment. Significant aspects of the tax treatment of the
securities are uncertain. You should consult your tax advisor about
your tax situation. See “Additional provisions—Tax considerations”
below. |
Risks Relating to the Issuer
|
§ |
Credit
of issuer. The securities 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 securities, 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 securities and, in the event Barclays Bank PLC were to
default on its obligations, you might not receive any amount owed
to you under the terms of the securities. |
|
§ |
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
securities or any other agreements, arrangements or understandings
between Barclays Bank PLC and any holder or beneficial owner of the
securities, by acquiring the securities, each holder and beneficial
owner of the securities 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 document. 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 securities losing all or
a part of the value of your investment in the securities or
receiving a different security from the securities, which may be
worth significantly less than the securities and which may have
significantly fewer protections than those typically afforded to
debt securities. Moreover, the relevant U.K. resolution authority
may exercise the U.K. Bail-in Power without providing any advance
notice to, or requiring the consent of, the holders and beneficial
owners of the securities. The exercise of any U.K. Bail-in Power by
the relevant U.K. resolution authority with respect to the
securities 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 securities. See “Consent to U.K.
Bail-in Power” in this document 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 Underlier
|
§ |
Adjustments to the underlier
could adversely affect the value of the securities. The sponsor
of the underlier may add, delete, substitute or adjust the
securities composing the underlier or make other methodological
changes to the underlier that could affect its performance. The
calculation agent will calculate the value to be used as the
closing level of the underlier in the event of certain material
changes in or modifications to the underlier. In addition, the
sponsor of the underlier may also discontinue or suspend
calculation or publication of the underlier at any time. Under
these circumstances, the calculation agent may select a successor
index that the calculation agent determines to be comparable to the
underlier or, if no successor index is available, the calculation
agent will determine the value to be used as the closing level of
the underlier. Any of these actions could adversely affect the
value of the underlier and, consequently, the value of the
securities. See “Reference Assets—Indices—Adjustments Relating to
Securities with an Index as a Reference Asset” in the accompanying
prospectus supplement. |
|
§ |
Governmental
legislative or regulatory actions, such as sanctions, could
adversely affect your investment in the securities.
Governmental legislative or regulatory actions, including, without
limitation, sanctions-related actions by the U.S. or a foreign
government, could prohibit or otherwise restrict persons from
holding the securities or securities included in the underlier, or
engaging in transactions in them, and any such action could
adversely affect the value of the underlier. These legislative or
regulatory actions could result in restrictions on the securities.
You may lose a significant portion or all of your initial
investment in the securities if you are forced to divest the
securities due to government mandates, especially if such
divestment must be made at a time when the value of the securities
has declined. |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
|
§ |
There
are risks associated with investments in securities linked to the
value of non-U.S. equity securities. The equity securities
composing the underlier 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 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
securities do not provide direct exposure to fluctuations in
exchange rates between the U.S. dollar and the euro. The
underlier is composed of non-U.S. securities denominated in euros.
Because the level of the underlier is also calculated in euros (and
not in U.S. dollars), the performance of the underlier will not be
adjusted for exchange rate fluctuations between the U.S. dollar and
the euro. In addition, any payments on the securities determined
based on the performance of the underlier will not be adjusted for
exchange rate fluctuations between the U.S. dollar and the euro.
Therefore, holders of the securities will not benefit from any
appreciation of the euro relative to the U.S. dollar. |
Risks Relating to Conflicts of Interest
|
§ |
Hedging
and trading activity by the issuer and its affiliates could
potentially adversely affect the value of the securities.
Hedging or trading activities of the issuer’s affiliates and of any
other hedging counterparty with respect to the securities could
adversely affect the value of the underlier and, as a result, could
decrease the amount an investor may receive on the securities at
maturity, if any. Any of these hedging or trading activities on or
prior to the pricing date could potentially increase the initial
underlier value and, as a result, the downside threshold level,
which is the level at or above which the underlier must close on
each determination date in order for you to receive a contingent
quarterly payment or, if the securities are not redeemed prior to
maturity, in order for you to avoid being exposed to the negative
performance of the underlier at maturity. Additionally, such
hedging or trading activities during the term of the securities
could potentially affect the value of the underlier on the
determination dates and, accordingly, whether investors will
receive one or more contingent quarterly payments and, if the
securities are not redeemed prior to maturity, the payment at
maturity, if any. |
|
§ |
We and our affiliates, and any dealer participating in the
distribution of the securities, may engage in various activities or
make determinations that could materially affect your securities in
various ways and create conflicts of interest. We and our
affiliates play a variety of roles in connection with the issuance
of the securities, as described below. In performing these roles,
our and our affiliates’ economic interests are potentially adverse
to your interests as an investor in the securities. |
In connection with our normal
business activities and in connection with hedging our obligations
under the securities, 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 underlier or its components. In any such
market making, trading and hedging activity, investment banking and
other financial services, we or our affiliates may take positions
or take actions that are inconsistent with, or adverse to, the
investment objectives of the holders of the securities. We and our
affiliates have no obligation to take the needs of any buyer,
seller or holder of the securities 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 securities.
In addition, the role played
by Barclays Capital Inc., as the agent for the securities, could
present significant conflicts of interest with the role of Barclays
Bank PLC, as issuer of the securities. For example, Barclays
Capital Inc. or its representatives may derive compensation or financial benefit from
the distribution of the securities and such compensation or
financial benefit may serve as an incentive to sell the securities
instead of other investments. Furthermore, we and our affiliates
establish the offering price of the securities for initial sale to
the public, and the offering price is not based upon any
independent verification or valuation.
Furthermore, the selected
dealer or its affiliates will have the option to conduct a material
portion of the hedging activities for us in connection with the
securities. The selected dealer or its affiliates would expect to
realize a projected profit from such hedging activities, and this
projected profit would be in addition to any selling concession
that the selected dealer realizes for the sale of the securities to
you. This additional projected profit may create a further
incentive for the selected dealer to sell the securities to
you.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
In addition to the activities
described above, we will also act as the calculation agent for the
securities. As calculation agent, we will determine any values of
the underlier and make any other determinations necessary to
calculate any payments on the securities. In making these
determinations, we may be required to make discretionary judgments,
including determining whether a market disruption event has occurred on
any date that the value of the underlier is to be determined; if
the underlier is discontinued or if the sponsor of the underlier
fails to publish the underlier, selecting a successor index or, if
no successor index is available, determining any value necessary to
calculate any payments on the securities; and calculating the value
of the underlier on any date of determination in the event of
certain changes in or modifications to the underlier. In making
these discretionary judgments, our economic interests are
potentially adverse to your interests as an investor in the
securities, and any of these determinations may adversely affect
any payments on the securities.
Risks Relating to the Estimated Value of the Securities and the
Secondary Market
|
§ |
The
securities will not be listed on any securities exchange, and
secondary trading may be limited. Barclays Capital Inc. and
other affiliates of Barclays Bank PLC intend to offer to purchase
the securities in the secondary market but are not required to do
so and may cease any such market making activities at any time,
without notice. Even if a secondary market develops, it may not
provide enough liquidity to allow you to trade or sell the
securities easily. Because other dealers are not likely to make a
secondary market for the securities, the price, if any, at which
you may be able to trade your securities 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 securities. In
addition, Barclays Capital Inc. or one or more of our other
affiliates may at any time hold an unsold portion of the securities
(as described on the cover page of this document), which may
inhibit the development of a secondary market for the securities.
The securities are not designed to be short-term trading
instruments. Accordingly, you should be willing and able to hold
your securities to maturity. |
|
§ |
The
market price of the securities will be influenced by many
unpredictable factors. Several factors will influence the value
of the securities in the secondary market and the price at which
Barclays Capital Inc. and other affiliates of Barclays Bank PLC may
be willing to purchase or sell the securities in the secondary
market. Although we expect that generally the value of the
underlier on any day will affect the value of the securities more
than any other single factor, other factors that may influence the
value of the securities include: |
|
o |
the volatility (frequency and magnitude of changes in value) of
the underlier; |
|
o |
whether the closing level has been, or is expected to be, below
the downside threshold level on any determination date; |
|
o |
dividend rates on the securities composing the underlier; |
|
o |
interest and yield rates in the market; |
|
o |
time remaining until the securities mature; |
|
o |
supply and demand for the securities; |
|
o |
geopolitical conditions and economic, financial, political,
regulatory and judicial events that affect the securities composing
the underlier and that may affect the final underlier value; |
|
o |
the exchange rate of the U.S. dollar relative to the euro;
and |
|
o |
any actual or anticipated changes in our credit ratings or
credit spreads. |
The value of the underlier may be, and has recently been, volatile,
and we can give you no assurance that the volatility will lessen.
See “EURO STOXX 50® Index Overview” below. You may
receive less, and possibly significantly less, than the stated
principal amount per security if you try to sell your securities
prior to maturity.
|
§ |
The
estimated value of your securities is expected to be lower than the
initial issue price of your securities. The estimated value of
your securities on the pricing date is expected to be lower, and
may be significantly lower, than the initial issue price of your
securities. The difference between the initial issue price of your
securities and the estimated value of the securities is expected as
a result of certain factors, such as any sales commissions expected
to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees expected to
be allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in
connection with structuring the securities, the estimated cost that
we may incur in hedging our obligations under the securities, and
estimated development and other costs that we may incur in
connection with the securities. These other costs will include a
fee paid to LFT Securities, LLC, an entity in which an affiliate of
Morgan Stanley Wealth Management has an ownership interest, for
providing certain electronic platform services with respect to this
offering. |
|
§ |
The
estimated value of your securities 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 securities
on the pricing date is based on a number of variables, including
our internal funding rates. Our internal funding rates may vary
from the levels at which our benchmark debt securities trade in the
secondary market. As a result of this difference, the estimated
values referenced above might be lower if such estimated values
were based on the levels at which our benchmark debt securities
trade in the secondary market. |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
|
§ |
The
estimated value of the securities 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 securities on the pricing date is based on
our internal pricing models, which take into account a number of
variables and are based on a number of subjective assumptions,
which may or may not materialize. These variables and assumptions
are not evaluated or verified on an independent basis. Further, our
pricing models may be different from other financial institutions’
pricing models and the methodologies used by us to estimate the
value of the securities may not be consistent with those of other
financial institutions that may be purchasers or sellers of
securities in the secondary market. As a result, the secondary
market price of your securities may be materially different from
the estimated value of the securities determined by reference to
our internal pricing models. |
|
§ |
The
estimated value of your securities is not a prediction of the
prices at which you may sell your securities in the secondary
market, if any, and such secondary market prices, if any, will
likely be lower than the initial issue price of your securities and
may be lower than the estimated value of your securities. The
estimated value of the securities 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 securities 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 securities 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 securities. Further, as secondary market prices of your
securities 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 securities such as fees,
commissions, discounts, and the costs of hedging our obligations
under the securities, secondary market prices of your securities
will likely be lower than the initial issue price of your
securities. As a result, the price at which Barclays Capital Inc.,
other affiliates of ours or third parties may be willing to
purchase the securities from you in secondary market transactions,
if any, will likely be lower than the price you paid for your
securities, 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 securities 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
securities. Assuming that all relevant factors remain constant
after the pricing date, the price at which Barclays Capital Inc.
may initially buy or sell the securities in the secondary market
(if Barclays Capital Inc. makes a market in the securities, 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 securities
on the pricing date, as well as the secondary market value of the
securities, for a temporary period after the initial issue date of
the securities. The price at which Barclays Capital Inc. may
initially buy or sell the securities 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
securities. |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
EURO STOXX 50® Index Overview
The underlier is a free-float market-capitalization weighted index
composed of 50 of the largest stocks in terms of free-float market
capitalization traded on the major Eurozone exchanges. For more
information about the underlier, see “Indices—The STOXX Benchmark
Indices” in the accompanying underlying supplement, as supplemented
by the following. Following a reclassification, the 20 ICB
supersectors are automobiles & parts; banks; basic resources;
chemicals; construction & materials; consumer products &
services; energy; financial services; food, beverage & tobacco;
health care; industrial goods & services; insurance; media;
personal care, drug & grocery stores; real estate; retail;
technology; telecommunications; travel & leisure; and
utilities. Effective with the September 2020 review, the selection
list for the underlier includes the top 60% of the free-float
market capitalization of each of the 20 EURO STOXX®
Supersector indices based on the reclassified ICB supersectors, as
well as all current component stocks of the underlier.
Information about the underlier as of market close on March 8,
2022:
|
Bloomberg Ticker Symbol: |
SX5E |
52 Week High: |
4,401.49 |
|
Current Closing Level: |
3,505.29 |
52 Week Low: |
3,505.29 |
|
52 Weeks Ago (3/9/2021): |
3,786.05 |
|
|
The following table sets forth the published high, low and
period-end closing levels of the underlier for each quarter for the
period of January 2, 2017 through March 8, 2022. The associated
graph shows the closing levels of the underlier for each day in the
same period. The closing level of the underlier on March 8, 2022
was 3,505.29. We obtained the closing levels of the underlier from
Bloomberg Professional® service, without independent
verification. Historical performance of the underlier should not be
taken as an indication of future performance. Future performance of
the underlier may differ significantly from historical performance,
and no assurance can be given as to the closing level of the
underlier during the term of the securities, including on any of
the determination dates. We cannot give you assurance that the
performance of the underlier will not result in a loss on your
initial investment.
|
EURO STOXX 50® Index |
High |
Low |
Period End |
|
2017 |
|
|
|
| First
Quarter |
3,500.93 |
3,230.68 |
3,500.93 |
| Second
Quarter |
3,658.79 |
3,409.78 |
3,441.88 |
| Third
Quarter |
3,594.85 |
3,388.22 |
3,594.85 |
| Fourth
Quarter |
3,697.40 |
3,503.96 |
3,503.96 |
|
2018 |
|
|
|
| First
Quarter |
3,672.29 |
3,278.72 |
3,361.50 |
| Second
Quarter |
3,592.18 |
3,340.35 |
3,395.60 |
| Third
Quarter |
3,527.18 |
3,293.36 |
3,399.20 |
| Fourth
Quarter |
3,414.16 |
2,937.36 |
3,001.42 |
|
2019 |
|
|
|
| First
Quarter |
3,409.00 |
2,954.66 |
3,351.71 |
| Second
Quarter |
3,514.62 |
3,280.43 |
3,473.69 |
| Third
Quarter |
3,571.39 |
3,282.78 |
3,569.45 |
| Fourth
Quarter |
3,782.27 |
3,413.31 |
3,745.15 |
|
2020 |
|
|
|
| First
Quarter |
3,865.18 |
2,385.82 |
2,786.90 |
| Second
Quarter |
3,384.29 |
2,662.99 |
3,234.07 |
| Third
Quarter |
3,405.35 |
3,137.06 |
3,193.61 |
| Fourth
Quarter |
3,581.37 |
2,958.21 |
3,552.64 |
|
2021 |
|
|
|
| First
Quarter |
3,926.20 |
3,481.44 |
3,919.21 |
| Second
Quarter |
4,158.14 |
3,924.80 |
4,064.30 |
| Third
Quarter |
4,246.13 |
3,928.53 |
4,048.08 |
| Fourth
Quarter |
4,401.49 |
3,996.41 |
4,298.41 |
|
2022 |
|
|
|
|
First
Quarter (through March 8, 2022) |
4,392.15 |
3,505.29 |
3,505.29 |
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Underlier Historical Performance*
January 2, 2017 to March 8, 2022 |
 |
| * The
dotted line indicates a hypothetical downside threshold level of
50% of the closing level of the underlier on March 8, 2022. The
actual downside threshold level will be equal to 50% of the initial
underlier value. |
Past performance is
not indicative of future results.
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the
cover page of this document.
|
Additional provisions: |
|
|
Minimum ticketing size: |
$1,000
/ 1 security |
| 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 securities for U.S. federal income tax purposes as
prepaid forward contracts with associated contingent coupons and
(ii) any contingent quarterly 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 security. Assuming the
treatment described above is respected, upon a sale or exchange of
the securities (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 securities, which should equal the amount you
paid to acquire the securities (assuming contingent quarterly
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 securities 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 securities at the issue price. The deductibility
of capital losses is subject to limitations. If you sell your
securities between the time your right to a contingent quarterly
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 quarterly payment. Although uncertain, it is possible
that proceeds received from the sale or exchange of your securities
prior to a determination date but that can be attributed to an
expected contingent quarterly 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 securities 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 securities,
possibly with retroactive effect. You should consult your tax
advisor regarding the U.S. federal income tax consequences of an
investment in the securities, 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
quarterly 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 securities do not have a “delta of one”
within the meaning of the regulations, we expect that these
regulations will not apply to the securities with regard to
non-U.S. holders. Our determination is not binding on the IRS, and
the
|
Contingent Income Callable Securities due March 21, 2024
Based on the Value of the EURO STOXX 50®
Index
Principal at Risk Securities
| |
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
securities. You should consult your tax advisor regarding the
potential application of Section 871(m) to the securities. |
|
Trustee: |
The
Bank of New York Mellon |
|
Calculation agent: |
Barclays
Bank PLC |
|
Use of proceeds and hedging: |
The net proceeds we receive from the sale of the
securities will be used for various corporate purposes as set
forth in the prospectus and prospectus supplement and, in part, in
connection with hedging our obligations under the
securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge our anticipated
exposure in connection with the securities by taking positions in
futures and options contracts on the underlier and any other
securities or instruments we may wish to use in connection
with such hedging. Trading and other transactions by us or our
affiliates could affect the value of the underlier, the market
value of the securities or any amounts payable on the
securities. For further information on our use of proceeds and
hedging, see “Use of Proceeds and Hedging” in the prospectus
supplement.
|
|
ERISA: |
See
“Benefit Plan Investor Considerations” in the accompanying
prospectus supplement. |
This document represents a summary of the terms and conditions
of the securities. We encourage you to read the accompanying
prospectus, prospectus supplement, prospectus supplement addendum
and underlying supplement for this offering, which can be accessed
via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth
Management”) and its financial advisors will collectively receive
from the agent, Barclays Capital Inc., a fixed sales commission for
each security they sell, and Morgan Stanley Wealth Management will
receive a structuring fee for each security, in each case as
specified on the cover page of this document.
Prohibition of Sales to UK Retail Investors
The securities 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”); (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 securities or
otherwise making them available to retail investors in the United
Kingdom has been prepared and therefore offering or selling the
securities 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 securities 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 securities or otherwise making them
available to retail investors in the European Economic Area has
been prepared and therefore offering or selling the securities 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 and prospectus supplement to the extent it
is inconsistent therewith.
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