The information in this preliminary pricing supplement is not
complete and may be changed. This preliminary pricing supplement
and the accompanying prospectus, prospectus supplement and
prospectus supplement addendum do not constitute an offer to sell
the Notes and we are not soliciting an offer to buy the Notes in
any state where the offer or sale is not permitted.
Subject to Completion
Amendment Dated March 10, 2022 to the Preliminary Pricing
Supplement dated March 7, 2022
|
Pricing Supplement dated March , 2022
(To the Prospectus dated August 1, 2019, the Prospectus 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
|
 |
$●
Autocallable Contingent
Coupon Notes due due January 2, 2025
Linked to
the Performance of a Basket of Reference Assets
Global
Medium-Term Notes, Series
A
|
| |
|
|
Unlike ordinary debt securities, the Notes do not guarantee the
payment of interest or any return of principal at maturity.
Instead, as described below and subject to automatic redemption,
the Notes offer a Contingent Coupon for each Observation Date on
which the Basket Return is greater than or equal to the Coupon
Barrier Value. Investors should be willing to forgo dividend
payments and, if the Basket Return is less than the Barrier Value,
be willing to lose a significant portion or all of their investment
at maturity.
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: |
March 28, 2022 |
Final Valuation Date:† |
December 30, 2024 |
| Issue
Date: |
March 31,
2022 |
Maturity
Date:† |
January
2, 2025
|
| Reference Assets:* |
An equally weighted basket (the
“Basket”) consisting of the equity securities (each, a “Basket
Component” and together, the “Basket Components”) set forth in the
following table:
|
|
|
Basket Component |
Bloomberg Ticker |
Weight |
Initial Component
Value(1) |
| |
Common stock of American Airlines
Group Inc. |
AAL UW <Equity> |
25.00% |
$● |
| |
Common stock of JetBlue Airways
Corporation |
JBLU UW <Equity> |
25.00% |
$● |
| |
Common stock of Spirit Airlines,
Inc. |
SAVE UN <Equity> |
25.00% |
$● |
| |
Common stock of United Airlines
Holdings, Inc. |
UAL UW <Equity> |
25.00% |
$● |
| |
(1) With
respect to each Basket Component, the Closing Value of that Basket
Component on the Initial Valuation Date |
| Automatic Redemption: |
The Notes will not be
automatically redeemable for approximately the first six months
after the Issue Date. Beginning with the sixth Observation Date,
if, on any Observation Date (other than the Final Valuation Date),
the Basket Return is greater than or equal to 0%, the Notes
will be automatically redeemed and you will receive on the
immediately following Contingent Coupon Payment Date a cash payment
per $1,000 principal amount Note equal to $1,000 plus the
Contingent Coupon otherwise due. No further amounts will be payable
on the Notes after they have been automatically
redeemed. |
| Contingent Coupon: |
$8.75 per $1,000 principal amount Note (based on a rate of 10.50%
per annum or 0.875% per month)
If the Notes have not been automatically redeemed and the Basket
Return on an Observation Date is greater than or equal
to the Coupon Barrier Value, you will receive a Contingent
Coupon on the related Contingent Coupon Payment Date. If the Basket
Return on an Observation Date is less than the Coupon
Barrier Value, you will not receive a Contingent Coupon on the
related Contingent Coupon Payment Date.
|
| Payment at Maturity: |
If the Notes are not automatically redeemed, you will receive on
the Maturity Date a cash payment per $1,000 principal amount Note
determined as follows:
§ If the Final
Basket Return is greater than or equal to the Barrier
Value, you will receive a payment of $1,000 per $1,000 principal
amount Note plus the Contingent Coupon otherwise
due
§ If the Final
Basket Return is less than the Barrier Value, you will
receive an amount per $1,000 principal amount Note calculated as
follows:
$1,000 + ($1,000 × Final Basket Return)
If the Notes are not automatically redeemed and the Final
Basket Return is less than the Barrier Value, your Notes will be
fully exposed to the decline of the Basket represented by the
Basket Return and you will lose some or all of your investment 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.
See “Selected Risk Considerations” and “Consent to U.K. Bail-in
Power” in this pricing supplement and “Risk Factors” in the
accompanying prospectus supplement.
|
| Coupon Barrier Value: |
-40% |
| Barrier Value: |
-40% |
| Final
Basket Return: |
The Basket Return on the Final
Valuation Date |
| Basket Return: |
With respect to any Observation
Date, the average of the Basket Component Returns of the Basket
Components on that Observation Date |
| 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% |
3.50% |
96.50% |
| 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 $965.00 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
$900.00 and $931.50 per Note. The estimated value is expected to be
less than the initial issue price of the Notes. See “Additional
Information Regarding Our Estimated Value of the Notes” on page
PS-5 of this pricing supplement. |
|
(3) |
Barclays Capital Inc. will receive commissions from the Issuer
of up to $35.00 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-13 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 from previous page)
| Basket
Component Return: |
With respect to each Basket Component on any Observation Date, an
amount calculated as follows:
Closing Value on that Observation Date – Initial Component
Value
Initial Component Value
|
| Observation
Dates:† |
The 28th calendar day of each
month during the term of the Notes, beginning in April 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 |
| Closing Value:* |
Closing Value has the meaning
assigned to “closing price” set forth under “Reference
Assets—Equity Securities—Special Calculation Provisions” in the
prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06748XKR1 /
US06748XKR16 |
|
* |
In the case of certain corporate events related to a Basket
Component, the Calculation Agent may adjust any variable, including
but not limited to, that Basket Component and the Initial Component
Value and Closing Value of that Basket Component if the Calculation
Agent determines that the event has a diluting or concentrative
effect on the theoretical value of the shares of that Basket
Component. The Calculation Agent may accelerate the Maturity Date
upon the occurrence of certain reorganization events and additional
adjustment events. For more information, see “Reference
Assets—Equity Securities—Share Adjustments Relating to Securities
with an Equity Security as a Reference Asset” and “Reference
Assets—Baskets—Adjustments Relating to Securities Linked to a
Basket” in the accompanying prospectus supplement. |
|
† |
Each Observation Date may be postponed if that Observation Date
is not a scheduled trading day with respect to any Basket Component
or if a market disruption event occurs with respect to any Basket
Component on that Observation Date as described under “Reference
Assets—Equity Securities—Market Disruption Events for Securities
with an Equity Security as a Reference Asset” and “Reference
Assets—Baskets—Scheduled Trading Days and Market Disruption Events
for Securities Linked to a Basket of Equity Securities,
Exchange-Traded Funds and/or Indices of Equity Securities” in the
accompanying prospectus supplement. In addition, the Maturity Date
will be postponed if that day is not a business day or if the Final
Valuation Date is postponed as described under “Terms of the
Notes—Payment Dates” in the accompanying prospectus
supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE
NOTES
You should read this pricing supplement together with the
prospectus dated August 1, 2019, as supplemented by the prospectus
supplement dated August 1, 2019 relating to our Global Medium-Term
Notes, Series A, of which these Notes are a part, and the
prospectus supplement addendum dated February 18, 2021. This
pricing supplement, together with the documents listed below,
contains the terms of the Notes and supersedes all prior or
contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample
structures, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set
forth under “Risk Factors” in the prospectus supplement and
“Selected Risk Considerations” in this pricing supplement, as the
Notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax,
accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
|
· |
Prospectus dated August 1, 2019: |
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
|
· |
Prospectus Supplement dated August 1, 2019: |
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
|
· |
Prospectus Supplement Addendum dated February 18, 2021: |
http://www.sec.gov/Archives/edgar/data/312070/000095010321002483/dp146316_424b3.htm
Our SEC file number is 1–10257. As used in this pricing
supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
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—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 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 and prospectus supplement to the extent it is
inconsistent therewith.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE
NOTES
The final terms for the Notes will be determined on the date the
Notes are initially priced for sale to the public, 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
might be lower if such valuation were based on the levels at which
our benchmark debt securities trade in the secondary market.
Our estimated value of the Notes on the 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 expected to result from several
factors, including any sales commissions expected to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees expected to be allowed
or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost that we may incur in
hedging our obligations under the Notes, and estimated development
and other costs that we may incur in connection with the Notes.
Our estimated value on the 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 that we will no longer expect to incur over the term of
the Notes. We made such discretionary election and determined this
temporary reimbursement period on the basis of a number of factors,
which may include the tenor of the Notes and/or any agreement we
may have with the distributors of the Notes. The amount of our
estimated costs that we effectively reimburse to investors in this
way may not be allocated ratably throughout the reimbursement
period, and we may discontinue such reimbursement at any time or
revise the duration of the reimbursement period after the initial
Issue Date of the Notes based on changes in market conditions and
other factors that cannot be predicted.
We urge you to read the “Selected Risk
Considerations” beginning on page PS-13 of this pricing
supplement.
You may revoke your offer to purchase the Notes at any time
prior to the Initial Valuation Date. We reserve the right to
change the terms of, or reject any offer to purchase,
the Notes prior to the Initial Valuation Date. In the
event of any changes to the terms of the Notes, we will
notify you and you will be asked to accept such changes in
connection with your purchase. You may also choose to reject
such changes in which case we may reject your offer to
purchase.
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 Basket Return
is below the 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 the Basket, 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 your
principal amount, and you are willing and able to make an
investment that may have the full downside market risk of an
investment in the Basket. |
|
· |
You do not anticipate that the Basket Return will fall below
the Coupon Barrier Value on any Observation Date or below the
Barrier Value on the Final Valuation Date. |
|
· |
You understand and accept the risks that (a) the performance of
lesser performing Basket Components will mitigate the performance
of better performing Basket Components and (b) you may lose a
significant portion of your investment even if one or more Basket
Components performs positively. |
|
· |
You understand and accept the risks that (a) you will not
receive a Contingent Coupon if the Basket Return is less than the
Coupon Barrier Value on an Observation Date and (b) you will lose
some or all of your principal at maturity if the Final Basket
Return is less than the Barrier Value. |
|
· |
You understand and are willing and able to accept the risks
associated with an investment linked to the performance of the
Basket Components. |
|
· |
You understand and accept that you will not be entitled to
receive dividends or distributions that may be paid to holders of
the Basket Components, nor will you have any voting rights with
respect to the Basket Components. |
|
· |
You are willing and able to accept the risk that the Notes may
be automatically redeemed 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 that
may be similar to or exceed the downside fluctuations in the value
of the Basket. |
|
· |
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 automatically 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 Basket Return is below
the Coupon Barrier Value on one or more of the specified
Observation Dates. |
|
· |
You seek an investment that participates in the full
appreciation of the Basket rather than an investment with a return
that is limited to the Contingent Coupons, if any, paid on the
Notes. |
|
· |
You seek an investment that provides for the full repayment of
principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose some or all of the principal amount of
your Notes in the event that the Final Basket Return is below the
Barrier Value. |
|
· |
You anticipate that the Basket Return will decline during the
term of the Notes such that the Basket Return will fall below the
Coupon Barrier Value on one or more Observation Dates and/or the
Final Basket Return will fall below the Barrier Value. |
|
· |
You are unwilling or unable to accept the risks that the
performance of lesser performing Basket Components will mitigate
the performance of better performing Basket Components and that you
may lose a significant portion of your investment even if one or
more Basket Components performs positively. |
|
· |
You do not understand and/or are unwilling or unable to accept
the risks associated with an investment linked to the performance
of the Basket Components. |
|
· |
You seek an investment that entitles you to dividends or
distributions on, or voting rights related to, the Basket
Components. |
|
· |
You are unwilling or unable to accept the risk that the Notes
may be automatically redeemed. |
|
· |
You cannot tolerate fluctuations in the price of the Notes that
may be similar to or exceed the downside fluctuations in the value
of the Basket. |
|
· |
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 automatically 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, the prospectus, the
prospectus supplement and the prospectus supplement addendum.
Neither the Issuer nor Barclays Capital Inc. makes any
recommendation as to the suitability of the Notes for
investment.
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 examples set forth below are purely
hypothetical and are provided for illustrative purposes only. The
numbers appearing in the following tables and examples have been
rounded for ease of analysis. The hypothetical examples below do
not take into account any tax consequences from investing in the
Notes and make the following key assumption:
|
§ |
Hypothetical Initial Component Value of each Basket
Component: $100.00* |
|
* |
The
hypothetical Initial
Component Value of $100.00 for each Basket Component has been
chosen for illustrative purposes only and does not represent likely
actual Initial Component Values for the Basket Components. The
actual Initial Component Value for each Basket Component will be
equal to its Closing Value on the Initial Valuation
Date. |
For information regarding recent values of the Basket Components,
please see “Information Regarding the Basket Components” in this
pricing supplement.
Example 1: The Basket Return is greater than the Coupon Barrier
Value on the relevant Observation Date.
| Basket
Component |
Initial Component Value |
Closing Value
on Observation Date |
Basket Component Return on Observation Date |
|
AAL |
$100.00 |
$130.00 |
30.00% |
|
JBLU |
$100.00 |
$145.00 |
45.00% |
|
SAVE |
$100.00 |
$95.00 |
-5.00% |
|
UAL |
$100.00 |
$150.00 |
50.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the relevant Observation Date.
The Basket Component Return for each Basket Component on the
relevant Observation Valuation will be equal to the performance of
that Basket Component from its Initial Component Value to its
Closing Value on that Observation Date, calculated as follows:
Closing Value on the relevant Observation Date – Initial
Component Value
Initial Component Value
Step 2: Calculate the Basket Return on the
relevant Observation Date.
The Basket Return on the relevant Observation Date is equal to the
average of the Basket Component Returns for the Basket Components
on that Observation Date as set forth in the table above.
Accordingly, the Basket Return on the relevant Observation Date is
equal to 30.00%.
Step 3: Determine whether a Contingent Coupon
is payable.
Because the Basket Return is greater than the Coupon Barrier Value,
you will receive a Contingent Coupon of $8.75 (0.875% of the
principal amount per Note) on the related Contingent Coupon Payment
Date.
Example 2: The Basket Return is less than the Coupon Barrier
Value on the relevant Observation Date.
| Basket
Component |
Initial Component Value |
Closing Value
on Observation Date |
Basket Component Return on Observation Date |
|
AAL |
$100.00 |
$70.00 |
-30.00% |
|
JBLU |
$100.00 |
$60.00 |
-40.00% |
|
SAVE |
$100.00 |
$55.00 |
-45.00% |
|
UAL |
$100.00 |
$65.00 |
-35.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the relevant Observation Date.
The Basket Component Return for each Basket Component on the
relevant Observation Valuation will be equal to the performance of
that Basket Component from its Initial Component Value to its
Closing Value on that Observation Date, calculated as follows:
Closing Value on the relevant Observation Date – Initial
Component Value
Initial Component Value
Step 2: Calculate the Basket Return on the
relevant Observation Date.
The Basket Return on the relevant Observation Date is equal to the
average of the Basket Component Returns for the Basket Components
on that Observation Date as set forth in the table above.
Accordingly, the Basket Return on the relevant Observation Date is
equal to -37.50%.
Step 3: Determine whether a Contingent Coupon
is payable.
Because the Basket Return is less than the Coupon Barrier Value,
you will not receive a Contingent Coupon on the related Contingent
Coupon Payment Date.
Example 2 demonstrates that you may not receive a Contingent
Coupon on a Contingent Coupon Payment Date. If the Basket
Return is below the Coupon Barrier Value on each Observation
Date, you will not receive any Contingent Coupons during the
term of the Notes.
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE upon an automatic REDEMPTION
The following examples demonstrate the hypothetical total return
upon an automatic redemption under various circumstances. The
examples set forth below are purely hypothetical and are provided
for illustrative purposes only. The numbers appearing in the
following tables and examples have been rounded for ease of
analysis. The hypothetical examples below do not take into account
any tax consequences from investing in the Notes.
Example 1: The Notes are automatically redeemed on the sixth
Observation Date.
|
Observation Date |
Basket Return |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
|
1 |
10.00% |
N/A |
N/A |
|
2-5 |
Various |
N/A |
N/A |
|
6 |
15.00% |
Yes |
$1,008.75 |
Because the Basket Return on the sixth Observation Date (which is
six months after the Issue Date and is the first Observation Date
on which the Notes may be automatically redeemed) is greater than
or equal to 0%, the Notes are automatically redeemed on the
immediately following Contingent Coupon Payment Date. You will
receive on the relevant Contingent Coupon Payment Date a cash
payment of $1,008.75 per $1,000 principal amount Note, which is
equal to your principal amount plus the Contingent Coupon
otherwise due. No further amounts will be payable on the Notes
after they have been automatically redeemed.
Example 2: The Notes are automatically redeemed on the
thirty-second Observation Date.
|
Observation Date |
Basket Return |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
|
1 |
-20.00% |
N/A |
N/A |
|
2-5 |
Various |
N/A |
N/A |
|
6-31 |
Various (below 0%) |
No |
N/A |
|
32 |
5.00% |
Yes |
$1,008.75 |
Because the Basket Return on the thirty-second Observation Date is
greater than 0%, the Notes are automatically redeemed on the
immediately following Contingent Coupon Payment Date. You will
receive on the relevant Contingent Coupon Payment Date a cash
payment of $1,008.75 per $1,000 principal amount Note, which is
equal to your principal amount plus the Contingent Coupon
otherwise due. No further amounts will be payable on the Notes
after they have been automatically redeemed.
If the Basket Return is less than 0% on each Observation Date,
the Notes will not be automatically called and you may lose some or
all of your investment at maturity. See “Hypothetical Examples of
Amounts Payable at Maturity” below.
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 Component Value of each Basket
Component: $100.00* |
|
§ |
You hold the Notes to
maturity, and the Notes are NOT automatically
redeemed. |
|
* |
The
hypothetical Initial
Component Value of $100.00 for each Basket Component has been
chosen for illustrative purposes only and does not represent likely
actual Initial Component Values for the Basket Components. The
actual Initial Component Value for each Basket Component will be
equal to its Closing Value on the Initial Valuation
Date. |
For information regarding recent values of the Basket Components,
please see “Information Regarding the Basket Components” in this
pricing supplement.
| Final
Basket Return |
Payment at Maturity** |
|
50.00% |
$1,000.00 |
|
40.00% |
$1,000.00 |
|
30.00% |
$1,000.00 |
|
20.00% |
$1,000.00 |
|
10.00% |
$1,000.00 |
|
0.00% |
$1,000.00 |
|
-10.00% |
$1,000.00 |
|
-20.00% |
$1,000.00 |
|
-30.00% |
$1,000.00 |
|
-40.00% |
$1,000.00 |
|
-40.01% |
$599.90 |
|
-50.00% |
$500.00 |
|
-60.00% |
$400.00 |
|
-70.00% |
$300.00 |
|
-80.00% |
$200.00 |
|
-90.00% |
$100.00 |
|
-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 Basket Return is 30.00%.
| Basket
Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
|
AAL |
$100.00 |
$130.00 |
30.00% |
|
JBLU |
$100.00 |
$145.00 |
45.00% |
|
SAVE |
$100.00 |
$95.00 |
-5.00% |
|
UAL |
$100.00 |
$150.00 |
50.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component
from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date – Initial Component
Value
Initial Component Value
Step 2: Calculate the Final Basket
Return.
The Final Basket Return is equal to the average of the Basket
Component Returns for the Basket Components on the Final Valuation
Date as set forth in the table above. Accordingly, the Final Basket
Return is equal to 30.00%.
Step 3: Calculate the payment at
maturity.
Because the Final Basket Return is greater than or equal to the
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 otherwise due). Example 1 demonstrates that you
will not participate in any appreciation in the value of the
Basket. Even though the Basket appreciated significantly, the
payment at maturity is limited to $1,000 per $1,000 principal
amount Note that you hold (plus the Contingent Coupon
otherwise due).
Example 2: The Final Basket Return is -35.00%.
| Basket
Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
|
AAL |
$100.00 |
$60.00 |
-40.00% |
|
JBLU |
$100.00 |
$50.00 |
-50.00% |
|
SAVE |
$100.00 |
$110.00 |
10.00% |
|
UAL |
$100.00 |
$40.00 |
-60.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component
from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date – Initial Component
Value
Initial Component Value
Step 2: Calculate the Final Basket
Return.
The Final Basket Return is equal to the average of the Basket
Component Returns for the Basket Components on the Final Valuation
Date as set forth in the table above. Accordingly, the Final Basket
Return is equal to -35.00%.
Step 3: Calculate the payment at
maturity.
Because the Final Basket Return is greater than or equal to the
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 otherwise due).
Example 3: The Final Basket Return is -60.00%.
| Basket
Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
|
AAL |
$100.00 |
$5.00 |
-95.00% |
|
JBLU |
$100.00 |
$105.00 |
5.00% |
|
SAVE |
$100.00 |
$10.00 |
-90.00% |
|
UAL |
$100.00 |
$40.00 |
-60.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component
from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date – Initial Component
Value
Initial Component Value
Step 2: Calculate the Final Basket
Return.
The Final Basket Return is equal to the average of the Basket
Component Returns for the Basket Components on the Final Valuation
Date as set forth in the table above. Accordingly, the Final Basket
Return is equal to -60.00%.
Step 3: Calculate the payment at
maturity.
Because the Final Basket Return is less than the Barrier Value, you
will receive a payment at maturity of $400.00 per $1,000 principal
amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Final Basket Return)
$1,000 + ($1,000 × -60.00%) = $400.00
In addition, because the Final Basket Return is less than the
Coupon Barrier Value, you will not receive a Contingent Coupon on
the Maturity Date.
Example 3 demonstrates that, if the Notes are not automatically
redeemed, and if the Final Basket Return is less than the Barrier
Value, your investment in the Notes will be fully exposed to the
decline of the Basket represented by the Basket Return.
If the Notes are not automatically redeemed,
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.
Selected Risk
Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Basket
Components. Some of the risks that apply to an investment in the
Notes are summarized below, but we urge you to read the more
detailed explanation of risks relating to the Notes generally in
the “Risk Factors” section of the prospectus supplement. You should
not purchase the Notes unless you understand and can bear the risks
of investing in the Notes.
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 automatically redeemed, and
if the Final Basket Return is less than the Barrier Value, your
Notes will be fully exposed to the decline of the Basket
represented by the Basket Return. You may lose up to 100.00%
of the principal amount of your Notes. |
|
· |
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 Basket Return on
the related Observation Date is greater than or equal to the Coupon
Barrier Value. If the Basket Return on an Observation Date is less
than the Coupon Barrier Value, you will not receive a Contingent
Coupon on the related Contingent Coupon Payment Date. If the Basket
Return is less than the Coupon Barrier Value on each Observation
Date, you will not receive any Contingent Coupons during the term
of the Notes. |
|
· |
Your Potential Return on the Notes Is Limited to the
Contingent Coupons, if Any, and You Will Not Participate in Any
Appreciation of the Basket—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 the Basket, which may be
significant, even though you will be exposed to the depreciation in
the value of the Basket if the Notes are not automatically redeemed
and the Final Basket Return is less than the Barrier Value. |
|
· |
The Performance of the Basket Components May Offset Each
Other; Correlation (or Lack of Correlation) Among the Basket
Components May Adversely Affect the Return on the Notes—The
Basket Return will be calculated based on the weighted average
performance of the Basket Components, as described on the cover of
this pricing supplement. The lesser performance of some Basket
Components will mitigate, and may completely offset, the greater
performance of other Basket Components. You may lose a significant
portion of your investment even if one or more Basket Components
performs positively. |
Correlation is a measure of the degree to which the returns of a
pair of assets are similar to each other over a given period in
terms of timing and direction. Movements in the values of the
Basket Components may not correlate with each other. At a time when
the value of a Basket Component increases in value, the value of
other Basket Components may not increase as much or may even
decline in value. In addition, high correlation of movements in the
values of Basket Components could adversely affect your return
during periods of decline for the Basket Components. Changes in the
values of the Basket Components and/or the correlation among them
may adversely affect the market value of, and any payments on, your
Notes.
|
· |
Automatic Redemption and Reinvestment Risk—If the Notes
are automatically redeemed, the holding period over which you may
receive Contingent Coupons could be as short as approximately six
months. The payment upon an automatic redemption, together with any
Contingent Coupons that you may have received on prior Contingent
Coupon Payment Dates, may be less than the aggregate amount of
payments that you would have received had the Notes not been
automatically 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 automatically redeemed prior to the Maturity Date. No
additional payments will be due after an automatic redemption. The
automatic redemption feature of the Notes may also adversely impact
your ability to sell your Notes and the price at which they may be
sold. |
|
· |
Any Payment on the Notes Will Be Determined Based on the
Closing Values of the Basket Components on the Dates
Specified—Any payment on the Notes will be determined based on
the Closing Values of the Basket Components on the dates specified.
You will not benefit from any more favorable values of the Basket
Components determined at any other time. |
|
· |
Contingent Repayment of the Principal Amount Applies Only at
Maturity or upon Any Automatic Redemption—You should be willing
to hold your Notes to maturity or any automatic redemption.
Although the Notes provide for the contingent repayment of the
principal amount of your Notes at maturity, provided the
Final Basket Return is greater than or equal to the Barrier Value,
or upon any automatic 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 the Basket has increased from the
Initial Valuation Date. See “Many Economic and Market Factors Will
Impact the Value of the Notes” below. |
|
· |
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 Contingent Coupon is
determined based on a number of factors, including the expected
volatility of the Basket Components. The Contingent Coupon 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 be if the level of expected
volatility of the Basket Components taken into account in
determining the terms of the Notes were lower. As volatility of the
Basket Components increase, there will typically be a greater
likelihood that (a) the Basket Return on one or more Observation
Dates will be less than the Coupon Barrier Value and (b) the Final
Basket Return will be less than the Barrier Value. |
Accordingly, you should understand that a higher Contingent Coupon
reflects, among other things, an indication of a greater likelihood
that you will (a) not receive Contingent Coupons 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 Contingent Coupon
been lower. In addition, actual volatility over the term of the
Notes may be significantly higher than 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 Contingent Coupons and/or
that you will lose some or all of your principal at maturity for
the reasons described above.
|
· |
Owning the Notes Is Not the Same as Owning the Basket
Components—The return on the Notes may not reflect the return
you would realize if you actually owned the Basket Components. As a
holder of the Notes, you will not have voting rights or rights to
receive dividends or other distributions or other rights that
holders of the Basket Components would 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 beneficial owners of the Notes. The exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes will not be a default or an Event of
Default (as each term is defined in the senior debt securities
indenture) and the trustee will not be liable for any action that
the trustee takes, or abstains from taking, in either case, in
accordance with the exercise of the U.K. Bail-in Power by the
relevant U.K. resolution authority with respect to the Notes. See
“Consent to U.K. Bail-in Power” in this pricing supplement as well
as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the
Securities Generally—Regulatory action in the event a bank or
investment firm in the Group is failing or likely to fail could
materially adversely affect the value of the securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement. |
Risks Relating to the Basket Components
|
· |
There Are Risks Associated with Single Equities—The
value of each Basket Component can rise or fall sharply
due to factors specific to that Basket Component and its
issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments,
management changes and decisions and other events, as well as
general market factors, such as general stock market volatility and
levels, interest rates and economic and political conditions. We
urge you to review financial and other information filed
periodically with the SEC by the issuer of each Basket
Component. |
|
· |
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 corporate events (such as stock splits or extraordinary or
special dividends) that the Calculation Agent determines have a
diluting or concentrative effect on the theoretical value of any
Basket Component. However, the Calculation Agent might not make
such adjustments in response to all events that could affect any
Basket Component. 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
the market price of, and any amounts payable on, the Notes. See
“Reference Assets—Equity Securities—Share Adjustments Relating to
Securities with an Equity Security as a Reference Asset” in the
accompanying prospectus supplement. |
|
· |
Reorganization or Other Events Could Adversely Affect the
Value of the Notes or Result in the Notes Being
Accelerated—Upon the occurrence of certain reorganization
events or a nationalization, expropriation, liquidation,
bankruptcy, insolvency or de-listing of any Basket Components, the
Calculation Agent will make adjustments to that Basket Component
that may result in payments on the Notes being based on the
performance of shares, cash or other assets distributed to holders
of that Basket Component upon the occurrence of such event or, in
some cases, the Calculation Agent may accelerate the maturity date
for a payment determined by the Calculation Agent. Any of these
actions could adversely affect the value of any Basket Component
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 Notes if they were not accelerated. See
“Reference Assets—Equity Securities—Share Adjustments Relating to
Securities with an Equity Security as a Reference Asset” in the
accompanying prospectus supplement. |
|
· |
Historical Performance of the Basket Components Should Not
Be Taken as Any Indication of the Future Performance of the Basket
Components Over the Term of the Notes—The value of each Basket
Component has fluctuated in the past and may, in the future,
experience significant fluctuations. The historical performance of
a Basket Component is not an indication of the future
performance of that Basket Component over the term of the Notes.
The historical correlation between Basket Components |
is not an indication of the future correlation between them over
the term of the Notes. Therefore, the performance of the
Basket Components over the term of the Notes may bear no relation
or resemblance to the historical performance of any of the Basket
Components.
Risks Relating to Conflicts of Interest
|
· |
We and Our Affiliates May Engage in Various Activities or
Make Determinations That Could Materially Affect the Notes in
Various Ways and Create Conflicts of Interest—We and our
affiliates play a variety of roles in connection with the issuance
of the Notes, as described below. In performing these roles, our
and our affiliates’ economic interests are potentially adverse to
your interests as an investor in the Notes. |
In connection with our normal business activities and in connection
with hedging our obligations under the Notes, we and our affiliates
make markets in and trade various financial instruments or products
for our accounts and for the account of our clients and otherwise
provide investment banking and other financial services with
respect to these financial instruments and products. These
financial instruments and products may include securities,
derivative instruments or assets that may relate to the Basket
Components. In any such market making, trading and hedging
activity, and other financial services, we or our affiliates may
take positions or take actions that are inconsistent with, or
adverse to, the investment objectives of the holders of the Notes.
We and our affiliates have no obligation to take the needs of any
buyer, seller or holder of the Notes into account in conducting
these activities. Such market making, trading and hedging activity,
investment banking and other financial services may negatively
impact the value of the Notes.
In addition, the role played by Barclays Capital Inc., as the agent
for the Notes, could present significant conflicts of interest with
the role of Barclays Bank PLC, as issuer of the Notes. For example,
Barclays Capital Inc. or its representatives may derive
compensation or financial benefit from the distribution of the
Notes and such compensation or financial benefit may serve as an
incentive to sell the Notes instead of other investments.
Furthermore, we and our affiliates establish the offering price of
the Notes for initial sale to the public, and the offering price is
not based upon any independent verification or valuation.
In addition to the activities described above, we will also act as
the Calculation Agent for the Notes. As Calculation Agent, we will
determine any values of the Basket Components and make any other
determinations necessary to calculate any payments on the Notes. In
making these determinations, we may be required to make
discretionary judgments, including determining whether a market
disruption event has occurred on any date that the value of a
Basket Component is to be determined; determining whether to adjust
any variable described herein in the case of certain corporate
events related to a Basket Component that the Calculation Agent
determines have a diluting or concentrative effect on the
theoretical value of the shares of that Basket Component; and
determining whether to accelerate the Maturity Date upon the
occurrence of certain reorganization events and additional
adjustment events. In making these discretionary judgments, our
economic interests are potentially adverse to your interests as an
investor in the Notes, and any of these determinations may
adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the
Secondary Market
|
· |
Lack of Liquidity—The Notes will not be listed on any
securities exchange. Barclays Capital Inc. and other affiliates of
Barclays Bank PLC intend to make a secondary market for the Notes
but are not required to do so, and may discontinue any such
secondary market making at any time, without notice. Barclays
Capital Inc. may at any time hold unsold inventory, which may
inhibit the development of a secondary market for the Notes. Even
if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes,
the price at which you may be able to trade your Notes is likely to
depend on the price, if any, at which Barclays Capital Inc. and
other affiliates of Barclays Bank PLC are willing to buy the Notes.
The Notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Notes to
maturity. |
|
· |
Many Economic and Market Factors Will Impact the Value of
the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and
unpredictable ways and that may either offset or magnify each
other, including: |
|
o |
the values and expected volatility of the Basket
Components; |
|
o |
correlation (or lack of correlation) of the Basket
Components; |
|
o |
the time to maturity of the Notes; |
|
o |
dividend rates on the Basket Components; |
|
o |
interest and yield rates in the market generally; |
|
o |
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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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 expected as a
result of certain factors, such as any sales commissions expected
to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees expected to
be allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in
connection with structuring the Notes, the estimated cost
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 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. |
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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. |
Information Regarding the
Basket Components
We urge you to read the following section in the accompanying
prospectus supplement: “Reference Assets—Equity
Securities—Reference Asset Issuer and Reference Asset Information.”
Companies with securities registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”), are required to file
financial and other information specified by the SEC periodically.
Information provided to or filed with the SEC by the issuer of each
Basket Component can be located on a website maintained by the SEC
at http://www.sec.gov by reference to that issuer’s SEC file number
provided below.
Included below is a brief description of the issuer of each Basket
Component. This information has been obtained from publicly
available sources. Information from outside sources is not
incorporated by reference in, and should not be considered part of,
this pricing supplement or the accompanying prospectus or
prospectus supplement. We have not independently verified the
accuracy or completeness of the information contained in outside
sources.
American Airlines Group Inc.
According to publicly available information, American Airlines
Group Inc. is a holding company that operates a network air carrier
and provides scheduled air transportation for passengers and
cargo.
Information filed by American Airlines Group Inc. with the SEC
under the Exchange Act can be located by reference to its SEC file
number: 001-08400. The common stock of American Airlines Group Inc.
is listed on The Nasdaq Stock Market under the ticker symbol
“AAL.”
Historical Performance of the Common Stock
of American Airlines Group Inc.
The graph below sets forth the historical performance of the common
stock of American Airlines Group Inc. based on the daily Closing
Values from January 3, 2017 through March 4, 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. The Closing Values below
may have been adjusted to reflect certain corporate actions, such
as stock splits, public offerings, mergers and acquisitions,
spin-offs, extraordinary dividends, delistings and
bankruptcy.
Historical Performance of the Common Stock of American Airlines
Group Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
JetBlue Airways Corporation
According to publicly available information, JetBlue Airways
Corporation is an airline that serves destinations in the
United States, the Caribbean and Latin America.
Information filed by JetBlue Airways Corporation with the SEC under
the Exchange Act can be located by reference to its SEC file
number: 000-49728. The common stock of JetBlue Airways Corporation
is listed on The Nasdaq Stock Market under the ticker symbol
“JBLU.”
Historical Performance of the Common Stock
of JetBlue Airways Corporation
The graph below sets forth the historical performance of the common
stock of JetBlue Airways Corporation based on the daily Closing
Values from January 3, 2017 through March 4, 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. The Closing Values below
may have been adjusted to reflect certain corporate actions, such
as stock splits, public offerings, mergers and acquisitions,
spin-offs, extraordinary dividends, delistings and
bankruptcy.
Historical Performance of the Common Stock
of JetBlue Airways Corporation
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Spirit Airlines, Inc.
According to publicly available information, Spirit Airlines, Inc.
operates an airline offering customers unbundled base fares that
remove components traditionally included in the price of an airline
ticket.
Information filed by Spirit Airlines, Inc. with the SEC under the
Exchange Act can be located by reference to its SEC file number:
001-35186. The common stock of Spirit Airlines, Inc. is listed on
the New York Stock Exchange under the ticker symbol “SAVE.” Prior
to December 28, 2017, the common stock of Spirit Airlines, Inc. was
listed on The Nasdaq Stock Market.
Historical Performance of the Common Stock of Spirit Airlines,
Inc.
The graph below sets forth the historical performance of the common
stock of Spirit Airlines, Inc. based on the daily Closing Values
from January 3, 2017 through March 4, 2022. The common stock of
Spirit Airlines, Inc. began trading on the New York Stock Exchange
on December 28, 2017. Prior to December 28, 2017, the common stock
of Spirit Airlines, Inc. was listed on The Nasdaq Stock Market. 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. The
Closing Values below may have been adjusted to reflect certain
corporate actions, such as stock splits, public offerings, mergers
and acquisitions, spin-offs, extraordinary dividends, delistings
and bankruptcy.
Historical Performance of the Common Stock of Spirit Airlines,
Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
United Airlines Holdings, Inc.
According to publicly available information, United Airlines
Holdings, Inc. transports people and cargo throughout North America
and to destinations in Asia, Europe, the Middle East and Latin
America.
Information filed by United Airlines Holdings, Inc. with the SEC
under the Exchange Act can be located by reference to its SEC file
number: 001-06033. The common stock of United Airlines Holdings,
Inc. is listed on The Nasdaq Stock Market under the ticker symbol
“UAL.”
Historical Performance of the Common Stock of United Airlines
Holdings, Inc.
The graph below sets forth the historical performance of the common
stock of United Airlines Holdings, Inc. based on the daily Closing
Values from January 3, 2017 through March 4, 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. The Closing Values below
may have been adjusted to reflect certain corporate actions, such
as stock splits, public offerings, mergers and acquisitions,
spin-offs, extraordinary dividends, delistings and
bankruptcy.
Historical Performance of the Common Stock of United Airlines
Holdings, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
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 redemption upon an automatic call or at
maturity), you should recognize capital gain or loss equal to the
difference between the amount realized on the sale or exchange and
your tax basis in the Notes, which should equal the amount you paid
to acquire the Notes (assuming Contingent Coupon payments are
properly treated as ordinary income, consistent with the position
referred to above). This gain or loss should be 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.
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”); (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 the 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 and prospectus supplement to the extent it
is inconsistent therewith.
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