The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus supplement and
underlying supplement do not constitute an offer to sell the Notes and we are not soliciting an offer to buy the Notes in any state
where the offer or sale is not permitted.
Subject to Completion. Dated
October 10, 2024 |
Pricing Supplement dated October , 2024
|
Filed
Pursuant to Rule 424(b)(2)
Registration Statement No. 333-265158 |
Barclays Bank PLC Trigger Autocallable Contingent Yield Notes
Linked to the lesser performing of the Nasdaq-100 Index®
and the Russell 2000® Index due on or about October 16, 2029
The Trigger Autocallable Contingent Yield Notes (the “Notes”)
are unsecured and unsubordinated debt obligations issued by Barclays Bank PLC (the “Issuer”) linked to the lesser performing
of the Nasdaq-100 Index® and the Russell 2000® Index (each an “Underlying” and together the
“Underlyings”). On a quarterly basis, unless the Notes have been previously called, the Issuer will pay you a coupon (the
“Contingent Coupon”) if the Closing Level of each Underlying on the applicable Observation Date is greater than or equal
to its specified Coupon Barrier. Otherwise, no Contingent Coupon will be paid for that quarter. The Issuer will automatically call the
Notes if the Closing Level of each Underlying on any quarterly Observation Date, beginning on April 11, 2025, is greater than or equal
to its Closing Level on the Trade Date (the “Initial Underlying Level”). If the Notes are automatically called, the Issuer
will pay the principal amount of your Notes plus the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement
Date, and no further amounts will be owed to you under the Notes. If the Notes are not automatically called and the Closing Level of
each Underlying on the Final Valuation Date (the “Final Underlying Level”) is greater than or equal to its specified Downside
Threshold (which is set equal to its Coupon Barrier), the Issuer will pay you a cash payment at maturity equal to the principal amount
of your Notes plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date. However, if the Final
Underlying Level of either Underlying is less than its Downside Threshold, the Issuer will pay you a cash payment at maturity that is
less than the principal amount, if anything, resulting in a percentage loss of principal equal to the negative Underlying Return of the
Underlying with the lower Underlying Return (the “Lesser Performing Underlying”). In this case, you will have full downside
exposure to the Lesser Performing Underlying from its Initial Underlying Level to its Final Underlying Level, and could lose all of your
principal. Investing in the Notes involves significant risks. You may lose
a significant portion or all of your principal. You may receive few or no Contingent Coupons during the term of the Notes. You will be
exposed to the market risk of each Underlying and any decline in the level of one Underlying may negatively affect your return and will
not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying. The Final Underlying Level
of each Underlying is observed relative to its Downside Threshold only on the Final Valuation Date, and the contingent repayment of principal
applies only if you hold the Notes to maturity. Generally, the higher the Contingent Coupon Rate on a Note, the greater the risk of loss
on that Note. Your return potential on the Notes is limited to any Contingent Coupons paid on the Notes, and you will not participate
in any appreciation of either Underlying. Any payment on the Notes, 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 PS-4 of this pricing supplement) by the relevant U.K. resolution
authority, you might not receive any amounts owed to you under the Notes. See “Consent to U.K. Bail-in Power” in this pricing
supplement and “Risk Factors” in the accompanying prospectus supplement.
| Features |
|
q Contingent
Coupon: Unless the Notes have been previously called, the Issuer will pay you a Contingent Coupon for each quarter if
the Closing Level of each Underlying on the applicable Observation Date is greater than or equal to its Coupon Barrier. Otherwise,
no Contingent Coupon will be paid for that quarter.
q Automatic
Call: The Issuer will automatically call the Notes if the Closing Level of each Underlying on any quarterly Observation
Date, beginning on April 11, 2025, is greater than or equal to its Initial Underlying Level. If the Notes are automatically called,
the Issuer will pay the principal amount of your Notes plus the Contingent Coupon due on the Coupon Payment Date that is also
the Call Settlement Date, and no further amounts will be owed to you under the Notes.
q Downside
Exposure with Contingent Repayment of Principal at Maturity: If the Notes are not
automatically called and the Final Underlying Level of each Underlying is greater than or equal to its Downside Threshold, the Issuer
will pay you a cash payment at maturity equal to the principal amount of your Notes plus the Contingent Coupon due on the
Coupon Payment Date that is also the Maturity Date. However, if the Final Underlying Level of either Underlying is less than its
Downside Threshold, the Issuer will repay less than your principal amount, if anything, resulting in a percentage loss of principal
equal to the negative Underlying Return of the Lesser Performing Underlying. The Final Underlying Level of each Underlying is observed
relative to its Downside Threshold only on the Final Valuation Date, and the contingent repayment of principal applies only if you
hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of
Barclays Bank PLC. |
|
| |
| |
| |
| |
| |
| Key Dates1 |
| Trade Date: |
October 11, 2024 |
| Settlement Date: |
October 16, 2024 |
| Observation Dates: |
Quarterly (callable beginning April 11, 2025) (see page PS-8) |
| Final Valuation Date: |
October 11, 2029 |
| Maturity Date: |
October 16, 2029 |
| 1 The Observation
Dates, including the Final Valuation Date, and the Maturity Date are subject to postponement. See “Indicative Terms”
on page PS-6 of this pricing supplement. |
NOTICE TO INVESTORS: THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL
DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES
CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE LESSER PERFORMING UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT
IN PURCHASING A DEBT OBLIGATION OF BARCLAYS BANK PLC. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE
WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE PS-9 OF THIS PRICING SUPPLEMENT AND “RISK FACTORS” BEGINNING ON PAGE S-9 OF THE PROSPECTUS SUPPLEMENT BEFORE
PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE
OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE A SIGNIFICANT PORTION OR ALL OF YOUR PRINCIPAL AMOUNT. THE NOTES WILL NOT BE LISTED ON
ANY SECURITIES EXCHANGE.
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 (OR
THE TRUSTEE ON BEHALF OF THE HOLDERS 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.
We are offering Trigger Autocallable Contingent Yield Notes linked to the
lesser performing of the Nasdaq-100 Index® and the Russell 2000® Index. The Contingent Coupon Rate will
be set and the Initial Underlying Level and corresponding Coupon Barrier and Downside Threshold for each Underlying will be determined
on the Trade Date. The Notes are offered at a minimum investment of 100 Notes at $10 per Note (representing a $1,000 investment), and
integral multiples of $10 in excess thereof.
| Underlying |
Contingent
Coupon Rate |
Initial
Underlying Level* |
Coupon
Barrier** |
Downside
Threshold** |
CUSIP
/ ISIN |
| Nasdaq-100 Index®
(NDX) |
9.50% to 10.25% per annum |
• |
70.00% of the
Initial Underlying Level |
70.00% of the
Initial Underlying Level |
06748Q205 / US06748Q2057 |
| Russell 2000® Index
(RTY) |
• |
70.00% of the Initial Underlying Level |
70.00% of the Initial Underlying Level |
*
The Initial Underlying Level of each Underlying will be the Closing Level of that Underlying on the Trade Date.
** Rounded to two decimal places for the Nasdaq-100
Index® and rounded to three decimal places for the Russell 2000® Index
See “Additional Information about
Barclays Bank PLC and the Notes” on page PS-2 of this pricing supplement. The Notes will have the terms specified in the prospectus
dated May 23, 2022, the prospectus supplement dated June 27, 2022, the underlying supplement dated June 27, 2022 and this pricing supplement.
Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the 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.
| |
Initial
Issue Price1,2 |
Underwriting
Discount2 |
Proceeds
to Barclays Bank PLC |
| Per Note |
$10 |
$0 |
$10 |
| Total |
$• |
$• |
$• |
1
Our estimated value of the Notes on the Trade Date, based on our internal pricing models, is expected to be between $9.469 and
$9.869 per Note. The estimated value is expected to be less than the initial issue price of the Notes. See “Additional Information
Regarding Our Estimated Value of the Notes” on page PS-3 of this pricing supplement.
2 All sales of the Notes will be
made to certain fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor. UBS Financial Services Inc.
will act as placement agent at an initial issue price of $10 per Note and will not receive a sales commission. See “Supplemental
Plan of Distribution” on page PS-21 of this pricing supplement.
| UBS Financial Services Inc. |
Barclays Capital
Inc. |
| Additional
Information about Barclays Bank PLC and the Notes |
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement, as the Notes involve risks not associated with conventional debt securities. We urge you
to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
If the terms set forth in this pricing supplement differ from those
set forth in the prospectus, prospectus supplement or underlying supplement, the terms set forth herein will control.
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. As used in this
pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC. In this pricing supplement,
“Notes” refers to the Trigger Autocallable Contingent Yield Notes that are offered hereby, unless the context otherwise requires.
| Additional
Information Regarding Our Estimated Value of the Notes |
The range of the estimated values of the Notes referenced above may
not correlate on a linear basis with the range for the Contingent Coupon Rate set forth in this pricing supplement. We determined the
size of the range for the Contingent Coupon Rate based on prevailing market conditions, as well as the anticipated duration of the marketing
period for the Notes. The final terms for the Notes will be determined on the date the Notes are initially priced for sale to the public
(the “Trade Date”) based on prevailing market conditions on or prior to the Trade 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 Trade 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 Trade 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 Trade 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 Trade
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 Trade Date for a temporary period expected to be approximately three months after the initial issue date of the Notes because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the
tenor of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the 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 “Key Risks” beginning on page
PS-9 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Trade Date. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their Trade 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.
| 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 (or the trustee on
behalf of the holders 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 “Key Risks—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, including
the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect
the value of any 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.
| Selected
Purchase Considerations |
The Notes may be appropriate for you if:
¨ You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
¨ You
can tolerate a loss of a significant portion or all of your principal amount and are willing to make an investment that may have
the full downside market risk of an investment in the Lesser Performing Underlying.
¨ You
are willing and able to accept the individual market risk of each Underlying and understand that any decline in the level of one
Underlying will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying.
¨ You
believe each Underlying is likely to close at or above its Coupon Barrier on the specified Observation Dates, and, if either Underlying
does not, you can tolerate receiving few or no Contingent Coupons over the term of the Notes.
¨ You
believe the Final Underlying Level of each Underlying is not likely to be less than its Downside Threshold and, if the Final Underlying
Level of either Underlying is less than its Downside Threshold, you can tolerate a loss of a significant portion or all of your principal
amount.
¨ You
understand and accept that you will not participate in any appreciation of either Underlying, which may be significant, and that
your return potential on the Notes is limited to any Contingent Coupons paid on the Notes.
¨ You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
¨ You
are willing and able to hold Notes that will be called on the earliest quarterly Observation Date, beginning on April 11, 2025, on
which the Closing Level of each Underlying is greater than or equal to its Initial Underlying Level, and you are otherwise willing
and able to hold the Notes to maturity and accept that there may be little or no secondary market for the Notes.
¨ You
would be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the bottom of the range specified on the
cover of this pricing supplement (the actual Contingent Coupon Rate will be set on the Trade Date).
¨ You
do not seek guaranteed current income from this investment, you are willing to accept the risk of contingent yield and you are willing
to forgo any dividends paid on the securities composing the Underlyings.
¨ You
understand and are willing to accept the risks associated with each Underlying.
¨ You
are willing and able to assume the credit risk of Barclays Bank PLC, as issuer of the Notes, for all payments under the Notes and
understand that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in
Power, you might not receive any amounts due to you under the Notes, including any repayment of principal. |
|
The Notes may not be appropriate for you if:
¨ You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
¨ You
require an investment designed to provide a full return of principal at maturity, you cannot tolerate a loss of a significant portion
or all of your principal amount or you are not willing to make an investment that may have the full downside market risk of an investment
in the Lesser Performing Underlying.
¨ You
are unwilling or unable to accept the individual market risk of each Underlying or do not understand that any decline in the level
of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying.
¨ You
do not believe each Underlying is likely to close at or above its Coupon Barrier on the specified Observation Dates, or you cannot
tolerate receiving few or no Contingent Coupons over the term of the Notes.
¨ You
believe the Final Underlying Level of either Underlying is likely to be less than its Downside Threshold, which could result in a
total loss of your principal amount.
¨ You
seek an investment that participates in the full appreciation of either or both of the Underlyings and whose return is not limited
to any Contingent Coupons paid on the Notes.
¨ You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
¨ You
are unable or unwilling to hold Notes that will be called on the earliest quarterly Observation Date, beginning on April 11, 2025,
on which the Closing Level of each Underlying is greater than or equal to its Initial Underlying Level, or you are unable or unwilling
to hold the Notes to maturity and seek an investment for which there will be an active secondary market.
¨ You
would be unwilling to invest in the Notes if the Contingent Coupon Rate were set equal to the bottom of the range specified on the
cover of this pricing supplement (the actual Contingent Coupon Rate will be set on the Trade Date).
¨ You
seek guaranteed current income from your investment, you are unwilling to accept the risk of contingent yield or you prefer to receive
any dividends paid on the securities composing the Underlyings.
¨ You
do not understand or are not willing to accept the risks associated with each Underlying.
¨ You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings.
¨ You
are not willing or are unable to assume the credit risk of Barclays Bank PLC, as issuer of the Notes, for all payments due to you
under the Notes, including any repayment of principal.
|
The considerations identified above
are not exhaustive. Whether or not the Notes are an appropriate investment for you will depend on your individual circumstances, and
you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have
carefully considered the appropriateness of an investment in the Notes in light of your particular circumstances. You should also review
carefully the “Key Risks” beginning on page PS-9 of this pricing supplement and the “Risk Factors” beginning
on page S-9 of the prospectus supplement for risks related to an investment in the Notes. For more information about the Underlyings,
please see the sections titled “Nasdaq-100 Index®” and “Russell 2000® Index” below.
| Issuer: |
Barclays Bank PLC |
| Principal Amount: |
$10 per Note (subject to minimum investment of 100 Notes) |
| Term2: |
Approximately five years, unless called earlier |
| Reference Assets3: |
The Nasdaq-100 Index® (Bloomberg ticker
symbol “NDX<Index>”) and the Russell 2000® Index (Bloomberg ticker symbol “RTY<Index>”)
(each an “Underlying” and together the “Underlyings”) |
| Automatic Call Feature: |
The Issuer will automatically call the Notes if the Closing
Level of each Underlying on any quarterly Observation Date, beginning on April 11, 2025, is greater than or equal to its Initial
Underlying Level. If the Notes are automatically called, the Issuer will pay the principal amount of your Notes plus the Contingent
Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the
Notes. |
| Observation Dates2: |
As set forth under the “Observation Dates”
column of the table under “Observation Dates/Coupon Payment Dates/Call Settlement Dates” below. The final Observation
Date, October 11, 2029, is the “Final Valuation Date.” |
| Call Settlement Dates2: |
As set forth under the “Coupon Payment Dates/Call
Settlement Dates” column of the table under “Observation Dates/Coupon Payment Dates/Call Settlement Dates” below |
| Contingent Coupon: |
If the
Closing Level of each Underlying is greater than or equal to its Coupon Barrier on any Observation Date, the Issuer will
pay you the Contingent Coupon applicable to that Observation Date.
If the
Closing Level of either Underlying is less than its Coupon Barrier on any Observation Date, the Contingent Coupon applicable
to that Observation Date will not accrue or be payable and the Issuer will not make any payment to you on the related Coupon Payment
Date.
The Contingent Coupon is a fixed amount potentially payable quarterly
based on the per annum Contingent Coupon Rate. |
| Coupon Barrier: |
With respect to each Underlying, a percentage of the Initial
Underlying Level of that Underlying, as specified on the cover of this pricing supplement |
| Coupon Payment Dates2: |
As set forth under the “Coupon Payment Dates/Call
Settlement Dates” column of the table under “Observation Dates/Coupon Payment Dates/Call Settlement Dates” below |
| Contingent Coupon Rate: |
The Contingent Coupon Rate is between 9.50% and 10.25%
per annum. Accordingly, the Contingent Coupon with respect to each Observation Date is equal to between $0.2375 and $0.2563 per Note.
Whether Contingent Coupons will be paid on the Notes will depend on the
performance of the Underlyings. |
| Payment at Maturity (per Note): |
If the
Notes are not automatically called and the Final Underlying Level of each Underlying is greater than or equal to its Downside Threshold
(which equals its Coupon Barrier), the Issuer will pay you a cash payment on the Maturity Date equal to $10 per Note plus
the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
If the
Notes are not automatically called and the Final Underlying Level of either Underlying is less than its Downside Threshold, the
Issuer will pay you a cash payment on the Maturity Date per Note that is less than your principal amount, if anything, resulting
in a percentage loss of principal equal to the negative Underlying Return of the Lesser Performing Underlying, calculated as follows:
$10 × (1 + Underlying Return of the Lesser
Performing Underlying)
Accordingly, you may lose a significant portion or all of
your principal at maturity, depending on how much the Lesser Performing Underlying declines, regardless of the performance of the other
Underlying. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and
is not guaranteed by any third party. |
| Underlying Return: |
With respect to each Underlying:
Final Underlying Level – Initial Underlying
Level
Initial Underlying Level |
| Lesser Performing Underlying: |
The Underlying with the lower Underlying Return |
| Downside Threshold: |
With respect to each Underlying, a percentage of the Initial
Underlying Level of that Underlying, as specified on the cover of this pricing supplement |
| Initial Underlying Level: |
With respect to each Underlying, the Closing Level of
that Underlying on the Trade Date |
| Final Underlying Level: |
With respect to each Underlying, the Closing Level of
that Underlying on the Final Valuation Date |
| Closing Level3: |
With respect to each Underlying, Closing Level has the
meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
|
| Calculation Agent: |
Barclays Bank PLC |
| 1 | Terms
used in this pricing supplement, but not defined herein, shall have the meanings ascribed
to them in the prospectus supplement. |
| 2 | Each
Observation Date may be postponed if that Observation Date is not a scheduled trading day
with respect to either Underlying or if a market disruption event occurs with respect to
either Underlying on that Observation Date as described under “Reference Assets—Indices—Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset”
and “Reference Assets—Least or Best Performing Reference Asset—Scheduled
Trading Days and Market Disruption Events for Securities Linked to the Reference Asset with
the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement.
In addition, a Coupon Payment Date, a Call Settlement Date and/or the Maturity Date will
be postponed if that day is not a business day or if the relevant Observation Date is postponed
as described under “Terms of the Notes—Payment Dates” in the accompanying
prospectus supplement. |
| 3 | If an Underlying is discontinued or if the sponsor of an Underlying
fails to publish that Underlying, 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 that Underlying. In addition, the Calculation Agent will calculate the value to be used
as the Closing Level of an Underlying in the event of certain changes in or modifications
to that Underlying. For more information, see “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus
supplement. |
| |
Trade
Date: |
|
The Closing Level of each Underlying (the Initial Underlying Level) is observed, the
Contingent Coupon Rate is set and the Coupon Barrier and Downside Threshold of each Underlying are determined. |
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 |
|
|
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Quarterly (callable
beginning April 11, 2025): |
|
If the Closing Level of each Underlying is greater than or equal
to its Coupon Barrier on any Observation Date, the Issuer will pay you the Contingent Coupon applicable to that Observation Date.
However, if the Closing Level of either Underlying is less than
its Coupon Barrier on any Observation Date, no Contingent Coupon payment will be made with respect to that Observation Date.
The Issuer will automatically call the Notes if the Closing Level
of each Underlying on any quarterly Observation Date, beginning on April 11, 2025, is greater than or equal to its Initial Underlying
Level. If the Notes are automatically called, the Issuer will pay the principal amount of your Notes plus the Contingent Coupon due on
the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the Notes. |
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|
|
|
| |
Maturity Date: |
|
The Final Underlying Level of each Underlying is determined as
of the Final Valuation Date.
If the Notes are not automatically called and the Final Underlying
Level of each Underlying is greater than or equal to its Downside Threshold (which equals its Coupon Barrier), the Issuer will pay
you a cash payment on the Maturity Date equal to $10 per Note plus the Contingent Coupon due on the Coupon Payment Date that is also
the Maturity Date.
If the Notes are not automatically called and the Final Underlying
Level of either Underlying is less than its Downside Threshold, the Issuer will pay you a cash payment on the Maturity Date per Note
that is less than your principal amount, if anything, resulting in a percentage loss of principal equal to the negative Underlying
Return of the Lesser Performing Underlying, calculated as follows:
$10 × (1 + Underlying Return of the Lesser
Performing Underlying)
Accordingly, you may lose a significant portion or all of your
principal at maturity, depending on how much the Lesser Performing Underlying declines, regardless of the performance of the other Underlying. |
Investing in the Notes involves significant risks. You may lose
a significant portion or all of your principal amount. You may receive few or no Contingent Coupons during the term of the Notes. You
will be exposed to the market risk of each Underlying and any decline in the level of one Underlying may negatively affect your return
and will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying. The Final Underlying
Level of each Underlying is observed relative to its Downside Threshold only on the Final Valuation Date, and the contingent repayment
of principal applies only if you hold the Notes to maturity. Generally, the higher the Contingent Coupon Rate on a Note, the greater
the risk of loss on that Note. Your return potential on the Notes is limited to any Contingent Coupons paid on the Notes, and you will
not participate in any appreciation of either Underlying. Any payment on the Notes, 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 by the relevant U.K. resolution authority, you might not receive
any amounts owed to you under the Notes.
| Observation Dates/Coupon
Payment Dates/Call Settlement Dates |
| Observation
Dates |
Coupon
Payment Dates / Call Settlement Dates |
| January 13, 2025* |
January 15, 2025* |
| April 11, 2025 |
April 15, 2025 |
| July 11, 2025 |
July 15, 2025 |
| October 14, 2025 |
October 16, 2025 |
| January 12, 2026 |
January 14, 2026 |
| April 13, 2026 |
April 15, 2026 |
| July 13, 2026 |
July 15, 2026 |
| October 13, 2026 |
October 15, 2026 |
| January 11, 2027 |
January 13, 2027 |
| April 12, 2027 |
April 14, 2027 |
| July 12, 2027 |
July 14, 2027 |
| October 12, 2027 |
October 14, 2027 |
| January 11, 2028 |
January 13, 2028 |
| April 11, 2028 |
April 13, 2028 |
| July 11, 2028 |
July 13, 2028 |
| October 11, 2028 |
October 13, 2028 |
| January 11, 2029 |
January 16, 2029 |
| April 11, 2029 |
April 13, 2029 |
| July 11, 2029 |
July 13, 2029 |
| October 11, 2029 |
October 16, 2029 |
| *The Notes are NOT automatically callable until the second Observation Date,
which is April 11, 2025. Thus, the first Call Settlement Date will be on or about April 15, 2025. |
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in either or both Underlyings or the securities composing the Underlyings. 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
| ¨ | You
may lose a significant portion or all of your principal — The Notes differ
from ordinary debt securities in that the Issuer will not necessarily pay the full principal
amount of the Notes at maturity. If the Notes are not automatically called, at maturity,
the Issuer will pay you the principal amount of your Notes only if the Final Underlying Level
of each Underlying is greater than or equal to its Downside Threshold and will make such
payment only at maturity. If the Notes are not automatically called and the Final Underlying
Level of either Underlying is less than its Downside Threshold, you will be exposed to the
full decline in the Lesser Performing Underlying and the Issuer will repay less than the
full principal amount of the Notes at maturity, if anything, resulting in a percentage loss
of principal equal to the negative Underlying Return of the Lesser Performing Underlying.
Accordingly, you may lose a significant portion or all of your principal. |
| ¨ | You
may not receive any Contingent Coupons — The Issuer will not necessarily
make periodic coupon payments on the Notes. If the Closing Level of either Underlying on
an Observation Date is less than its Coupon Barrier, the Issuer will not pay you the Contingent
Coupon applicable to that Observation Date even if the Closing Level of the other Underlying
is greater than or equal to its Coupon Barrier on that Observation Date. If the Closing Level
of either Underlying is less than its Coupon Barrier on each of the Observation Dates, the
Issuer will not pay you any Contingent Coupons during the term of the Notes, and you will
not receive a positive return on your Notes. Generally, this non-payment of the Contingent
Coupon coincides with a period of greater risk of principal loss on your Notes. |
| ¨ | Your
return potential on the Notes is limited to any Contingent Coupons paid on the Notes, and
you will not participate in any appreciation of either Underlying —
The return potential of the Notes is limited to the pre-specified per annum Contingent Coupon
Rate, regardless of any appreciation of either Underlying. In addition, the total return
on the Notes will vary based on the number of Observation Dates on which the Closing Level
of each Underlying has been greater than or equal to its Coupon Barrier prior to maturity
or an automatic call. Further, if the Notes are automatically called pursuant to the Automatic
Call Feature, you will not receive Contingent Coupons or any other payment in respect of
any Observation Dates after the applicable Call Settlement Date. Because the Notes could
be called as early as the second Observation Date, the total return on the Notes could be
minimal. If the Notes are not automatically called, you may be subject to the decline in
the level of the Lesser Performing Underlying even though you will not participate in any
appreciation of either Underlying. As a result, the return on an investment in the Notes
could be less than the return on a direct investment in either or both Underlyings or the
securities composing the Underlyings. |
| ¨ | You
are exposed to the market risk of each Underlying — Your return on the Notes
is not linked to a basket consisting of the Underlyings. Rather, it will be contingent upon
the independent performance of each Underlying. Unlike an instrument with a return linked
to a basket of underlying assets in which risk is mitigated and diversified among all the
components of the basket, you will be exposed to the risks related to each Underlying. Poor
performance by either Underlying over the term of the Notes may negatively affect your return
and will not be offset or mitigated by any increases or lesser declines in the level of the
other Underlying. To receive any Contingent Coupons, the Closing Level of each Underlying
must be greater than or equal to its Coupon Barrier on the applicable Observation Date. In
addition, if the Notes have not been automatically called prior to maturity and the Final
Underlying Level of either Underlying is less than its Downside Threshold, you will be exposed
to the full decline in the Lesser Performing Underlying. Accordingly, your investment is
subject to the market risk of each Underlying. |
| ¨ | Because
the Notes are linked to the Lesser Performing Underlying, you are exposed to greater risks
of no Contingent Coupons and sustaining a significant loss of principal at maturity than
if the Notes were linked to a single Underlying — The risk that you will
not receive any Contingent Coupons and lose a significant portion or all of your principal
amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of a single Underlying. With two Underlyings,
it is more likely that the Closing Level of either Underlying will be less than its Coupon
Barrier on the specified Observation Dates or less than its Downside Threshold on the Final
Valuation Date and, therefore, it is more likely that you will not receive any Contingent
Coupons and that you will suffer a significant loss of principal at maturity. In addition,
because the Closing Level of each Underlying must be greater than or equal to its Initial
Underlying Level on an Observation Date in order for the Notes to be automatically called
prior to maturity, the Notes are less likely to be automatically called on any Observation
Date than if the Notes were linked to a single Underlying. Further, the performance of the
Underlyings may not be correlated or may be negatively correlated. The lower the correlation
between two Underlyings, the greater the potential for one of those Underlyings to close
below its Coupon Barrier or Downside Threshold on an Observation Date or the Final Valuation
Date, respectively. See “Correlation of the Underlyings” below. |
It is impossible to predict what the correlation
between the Underlyings will be over the term of the Notes. The Underlyings represent different equity markets. The Nasdaq-100 Index®
represents 100 of the largest non-financial companies listed on The Nasdaq Stock Market and the Russell 2000® Index
represents the small-capitalization segment of the United States equity market. These different equity markets may not perform similarly
over the term of the Notes.
Although the correlation of the Underlyings’
performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the
Underlyings’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Contingent
Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for missed Contingent
Coupons and for a loss of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated using our
internal models and is not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings”
below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance
of the Notes.
| ¨ | If
the Notes are not automatically called, the payment at maturity, if any, is calculated based
solely on the performance of the Lesser Performing Underlying — If the Notes
are not automatically called pursuant to the Call Feature, the payment at maturity, |
if any, will be linked solely to the performance
of the Lesser Performing Underlying. As a result, in the event that the Final Underlying Level of the Lesser Performing Underlying is
less than its Downside Threshold, the Underlying Return of only the Lesser Performing Underlying will be used to determine the return
on your Notes, and you will not benefit from the performance of the other Underlying, even if the Final Underlying Level of the other
Underlying is greater than or equal to its Downside Threshold or Initial Underlying Level.
| ¨ | Reinvestment
risk — If your Notes are automatically called early, the holding period
over which you would receive the per annum Contingent Coupon Rate could be as short as approximately
six months. 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 called prior to the Maturity Date. The likelihood that the Notes
will be automatically called prior to the Maturity Date is highest earlier in their term.
Generally, the longer the Notes remain outstanding, the less likely it is that the Notes
will be automatically called, due to the decline in the level of either or both of the Underlyings
that has caused the Notes not to be automatically called on an earlier Observation Date and
the shorter time remaining for the level of any such Underlying to increase to or above its
Initial Underlying Level on a subsequent Observation Date. If the Notes are not automatically
called, you might be exposed to the full decline in the Lesser Performing Underlying. |
| ¨ | Any
payment on the Notes will be determined based on the Closing Levels of the Underlyings on
the dates specified — Any payment on the Notes will be determined based
on the Closing Levels of the Underlyings on the dates specified. You will not benefit from
any more favorable values of the Underlyings determined at any other time. |
| ¨ | Contingent
repayment of principal applies only at maturity or upon any automatic call —
You should be willing to hold your Notes to maturity or any automatic call. The market value
of the Notes may fluctuate between the date you purchase them and the Final Valuation Date.
If you are able to sell your Notes prior to maturity in the secondary market, if any, you
may have to sell them at a loss relative to your principal amount even if at that time the
level of either or both of the Underlyings is greater than or equal to its Downside Threshold. |
| ¨ | A
higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or Downside Threshold may
reflect greater expected volatility of the Underlyings, which is generally associated with
a greater risk of loss — Volatility is a measure of the degree of variation
in the levels of the Underlyings over a period of time. The greater the expected volatilities
of the Underlyings at the time the terms of the Notes are set, the greater the expectation
is at that time that you may not receive one or more, or all, Contingent Coupon payments
and that you may lose a significant portion or all of your principal at maturity. In addition,
the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier
and the Downside Threshold, are based, in part, on the expected volatilities of the Underlyings
at the time the terms of the Notes are set, where higher expected volatilities will generally
be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on conventional
debt securities of the same maturity and/or on otherwise comparable securities and/or a lower
Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities.
Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk
of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of paying Contingent Coupon payments or returning
your principal at maturity. You should be willing to accept the downside market risk of each
Underlying and the potential loss of a significant portion or all of your principal at maturity. |
| ¨ | Owning
the Notes is not the same as owning the securities composing either or both Underlyings
— The return on your Notes may not reflect the return you would realize if you actually
owned the securities composing either or both Underlyings. 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 securities composing either Underlying would have. |
| ¨ | No
assurance that the investment view implicit in the Notes will be successful —
It is impossible to predict whether and the extent to which the level of either Underlying
will rise or fall. There can be no assurance that the level of either Underlying will not
close below its Downside Threshold on the Final Valuation Date. The level of each Underlying
will be influenced by complex and interrelated political, economic, financial and other factors
that affect that Underlying. You should be willing to accept the downside risks associated
with equities in general and each Underlying in particular, and the risk of losing a significant
portion or all of your principal amount |
| ¨ | Tax
treatment — Significant aspects of the tax treatment of the Notes are uncertain.
You should consult your tax advisor about your tax situation. See “What Are the Tax
Consequences of an Investment in the Notes?” on page PS-17 of this pricing supplement. |
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 might not receive any amount owed to you
under the terms of the Notes. |
| ¨ | You
may lose some or all of your investment if any U.K. Bail-in Power is exercised by the relevant
U.K. resolution authority — Notwithstanding 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 (or the trustee on behalf of the
holders 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, including the exercise by the relevant U.K.
resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any 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 Underlyings
| ¨ | Each
Underlying reflects the price return of the securities composing that Underlying, not the
total return — The return on the Notes is based on the performance of the
Underlyings, which reflects changes in the market prices of the securities composing each
Underlying. Each Underlying is not a “total return” index that, in addition to
reflecting those price returns, would also reflect dividends paid on the securities composing
the applicable Underlying. Accordingly, the return on the Notes will not include such a total
return feature. |
| ¨ | Adjustments
to the Underlyings could adversely affect the value of the Notes — The sponsor
of an Underlying may add, delete, substitute or adjust the securities composing that Underlying
or make other methodological changes to that Underlying that could affect its performance.
The Calculation Agent will calculate the value to be used as the Closing Level of an Underlying
in the event of certain material changes in or modifications to that Underlying. In addition,
the sponsor of an Underlying may also discontinue or suspend calculation or publication of
that Underlying at any time. Under these circumstances, the Calculation Agent may select
a successor index that the Calculation Agent determines to be comparable to the discontinued
Underlying or, if no successor index is available, the Calculation Agent will determine the
value to be used as the Closing Level of that Underlying. Any of these actions could adversely
affect the value of the relevant Underlying and, consequently, the value of the Notes. See
“Reference Assets—Indices—Adjustments Relating to Securities with an Index
as a Reference Asset” in the accompanying prospectus supplement. |
| ¨ | Non-U.S.
securities risks with respect to the Nasdaq-100 Index® —
Some of the equity securities composing the Nasdaq-100 Index® are issued by
non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity
securities, such as the Notes, involve risks associated with the home countries of the issuers
of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be
affected by political, economic, financial and social factors in those countries, or global
regions, including changes in government, economic and fiscal policies and currency exchange
laws. |
| ¨ | The
Notes are subject to small-capitalization companies risk with respect to the Russell 2000®
Index — The Russell 2000® Index tracks companies that
are considered small-capitalization companies. These companies often have greater stock price
volatility, lower trading volume and less liquidity than large-capitalization companies,
and therefore securities linked to the Russell 2000® Index may be more volatile
than an investment linked to an index with component stocks issued by large-capitalization
companies. Stock prices of small-capitalization companies are also more vulnerable than those
of large-capitalization companies to adverse business and economic developments. In addition,
small-capitalization companies are typically less stable financially than large-capitalization
companies and may depend on a small number of key personnel, making them more vulnerable
to loss of personnel. Small-capitalization companies are often subject to less analyst coverage
and may be in early, and less predictable, periods of their corporate existences. Such companies
tend to have smaller revenues, less diverse product lines, smaller shares of their product
or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products. |
Risks Relating to Conflicts of Interest
| ¨ | Dealer
incentives — We, the Agents and affiliates of the Agents act in various
capacities with respect to the Notes. The Agents and various affiliates may act as a principal,
agent or dealer in connection with the Notes. We will not pay compensation to the Agents
in connection with the distribution of the Notes. |
| ¨ | Potentially
inconsistent research, opinions or recommendations by Barclays Capital Inc., UBS Financial
Services Inc. or their respective affiliates — Barclays Capital Inc., UBS
Financial Services Inc. or their respective affiliates and agents may publish research from
time to time on financial markets and other matters that may influence the value of the Notes,
or express opinions or provide recommendations that are inconsistent with purchasing or holding
the Notes. Any research, opinions or recommendations expressed by Barclays Capital Inc.,
UBS Financial Services Inc. or their respective affiliates or agents may not be consistent
with each other and may be modified from time to time without notice. You should make your
own independent investigation of the merits of investing in the Notes and each Underlying. |
| ¨ | Potential
Barclays Bank PLC impact on the levels of the Underlyings — Trading or transactions
by Barclays Bank PLC or its affiliates in the securities composing the Underlyings and/or
over-the-counter options, futures or other instruments with returns linked to the performance
of either or both Underlyings or the securities composing the Underlyings, may adversely
affect the level of either Underlying and, therefore, the market value of the Notes. |
| ¨ | We
and our affiliates may engage in various activities or make determinations that could materially
affect your Notes in various ways and create conflicts of interest — We
and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests
are potentially adverse to your interests as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial
instruments and products may include securities,
derivative instruments or assets that may relate to the Underlyings or their 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 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 Underlyings
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 an
Underlying is to be determined; if an Underlying is discontinued or if the sponsor of an Underlying fails to publish that Underlying,
selecting a successor index or, if no successor index is available, determining any value necessary to calculate any payments on the
Notes; and calculating the value of an Underlying on any date of determination in the event of certain changes in or modifications to
an Underlying. 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
| ¨ | There
may be little or no secondary market for the Notes — 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. 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 — Structured
notes, including the Notes, can be thought of as securities that combine a debt instrument
with one or more options or other derivative instruments. As a result, the factors that influence
the values of debt instruments and options or other derivative instruments will also influence
the terms and features of the Notes at issuance and their value in the secondary market.
Accordingly, in addition to the levels of the Underlyings on any day, the value of the Notes
will be affected by a number of economic and market factors that may either offset or magnify
each other, including: |
| ¨ | the
expected volatility of the Underlyings and the securities composing the Underlyings; |
| ¨ | correlation
(or lack of correlation) of the Underlyings; |
| ¨ | the
time to maturity of the Notes; |
| ¨ | the
market prices of, and dividend rates on, the securities composing the Underlyings; |
| ¨ | interest
and yield rates in the market generally; |
| ¨ | supply
and demand for the Notes; |
| ¨ | a
variety of economic, financial, political, regulatory and judicial events; and |
| ¨ | our
creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| ¨ | 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 Trade Date is expected
to be lower, and may be significantly lower, than the initial issue price of your Notes.
The difference between the initial issue price of your Notes and the estimated value of the
Notes is expected as a result of certain factors, such as any sales commissions expected
to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring
the Notes, the estimated cost that we may incur in hedging our obligations under the Notes,
and estimated development and other costs that we may incur in connection with the Notes. |
| ¨ | The
estimated value of your Notes might be lower if such estimated value were based on the levels
at which our debt securities trade in the secondary market — The estimated
value of your Notes on the Trade 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. Also, this difference
in funding rate as well as certain factors, such as sales commissions, selling concessions,
estimated costs and profits mentioned below, reduces the economic terms of the Notes to you. |
| ¨ | 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 Trade Date is based on our internal
pricing models, which take into account a number of variables and are based on a number of
subjective assumptions, which may or may not materialize. These variables and assumptions
are not evaluated or verified on an independent basis. Further, our pricing models may be
different from other financial institutions’ pricing models and the methodologies used
by us to estimate the value of the Notes may not be consistent with those of other financial
institutions that may be purchasers or sellers of Notes in the secondary market. As a result,
the secondary market price of your Notes may be materially different from the estimated value
of the Notes determined by reference to our internal pricing models. |
| ¨ | The
estimated value of your Notes is not a prediction of the prices at which you may sell your
Notes in the secondary market, if any, and such secondary market prices, if any, will likely
be lower than the initial issue price of your Notes and may be lower than the estimated value
of your Notes — The estimated value of the Notes will not be a prediction
of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may
be willing to purchase the Notes from you in secondary market transactions (if they are willing
to purchase, which they are not obligated to do). The price at which you may be able to sell
your Notes in the secondary market at any time will be influenced by many factors that cannot
be predicted, such as market conditions, and any bid and ask spread for similar sized trades,
and may be substantially less than our estimated value of the Notes. Further, as secondary
market prices of your Notes take into account the levels at which our debt securities trade
in the secondary market, and do not take into account our various costs related to the Notes
such as fees, commissions, discounts, and the costs of hedging our obligations under the
Notes, secondary market prices of your Notes will likely be lower than the initial issue
price of your Notes. As a result, the price at which Barclays Capital Inc., other affiliates
of ours or third parties may be willing to purchase the Notes from you in secondary market
transactions, if any, will likely be lower than the price you paid for your Notes, and any
sale prior to the Maturity Date could result in a substantial loss to you. |
| ¨ | The
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 Trade 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 Trade 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. Please see “Additional
Information Regarding Our Estimated Value of the Notes” on page PS-3 for further information. |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the payment upon a call or at maturity
for a $10 principal amount Note on a hypothetical offering of the Notes under various scenarios, with the assumptions set forth below.*
You should not take these examples as an indication or assurance of the expected performance of the Notes. The examples below do not
take into account any tax consequences from investing in the Notes. Numbers appearing in the examples below have been rounded for ease
of analysis. In these examples, we refer to the Nasdaq-100 Index® and the Russell 2000® Index as the “NDX
Index” and the “RTY Index,” respectively.
| Term: |
Approximately five years (unless called earlier) |
| Hypothetical Contingent Coupon Rate: |
9.50% per annum (or 2.375% per quarter) (the bottom of the range of 9.50% to 10.25% per annum) |
| Hypothetical Contingent Coupon: |
$0.2375 per quarter |
| Hypothetical Initial Underlying Level: |
100.00 for the NDX Index and 100.000 for the RTY Index |
| Hypothetical Coupon Barrier: |
70.00 for the NDX Index and 70.000 for the RTY Index (which, with respect to each Underlying, is 70.00% of the hypothetical Initial
Underlying Level of that Underlying) |
| Hypothetical Downside Threshold: |
70.00 for the NDX Index and 70.000 for the RTY Index (which, with respect to each Underlying, is 70.00% of the hypothetical Initial
Underlying Level of that Underlying) |
| Observation Dates: |
Quarterly, as set forth under “Indicative Terms” and “Observation Dates/Coupon Payment Dates/Call Settlement
Dates” in this pricing supplement. The Notes will be automatically callable beginning on the second Observation Date. |
| * | Terms used for purposes of these hypothetical examples may not represent
the actual Contingent Coupon Rate, Initial Underlying Levels, Coupon Barriers or Downside
Thresholds. The actual Contingent Coupon Rate per annum will be set on the Trade Date. The
hypothetical Initial Underlying Levels of 100.00 for the NDX Index and 100.000 for the RTY
Index have been chosen for illustrative purposes only and may not represent likely actual
Initial Underlying Levels for the Underlyings. The actual Initial Underlying Level, Coupon
Barrier and Downside Threshold of each Underlying will be based on the Closing Level of that
Underlying on the Trade Date. For historical Closing Levels of the Underlyings, please see
the historical information set forth under the sections titled “Nasdaq-100 Index®”
and “Russell 2000® Index” below. We cannot predict the Closing
Level of either Underlying on any day during the term of the Notes, including on any Observation
Date. |
The examples below are purely hypothetical. These examples are intended
to illustrate (a) under what circumstances the Notes will be subject to an automatic call, (b) how the payment of a Contingent Coupon
with respect to any Observation Date will depend on whether the Closing Level of either Underlying on that Observation Date is less than
its Coupon Barrier, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Underlying Level of either
Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return on a direct
investment in either or both Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the
number, expressed as a percentage, that results from comparing the total payments per Note over the term of the Notes to the $10 principal
amount.
Example 1 — Notes Are Automatically Called on the Second Observation
Date
| Observation
Date |
|
Closing
Level |
|
Payment
(per Note) |
| First Observation Date |
|
NDX Index: 105.00
RTY Index: 110.000 |
|
Closing Level of each Underlying at or above its Initial Underlying Level; Notes NOT automatically
callable because Observation Date is prior to the second Observation Date. Closing Level of each Underlying at or above its Coupon
Barrier; Issuer pays Contingent Coupon of $0.2375 on first Coupon Payment Date. |
| |
|
|
|
|
| Second Observation Date |
|
NDX Index: 110.00
RTY Index: 115.000 |
|
Closing Level of each Underlying at or above its Initial Underlying Level; Notes are automatically called; Issuer pays principal
plus Contingent Coupon of $0.2375 on Call Settlement Date. |
| |
|
|
|
|
| Total Payments
(per Note): |
|
Payment on Call Settlement
Date: |
$10.2375 ($10.00 + $0.2375) |
| |
|
Prior Contingent Coupons: |
$0.2375 ($0.2375 × 1) |
| |
|
Total: |
$10.475 |
| |
|
Total Return: |
4.75% |
Because the Closing Level of each Underlying is greater than or equal
to its Initial Underlying Level on the second Observation Date (which is approximately six months after the Trade Date and is the first
Observation Date on which the Notes are callable), the Notes are automatically called on that Observation Date. The Issuer will pay you
on the Call Settlement Date $10.2375 per Note, which is equal to your principal amount plus the Contingent Coupon due on the Coupon
Payment Date that is also the Call Settlement Date. No further amounts will be owed to you under the Notes.
In addition, because the Closing Level of each Underlying was greater
than or equal to its Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon of $0.2375 on the first
Coupon Payment Date. Accordingly, the Issuer will have paid a total of $10.475 per Note for a total return of 4.75% on the Notes.
Example 2 — Notes Are NOT Automatically Called and the Final
Underlying Level of Each Underlying Is At or Above Its Downside Threshold
| Observation
Date |
|
Closing
Level |
|
Payment
(per Note) |
| First Observation Date |
|
NDX Index: 115.00
RTY Index: 95.000 |
|
Closing Level of at least one Underlying below its Initial Underlying Level; Notes NOT automatically callable because Observation
Date is prior to the second Observation Date. Closing Level of each Underlying at or above its Coupon Barrier; Issuer pays Contingent
Coupon of $0.2375 on first Coupon Payment Date. |
| |
|
|
|
|
| Second Observation Date |
|
NDX Index: 80.00
RTY Index: 75.000 |
|
Closing Level of each Underlying below its Initial Underlying Level; Notes NOT automatically called. Closing Level of each Underlying
at or above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2375 on second Coupon Payment Date. |
| |
|
|
|
|
| Third Observation Date |
|
NDX Index: 85.00
RTY Index: 65.000 |
|
Closing Level of each Underlying below its Initial Underlying Level; Notes NOT automatically called.
Closing Level of RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date. |
| |
|
|
|
|
| Fourth to Nineteenth Observation Dates |
|
Various (at least one Underlying below Coupon Barrier) |
|
Closing Level of at least one Underlying below its Initial Underlying Level; Notes NOT automatically called. Closing Level of
at least one Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to nineteenth Coupon
Payment Dates. |
| |
|
|
|
|
| Twentieth Observation Date (the Final Valuation Date) |
|
NDX Index: 105.00
RTY Index: 75.000 |
|
Closing Level of RTY Index below its Initial Underlying Level; Notes NOT automatically called. Final Underlying Level of each
Underlying at or above its Downside Threshold and Coupon Barrier; Issuer pays principal plus Contingent Coupon of $0.2375
on Maturity Date. |
| |
|
|
|
|
| Total Payments (per Note): |
|
Payment at Maturity: |
$10.2375 ($10.00 + $0.2375) |
| |
|
Prior Contingent Coupons: |
$0.475 ($0.2375 × 2) |
| |
|
Total: |
$10.7125 |
| |
|
Total Return: |
7.125% |
Because the Closing Level of at least one Underlying was less than
its Initial Underlying Level on each Observation Date on and after the second Observation Date (which is approximately six months after
the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the
Final Underlying Level of each Underlying is greater than or equal to its Downside Threshold and Coupon Barrier, the Issuer will pay
you on the Maturity Date $10.2375 per Note, which is equal to your principal amount plus the Contingent Coupon due on the Coupon
Payment Date that is also the Maturity Date.
In addition, because the Closing Level of each Underlying was greater
than or equal to its Coupon Barrier on the first and second Observation Dates, the Issuer will pay the Contingent Coupon of $0.2375 on
each of the first and second Coupon Payment Dates. However, because the Closing Level of at least one Underlying was less than its Coupon
Barrier on the third through nineteenth Observation Dates, the Issuer will not pay any Contingent Coupon on the Coupon Payment Dates
following those Observation Dates. Accordingly, the Issuer will have paid a total of $10.7125 per Note for a total return of 7.125% on
the Notes.
Example 3 — Notes Are NOT Automatically Called and the Final
Underlying Level of At Least One Underlying Is Below Its Downside Threshold
| Observation
Date |
|
Closing
Level |
|
Payment
(per Note) |
| First Observation Date |
|
NDX Index: 60.00
RTY Index: 65.000 |
|
Closing Level of each Underlying below its Initial Underlying Level; Notes NOT automatically callable because Observation Date
is prior to the second Observation Date. Closing Level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent
Coupon on first Coupon Payment Date. |
| |
|
|
|
|
| Second Observation Date |
|
NDX Index: 105.00
RTY Index: 65.000 |
|
Closing Level of the RTY Index below its Initial Underlying Level; Notes NOT automatically called. Closing Level of RTY Index
below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date. |
| |
|
|
|
|
| Third Observation Date |
|
NDX Index: 40.00
RTY Index: 65.000 |
|
Closing Level of each Underlying below its Initial Underlying Level; Notes NOT automatically called. Closing Level of each Underlying
below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date. |
| |
|
|
|
|
| Fourth to Nineteenth Observation Dates |
|
Various (at least one Underlying below Coupon Barrier) |
|
Closing Level of at least one Underlying below its Initial Underlying Level; Notes NOT automatically called. Closing Level of
at least one Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to nineteenth Coupon
Payment Dates. |
| |
|
|
|
|
| Twentieth Observation Date (the Final Valuation Date) |
|
NDX Index: 45.00
RTY Index: 110.000 |
|
Closing Level of NDX Index below its Initial Underlying Level; Notes NOT automatically called. Closing Level of NDX Index below
its Coupon Barrier and Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date; Issuer repays less than the principal
amount resulting in a percentage loss of principal equal to the decline of the Lesser Performing Underlying. |
| |
|
|
|
|
| Total Payments (per Note): |
|
Payment at Maturity: |
$4.50 |
| |
|
Prior Contingent Coupons: |
$0.00 |
| |
|
Total: |
$4.50 |
| |
|
Total Return: |
-55.00% |
Because the Closing Level of at least one Underlying is less than its
Initial Underlying Level on each Observation Date on and after the second Observation Date (which is approximately six months after the
Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the Final
Underlying Level of at least one Underlying is less than its Downside Threshold on the Final Valuation Date, at maturity, the Issuer
will pay you a total of $4.50 per Note, for a total return of -55.00% on the Notes, calculated as follows:
$10 × (1 + Underlying Return of the Lesser
Performing Underlying)
Step 1: Calculate the Underlying Return of each Underlying:
Underlying Return of the NDX Index:
| Final Underlying Level – Initial Underlying Level |
= |
45.00 – 100.00 |
= -55.00% |
| Initial Underlying Level |
100.00 |
Underlying Return of the RTY Index:
| Final Underlying Level – Initial Underlying Level |
= |
110.000 – 100.000 |
= 10.00% |
| Initial Underlying Level |
100.000 |
Step 2: Determine the Lesser Performing Underlying. The NDX
Index is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10 × (1 + Underlying Return of the Lesser
Performing Underlying) = $10 × (1 + -55.00%) = $4.50
In addition, because the Closing Level of at least one Underlying is
less than its Coupon Barrier on each Observation Date, the Issuer will not pay any Contingent Coupons over the term of the Notes.
| What Are the Tax Consequences of
an Investment in the Notes? |
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 Coupons 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 Coupons 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 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. 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, 2027 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 should 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.
The Nasdaq-100 Index® (the “NDX Index”)
is a modified market capitalization-weighted index that is designed to measure the performance of 100 of the largest non-financial companies
listed on The Nasdaq Stock Market. For more information about the NDX Index, see “Indices—The Nasdaq-100 Index®”
in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the NDX
Index from January 2, 2014 through October 8, 2024, based on the daily Closing Levels of the NDX Index. The Closing Level of the NDX
Index on October 8, 2024 was 20,107.78. The dotted line represents a hypothetical Coupon Barrier and a hypothetical Downside Threshold
of 14,075.45, which is equal to 70.00% of the Closing Level of the NDX Index on October 8, 2024. The actual Coupon Barrier and Downside
Threshold for the NDX Index will be determined on the Trade Date and will be based on the Initial Underlying Level of the NDX Index.
We obtained the Closing Levels of the NDX Index from Bloomberg Professional®
service (“Bloomberg”), without independent verification. Historical performance of the NDX Index should not
be taken as an indication of future performance. Future performance of the NDX Index may differ significantly from historical performance,
and no assurance can be given as to the Closing Level of the NDX Index during the term of the Notes, including on any Observation Date.
We cannot give you assurance that the performance of the NDX Index will not result in a loss of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
The Russell 2000® Index (the “RTY Index”)
measures the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and
is designed to track the performance of the small-capitalization segment of the U.S. equity market. For more information about the RTY
Index, see “Indices—The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the RTY
Index from January 2, 2014 through October 8, 2024, based on the daily Closing Levels of the RTY Index. The Closing Level of the RTY
Index on October 8, 2024 was 2,194.984. The dotted line represents a hypothetical Coupon Barrier and a hypothetical Downside Threshold
of 1,536.489, which is equal to 70.00% of the Closing Level of the RTY Index on October 8, 2024. The actual Coupon Barrier and Downside
Threshold for the RTY Index will be determined on the Trade Date and will be based on the Initial Underlying Level of the RTY Index.
We obtained the Closing Levels of the RTY Index from Bloomberg, without
independent verification. Historical performance of the RTY Index should not be taken as an indication of future performance. Future
performance of the RTY Index may differ significantly from historical performance, and no assurance can be given as to the Closing Level
of the RTY Index during the term of the Notes, including on any Observation Date. We cannot give you assurance that the performance of
the RTY Index will not result in a loss of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
| Correlation of
the Underlyings |
The following graph sets forth the historical performances of the Nasdaq-100
Index® and the Russell 2000® Index from January 2, 2014 through October 8, 2024, based on the daily Closing
Levels of the Underlyings. For comparison purposes, each Underlying has been normalized to have a Closing Level of 100.00 on January
2, 2014 by dividing the Closing Level of that Underlying on each day by the Closing Level of that Underlying on January 2, 2014 and multiplying
by 100.00.
We obtained the Closing Levels used to determine the normalized Closing
Levels set forth below from Bloomberg, without independent verification. Historical performance of the Underlyings should not be taken
as an indication of future performance. Future performance of the Underlyings may differ significantly from historical performance, and
no assurance can be given as to the Closing Levels of the Underlyings during the term of the Notes, including on any Observation Date.
We cannot give you assurance that the performances of the Underlyings will not result in a loss of your principal amount.
PAST PERFORMANCE AND CORRELATION OF THE UNDERLYINGS
ARE NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e., the
value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating
no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating perfect
negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the ratio of their
returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of
each Underlying relative to each other over the time period shown and provides an indication of how close the relative performance of
each Underlying has historically been to the other Underlying. However, the graph does not provide a precise measurement of the correlation
of the Underlyings. Moreover, any historical correlation of the Underlyings is not indicative of the degree of correlation of the Underlyings,
if any, that will be experienced over the term of the Notes.
The lower (or more negative) the correlation between the Underlyings,
the less likely it is that the Underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the Underlyings to close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date,
respectively. This is because the less positively correlated the Underlyings are, the greater the likelihood that at least one of the
Underlyings will decrease in value. However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings
might close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively, as both
of the Underlyings may decrease in value together.
Although the correlation of the Underlyings’ performance may
change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’
performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Contingent Coupon Rate
is generally associated with lower correlation of the Underlyings, which reflects a greater potential for missed Contingent Coupons and
for a loss of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated using our internal models
and is not derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than
correlation may impact how the terms of the Notes are set and the performance of the Notes.
| Supplemental Plan
of Distribution |
We have agreed to sell to Barclays Capital Inc. and UBS Financial Services
Inc., together the “Agents,” and the Agents have agreed to purchase, all of the Notes at the initial issue price indicated
on the cover of this pricing supplement. All sales of the Notes will be made to certain fee-based advisory accounts for which UBS Financial
Services Inc. is an investment advisor. UBS Financial Services Inc. will act as placement agent at an initial issue price of $10 per
Note and will not receive a sales commission.
We or our affiliates have entered or will enter into swap agreements
or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes
and the Agents and/or an affiliate may earn additional income as a result of payments pursuant to the swap, or related hedge transactions.
We have agreed to indemnify the Agents against liabilities, including
certain liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agents may be required to make
relating to these liabilities as described in the prospectus and the prospectus supplement. We have agreed that UBS Financial Services
Inc. may sell all or a part of the Notes that it purchases from us to its affiliates at the price that is indicated on the cover of this
pricing supplement.
We expect that delivery of the Notes will be made against payment for
the Notes on the Settlement Date, which is more than one business day following the Trade Date. Notwithstanding anything to the contrary
in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective May 28, 2024,
trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree
otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to one business day before delivery will be required
to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
iPath Series B S&P 500 V... (AMEX:VXZ)
過去 株価チャート
から 10 2024 まで 11 2024
iPath Series B S&P 500 V... (AMEX:VXZ)
過去 株価チャート
から 11 2023 まで 11 2024
