CALCULATION
OF REGISTRATION FEE
|
Title of Each Class of Securities Offered
|
|
Maximum Aggregate Offering Price
|
|
Amount of Registration Fee
(1)
|
|
Global Medium-Term Notes, Series A
|
|
$2,145,600
|
|
$216.06
|
|
|
(1)
|
Calculated in accordance with Rule 457(r) of the Securities
Act of 1933
|
|
Pricing Supplement dated August 26, 2016
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-212571
$2,145,600 Barclays Bank PLC Capped Trigger GEARS
|
Linked to the EURO STOXX 50
®
Index due August
30, 2019
Capped Trigger GEARS (the “Securities”)
are unsecured and unsubordinated debt obligations issued by Barclays Bank PLC (the “Issuer”) with returns linked to
the performance of the EURO STOXX 50
®
Index (the “Underlying”). If the Underlying Return is positive,
the Issuer will repay the principal amount of the Securities at maturity plus pay a return equal to the Underlying Return times
the Upside Gearing of 2.0, up to the Maximum Gain of 51.50%. If the Underlying Return is zero or negative and the Final Underlying
Level is greater than or equal to the Downside Threshold (70% of the Initial Underlying Level), the Issuer will repay the principal
amount of the Securities at maturity. However, if the Final Underlying Level is less than the 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 on your
investment equal to the negative Underlying Return. In this case, you will have full downside exposure to the Underlying from
the Initial Underlying Level to the Final Underlying Level, and could lose all of your initial investment.
Investing
in the Securities involves significant risks. The Issuer will not pay any interest on the Securities. You may lose some or all
of your principal. The Downside Threshold is observed relative to the Final Underlying Level only on the Final Valuation Date,
and the contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities,
including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third
party. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power
(as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution authority, you might not receive any amounts
owed to you under the Securities. See “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors”
in the accompanying prospectus supplement.
|
q
Enhanced
Growth Potential, Subject to Maximum Gain:
At
maturity, the Upside Gearing will provide leveraged exposure to any positive performance
of the Underlying, up to the Maximum Gain.
q
Downside
Exposure with Contingent Repayment of Principal at Maturity:
If the Underlying
Return is zero or negative and the Final Underlying Level is greater than or equal to the Downside Threshold, the Issuer
will repay the principal amount at maturity. However, if the Final Underlying Level is less than the Downside Threshold,
the Issuer will repay less than the full principal amount at maturity, if anything, resulting in a loss of principal to
investors that is proportionate to the negative Underlying Return. The Downside Threshold is observed relative to the
Final Underlying Level only on the Final Valuation Date, and the contingent repayment of principal applies only if you
hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the
creditworthiness of Barclays Bank PLC.
|
|
Trade Date:
|
August 26, 2016
|
|
Settlement Date:
|
August 31, 2016
|
|
Final Valuation Date
1
:
|
August 27, 2019
|
|
Maturity Date
1
:
|
August 30, 2019
|
|
1
Subject to postponement in the event of a market disruption event
as described under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity
Securities as a Reference Asset” in the prospectus supplement.
|
NOTICE TO INVESTORS: THE SECURITIES
ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL
AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE 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 SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER
THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE PS-7 OF THIS PRICING SUPPLEMENT AND “RISK FACTORS”
BEGINNING ON PAGE S-7 OF THE PROSPECTUS SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR
OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME
OR ALL OF THE PRINCIPAL AMOUNT OF THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
NOTWITHSTANDING ANY OTHER AGREEMENTS,
ARRANGEMENTS OR UNDERSTANDINGS BETWEEN BARCLAYS BANK PLC AND ANY HOLDER OF THE SECURITIES, BY ACQUIRING THE SECURITIES, EACH HOLDER
OF THE SECURITIES ACKNOWLEDGES, ACCEPTS, AGREES TO BE BOUND BY AND CONSENTS TO THE EXERCISE OF, ANY U.K. BAIL-IN POWER BY THE
RELEVANT U.K. RESOLUTION AUTHORITY. SEE “CONSENT TO U.K. BAIL-IN POWER” ON PAGE PS-4 OF THIS PRICING SUPPLEMENT.
|
Additional
Information about Barclays Bank PLC and the Securities
|
You should read this pricing supplement together with the prospectus
dated July 18, 2016, as supplemented by the prospectus supplement dated July 18, 2016 and the index supplement dated July 18, 2016
relating to our Global Medium-Term Notes, Series A, of which these Securities are a part. This pricing supplement, together with
the documents listed below, contains the terms of the Securities and supersedes all prior or contemporaneous oral statements as
well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other
things, the matters set forth in “Risk Factors” in the prospectus supplement, as the Securities involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you
invest in the Securities.
If the terms discussed in this pricing supplement differ from
those in the prospectus, prospectus supplement or index supplement, the terms discussed 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. References
to “Barclays,” “Barclays Bank PLC,” “we,” “our” and “us” refer only
to Barclays Bank PLC and not to its consolidated subsidiaries. In this pricing supplement, “Securities” refers to the
Capped Trigger GEARS that are offered hereby, unless the context otherwise requires.
|
Additional
Information Regarding Our Estimated Value of the Securities
|
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the Trade Date is based on our internal
funding rates. Our estimated value of the Securities might be lower if such valuation were based on the levels at which our benchmark
debt securities trade in the secondary market.
Our estimated value of the Securities on the Trade Date is less
than the initial issue price of the Securities. The difference between the initial issue price of the Securities and our estimated
value of the Securities results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another
affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Securities, the estimated
cost that we may incur in hedging our obligations under the Securities, and estimated development and other costs that we may incur
in connection with the Securities.
Our estimated value on the Trade Date is not a prediction of
the price at which the Securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may
buy or sell the Securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another
affiliate of ours intends to offer to purchase the Securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the
Trade Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market, if any,
and the value that we may initially use for customer account statements, if we provide any customer account statements at all,
may exceed our estimated value on the Trade Date for a temporary period expected to be approximately eight months after the initial
issue date of the Securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated
cost of hedging our obligations under the Securities and other costs in connection with the Securities that we will no longer expect
to incur over the term of the Securities. We made such discretionary election and determined this temporary reimbursement period
on the basis of a number of factors, including the tenor of the Securities and any agreement we may have with the distributors
of the Securities. The amount of our estimated costs that we effectively reimburse to investors in this way may not be allocated
ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the
reimbursement period after the initial issue date of the Securities based on changes in market conditions and other factors that
cannot be predicted.
We urge you to read the “Key Risks” beginning
on page PS-7 of this pricing supplement.
|
Consent
to U.K. Bail-in Power
|
Notwithstanding
any other agreements, arrangements or understandings between us and any holder of the Securities, by acquiring the Securities,
each holder of the Securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.
K. Bail-in
Power by the relevant U.K. resolution authority.
Under the U.K. Banking
Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant
U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment
firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is an European Economic Area (“EEA”) or third country institution or investment
firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect
of that entity.
The U.K. Bail-in Power
includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Securities; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Securities into shares or other
securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder of the Securities
such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the Securities, or amendment
of the amount of interest or any other amounts due on the Securities, or the dates on which interest or any other amounts become
payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation
of the terms of the Securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder of the Securities further acknowledges and agrees that the rights of the holders of the Securities are subject
to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders of the Securities
may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach
of laws applicable in England.
For more information, please see “Key Risks—You
may lose some or all of your investment if any U.K. bail-in power is exercised by the relevant U.K. resolution authority”
in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities
Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail could materially
adversely affect the value of the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority” in the accompanying prospectus supplement.
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Investor
Suitability
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|
The
Securities may be suitable for you if:
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|
The
Securities may not be suitable for you if:
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|
|
¨
You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨
You
can tolerate a loss of some or all of your initial investment, and you are willing to make an investment that may have the full
downside market risk of the Underlying.
¨
You
believe the Underlying will appreciate over the term of the Securities and that any such appreciation is unlikely to exceed the
Maximum Gain.
¨
You
understand and accept that your potential return is limited by the Maximum Gain, and you are willing to invest in the Securities
based on the Maximum Gain specified on the cover of this pricing supplement.
¨
You
do not seek current income from this investment, and you are willing to forgo any dividends paid on the securities composing the
Underlying.
¨
You
are willing and able to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
¨
You
understand and accept the risks associated with the Underlying.
¨
You
are willing to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments under the Securities
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 owed to you under the Securities, including any repayment of principal.
|
|
¨
You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial
investment.
¨
You
cannot tolerate the loss of some or all of your initial investment, or you are not willing to make an investment that may have
the full downside market risk of the Underlying.
¨
You
believe the Underlying will depreciate over the term of the Securities and the Final Underlying Level is likely to be less than
the Downside Threshold, or you believe the Underlying will appreciate over the term of the Securities by more than the Maximum
Gain.
¨
You
seek an investment that has unlimited return potential without a cap on appreciation, or you are unwilling to invest in the Securities
based on the Maximum Gain specified on the cover of this pricing supplement.
¨
You
seek current income from this investment, or you would prefer to receive any dividends paid on the securities composing the Underlying.
¨
You
are unable or unwilling to hold the Securities to maturity, or you seek an investment for which there will be an active secondary
market.
¨
You
do not understand or accept the risks associated with the Underlying.
¨
You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings that bear interest at a prevailing market rate.
¨
You
are not willing or are unable to assume the credit risk associated with Barclays Bank PLC, as issuer of the Securities, for any
payments under the Securities, including any repayment of principal.
|
|
The
suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable 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 suitability of an investment in the Securities in light
of your particular circumstances. You should also review carefully the “Key Risks” beginning on page PS-7 of this
pricing supplement and the “Risk Factors” beginning on page S-7 of the prospectus supplement.
For
more information about the Underlying, please see the section titled “EURO STOXX 50
®
Index” below.
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Final
Terms
1
|
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Issuer:
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Barclays Bank PLC
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Principal Amount:
|
$10 per Security
|
|
Term
2
:
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Approximately 3 years
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Reference Asset
3
:
|
EURO STOXX 50
®
Index (Bloomberg ticker symbol “SX5E<Index>“) (the “Underlying”)
|
|
Payment at Maturity (per $10 principal amount Security):
|
·
If
the Underlying Return is positive
,
the Issuer will repay the principal amount plus pay a return equal
to the Underlying Return multiplied by the Upside Gearing, but no more than the Maximum Gain. Accordingly, the payment
at maturity per $10 principal amount Security would be calculated as follows:
$10 + ($10 × the
lesser of (a) Underlying Return × Upside Gearing and (b) the Maximum Gain)
·
If
the Underlying Return is zero or negative and the Final Underlying Level is greater than or equal to the Downside Threshold
,
the Issuer will repay the full principal amount at maturity of $10.00 per $10 principal amount Security.
·
If
the Underlying Return is negative and the Final Underlying Level is less than the Downside Threshold
,
the Issuer will repay less than the full principal amount at maturity, if anything, resulting in a loss of principal that
is proportionate to the decline of the Underlying from the Trade Date to the Final Valuation Date. Accordingly, the payment
at maturity per $10 principal amount Security would be calculated as follows:
$10 + ($10 × Underlying Return)
If
the Final Underlying Level is less than the Downside Threshold, your principal is fully exposed to the decline in the
Underlying, and you will lose some or all of the principal amount of the Securities at maturity.
Any
payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party.
|
|
Upside Gearing:
|
2.0
|
|
Maximum Gain:
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51.50%
|
|
Underlying Return:
|
Final Underlying Level – Initial Underlying Level
Initial Underlying Level
|
|
Initial Underlying Level:
|
3,010.36, which is the closing level of the Underlying on the Trade Date
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|
Final Underlying Level:
|
The closing level of the Underlying on the Final Valuation Date
|
|
Downside Threshold:
|
2,107.25, which is 70% of the Initial Underlying Level (rounded to two decimal places)
|
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Calculation Agent:
|
Barclays Bank PLC
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Investment
Timeline
|
|
|
Trade
Date:
|
|
The Initial Underlying Level is observed, the Downside Threshold is determined and the Maximum Gain is set.
|
|
|
|
|
|
|
|
|
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Maturity
Date:
|
|
The Final Underlying Level is observed and the Underlying
Return is determined on the Final Valuation Date.
If
the Underlying Return is positive
,
the Issuer will repay the principal amount plus pay a return equal
to the Underlying Return multiplied by the Upside Gearing, but no more than the Maximum Gain. Accordingly, the payment
at maturity per $10 principal amount Security would be calculated as follows:
$10 + ($10 × the lesser of
(a) Underlying Return × Upside Gearing and (b) the Maximum Gain)
If
the Underlying Return is zero or negative and the Final Underlying Level is greater than or equal to the Downside Threshold
,
the Issuer will repay the full principal amount at maturity of $10.00 per $10 principal amount Security.
If
the Underlying Return is negative and the Final Underlying Level is less than the Downside Threshold
,
the Issuer will repay less than the full principal amount at maturity, if anything, resulting in a loss of principal that
is proportionate to the decline of the Underlying from the Trade Date to the Final Valuation Date. Accordingly, the payment
at maturity per $10 principal amount Security would be calculated as follows:
$10 + ($10 × Underlying Return)
If the Final Underlying Level is less than
the Downside Threshold, your principal is fully exposed to the decline in the Underlying, and you will lose some or all
of the principal amount of the Securities at maturity. Any payment on the Securities, including any repayment of principal,
is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
|
|
|
|
|
|
|
|
|
|
|
|
Investing in the Securities involves significant risks. The Issuer will not pay any interest on the Securities.
You may lose some or all of your principal. The Downside Threshold is observed relative to the Final Underlying Level only
on the Final Valuation Date, and the contingent repayment of principal applies only if you hold the Securities to maturity.
Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC
and is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations
or
become subject to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority, you might not receive
any amounts owed to you under the Securities.
|
|
|
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1
|
Terms used in this
pricing supplement, but not defined herein, shall have the meanings ascribed to them
in the prospectus supplement.
|
|
|
2
|
The Final Valuation
Date and Maturity Date are subject to postponement in the event of a market disruption
event as described under “Reference Assets—Indices—Market Disruption
Events for Securities with an Index of Equity Securities as a Reference Asset”
in the prospectus supplement.
|
|
|
3
|
For a description of
adjustments that may affect the Underlying, see “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the prospectus supplement.
|
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying or the securities composing the Underlying. Some of
the risks that apply to an investment in the Securities are summarized below, but we urge you to read the more detailed explanation
of risks relating to the Securities generally in the “Risk Factors” section of the prospectus supplement. You should
reach an investment decision only after you have carefully considered with your advisors the suitability of an investment in the
Securities in light of your particular circumstances.
|
|
¨
|
You
risk losing some or all of your principal
— The Securities differ from
ordinary debt securities in that the Issuer will not necessarily repay the full principal
amount of the Securities at maturity. The Issuer will pay you the principal amount of
your Securities only if the Final Underlying Level is greater than or equal to the Downside
Threshold and will make such payment only at maturity. If the Final Underlying Level
is less than the Downside Threshold, you will be exposed to the full negative Underlying
Return and the Issuer will repay less than the full principal amount of the Securities
at maturity, if anything, resulting in a loss of the principal amount that is proportionate
to the decline of the Underlying from the Trade Date to the Final Valuation Date. Accordingly,
you may lose some or all of your principal.
|
|
|
¨
|
Contingent
repayment of principal applies only if you hold the Securities to
maturity
— You should be willing to hold your Securities to maturity. The market value
of the Securities may fluctuate between the date you purchase them and the Final Valuation
Date. If you are able to sell your Securities prior to maturity in the secondary market,
if any, you may have to sell them at a loss relative to your initial investment even
if at that time the level of the Underlying is greater than the Downside Threshold.
|
|
|
¨
|
The
Upside Gearing applies only if you hold the Securities to
maturity
— You should be willing to hold your Securities to maturity. If you are able to
sell your Securities prior to maturity in the secondary market, if any, the price you
receive likely will not reflect the full economic value of the Upside Gearing or the
Securities themselves, and the return you realize may be less than the product of the
performance of the Underlying and the Upside Gearing and may be less than the Underlying’s
return itself, even if such return is positive and does not exceed the Maximum Gain.
You can receive the full benefit of the Upside Gearing, subject to the Maximum Gain,
only if you hold your Securities to maturity.
|
|
|
¨
|
Your
maximum return on the Securities is limited by the Maximum Gain
— If
the Final Underlying Level is greater than the Initial Underlying Level, for each $10
principal amount of Securities, the Issuer will pay you at maturity $10 plus an additional
amount that will not exceed a predetermined percentage of the principal amount, regardless
of the appreciation of the Underlying, which may be significant. We refer to this percentage
as the Maximum Gain. Therefore, you will not benefit from any positive Underlying Return
in excess of an amount that, when multiplied by the Upside Gearing, exceeds the Maximum
Gain, and your return on the Securities may be less than the return on a direct investment
in the Underlying or its underlying components.
|
|
|
¨
|
The
probability that the Final Underlying Level will be less than the Downside Threshold
will depend on the volatility of the Underlying
— Volatility is a measure
of the degree of variation in the level of the Underlying over a period of time. The
greater the expected volatility at the time the terms of the Securities are set, the
greater the expectation is at that time that the Final Underlying Level will be less
than the Downside Threshold, which would result in a loss of a significant portion or
all of your principal at maturity. However, the Underlying’s volatility can change
significantly over the term of the Securities. The level of the Underlying could fall
sharply, which could result in a significant loss of principal. You should be willing
to accept the downside market risk of the Underlying and the potential loss of some or
all of your principal at maturity.
|
|
|
¨
|
Credit
of Issuer
— The Securities are unsecured and unsubordinated debt obligations
of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Securities, including any repayment
of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations
as they come due and is not guaranteed by any third party. As a result, the actual and
perceived creditworthiness of Barclays Bank PLC may affect the market value of the Securities
and, in the event Barclays Bank PLC were to default on its obligations, you might not
receive any amount owed to you under the terms of the Securities.
|
|
|
¨
|
You
may lose some or all of your investment if any U.K. Bail-in Power is exercised by the
relevant U.K. resolution authority
— Notwithstanding any other agreements,
arrangements or understandings between Barclays Bank PLC and any holder of the Securities,
by acquiring the Securities, each holder of the Securities acknowledges, accepts, agrees
to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power”
in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such
a manner as to result in you and other holders of the Securities losing all or a part
of the value of your investment in the Securities or receiving a different security from
the Securities, which may be worth significantly less than the Securities and which may
have significantly fewer protections than those typically afforded to debt securities.
Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power
without providing any advance notice to, or requiring the consent of, the holders of
the Securities. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority with respect to the Securities will not be a default or an Event of Default
(as each term is defined in the indenture) and the trustee will not be liable for any
action that the trustee takes, or abstains from taking, in either case, in accordance
with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Securities. See “Consent to U.K. Bail-in Power” in this
pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment
firm in the Group is failing or likely to fail could materially adversely affect the
value of the securities” and “Risk Factors—Risks Relating to the Securities
Generally—Under the terms of the securities, you have agreed to be bound by the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in
the accompanying prospectus supplement.
|
|
|
¨
|
Owning
the Securities is not the same as owning the securities composing the Underlying
— The return on your Securities may not reflect the return you would realize if
you actually owned the securities composing the Underlying. As a holder of the Securities,
you will not have voting rights or rights to receive dividends or other distributions
or other rights that holders of the securities composing the Underlying would have.
|
|
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¨
|
The
Underlying reflects the price return of the Securities composing the Underlying, not
the total
return
—
The return on the Securities is based on the performance of the Underlying, which reflects
changes
in
the market prices of the securities
composing the Underlying. The 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 Underlying. Accordingly, the return on the Securities will not
include such a total return feature.
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|
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¨
|
No
interest payments
— The Issuer will not make periodic interest payments
on the Securities, and the return on the Securities is limited to the performance of
the Underlying from the Trade Date to the Final Valuation Date.
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|
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¨
|
Dealer
incentives
—
We, the Agents and affiliates of the Agents may act in
various capacities with respect to the Securities. The Agents and various affiliates
may act as a principal, agent or dealer in connection with the Securities. Such Agents,
including the sales representatives of UBS Financial Services Inc., will derive compensation
from the distribution of the Securities and such compensation may serve as an incentive
to sell these Securities instead of other investments. We will pay compensation as specified
on the cover of this pricing supplement to the Agents in connection with the distribution
of the Securities, and such compensation may be passed on to affiliates of the Agents
or other third party distributors.
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|
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¨
|
Limited
liquidity
— The Securities will not be listed on any securities exchange.
Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer to purchase
the Securities in the secondary market but are not required to do so and may cease any
such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the Securities easily. Because
other dealers are not likely to make a secondary market for the Securities, the price
at which you may be able to trade your Securities is likely to depend on the price, if
any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing
to buy the Securities.
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¨
|
Potential
conflicts
— We and our affiliates play a variety of roles in connection
with the issuance of the Securities, including acting as Calculation Agent and hedging
our obligations under the Securities. In performing these duties, the economic interests
of the Calculation Agent and other affiliates of ours are potentially adverse to your
interests as an investor in the Securities.
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|
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¨
|
Potentially
inconsistent research, opinions or recommendations by Barclays, UBS Financial Services
Inc. or their respective affiliates
—
Barclays, 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 Securities,
or express opinions or provide recommendations that are inconsistent with purchasing
or holding the Securities. Any research, opinions or recommendations expressed by Barclays,
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 Securities and the
Underlying.
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¨
|
Potential
Barclays Bank PLC impact on value
— Trading or transactions by Barclays
Bank PLC or its affiliates in the securities composing the Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the Underlying
or the securities composing the Underlying may adversely affect the level of the Underlying
and, therefore, the market value of the Securities.
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¨
|
The
payment at maturity on your Securities is not based on the level of the Underlying at
any time other than the Final Valuation Date
—The Final Underlying Level
and the Underlying Return will be based solely on the closing level of the Underlying
on the Final Valuation Date (subject to adjustments as described in the prospectus supplement).
Therefore, if the level of the Underlying drops precipitously on the Final Valuation
Date, the payment at maturity on your Securities that the Issuer pays you may be significantly
less than it would otherwise have been had the payment at maturity been linked to the
level of the Underlying at a time prior to such drop. Although the level of the Underlying
on the Maturity Date or at other times during the life of your Securities may be higher
than the level of the Underlying on the Final Valuation Date, you will not benefit from
the level of the Underlying at any time other than the Final Valuation Date.
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¨
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Non-U.S.
securities markets risks
—
The equity securities composing the Underlying are issued by non-U.S. companies
in non-U.S. securities markets. Investments in securities linked to the value of such
non-U.S. equity securities, such as the Securities, involve risks associated with the
securities markets in the home countries of the issuers of those non-U.S. equity securities,
including risks of volatility in those markets, governmental intervention in those markets
and cross shareholdings in companies in certain countries. Also, there is generally less
publicly available information about companies in some of these jurisdictions than there
is about U.S. companies that are subject to the reporting requirements of the Securities
and Exchange Commission, and generally non-U.S. companies are subject to accounting,
auditing and financial reporting standards and requirements and securities trading rules
different from those applicable to U.S. reporting companies. The prices of securities
in non-U.S. markets may be affected by political, economic, financial and social factors
in those countries, or global regions, including changes in government, economic and
fiscal policies and currency exchange laws.
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¨
|
The
Underlying Return will not be adjusted for changes in exchange rates relative to the
U.S. dollar even though the securities composing the Underlying are traded in a foreign
currency and the Securities are denominated in U.S. dollars
— The value
of your Securities will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies in which the securities composing the
Underlying
are based. Therefore, if the applicable currencies appreciate or depreciate relative
to the U.S. dollar over the term of the Securities, you will not receive any additional
payment or incur any reduction in any payment with respect to the Securities.
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¨
|
Many
economic and market factors will impact the value of the Securities
—
Structured notes, including the Securities, 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 Securities at issuance
and their value in the secondary market. Accordingly, in addition to the level of the
Underlying on any day, the value of the Securities will be affected by a number of economic
and market factors that may either offset or magnify each other, including:
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¨
|
the expected volatility of the Underlying and the securities composing the Underlying;
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¨
|
the time to maturity of the Securities;
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¨
|
the market prices of, and dividend rates on, the securities composing the Underlying;
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¨
|
interest and yield rates in the market generally;
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¨
|
supply and demand for the Securities;
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¨
|
a variety of economic, financial, political, regulatory and judicial events;
|
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|
¨
|
the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities composing the
Underlying trade; and
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¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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¨
|
The
estimated value of Your Securities is lower than the initial issue price of your Securities
— The estimated value of your Securities on the Trade Date is lower
than the initial issue price of your Securities. The difference between the initial issue
price of your Securities and the estimated value of the Securities is a result of certain
factors, such as any sales commissions to be paid to Barclays Capital Inc. or another
affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed
or paid to non-affiliated intermediaries, the estimated profit that we or any of our
affiliates expect to earn in connection with structuring the Securities, the estimated
cost that we may incur in hedging our obligations under the Securities, and estimated
development and other costs that we may incur in connection with the Securities.
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¨
|
The
estimated value of your Securities might be lower if such estimated value were based
on the levels at which our debt securities trade in the secondary market
—
The estimated value of your Securities on the 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 value referenced above might be lower if such estimated
value were based on the levels at which our benchmark debt securities trade in the secondary
market. 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 Securities to you.
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¨
|
The
estimated value of the securities is based on our internal pricing models, which may
prove to be inaccurate and may be different from the pricing models of other financial
institutions
— The estimated value of your Securities on the 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 Securities
may not be consistent with those of other financial institutions that may be purchasers
or sellers of Securities in the secondary market. As a result, the secondary market price
of your Securities may be materially different from the estimated value of the Securities
determined by reference to our internal pricing models.
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¨
|
The
estimated value of your Securities is not a prediction of the prices at which you may
sell your Securities in the secondary market, if any, and such secondary market prices,
if any, will likely be lower than the initial issue price of your Securities and may
be lower than the estimated value of your Securities
— The estimated
value of the Securities will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Securities
from you in secondary market transactions (if they are willing to purchase, which they
are not obligated to do). The price at which you may be able to sell your Securities
in the secondary market at any time will be influenced by many factors that cannot be
predicted, such as market conditions, and any bid and ask spread for similar sized trades,
and may be substantially less than our estimated value of the Securities. Further, as
secondary market prices of your Securities take into account the levels at which our
debt securities trade in the secondary market, and do not take into account our various
costs related to the Securities such as fees, commissions, discounts, and the costs of
hedging our obligations under the Securities, secondary market prices of your Securities
will likely be lower than the initial issue price of your Securities. As a result, the
price at which Barclays Capital Inc., other affiliates of ours or third parties may be
willing to purchase the Securities from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Securities, and any sale prior
to the Maturity Date could result in a substantial loss to you.
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¨
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The
temporary price at which we may initially buy the Securities in the secondary market
and the value we may initially use for customer account statements, if we provide any
customer account statements at all, may not be indicative of future prices of your Securities
— Assuming that all relevant factors remain constant after the Trade
Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities
in the secondary market (if Barclays Capital Inc. makes a market in the Securities, which
it is not obligated to do) and the value that we may initially use for customer account
statements, if we provide any customer account statements at all, may exceed our estimated
value of the Securities on the Trade Date, as well as the secondary market value of the
Securities, for a temporary period after the initial issue date of the Securities. The
price at which Barclays Capital Inc. may initially buy or sell the Securities in the
secondary market and the value that we may initially use for customer account statements
may not be indicative of future prices of your Securities. Please see “Additional
Information Regarding Our Estimated Value of the Securities” on page PS-2 for further
information.
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¨
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We
and our affiliates may engage in various activities or make determinations that could
materially affect your Securities in Various Ways and create conflicts of interes
t
— We and our affiliates establish the offering price of the Securities for
initial sale to the public, and the offering price is not based upon any independent
verification or valuation. Additionally, the role played by Barclays Capital Inc., as
a dealer in the Securities, could present it with significant conflicts of interest with
the role of Barclays Bank PLC, as issuer of the Securities. For example, Barclays Capital
Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Securities and such compensation or financial benefit may serve as an incentive
to sell these Securities instead of other investments. We may pay dealer compensation
to any of our affiliates acting as agents or dealers in connection with the distribution
of the Securities. Furthermore, we and our affiliates make markets in and trade various
financial instruments or products for their own accounts and for the account of their
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, instruments or assets that may serve as the underliers or constituents
of the underliers of the Securities. Such market making, trading activities, other investment
banking and financial services may negatively impact the value of the Securities. Furthermore,
in any such market making, trading activities, and other services, we or our affiliates
may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Securities. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the Securities into account in conducting
these activities.
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¨
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The
U.S. federal income tax consequences of an investment in the Securities are uncertain
—
There is no direct legal authority regarding the proper U.S. federal
income tax treatment of the Securities, and we do not plan to request a ruling from the
Internal Revenue Service (the “IRS”). Consequently, significant aspects of
the tax treatment of the Securities are uncertain, and the IRS or a court might not agree
with the treatment of the Securities as prepaid forward contracts. If the IRS were successful
in asserting an alternative treatment for the Securities, the tax consequences of the
ownership and disposition of the Securities could be materially and adversely affected.
In addition, as described below under “What Are the Tax Consequences of an Investment
in the Securities?,” in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on various issues regarding the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. Any Treasury
regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the Securities, possibly
with retroactive effect. You should review carefully the sections of 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”
and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,”
and consult your tax advisor regarding the U.S. federal tax consequences of an investment
in the Securities (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
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Hypothetical
Examples and Return Table of the Securities at Maturity
|
The examples and table below illustrate the payment at maturity
for a $10 principal amount Security on a hypothetical offering of Securities under various scenarios, with the assumptions set
forth below. The hypothetical Initial Underlying Level of 100.00 has been chosen for illustrative purposes only and does not represent
the actual Initial Underlying Level. The actual Initial Underlying Level and resulting Downside Threshold are set forth on the
cover of this pricing supplement, and the actual Final Underlying Level will be the closing level of the Underlying on the Final
Valuation Date. For historical data regarding the actual closing level of the Underlying, please see the historical information
set forth under the section titled “EURO STOXX 50
®
Index” below. Numbers appearing in the examples and
table below have been rounded for ease of analysis. These examples and table below do not take into account any tax consequences
from investing in the Securities. We cannot predict the closing level of the Underlying on any day during the term of the Securities,
including on the Final Valuation Date. You should not take these examples or the table below as an indication or assurance of the
expected performance of the Securities.
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Term:
|
Approximately
3 years
|
|
Hypothetical Initial Underlying Level:
|
100.00
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|
Hypothetical Downside Threshold:
|
70.00 (70% of the hypothetical Initial Underlying Level)
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|
Maximum Gain:
|
51.50%
|
|
Upside Gearing:
|
2.0
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|
Final
Underlying Level
|
Underlying
Return
1
|
Payment
at Maturity
|
Total
Return on Securities
at Maturity
2
|
|
180.00
|
80.00%
|
$15.15
|
51.50%
|
|
170.00
|
70.00%
|
$15.15
|
51.50%
|
|
160.00
|
60.00%
|
$15.15
|
51.50%
|
|
150.00
|
50.00%
|
$15.15
|
51.50%
|
|
140.00
|
40.00%
|
$15.15
|
51.50%
|
|
130.00
|
30.00%
|
$15.15
|
51.50%
|
|
125.75
|
25.75%
|
$15.15
|
51.50%
|
|
120.00
|
20.00%
|
$14.00
|
40.00%
|
|
115.00
|
15.00%
|
$13.00
|
30.00%
|
|
110.00
|
10.00%
|
$12.00
|
20.00%
|
|
105.00
|
5.00%
|
$11.00
|
10.00%
|
|
100.00
|
0.00%
|
$10.00
|
0.00%
|
|
95.00
|
-5.00%
|
$10.00
|
0.00%
|
|
90.00
|
-10.00%
|
$10.00
|
0.00%
|
|
80.00
|
-20.00%
|
$10.00
|
0.00%
|
|
70.00
|
-30.00%
|
$10.00
|
0.00%
|
|
60.00
|
-40.00%
|
$6.00
|
-40.00%
|
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
|
40.00
|
-60.00%
|
$4.00
|
-60.00%
|
|
30.00
|
-70.00%
|
$3.00
|
-70.00%
|
|
20.00
|
-80.00%
|
$2.00
|
-80.00%
|
|
10.00
|
-90.00%
|
$1.00
|
-90.00%
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
|
1
|
The
Underlying Return excludes any cash dividend payments.
|
|
2
|
The “total return” is the number, expressed
as a percentage, that results from comparing the payment at maturity per $10 principal amount Security to the purchase price
of $10 per Security.
|
Example
1
— The closing level of the Underlying increases 5.00% from the Initial Underlying Level of 100.00 to a Final Underlying
Level of 105.00, resulting in an Underlying Return of 5.00%
.
Because the Underlying Return of 5.00% is positive and such Underlying
Return multiplied by the Upside Gearing of 2.0 is less than the Maximum Gain of 51.50%, the Issuer will pay a payment at maturity
calculated as follows per $10 principal amount Security:
$10 + ($10 × the lesser of (a) Underlying
Return × Upside Gearing and (b) the Maximum Gain)
$10 + ($10 × 5.00% × 2.0) = $10
+ $1.00 = $11.00
The payment at maturity of $11.00 per $10 principal amount Security
represents a total return on the Securities of 10.00%.
Example
2
— The closing level of the Underlying increases 40.00% from the Initial Underlying Level of 100.00 to
a Final Underlying Level of 140.00, resulting in an Underlying Return of 40.00%.
Because the Underlying Return of 40.00% is positive and such
Underlying Return multiplied by the Upside Gearing of 2.0 is greater than the Maximum Gain of 51.50%, the Issuer will pay a payment
at maturity calculated as follows per $10 principal amount Security:
$10 + ($10 × the lesser of (a) Underlying
Return × Upside Gearing and (b) the Maximum Gain)
$10 + ($10 × 51.50%) = $10 + $5.15
= $15.15
The payment at maturity of $15.15 per $10 principal amount Security,
which is the maximum payment on the Securities, represents a total return on the Securities equal to the Maximum Gain of 51.50%.
Example
3
— The closing level of the Underlying decreases 10.00% from the Initial Underlying Level of 100.00 to
a Final Underlying Level of 90.00, resulting in an Underlying Return of -10.00%.
Because the Underlying Return is negative and the Final Underlying
Level is greater than or equal to the Downside Threshold, the Issuer will repay the full principal amount at maturity of $10.00
per $10 principal amount Security.
The payment at maturity of $10.00 per $10 principal amount Security
represents a total return on the Securities of 0.00%.
Example
4
— The closing level of the Underlying decreases 60.00% from the Initial Underlying Level of 100.00 to
a Final Underlying Level of 40.00, resulting in an Underlying Return of -60.00%.
Because the Underlying Return is negative and the Final Underlying
Level is less than the Downside Threshold, the Issuer will pay a payment at maturity calculated as follows per $10 principal amount
Security:
$10 + ($10 × Underlying Return)
$10 + ($10 × -60.00%) = $10 + -$6 =
$4.00
The payment at maturity of $4.00 per $10 principal amount Security
represents a loss on the Securities of 60.00%, which reflects the Underlying Return of -60.00%.
If the Underlying Return is negative and the Final Underlying
Level is less than the Downside Threshold, at maturity the Issuer will repay less than the full principal amount, if anything,
resulting in a loss of principal to investors that is proportionate to the decline of the Underlying from the Trade Date to the
Final Valuation Date.
|
What
Are the Tax Consequences of an Investment in the Securities?
|
You should review carefully the sections entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative
Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” in the accompanying
prospectus supplement. The following discussion, when read in combination with those sections, constitutes the full opinion of
our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and
disposing of the Securities. The following discussion supersedes the discussion in the accompanying prospectus supplement to the
extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special
tax counsel, it is reasonable to treat the Securities for U.S. federal income tax purposes as prepaid forward contracts with respect
to the Underlying. Assuming this treatment is respected, gain or loss on your Securities should be treated as long-term capital
gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the
original issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any
income or loss on the Securities could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. 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 and adversely affect the tax consequences of an investment
in the Securities, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax
consequences of an investment in the Securities, including possible alternative treatments and the issues presented by this notice.
Non-U.S. Holders.
Insofar as we have responsibility as
a withholding agent, we do not intend to treat payments on the Securities 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.
The Underlying is composed of 50 component stocks of market leaders
in terms of free-float market capitalization from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland,
Italy, Luxembourg, the Netherlands, Portugal and Spain. For more information about the Underlying, see “Indices—The
EURO STOXX 50
®
Index” in the accompanying index supplement.
Historical Information
The following graph sets forth the performance of the Underlying
from January 2, 2008 through August 26, 2016, based on the daily closing levels of the Underlying. The closing level of the Underlying
on August 26, 2016 was 3,010.36. The dotted line represents the Downside Threshold of 2,107.25, which is equal to 70% of the Initial
Underlying Level.
We obtained the closing levels below from Bloomberg, without
independent verification. Historical performance of the Underlying should not be taken as an indication of future performance.
Future performance of the Underlying may differ significantly from historical performance
, and no assurance can be given as
to the closing level of the Underlying during the term of the Securities,
including on the Final Valuation Date. We cannot
give you assurance that the performance of the Underlying will result in the return of any of your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.