Additional Information about Barclays Bank PLC and the Notes
|
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 Notes are a part. This pricing supplement, together with the
documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as
any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters
set forth in “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 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, “Notes” refers to the Trigger Callable Contingent Yield
Notes that are offered hereby, unless the context otherwise requires.
Additional Information Regarding Our Estimated Value of the Notes
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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 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 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 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.
Consent to U.K. Bail-in Power
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Notwithstanding any
other agreements, arrangements or understandings between us and any holder of the Notes, by acquiring the Notes, each holder 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 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 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 of the Notes
such shares, securities or obligations); and/or (iii) 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 of the Notes further acknowledges and agrees that the rights of the holders 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 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—You may lose some or all of your investment if any U.K. bail-in power is exercised by the relevant
U.K. resolution authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or
likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
The Notes may be suitable 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 Least Performing Underlying.
¨
You
are willing and able to accept the individual market risk of each Underlying on each scheduled trading day during the Observation
Periods 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 Underlyings.
¨
You
believe each Underlying is likely to close at or above its Coupon Barrier on each scheduled trading day during each Observation
Period, and, if any 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 any 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 any 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 the Issuer may elect to call on any quarterly Observation End Date other than the Final
Valuation Date, 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
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.
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The Notes may not be suitable 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 Least Performing Underlying.
¨
You
are unwilling or unable to accept the individual market risk of each Underlying on each scheduled trading day during the Observation
Periods 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 Underlyings.
¨
You
do not believe each Underlying is likely to close at or above its Coupon Barrier on each scheduled trading day during each Observation
Period, or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes.
¨
You
believe the Final Underlying Level of any 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 in one or more 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 the Issuer may elect to call on any quarterly Observation End Date other than the Final
Valuation Date, 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
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.
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The suitability considerations identified
above are not exhaustive. Whether or not the Notes 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 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-7 of the prospectus supplement for risks related to an investment in the Notes. For more information about the Underlyings,
please see the sections titled “Russell 2000
®
Index,” “S&P 500
®
Index”
and “EURO STOXX 50
®
Index” below.
Final Terms
1
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Issuer:
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Barclays Bank PLC
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Principal Amount:
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$10 per Note (subject to minimum investment of 100 Notes)
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Term
2
:
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Approximately three years, unless called earlier at the election of the Issuer
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Reference Assets
3
:
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The Russell 2000
®
Index (Bloomberg ticker symbol “RTY<Index>“), the S&P 500
®
Index (Bloomberg ticker symbol “SPX<Index>“) and the EURO STOXX 50
®
Index (Bloomberg ticker symbol “SX5E<Index>“) (each an “Underlying” and together the “Underlyings”)
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Issuer Call:
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The Issuer may elect to call the Notes on any quarterly Observation End Date other than the Final Valuation Date, regardless of the Closing Level of any Underlying on that Observation End Date. If the Notes are called, the Issuer will pay the principal amount of your Notes
plus
any Contingent Coupon that may be 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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Observation End Dates
2
:
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As set forth under the “Observation End Dates” column of the table under “Observation Periods/Observation End Dates/Coupon Payment Dates/Call Settlement Dates” below. The final Observation End Date, February 9, 2021, is the “Final Valuation Date.”
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Observation Periods:
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There are twelve quarterly Observation Periods. The first Observation Period will consist of each scheduled trading day from but excluding the Trade Date to and including the first Observation End Date. Each subsequent Observation Period will consist of each scheduled trading day from but excluding an Observation End Date to and including the next following Observation End Date.
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Call Settlement Dates
2
:
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As set forth under the “Coupon Payment Dates/Call Settlement Dates” column of the table under “Observation Periods/Observation End Dates/Coupon Payment Dates/Call Settlement Dates” below
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Contingent Coupon:
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If
the Closing Level of each Underlying is greater than or equal to its Coupon Barrier on each scheduled trading day during an Observation
Period,
the Issuer will pay you the Contingent Coupon applicable to that Observation Period.
If
the Closing Level of any Underlying is less than its Coupon Barrier on any scheduled trading day during an Observation Period,
the Contingent Coupon applicable to that Observation Period 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.
If a market disruption event occurs with respect to an Underlying
on any scheduled trading day during an Observation Period (other than an Observation End Date), that day for that Underlying will
be disregarded for purposes of determining whether a Contingent Coupon is payable with respect to the applicable Observation Period.
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Coupon Barrier:
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With respect to each Underlying, a percentage of the Initial Underlying Level of that Underlying, as specified on the cover of this pricing supplement
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Coupon Payment Dates
2
:
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As set forth under the “Coupon Payment Dates/Call Settlement Dates” column of the table under “Observation Periods/Observation End Dates/Coupon Payment Dates/Call Settlement Dates” below
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Contingent Coupon Rate:
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The Contingent Coupon Rate is 12.20% per annum. Accordingly,
the Contingent Coupon with respect to each Observation Period is equal to $0.305 per Note and will be payable only for each Observation
Period in which the Closing Level of each Underlying is greater than or equal to its Coupon Barrier on each scheduled trading day
during that Observation Period.
Whether Contingent Coupons will be paid on the Notes will
depend on the performance of the Underlyings. The Issuer will not pay you the Contingent Coupon for any Observation Period in which
the Closing Level of any Underlying is less than its Coupon Barrier on any scheduled trading day during that Observation Period.
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Payment
at Maturity
(per Note):
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If
the Issuer does not elect to call the Notes 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 on the Maturity Date equal to $10 per Note
plus
any Contingent
Coupon that may be due on the Coupon Payment Date that is also the Maturity Date.
If
the Issuer does not elect to call the Notes and the Final Underlying Level of any 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 Least Performing Underlying, calculated
as follows:
$10 × (1 + Underlying Return
of the Least Performing Underlying)
Accordingly, you may lose a significant portion or all
of your principal at maturity, depending on how much the Least Performing Underlying declines, regardless of the performance of
the other Underlyings. 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.
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Underlying Return:
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With respect to each Underlying:
Final Underlying Level –
Initial Underlying Level
Initial Underlying Level
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Least Performing Underlying:
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The Underlying with the lowest Underlying Return
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Downside Threshold:
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With respect to each Underlying, a percentage of the Initial Underlying Level of that Underlying, as specified on the cover of this pricing supplement
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Initial Underlying Level:
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With respect to each Underlying, the Closing Level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Underlying Level:
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With respect to each Underlying, the Closing Level of that Underlying on the Final Valuation Date
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Closing Level
3
:
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With respect to each Underlying, Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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1
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed
to them in the prospectus supplement.
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2
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Each Observation End Date may be postponed if that Observation End Date is not a scheduled trading day with respect to any
Underlying or if a market disruption event occurs with respect to any Underlying on that Observation End 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 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 End Date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus
supplement.
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3
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If an Underlying is discontinued or if the sponsor of an Underlying fails to publish that Underlying, the Calculation Agent
may select a successor underlying or, if no successor underlying 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.
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Trade Date:
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The Closing Level of each Underlying (the Initial Underlying Level) is observed and the Coupon Barrier and Downside Threshold of each Underlying are determined.
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Quarterly (callable by Issuer at its election):
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|
If the Closing Level of each Underlying is greater than or equal
to its Coupon Barrier on each scheduled trading day during an Observation Period, the Issuer will pay you the Contingent Coupon
applicable to that Observation Period.
However, if the Closing Level of any Underlying is less than
its Coupon Barrier on any scheduled trading day during an Observation Period, no Contingent Coupon payment will be made with respect
to that Observation Period.
The Issuer may, at its election and upon written notice to the
trustee, call the Notes on any quarterly Observation End Date other than the Final Valuation Date, regardless of the Closing Level
of any Underlying on that Observation End Date. If the Issuer elects to call the Notes, the Issuer will pay the principal amount
of your Notes plus any Contingent Coupon that may be 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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|
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Maturity Date:
|
|
The Final Underlying Level of each Underlying is determined as
of the Final Valuation Date.
If the Issuer does not elect to call the Notes 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
on the Maturity Date equal to $10 per Note
plus
any Contingent Coupon that may be due on the Coupon Payment Date that is
also the Maturity Date.
If the Issuer does not elect to call the Notes and the Final
Underlying Level of any 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 Least Performing Underlying, calculated as follows:
$10 × (1 + Underlying Return of the
Least Performing Underlying)
Accordingly, you may lose a significant portion or all
of your principal at maturity, depending on how much the Least Performing Underlying declines, regardless of the performance of
the other Underlyings.
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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 on each scheduled trading day during the Observation
Periods 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 Underlyings. 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 any 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 Periods*/Observation End Dates/Coupon Payment Dates/Call Settlement Dates
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Observation End Dates
|
Coupon Payment Dates / Call Settlement Dates
|
|
May 9, 2018
|
May 11, 2018
|
|
August 9, 2018
|
August 13, 2018
|
|
November 9, 2018
|
November 14, 2018
|
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February 11, 2019
|
February 13, 2019
|
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May 9, 2019
|
May 13, 2019
|
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August 9, 2019
|
August 13, 2019
|
|
November 12, 2019
|
November 14, 2019
|
|
February 10, 2020
|
February 12, 2020
|
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May 11, 2020
|
May 13, 2020
|
|
August 10, 2020
|
August 12, 2020
|
|
November 9, 2020
|
November 12, 2020
|
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February 9, 2021**
|
February 12, 2021**
|
|
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*There are twelve quarterly Observation Periods. The first Observation Period will consist of each scheduled trading day from but excluding the Trade Date to and including the first Observation End Date. Each subsequent Observation Period will consist of each scheduled trading day from but excluding an Observation End Date to and including the next following Observation End Date.
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**The Issuer may not elect to call the Notes on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
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An investment in the Notes
involves significant risks. Investing in the Notes is not equivalent to investing in any or all of the 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 reach an investment decision only after you have carefully considered with your advisors the suitability
of an investment in the Notes in light of your particular circumstances.
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¨
|
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 Issuer does not elect to call the Notes, 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 Issuer does not elect to call the Notes and the Final Underlying Level of any Underlying is less
than its Downside Threshold, you will be exposed to the full decline in the Least 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 Least Performing Underlying. Accordingly, you may lose a significant portion or all of your
principal.
|
|
¨
|
If the Issuer does not elect to call the Notes, the payment at maturity,
if any, is calculated based solely on the performance of the Least Performing Underlying
— If the Issuer
does not elect to call the Notes pursuant to the Call Feature, the payment at maturity, if any, will be linked solely to the performance
of the Least Performing Underlying. As a result, in the event that the Final Underlying Level of the Least Performing Underlying
is less than its Downside Threshold, the Underlying Return of only the Least Performing Underlying will be used to determine the
return on your Notes, and you will not benefit from the performance of the other Underlyings, even if the Final Underlying Level
of any of the other Underlyings is greater than or equal to its Downside Threshold or Initial Underlying Level.
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|
¨
|
You may not receive any Contingent Coupons
— The
Issuer will not necessarily make periodic coupon payments on the Notes. If the Closing Level of any Underlying on any scheduled
trading day during an Observation Period is less than its Coupon Barrier, the Issuer will not pay you the Contingent Coupon applicable
to that Observation Period. This will be the case even if the Closing Levels of the other Underlyings are greater than or equal
to their respective Coupon Barriers on each scheduled trading day during that Observation Period, and even if the Closing Level
of that Underlying was greater than or equal to its Coupon Barrier on every other day during that Observation Period. If the Closing
Level of any Underlying is less than its Coupon Barrier on any scheduled trading day during each Observation Period, 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.
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|
¨
|
The Contingent Coupon payments are based on the Closing Level of
each Underlying throughout the Observation Periods
— Whether a Contingent Coupon payment will be made with respect
to an Observation Period will be based on the Closing Level of each Underlying on each scheduled trading day during that Observation
Period. As a result, you will not know whether you will receive the Contingent Coupon with respect to an Observation Period until
the end of that Observation Period. Moreover, because each Contingent Coupon payment is based solely on the Closing Level of each
Underlying on any scheduled trading day during an Observation Period, if the Closing Level of any Underlying on any scheduled trading
day during an Observation Period is less than its Coupon Barrier, you will not receive any Contingent Coupon with respect to that
Observation Period, even if the Closing Level of that Underlying was higher on other days during that Observation Period.
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|
¨
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Contingent repayment of principal applies only at maturity
— You should be willing to hold your Notes to maturity. 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 any or all of the Underlyings
is greater than or equal to its Downside Threshold.
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|
¨
|
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 any Underlying
— The return
potential of the Notes is limited to the pre-specified per annum Contingent Coupon Rate, regardless of any appreciation of any
Underlying. In addition, the total return on the Notes will vary based on the number of Observation Periods in which the Closing
Level of each Underlying has been greater than or equal to its Coupon Barrier on each scheduled trading day during that Observation
Period prior to maturity or a call at the election of the Issuer. Further, if the Notes are called at the election of the Issuer,
you will not receive Contingent Coupons or any other payment in respect of any Observation Periods after the applicable Call Settlement
Date. Because the Notes could be called as early as the first Observation End Date, the total return on the Notes could be minimal.
If the Notes are not called, you may be subject to the decline in the level of the Least Performing Underlying even though you
will not participate in any appreciation of any Underlying. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in any or all of the Underlyings or securities composing the Underlyings.
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Because the Notes are linked to the Least 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 fewer Underlyings
— 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 or two Underlyings. With three Underlyings,
it is more likely that the Closing Level of at least one Underlying will be less than its Coupon Barrier on any scheduled trading
day during the specified Observation Periods 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, 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
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or Downside Threshold on any scheduled
trading day during an Observation Period or the Final Valuation Date, respectively, and with three Underlyings there is a greater
potential that one pair of Underlyings will have low or negative correlation. See “Correlation of the Underlyings”
below.
It is impossible to predict what
the correlations between the Underlyings will be over the term of the Notes. The Underlyings represent different equity markets.
The Russell 2000
®
Index represents the small-capitalization segment of the United States equity market, the S&P
500
®
Index represents the large-capitalization segment of the United States equity market and the EURO STOXX 50
®
Index represents foreign equity markets in the Eurozone. 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 correlations
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 correlations referenced in setting the terms of the
Notes are calculated using our internal models and are 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.
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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 any 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 Underlyings. To receive a Contingent Coupon with respect to an Observation
Period, the Closing Level of each Underlying must be greater than or equal to its Coupon Barrier on each scheduled trading day
during that Observation Period. In addition, if the Notes have not been called prior to maturity and the Final Underlying Level
of any Underlying is less than its Downside Threshold, you will be exposed to the full decline in the Least Performing Underlying.
Accordingly, your investment is subject to the market risk of each Underlying.
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Call and reinvestment risk
—
The Issuer may, in its sole discretion, call the Notes on any quarterly Observation End Date other than the Final
Valuation Date regardless of the Closing Level of any Underlying on that Observation End Date. If the Issuer elects to call the
Notes early, the holding period over which you would receive the per annum Contingent Coupon Rate could be as short as approximately
three months. In the event the Issuer calls the Notes, there is no guarantee that you would be able to reinvest the proceeds at
a comparable return and/or with a comparable Contingent Coupon Rate for a similar level of risk.
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It is more likely that the Issuer
will call the Notes at its election prior to maturity to the extent that the expected interest payable on the Notes is greater
than the interest that would be payable on other instruments issued by the Issuer of comparable maturity, terms and credit rating
trading in the market. The greater likelihood of the Issuer calling the Notes in that environment increases the risk that you will
not be able to reinvest the proceeds from the called Notes in an equivalent investment with a similar Contingent Coupon Rate. The
Issuer is less likely to call the Notes prior to maturity when the expected interest payable on the Notes is less than the interest
that would be payable on other comparable instruments issued by the Issuer, which includes when the level of any of the Underlyings
is less than its Coupon Barrier. Therefore, the Notes are more likely to remain outstanding when the expected interest payable
on the Notes is less than what would be payable on other comparable instruments and when your risk of not receiving a Contingent
Coupon is relatively higher.
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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.
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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.
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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 Notes, by acquiring the Notes,
each holder 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 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
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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 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 indenture) and the trustee will not be liable
for any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in
Power by the relevant U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in Power” in this
pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value
of the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the
securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
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Owning the Notes is not the same as owning the securities composing
any or all of the Underlyings
— The return on your Notes may not reflect the return you would realize if you actually
owned the securities composing any or all of the 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 any Underlying would have.
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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 reflect 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.
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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. Such Agents, including the sales representatives of UBS Financial Services Inc., will derive
compensation from the distribution of the Notes and such compensation may serve as an incentive to sell these Notes 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 Notes, and such compensation may be passed on to affiliates of the Agents or other third party distributors.
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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.
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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.
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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 any Underlying will rise
or fall. There can be no assurance that the level of any 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.
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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 any or all Underlyings or the securities composing
the Underlyings, may adversely affect the level of any Underlying and, therefore, the market value of the Notes.
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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.
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Non-U.S. securities markets risks with
respect to the EURO STOXX 50
®
Index
— The equity securities
composing the EURO STOXX 50
®
Index are issued by non-U.S. companies in non-U.S. securities markets. Investments
in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the securities
markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets,
governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally
less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are
subject to the reporting requirements of the SEC, and generally non-U.S.
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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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No direct exposure to fluctuations in exchange rates between the
U.S. dollar and the euro with respect to the EURO STOXX 50
®
Index
— The EURO STOXX 50
®
Index is composed of non-U.S. securities denominated in euros. Because the level of the EURO STOXX 50
®
Index is
also calculated in euros (and not in U.S. dollars), the performance of the EURO STOXX 50
®
Index will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the euro. In addition, any payments on the Notes determined based in
part on the performance of the EURO STOXX 50
®
Index will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the euro. Therefore, holders of the Notes will not benefit from any appreciation of the euro relative to the
U.S. dollar.
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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:
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the expected volatility of the Underlyings and the securities composing the Underlyings;
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correlation (or lack of correlation) of the Underlyings;
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the time to maturity of the Notes;
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the market prices of, and dividend rates on, the securities composing the Underlyings;
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interest and yield rates in the market generally;
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supply and demand for the Notes;
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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
EURO STOXX 50
®
Index 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 Notes is lower than the initial issue
price of your Notes
— The estimated value of your Notes on the Trade Date is lower than the initial issue price
of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of
certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees 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.
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The estimated value of your Notes might be lower if such estimated
value were based on the levels at which our debt securities trade in the secondary market
— The estimated value
of your Notes on the 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 Notes to you.
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The estimated value of the Notes is based on our internal pricing
models, which may prove to be inaccurate and may be different from the pricing models of other financial institutions
— The estimated value of your Notes on the 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.
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The estimated value of your Notes is not a prediction of the prices
at which you may sell your Notes in the secondary market, if any, and such secondary market prices, if any, will likely be lower
than the initial issue price of your Notes and may be lower than the estimated value of your Notes
— The estimated
value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties
may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are
not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced
by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may
be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account
the levels at which our debt securities trade in the secondary market, and do not take into
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account our various costs related
to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices
of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions,
if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a
substantial loss to you.
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The temporary price at which we may initially buy the Notes in the
secondary market and the value we may initially use for customer account statements, if we provide any customer account statements
at all, may not be indicative of future prices of your Notes
— Assuming that all relevant factors remain constant
after the 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.
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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.
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In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various
financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking
and other financial services with respect to these financial instruments and products. These financial instruments and products
may include securities, derivative instruments or assets that may relate to the 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 underlying or, if no successor underlying 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.
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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-18 of this pricing supplement.
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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 Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index as the “RTY Index,” the “SPX Index” and the “SX5E
Index,” respectively.
Term:
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Approximately three years (unless called earlier at the election of the Issuer)
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Contingent Coupon Rate:
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12.20% per annum (or 3.05% per quarter)
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Contingent Coupon:
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$0.305 per quarter
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Hypothetical Initial Underlying Level:
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100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index
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Hypothetical Coupon Barrier:
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70.000 for the RTY Index, 70.00 for the SPX Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70.00% of the hypothetical Initial Underlying Level of that Underlying)
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Hypothetical Downside Threshold:
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60.000 for the RTY Index, 60.00 for the SPX Index and 60.00 for the SX5E Index (which, with respect to each Underlying, is 60.00% of the hypothetical Initial Underlying Level of that Underlying)
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Observation Periods/Observation End Dates:
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Quarterly, as set forth under “Final Terms” and “Observation Periods/Observation End Dates/Coupon Payment Dates/Call Settlement Dates” in this pricing supplement.
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*
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Terms used for purposes of these hypothetical examples do not represent the actual Initial Underlying Levels, Coupon Barriers
or Downside Thresholds. The hypothetical Initial Underlying Levels of 100.000 for the RTY Index, 100.00 for the SPX Index and 100.00
for the SX5E Index have been chosen for illustrative purposes only and do not represent the actual Initial Underlying Level for
any Underlying. The actual Initial Underlying Level, Coupon Barrier and Downside Threshold of each Underlying are set forth on
the cover of this pricing supplement. For historical Closing Levels of the Underlyings, please see the historical information set
forth under the sections titled “Russell 2000
®
Index,” “S&P 500
®
Index”
and “EURO STOXX 50
®
Index” below. We cannot predict the Closing Level of any Underlying on any day during
the term of the Notes, including on any scheduled trading day during any Observation Period or on the Final Valuation Date.
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The examples below are purely hypothetical. These examples are
intended to illustrate (a) the effect of an Issuer-elected call, (b) how the payment of a Contingent Coupon with respect to any
Observation Period will depend on whether the Closing Level of any Underlying is less than its Coupon Barrier on any scheduled
trading day during that Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether the
Final Underlying Level of any 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 any or all of the 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 $10.00 principal amount.
Example 1 — Issuer Elects to Call the Notes on the Second
Observation End Date
Observation Period
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Lowest Closing Level During Observation Period
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Payment (per Note)
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First Observation Period
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RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 90.00
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Notes NOT called at the election of the Issuer. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during first Observation Period; Issuer pays Contingent Coupon of $0.305 on first Coupon Payment Date.
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Second Observation Period
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RTY Index: 80.000
SPX Index: 85.00
SX5E Index: 90.00
|
|
Issuer elects to call the Notes. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during second Observation Period; Issuer pays principal
plus
Contingent Coupon of $0.305 on Call Settlement Date.
|
Total Payments (per Note):
|
|
Payment on Call Settlement Date:
|
$10.305 ($10.00 + $0.305)
|
|
|
Prior Contingent Coupons:
|
$0.305 ($0.305 × 1)
|
|
|
Total:
|
$10.61
|
|
|
Total Return:
|
6.10%
|
On the second Observation End Date, the Issuer elects to call
the Notes. Because the Closing Level of each Underlying is at or above its applicable Coupon Barrier on each scheduled trading
day during the second Observation Period, the Issuer will pay you on the Call Settlement Date $10.305 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 each scheduled trading day during the first Observation Period, the Issuer will
pay the Contingent Coupon of $0.305 on the first Coupon Payment Date. Accordingly, the Issuer will have paid a total of $10.61
per Note for a total return of 6.10% on the Notes.
Example 2 — Notes Are NOT Called and the Final Underlying
Level of Each Underlying Is At or Above Its Downside Threshold and a Contingent Coupon Is Paid on the Maturity Date
Observation Period
|
|
Lowest Closing Level in Observation Period
|
|
Final Underlying Level
|
|
Payment (per Note)
|
First Observation Period
|
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during first Observation Period; Issuer pays Contingent Coupon of $0.305 on first Coupon Payment Date.
|
Second Observation Period
|
|
RTY Index: 80.000
SPX Index: 85.00
SX5E Index: 90.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during second Observation Period; Issuer pays Contingent Coupon of $0.305 on second Coupon Payment Date.
|
Third to Eleventh Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of at least one Underlying below its Coupon Barrier on at least one scheduled trading day during each of the third to eleventh Observation Periods; Issuer DOES NOT pay Contingent Coupon on any of the third to eleventh Coupon Payment Dates.
|
Twelfth Observation Period (the final Observation Period ending on the Final Valuation Date)
|
|
RTY Index: 105.000
SPX Index: 75.00
SX5E Index: 80.00
|
|
RTY Index: 110.000
SPX Index: 80.00
SX5E Index: 80.00
|
|
Notes NOT callable. Final Underlying Level of each Underlying at or above its Downside Threshold. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during the final Observation Period; Issuer pays principal
plus
Contingent Coupon of $0.305 on Maturity Date.
|
Total Payments (per Note):
|
|
Payment at Maturity:
|
$10.305 ($10.00 + $0.305)
|
|
|
Prior Contingent Coupons:
|
$0.61 ($0.305 × 2)
|
|
|
Total:
|
$10.915
|
|
|
Total Return:
|
9.15%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Underlying Level of each Underlying is greater than or equal
to its Downside Threshold and the Closing Level of each Underlying is greater than or equal to its Coupon Barrier on each scheduled
trading day during the final Observation Period, the Issuer will pay you on the Maturity Date $10.305 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 each scheduled trading day during the first and second Observation Periods, the
Issuer will pay the Contingent Coupon of $0.305 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 at least one scheduled trading day during the third through
eleventh Observation Periods, the Issuer will not pay any Contingent Coupon on the Coupon Payment Dates following the Observation
End Dates on which those Observation Periods end. Accordingly, the Issuer will have paid a total of $10.915 per Note for a total
return of 9.15% on the Notes.
Example 3 — Notes Are NOT Called and the Final Underlying
Level of Each Underlying Is At or Above Its Downside Threshold But No Contingent Coupon Is Paid on the Maturity Date
Observation Period
|
|
Lowest Closing Level in Observation Period
|
|
Final Underlying Level
|
|
Payment (per Note)
|
First Observation Period
|
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during first Observation Period; Issuer pays Contingent Coupon of $0.305 on first Coupon Payment Date.
|
Second Observation Period
|
|
RTY Index: 80.000
SPX Index: 75.00
SX5E Index: 90.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of each Underlying at or above its Coupon Barrier on each scheduled trading day during second Observation Period; Issuer pays Contingent Coupon of $0.305 on second Coupon Payment Date.
|
Third to Eleventh Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of at least one Underlying below its Coupon Barrier on at least one scheduled trading day during each of the third to eleventh Observation Periods; Issuer DOES NOT pay Contingent Coupon on any of the third to eleventh Coupon Payment Dates.
|
Twelfth Observation Period (the final Observation Period ending on the Final Valuation Date)
|
|
RTY Index: 90.000
SPX Index: 50.00
SX5E Index: 80.00
|
|
RTY Index: 95.000
SPX Index: 65.00
SX5E Index: 85.00
|
|
Notes NOT callable. Final Underlying Level of each Underlying at or above its Downside Threshold. Closing Level of SPX Index below its Coupon Barrier on at least one scheduled trading day during final Observation Period; Issuer repays principal but does not pay any Contingent Coupon on Maturity Date.
|
Total Payments (per Note):
|
|
Payment at Maturity:
|
$10.00
|
|
|
Prior Contingent Coupons:
|
$0.61 ($0.305 × 2)
|
|
|
Total:
|
$10.61
|
|
|
Total Return:
|
6.10%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Underlying Level of each Underlying is greater than or equal
to its Downside Threshold but the Closing Level of at least one Underlying is less than its Coupon Barrier on at least one scheduled
trading day during the final Observation Period, the Issuer will pay you on the Maturity Date $10.00 per Note, which is equal to
your principal amount, but the Issuer will not pay any Contingent Coupon 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 each scheduled trading day during the first and second Observation Periods, the
Issuer will pay the Contingent Coupon of $0.305 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 at least one scheduled trading day during the third through
eleventh Observation Periods, the Issuer will not pay any Contingent Coupon on the Coupon Payment Dates following the Observation
End Dates on which those Observation Periods end. Accordingly, the Issuer will have paid a total of $10.61 per Note for a total
return of 6.10% on the Notes.
Example 4 — Notes Are NOT Called and the Final Underlying
Level of At Least One Underlying Is Below Its Downside Threshold
Observation Period
|
|
Lowest Closing Level in Observation Period
|
|
Final Underlying Level
|
|
Payment (per Note)
|
First Observation Period
|
|
RTY Index: 40.000
SPX Index: 45.00
SX5E Index: 30.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of each Underlying below its Coupon Barrier on at least one scheduled trading day during first Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
Second Observation Period
|
|
RTY Index: 105.000
SPX Index: 45.00
SX5E Index: 80.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of SPX Index below its Coupon Barrier on at least one scheduled trading day during second Observation Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
Third to Eleventh Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing Level of at least one Underlying below its Coupon Barrier on at least one scheduled trading day during each of the third to eleventh Observation Periods; Issuer DOES NOT pay Contingent Coupon on any of the third to eleventh Coupon Payment Dates.
|
Twelfth Observation Period (the final Observation Period ending on the Final Valuation Date)
|
|
RTY Index: 45.000
SPX Index: 110.00
SX5E Index: 80.00
|
|
RTY Index: 45.000
SPX Index: 110.00
SX5E Index: 80.00
|
|
Notes NOT callable. Closing Level of RTY 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 Least Performing Underlying.
|
Total Payments (per Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
Total Return:
|
-55.00%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. 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
Least Performing Underlying)
Step 1: Calculate the Underlying Return of each Underlying:
Underlying Return of the RTY Index:
Final Underlying Level – Initial Underlying Level
|
=
|
45.000 – 100.000
|
= -55.00%
|
Initial Underlying Level
|
100.000
|
Underlying Return of the SPX Index:
Final Underlying Level – Initial Underlying Level
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Underlying Level
|
100.00
|
Underlying Return of the SX5E Index:
Final Underlying Level – Initial Underlying Level
|
=
|
80.00 – 100.00
|
= -20.00%
|
Initial Underlying Level
|
100.00
|
Step 2: Determine the Least Performing Underlying
. The
RTY Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10 × (1 + Underlying Return of the
Least 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 at least one scheduled trading day during each Observation Period, 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 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,” in the accompanying prospectus supplement. 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 upon early redemption or redemption at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your
tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent 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 End 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, 2019 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, our special tax counsel is of the opinion 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. You should consult your tax advisor regarding the potential application of
Section 871(m) to the Notes.
The Russell 2000
®
Index (the “RTY Index”)
is calculated, maintained and published by FTSE Russell. The RTY Index measures the capitalization-weighted price performance of
2,000 small-capitalization stocks and is designed to track the performance of the small capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The Russell Indices” in the accompanying index
supplement, as supplemented by the following updated information. As of August 2017, to be eligible for inclusion in the RTY Index,
each company is required to have more than 5% of its voting rights (aggregated across all of its equity securities) in the hands
of unrestricted shareholders. Companies already included in the RTY Index have a 5 year grandfathering period to comply or they
will be removed from the RTY Index in September 2022.
Historical Information
The following graph sets forth the historical performance of
the RTY Index from January 2, 2008 through February 9, 2018, based on the daily Closing Levels of the RTY Index. The Closing Level
of the RTY Index on February 9, 2018 was 1,477.836. The dotted lines represent the Coupon Barrier and the Downside Threshold of
1,034.485 and 886.702, respectively, which are equal to 70.00% and 60.00%, respectively, of the Initial Underlying Level of the
RTY Index.
We obtained the Closing Levels of the RTY Index from Bloomberg
Professional
®
service (“Bloomberg”), without independent verification. Currently, whereas the RTY Index
sponsor publishes the official Closing Level of the RTY Index to six decimal places, Bloomberg reports the Closing Level to fewer
decimal places. As a result, the Closing Level of the RTY Index reported by Bloomberg may be lower or higher than the official
Closing Level of the RTY Index published by the RTY Index sponsor. 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 scheduled
trading day during an Observation Period or on the Final Valuation Date. We cannot give you assurance that the performance of the
RTY Index will result in the return of any of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
The S&P 500
®
Index (the “SPX Index”)
consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more information
about the SPX Index, see “Indices—The S&P U.S. Indices” in the accompanying index supplement, as supplemented
by the following updated information. Beginning in June 2016 (or July 2017, in the case of IEX), U.S. common equities listed on
Bats BZX, Bats BYX, Bats EDGA, Bats EDGX or IEX were added to the universe of securities that are eligible for inclusion in the
SPX Index and, effective March 10, 2017, the minimum unadjusted company market capitalization for potential additions to the SPX
Index was increased to $6.1 billion from $5.3 billion. In addition, as of July 31, 2017, the securities of companies with multiple
share class structures are no longer eligible to be added to the SPX Index, but securities already included in the SPX Index have
been grandfathered and are not affected by this change.
Historical Information
The following graph sets forth the historical performance of
the SPX Index from January 2, 2008 through February 9, 2018, based on the daily Closing Levels of the SPX Index. The Closing Level
of the SPX Index on February 9, 2018 was 2,619.55. The dotted lines represent the Coupon Barrier and the Downside Threshold of
1,833.69 and 1,571.73, respectively, which are equal to 70.00% and 60.00%, respectively, of the Initial Underlying Level of the
SPX Index.
We obtained the Closing Levels of the SPX Index from Bloomberg,
without independent verification. Historical performance of the SPX Index should not be taken as an indication of future performance.
Future performance of the SPX Index may differ significantly from historical performance, and no assurance can be given as to the
Closing Level of the SPX Index during the term of the Notes, including on any scheduled trading day during an Observation Period
or on the Final Valuation Date. We cannot give you assurance that the performance of the SPX Index will result in the return of
any of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
The EURO STOXX 50
®
Index (the “SX5E Index”)
is composed of 50 component stocks of market leaders in terms of free-float market capitalization from 11 Eurozone countries: Austria,
Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. At any given time, some eligible
countries may not be represented in the SX5E Index. For more information about the SX5E Index, see “Indices—The EURO
STOXX 50
®
Index” in the accompanying index supplement.
Historical Information
The following graph sets forth the historical performance of
the SX5E Index from January 2, 2008 through February 9, 2018, based on the daily Closing Levels of the SX5E Index. The Closing
Level of the SX5E Index on February 9, 2018 was 3,325.99. The dotted lines represent the Coupon Barrier and the Downside Threshold
of 2,328.19 and 1,995.59, respectively, which are equal to 70.00% and 60.00%, respectively, of the Initial Underlying Level of
the SX5E Index.
We obtained the Closing Levels of the SX5E Index from Bloomberg,
without independent verification. Historical performance of the SX5E Index should not be taken as an indication of future performance.
Future performance of the SX5E Index may differ significantly from historical performance, and no assurance can be given as to
the Closing Level of the SX5E Index during the term of the Notes, including on any scheduled trading day during an Observation
Period or on the Final Valuation Date. We cannot give you assurance that the performance of the SX5E Index will result in the return
of any 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 Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index from
January 2, 2008 through February 9, 2018, 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, 2008 by dividing the Closing Level of that Underlying on each
day by the Closing Level of that Underlying on January 2, 2008 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 scheduled trading day during an Observation Period or on the Final Valuation Date. We cannot give you assurance that the
performances of the Underlyings will result in the return of any 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 of the Underlyings relative to the other Underlyings over the time period shown and provides an indication of how close
the relative performance of one Underlying has historically been to another. 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 two Underlyings,
the less likely it is that those Underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on any day during a quarterly Observation
Period or the Final Valuation Date, respectively. This is because the less positively correlated a pair of Underlyings are, the
greater the likelihood that at least one of the Underlyings will decrease in value. However, even if two Underlyings have a higher
positive correlation, one or both of those Underlyings might close below its Coupon Barrier or Downside Threshold on any day during
a quarterly Observation Period or the Final Valuation Date, respectively, as both of those 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 correlations 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 correlations referenced in setting the terms of the Notes are calculated using
our internal models and are 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.