Pricing Supplement dated April 12, 2018
(To the Prospectus dated March 30, 2018, the Prospectus Supplement dated July 18, 2016 and the Index Supplement dated July 18, 2016)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333212571
|
|
$3,386,000
Buffered Digital Notes due October 2
,
2019
Linked to the Performance of the
Russell 2000
®
Index
Global Medium
-
Term Notes
,
Series A
|
Terms used in this pricing supplement
,
but not defined herein
,
shall have the meanings ascribed to them in the prospectus supplement
.
Issuer:
|
Barclays Bank PLC
|
Denominations:
|
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
|
Initial Valuation Date:
|
April 12, 2018
|
Issue Date:
|
April 17, 2018
|
Final Valuation Date:*
|
September 27, 2019
|
Maturity Date:*
|
October 2, 2019
|
Reference Asset:
|
The Russell 2000
®
Index
(Bloomberg ticker symbol RTY <Index>) (the Index)
|
Digital Percentage:
|
14.50%
|
Buffer Percentage:
|
10.00%
|
Payment at Maturity:
|
If you hold your Notes to maturity, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note that you hold determined as follows
:
§
If the Final Level is
equal to
or
greater than
the Initial Level
, you will receive a payment per $1,000 principal amount Note
calculated as follows
:
$1,000 + [$1,000 x
Digital Percentage
]
If the Final Level is equal to or greater than the Initial Level
,
you will receive a payment at maturity of $1,145.00 per $1
,
000 principal amount Note that you hold
.
§
If the Final Level is
less than
the Initial Level
but
the Index Return is
equal to
or
greater than
-10.00%, you will receive a payment of $1,000 per $1,000 principal amount Note
§
If the Index Return is
less than
-10.00%, you will receive a payment per $1,000 principal amount Note calculated as follows
:
$1,000 + [$1,000 x (
Index Return + Buffer Percentage)
]
If the Index Return is less than
-
10
.
00%
,
you will lose 1
.
00% of the principal amount of your Notes for every 1
.
00% that the Index Return falls below
-
10
.
00%
.
You may lose up to 90
.
00% of the principal amount of your Notes
.
Any payment on the Notes is not guaranteed by any third party and is subject to both the creditworthiness of the Issuer and to the exercise of any U
.
K
.
Bail
-
in Power by the relevant U
.
K
.
resolution authority
.
If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U
.
K
.
Bail
-
in Power
(
or any other resolution measure
)
by the relevant U
.
K
.
resolution authority
,
you might not receive any amounts owed to you under the Notes
.
See
Consent to U
.
K
.
Bail
-
in Power
and
Selected Risk Considerations
in this pricing supplement and
Risk Factors
in the accompanying prospectus supplement for more information
.
|
Initial Level:
|
1,557.33,
the Closing Level of the Index on the Initial Valuation Date
|
Final Level:
|
The Closing Level of the Index on the Final Valuation Date
|
Closing Level:
|
The term Closing Level has the meaning set forth under Reference AssetsIndicesSpecial Calculation Provisions in the prospectus supplement
|
Index Return:
|
The performance of the Index from the Initial Level to the Final Level, calculated as follows:
Final Level Initial Level
Initial Level
|
Consent to U.K. Bail-in Power:
|
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. See
Consent to U.K. Bail-in Power
on page PS
1 of this pricing supplement.
|
[
Terms of the Notes Continue on the Next Page
]
|
|
Initial Issue Price
(1)(2)
|
|
Price to Public
|
|
Agent
s Commission
(3)
|
|
Proceeds to Barclays Bank PLC
|
Per Note
|
|
$1,000
|
|
100%
|
|
0.50%
|
|
99.50%
|
Total
|
|
$3,386,000
|
|
$3,386,000
|
|
$16,930
|
|
$3,369,070
|
(1)
Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all selling concessions, fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $995.00 and $1,000 per Note.
Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.
(2)
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $990.70 per Note. The estimated value is less than the initial issue price of the Notes. See
Additional Information Regarding Our Estimated Value of the Notes
on page PS
2
of this pricing supplement.
(3)
Barclays Capital Inc. will receive commissions from the Issuer equal to 0.50% of the principal amount of the Notes, or $5.00 per $1,000 principal amount. Barclays Capital Inc. will use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers.
Investing in the Notes involves a number of risks
.
See
Risk Factors
beginning on page S
7 of the prospectus supplement and
Selected Risk Considerations
beginning on page PS
5 of this pricing supplement
.
We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market resale transaction.
The Notes will not be listed on any U
.
S
.
securities exchange or quotation system
.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete
.
Any representation to the contrary is a criminal offense
.
The Notes constitute our direct
,
unconditional
,
unsecured and unsubordinated obligations and are not deposit liabilities of either Barclays PLC or Barclays Bank PLC and are not covered by the U
.
K
.
Financial Services Compensation Scheme or insured or guaranteed by the U
.
S
.
Federal Deposit Insurance Corporation or any other governmental agency of the United States
,
the United Kingdom or any other jurisdiction
.
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus dated March 30, 2018, 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 under Risk Factors in the prospectus supplement and Selected Risk Considerations in this pricing supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
When you read the prospectus supplement and the index supplement, note that all references to the prospectus dated July 18, 2016, or to any sections therein, should refer instead to the accompanying prospectus dated March 30, 2018, or to the corresponding sections of that prospectus.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
·
Prospectus dated March 30, 2018:
https://www.sec.gov/Archives/edgar/data/312070/000119312518103150/d561709d424b3.htm
·
Prospectus Supplement dated July 18, 2016:
https://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm
·
Index Supplement dated July 18, 2016:
https://www.sec.gov/Archives/edgar/data/312070/000110465916133002/a16-14463_22424b3.htm
Our SEC file number is 1
10257. As used in this pricing supplement, the Company, we, us, or our refers to Barclays Bank PLC.
CONSENT TO U
.
K
.
BAIL
-
IN POWER
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 a European Economic Area (EEA) or third country institution or investment firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in the 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 securities may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information
,
please see
Selected Risk Considerations
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
.
PS-
1
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
,
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is 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 which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes which 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 which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the
Selected Risk Considerations
beginning on page PS
5
of this pricing supplement
.
PS-
2
SELECTED PURCHASE CONSIDERATIONS
The Notes are not suitable for all investors. The Notes may be a suitable investment for you if all of the following statements are true:
·
You do not seek an investment that produces periodic interest or coupon payments or other sources of current income
·
You anticipate that Final Level will be equal to or greater than the Initial Level and you are willing to accept the risk that your return on investment will not exceed the Digital Percentage
·
You are willing to accept the risk that you may lose up to 90.00% of the principal amount of your Notes
·
You are willing to accept the risks associated with an investment linked to the performance of the Index
·
You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the Notes to maturity
·
You are willing to assume our credit risk for all payments on the Notes
·
You are willing to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority
The Notes may
not
be a suitable investment for you if
any
of the following statements are true:
·
You seek an investment that produces periodic interest or coupon payments or other sources of current income
·
You seek an investment that provides for the full repayment of principal at maturity and you are unwilling to accept the risk that you may lose up to 90.00% of the principal amount of your Notes
·
You seek uncapped exposure to any positive performance of the Index
·
You anticipate that the Final Level will be less than the Initial Level
·
You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Index
·
You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the Notes to maturity
·
You are unwilling or unable to assume our credit risk for all payments on the Notes
·
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority
You must rely on your own evaluation of the merits of an investment in the Notes
. You should reach a decision whether to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this pricing supplement, the prospectus supplement, the prospectus and the index supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
ADDITIONAL TERMS OF THE NOTES
The Final Valuation Date and the Maturity Date are subject to postponement in certain circumstances, as described under Reference AssetsIndicesMarket Disruption Events for Securities with an Index of Equity Securities as a Reference Asset and Terms of the Notes
Payment Dates in the accompanying prospectus supplement.
In additions, the Index and the Notes are subject to adjustment by the Calculation Agent under certain circumstances, as described under Reference AssetsIndicesAdjustments Relating to Securities with an Index as a Reference Asset in the accompanying prospectus supplement.
PS-
3
HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE AT MATURITY
The following table illustrates the hypothetical total return at maturity on the Notes under various circumstances. The total return as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Note to $1,000. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the following key assumption:
§
Hypothetical
Initial Level: 100.00*
*
The
hypothetical
Initial Level of 100.00 has been chosen for illustrative purposes only. The actual Initial Level is as set forth on the cover of this pricing supplement.
Final Level
|
Index Return
|
Payment at Maturity
**
|
Total Return on Notes
|
150.00
|
50.00%
|
$1,145.00
|
14.50%
|
140.00
|
40.00%
|
$1,145.00
|
14.50%
|
130.00
|
30.00%
|
$1,145.00
|
14.50%
|
120.00
|
20.00%
|
$1,145.00
|
14.50%
|
110.00
|
10.00%
|
$1,145.00
|
14.50%
|
100.00
|
0.00%
|
$1,145.00
|
14.50%
|
95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$900.00
|
-10.00%
|
70.00
|
-30.00%
|
$800.00
|
-20.00%
|
60.00
|
-40.00%
|
$700.00
|
-30.00%
|
50.00
|
-50.00%
|
$600.00
|
-40.00%
|
40.00
|
-60.00%
|
$500.00
|
-50.00%
|
30.00
|
-70.00%
|
$400.00
|
-60.00%
|
20.00
|
-80.00%
|
$300.00
|
-70.00%
|
10.00
|
-90.00%
|
$200.00
|
-80.00%
|
0.00
|
-100.00%
|
$100.00
|
-90.00%
|
**
Per $1,000 principal amount Note
|
The following examples illustrate how the total returns set forth in the table above are calculated:
Example 1
:
The level of the Index increases from an Initial Level of 100
.
00 to a Final Level of 110
.
00
.
Because the Final Level is not less than the Initial Level, you will receive a payment at maturity of $1,145.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x Digital Percentage]
$1,
000 + [$1,000 x 14.50%] = $1,145.00
The total return on the
investment of the Notes is 14.50%.
Example 2
:
The level of the Index increases from an Initial Level of 100
.
00 to a Final Level of 130
.
00
.
Because the Final Level is not less than the Initial Level, you will receive a payment at maturity of $1,145.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x Digital Percentage]
$1,
000 + [$1,000 x 14.50%] = $1,145.00
The total return on the
investment of the Notes is 14.50%.
Example 3
:
The level of the Index decreases from an Initial Level of
100
.
00 to a Final Level of 95
.
00
.
Because
the Final Level is less than the Initial Level but the Index Return is not less than -10.00%, you will receive a payment at maturity of $1,000.00 per $1,000 principal amount Note that you hold.
The total return on the
investment of the Notes is 0.00%.
Example 4
:
The level of
the Index decreases from an Initial Level of
100
.
00 to a Final
Level of 50
.
00
.
Because the
Index Return is less than -10.00%,
you will receive a payment at maturity of $600.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x (Index Return + Buffer Percentage)]
$1,000 + [$1,000 x (-
50.00
% + 10.00%)] = $
600.00
The total return on the investment of the Notes is -40.00%.
PS-
4
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Index or its components. These risks are explained in more detail in the Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings of the prospectus supplement:
·
Risk FactorsRisks Relating to the Securities Generally; and
·
Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are Equity Securities, Indices of Equity Securities or Exchange-Traded Funds that Hold Equity Securities.
In addition to the risks described above, you should consider the following:
·
Your Investment in the Notes May Result in a Significant Loss
The Notes do not guarantee any return of principal. If the Index Return is less than -10.00%, you will lose 1.00% of the principal amount of your Notes for every 1.00% that the Index Return falls below -10.00%.
You may lose up to 90
.
00% of the principal amount of your Notes
.
·
Potential Return Limited to the Digital Percentage
If the Final Level is equal to or greater than the Initial Level, you will receive a payment at maturity of $1,145.00 per $1,000 principal amount Note that you hold, which reflects the Digital Percentage
. You will not participate in any appreciation of the Index in excess of the Digital Percentage, which may be significant.
·
The Payment at
Maturity
of Your Notes is Not Based on the Level of the Index at Any Time Other than the Closing Level on the Final Valuation Date
The Final Level and the Index Return will be based
solely
on the Closing Level of the Index on the Final Valuation Date. Therefore, if the level of the Index drops on the Final Valuation Date, the payment at maturity on the Notes may be significantly less than it would have been had it been linked to the level of the Index prior to such drop.
·
Credit of Issuer
The Notes are senior unsecured 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 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. In the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
·
You May Lose Some or All of Your Investment If Any U
.
K
.
Bail
-
in Power Is Exercised by the Relevant U
.
K
.
Resolution Authority
Notwithstanding 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 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 FactorsRisks Relating to the Securities GenerallyRegulatory 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 FactorsRisks Relating to the Securities GenerallyUnder 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.
·
No Interest or Dividend Payments or Voting Rights
As a holder of the Notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities underlying the Index would have.
·
Historical Performance of the Index Should Not Be Taken as Any Indication of the Future Performance of the Index Over the Term of the Notes
The level of the Index has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of the Index is not an indication of the future performance of the Index over the term of the Notes. Therefore, the performance of the Index over the term of the Notes may bear no relation or resemblance to the historical performance of the Index.
·
The Notes are Subject to Risks Associated with Small Capitalization Stocks
The Index is intended to track the small capitalization segment of the U.S. equity market. The stock prices of smaller sized companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies may be less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
PS-
5
·
The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes
The estimated value of your Notes on the Initial Valuation 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 which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
·
The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market
The estimated value of your Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.
·
The Estimated Value of the Notes is Based on Our Internal Pricing Models
,
Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions
The estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
·
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 Maybe Lower Than the Estimated Value of Your Notes
The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the maturity date could result in a substantial loss to you.
·
The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account Statements
,
If We Provide Any Customer Account Statements At All
,
May Not Be Indicative of Future Prices of Your Notes
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the initial issue date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
·
We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various Ways and Create Conflicts of Interest
We and our affiliates play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles, our and our affiliates economic interests are potentially adverse to your interests as an investor in the Notes.
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 Index or its components. In any such market making, trading and hedging activity, and other services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of 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. 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.
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6
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 Index and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required to make certain discretionary judgments relating to the Index and the Notes. 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.
·
Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
·
The U
.
S
.
Federal Income Tax Consequences of an Investment in the Notes Are Uncertain
There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the Internal Revenue Service (the IRS). Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described below under Tax Considerations. If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition of the Notes could be materially and adversely affected. In addition, in 2007 the Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the sections of the accompanying prospectus supplement entitled Material U.S. Federal Income Tax ConsequencesTax Consequences to U.S. HoldersNotes Treated as Prepaid Forward or Derivative Contracts and, if you are a non-U.S. holder, Tax Consequences to Non-U.S. Holders, and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the Notes (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
·
Many Economic and Market Factors Will Impact the Value of the Notes
The value of the Notes will be affected by a number of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including:
o
the level of the Index and the market price of the Index components;
o
expected volatility of the Index and the Index components;
o
the time to maturity of the Notes;
o
the dividend rate on the Index components;
o
interest and yield rates in the market generally;
o
a variety of economic, financial, political, regulatory or judicial events;
o
supply and demand for the Notes; and
o
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
PS-
7
INFORMATION REGARDING THE INDEX
The Index is designed to track the performance of the small capitalization segment of the U.S. equity market.
For more information about the Index, please see Indices
The Russell Indices in the accompanying index supplement.
Historical Performance of the Index
The table below shows the high, low and final Closing Levels of the Index for each of the periods noted below. The graph below
sets forth the historical performance of the Index based on daily Closing Levels from January 1, 2013 through April 12, 2018. We obtained the Closing Levels listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.
Period
/
Quarter Ended
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
March 31, 2013
|
953.07
|
872.60
|
951.54
|
June 30, 2013
|
999.99
|
901.51
|
977.48
|
September 30, 2013
|
1,078.41
|
989.54
|
1,073.79
|
December 31, 2013
|
1,163.64
|
1,043.46
|
1,163.64
|
March 31, 2014
|
1,208.65
|
1,093.59
|
1,173.04
|
June 30, 2014
|
1,192.96
|
1,095.99
|
1,192.96
|
September 30, 2014
|
1,208.15
|
1,101.68
|
1,101.68
|
December 31, 2014
|
1,219.11
|
1,049.30
|
1,204.70
|
March 31, 2015
|
1,266.37
|
1,154.71
|
1,252.77
|
June 30, 2015
|
1,295.80
|
1,215.42
|
1,253.95
|
September 30, 2015
|
1,273.33
|
1,083.91
|
1,100.69
|
December 31, 2015
|
1,204.16
|
1,097.55
|
1,135.89
|
March 31, 2016
|
1,114.03
|
953.72
|
1,114.03
|
June 30, 2016
|
1,188.95
|
1,089.65
|
1,151.92
|
September 30, 2016
|
1,263.44
|
1,139.45
|
1,251.65
|
December 31, 2016
|
1,388.07
|
1,156.89
|
1,357.13
|
March 31, 2017
|
1,413.64
|
1,345.60
|
1,385.92
|
June 30, 2017
|
1,425.98
|
1,345.24
|
1,415.36
|
September 30, 2017
|
1,490.86
|
1,356.91
|
1,490.86
|
December 31, 2017
|
1,548.93
|
1,464.09
|
1,535.51
|
March 31, 2018
|
1,610.71
|
1,463.79
|
1,529.43
|
April 12, 2018*
|
1,557.33
|
1,492.53
|
1,557.33
|
*
For the period beginning on April 1, 2018 and ending on April 12, 2018
|
Historical Performance of the Russell 2000
®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-
8
TAX CONSIDERATIONS
You should review carefully the sections entitled Material U.S. Federal Income Tax ConsequencesTax Consequences to U.S. HoldersNotes Treated as Prepaid Forward or Derivative Contracts and, if you are a non-U.S. holder, Tax Consequences to Non-U.S. Holders, in the accompanying prospectus supplement. The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special tax counsel, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Index. Assuming this treatment is respected, upon a sale or exchange of the Notes (including 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. This gain or loss on your Notes should be treated as long-term capital gain or loss if you hold your Notes for more than a year, whether or not you are an initial purchaser of Notes at the original issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the Notes could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the 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.
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.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the Agent), and the Agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing supplement. The Agent commits to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment for the Notes on or about the Issue Date indicated on the cover of this pricing supplement, which will be the third business day following the Initial Valuation Date (this settlement cycle being referred to as T+3). Under Rule 15c6
1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to two business days before delivery will be required, by virtue of the fact that the Notes will initially settle in three business days (T+3), to specify alternative settlement arrangements to prevent a failed settlement. See Plan of Distribution (Conflicts of Interest) in the accompanying prospectus supplement.
The Notes are not intended to be offered, sold or otherwise made available to and may not be offered, sold or otherwise made available to any retail investor in the European Economic Area (EEA Retail Investor). For these purposes, an EEA Retail Investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (MiFID II); (ii) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Directive 2003/71/EC. Consequently no key information document required by Regulation (EU) No 1286/2014 (as amended from time to time, the PRIIPs Regulation) for offering or selling the Notes or otherwise making them available to EEA Retail Investors has been prepared and therefore offering or selling such Notes or otherwise making them available to any EEA Retail Investor may be unlawful under the PRIIPs Regulation.
PS-
9
VALIDITY OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the Notes offered by this pricing supplement have been executed and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Notes will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors rights,
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLCs permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of June 28, 2017, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on June 28, 2017, and this opinion is subject to the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of Davis Polk & Wardwell LLP, dated June 28, 2017, which has been filed as an exhibit to the report on Form 6-K referred to above.
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10
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