The information in this preliminary pricing supplement is not
complete and may be changed. This preliminary pricing supplement
and the accompanying prospectus, prospectus supplement and
prospectus addendum do not constitute an offer to sell these Notes,
and we are not soliciting an offer to buy these Notes in any state
where the offer or sale is not permitted.
Subject to Completion
Preliminary Pricing Supplement dated January 13,
2021
|
Preliminary
Pricing Supplement
(To the
Prospectus dated August 1, 2019, the Prospectus Supplement dated
August 1, 2019 and the Prospectus Addendum dated May 11,
2020)
|
Filed
Pursuant to Rule 424(b)(2)
Registration
No. 333—232144
|
|
|
$[●]
AutoCallable
Contingent Coupon Notes due January 18, 2024
Linked
to the Least Performing of the Common Stock of Amazon.com, Inc.,
the Common Stock of Yum! Brands, Inc. and the
American Depositary Shares of Alibaba Group Holding
Limited
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:
|
January
13, 2021
|
|
Issue
Date:
|
January
19, 2021
|
|
Final
Valuation Date:*
|
January
12, 2024
|
|
Maturity
Date:*
|
January
18, 2024
|
|
Reference
Assets:
|
The
common stock of Amazon.com, Inc. (“AMZN”), the common stock of Yum!
Brands, Inc. (“YUM”) and the American Depositary Shares of
Alibaba Group Holding Limited (“BABA”), as set forth in the
following table:
The
common stock of AMZN, the common stock of YUM and the American
Depositary Share of BABA are each referred to herein as an “Equity”
and, collectively, as the “Equity Securities.” The Equity
Securities are each referred to herein as a “Reference Asset” and,
collectively, as the “Reference Assets.”
|
|
Payment
at Maturity:
|
If the
Notes are not redeemed prior to scheduled maturity, and if you hold
the Notes to maturity, you will receive on the Maturity Date a cash
payment per $1,000 principal amount Note that you hold (in each
case, in addition to any Contingent Coupon and/or Unpaid Coupon
Amounts that may be payable on such date) determined as
follows:
■
If the
Final Value of the Least Performing Reference Asset
is greater than or equal to its Barrier Value, you
will receive a payment of $1,000 per $1,000 principal amount
Note.
■
If the
Final Value of the Least Performing Reference Asset is less
than its Barrier Value, you will receive an amount per
$1,000 principal amount Note calculated as follows:
$1,000
+ [$1,000 × Reference Asset Return of the Least Performing
Reference Asset]
If
the Notes are not redeemed prior to scheduled maturity, and if the
Final Value of the Least Performing Reference Asset is less than
its Barrier Value, your Notes will be fully
exposed to the decline of the Least Performing Reference Asset from
its Initial Value. You may lose up to 100.00% of
the principal amount of your Notes at
maturity.
Any
payment on the Notes, including any repayment of principal, is not
guaranteed by any third party and is subject to (a) the
creditworthiness of Barclays Bank PLC and (b) the risk of exercise
of any U.K. Bail-in Power (as described on page
PS-4 of this pricing supplement) by the relevant
U.K. resolution authority. 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.
|
|
Consent
to U.K. Bail-in Power:
|
Notwithstanding
any other agreements, arrangements or understandings between
Barclays Bank PLC and any holder or beneficial owner of the Notes,
by acquiring the Notes, each holder and beneficial owner of the
Notes acknowledges, accepts, agrees to be bound by, and consents to
the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority. See “Consent to
U.K. Bail-in Power” on page PS-4 of this pricing
supplement.
|
[Terms
of the Notes Continue on the Next Page]
|
|
Initial
Issue Price(1)(2)
|
Price
to Public
|
Agent’s
Commission(3)
|
Proceeds
to Barclays Bank PLC
|
|
Per
Note
|
$1,000
|
100.00%
|
0.50%
|
99.50%
|
|
Total
|
$[●]
|
$[●]
|
$[●]
|
$[●]
|
|
(1)
|
Because
dealers who purchase the Notes for sale to certain fee-based
advisory accounts may forgo some or all selling concessions, fees
or commissions, the public offering price for investors purchasing
the Notes in such fee-based advisory accounts may be between
$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 expected to be between $913.50
and $943.50 per Note. The estimated value is expected to be less
than the initial issue price of the Notes. See “Additional
Information Regarding Our Estimated Value of the Notes” on page
PS—5 of this pricing supplement.
|
|
(3)
|
Barclays
Capital Inc. will receive commissions from the Issuer of up to
$5.00 per $1,000 principal amount Note. Barclays Capital Inc. will
use these commissions to pay variable selling concessions or fees
(including custodial or clearing fees) to other dealers. The actual
commission received by Barclays Capital Inc. will be equal to the
selling concession paid to such dealers.
|
Investing in the Notes involves a number of risks. See “Risk
Factors” beginning on page S-7 of the prospectus supplement and
“Selected Risk
Considerations” beginning on page PS-14 of this
pricing supplement.
The
Notes will not be listed on any U.S. securities exchange or
quotation system. Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has
approved or disapproved of these Notes or determined that this
pricing supplement is truthful or complete. Any representation to
the contrary is a criminal offense.
The
Notes constitute our unsecured and unsubordinated obligations. The
Notes are not deposit liabilities of Barclays Bank PLC and are not
covered by the U.K. Financial Services Compensation Scheme or
insured by the U.S. Federal Deposit Insurance Corporation or any
other governmental agency or deposit insurance agency of the United
States, the United Kingdom or any other
jurisdiction.
|
Terms
of the Notes, Continued
|
|
|
Automatic
Call:
|
The
Notes cannot be redeemed for the first year after the Issue Date.
If, on any Call Valuation Date, the Closing Value
of each Reference Asset
is greater than or equal to its Call Value, the
Notes will be automatically redeemed for a cash payment per $1,000
principal amount Note equal to the Redemption Price payable on the
Call Settlement Date. No further amounts will be payable on the
Notes after the Call Settlement Date.
|
|
Contingent
Coupons and Unpaid Coupon Amounts:
|
$30.25
per $1,000 principal amount Note, which is 3.025% of the principal
amount per Note (based on 12.10% per annum rate)
If the
Closing Value of each Reference Asset on an Observation Date
is greater than or equal to its respective Coupon
Barrier Value, a Contingent Coupon will become payable on the
related Contingent Coupon Payment Date.
If a
Contingent Coupon does not become payable with respect to an
Observation Date (i.e., because the Closing Value of any Reference
Asset on such Observation Date is less than its respective Coupon
Barrier Value), the Contingent Coupon that would have otherwise
been payable with respect to such Observation Date will become an
“Unpaid Coupon Amount”
On each
Contingent Coupon Payment Date, if a Contingent Coupon is payable
on such date, you will receive:
■
the
Contingent Coupon that is payable on such Contingent Coupon Payment
Date; plus
■
any
Unpaid Coupon Amounts that have not already been paid on a previous
Contingent Coupon Payment Date
If a
Contingent Coupon is not payable with respect to an Observation
Date, you will not receive a Contingent Coupon on the related
Contingent Coupon Payment Date, nor will you receive any Unpaid
Coupon Amounts that accrued on any prior Observation
Date
|
|
Observation
Dates:*
|
The
12th calendar day of each January, April, July and
October during the term of the Notes, beginning in April 2021,
provided that the final Observation Date will be the Final
Valuation Date
|
|
Contingent
Coupon Payment Dates:*
|
With
respect to any Observation Date, the fifth business day after such
Observation Date, provided that the Contingent
Coupon Payment Date with respect to the Final Valuation Date will
be the Maturity Date
|
|
Call
Valuation Dates:*
|
Each
Observation Date during the term of the Notes, beginning in January
2022 and ending in and including October 2023.
|
|
Call
Settlement Date:*
|
The
Contingent Coupon Payment Date following the Call Valuation Date on
which an Automatic Call occurs.
|
|
Initial
Value:**
|
With
respect to each Reference Asset, the Closing Value on January 11,
2021, as set forth in the table above
|
|
Call
Value:
|
With
respect to each Reference Asset, 100.00% of its Initial Value
(rounded to two decimal places), as set forth in the table
above
|
|
Coupon
Barrier Value:
|
With
respect to each Reference Asset, 70.00% of its Initial Value
(rounded to two decimal places), as set forth in the table
above
|
|
Barrier
Value:
|
With
respect to each Reference Asset, 60.00% of its Initial Value
(rounded to two decimal places), as set forth in the table
above
|
|
Final
Value:
|
With
respect to each Reference Asset, the Closing Value on the Final
Valuation Date
|
|
Redemption
Price:
|
$1,000
per $1,000 principal amount Note that you hold, plus (i) the
Contingent Coupon that will otherwise be payable on the Call
Settlement Date and (ii) any Unpaid Coupon Amounts that have
accrued but have not yet been paid
|
|
Reference
Asset Return:
|
With
respect to each Reference Asset, the performance of such Reference
Asset from its Initial Value to its Final Value, calculated as
follows:
Final
Value — Initial Value
Initial Value
|
|
Closing
Value:
|
The
term “Closing Value” means the closing price of one share of the
applicable Reference Asset, as further described under “Reference
Assets—Equity Securities—Special Calculation Provisions” in the
prospectus supplement, rounded to two decimal places (if
applicable).
|
|
Calculation
Agent:
|
Barclays
Bank PLC
|
|
CUSIP /
ISIN:
|
06741WNW6
/ US06741WNW63
|
*
Subject to postponement, as
described under “Additional Terms of the
Notes” in this pricing supplement
**
The Initial Value for each Reference Asset is equal to
its Closing Value on January 11, 2021. The Initial Values are not
based on the Closing Value of any Reference Asset at any time on
the Initial Valuation Date. The Initial Valuation Date, as used in
this pricing supplement, refers to the date on which the Notes were
initially priced for sale to the public
PS—2
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE
NOTES
You
should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the documents listed
below, 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.
You may
access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):
|
●
|
Prospectus
dated August 1, 2019:
|
|
●
|
Prospectus
Supplement dated August 1, 2019:
|
|
●
|
Prospectus
Addendum dated May 11, 2020:
|
Our SEC
file number is 1—10257.
As used in this pricing supplement, “we,” “us” or “our” refers to
Barclays Bank PLC.
PS—3
CONSENT
TO U.K. BAIL-IN POWER
Notwithstanding
any other agreements, arrangements or understandings between us and
any holder or beneficial owner of the Notes, by acquiring the
Notes, each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of,
any U.K. Bail-in Power by the relevant U.K. resolution
authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution
authority may exercise a U.K. Bail-in Power in circumstances in
which the relevant U.K. resolution authority is satisfied that the
resolution conditions are met. These conditions include that a U.K.
bank or investment firm is failing or is likely to fail to satisfy
the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated
activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is a European Economic Area
(“EEA”) or third country institution or investment firm, that the
relevant EEA or third country relevant authority is satisfied that
the resolution conditions are met in respect of that
entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer,
modification and/or suspension power, which allows for (i) the
reduction or cancellation of all, or a portion, of the principal
amount of, interest on, or any other amounts payable on, the Notes;
(ii) the conversion of all, or a portion, of the principal amount
of, interest on, or any other amounts payable on, the Notes into
shares or other securities or other obligations of Barclays Bank
PLC or another person (and the issue to, or conferral on, the
holder or beneficial owner of the Notes such shares, securities or
obligations); 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 and beneficial
owner of the Notes further acknowledges and agrees that the rights
of the holders or beneficial owners of the Notes are subject to,
and will be varied, if necessary, solely to give effect to, the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and
acknowledgment is not a waiver of any rights holders or beneficial
owners of the Notes may have at law if and to the extent that any
U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—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—4
ADDITIONAL
INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
The
range of the estimated values of the Notes referenced above may not
correlate on a linear basis with the range of any other term of the
Notes as may be set forth in this pricing supplement. We determined
the size of such range based on prevailing market conditions, as
well as the anticipated duration of the marketing period for the
Notes. The final terms for the Notes will be determined on the date
the Notes are initially priced for sale to the public, which we
refer to as the Initial Valuation Date, based on prevailing market
conditions on or prior to the Initial Valuation Date, and will be
communicated to investors either orally or in a final pricing
supplement.
Our
internal pricing models take into account a number of variables and
are based on a number of subjective assumptions, which may or may
not materialize, typically including volatility, interest rates,
and our internal funding rates. Our internal funding rates (which
are our internally published borrowing rates based on variables
such as market benchmarks, our appetite for borrowing, and our
existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary
market. Our estimated value on the Initial Valuation Date is based
on our internal funding rates. Our estimated value of the Notes may
be lower if such valuation were based on the levels at which our
benchmark debt securities trade in the secondary
market.
Our
estimated value of the Notes on the Initial Valuation Date is
expected to be less than the initial issue price of the Notes. The
difference between the initial issue price of the Notes and our
estimated value of the Notes is a result of 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 (including any structuring or other
distribution related 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.
You
may revoke your offer to purchase the Notes at any time prior to
the Initial Valuation Date. We reserve the right to change the
terms of, or reject any offer to purchase, the Notes prior to the
Initial Valuation Date. In the event of any changes to the terms of
the Notes, we will notify you and you will be asked to accept such
changes in connection with your purchase. You may also choose to
reject such changes in which case we may reject your offer to
purchase.
PS—5
SELECTED PURCHASE CONSIDERATIONS
The
Notes are not suitable for all investors. The Notes may be a
suitable investment for you if all of the following statements are
true:
|
●
|
You do
not seek an investment that produces fixed periodic interest or
coupon payments or other non-contingent sources of current income,
and you can tolerate receiving few or no Contingent Coupons over
the term of the Notes in the event the Closing Value of any
Reference Asset falls below its Coupon Barrier Value on one or more
of the specified Observation Dates.
|
|
●
|
You
understand and accept that you will not participate in any
appreciation of any Reference Asset, which may be significant, and
that your return potential on the Notes is limited to the
Contingent Coupons and Unpaid Coupon Amounts, if any, paid on the
Notes.
|
|
●
|
You can
tolerate a loss of a significant portion or all of the principal
amount of your Notes, and you are willing and able to make an
investment that may have the full downside market risk of an
investment in the Least Performing Reference Asset.
|
|
●
|
You do
not anticipate that the Closing Value of any Reference Asset will
fall below its Coupon Barrier Value on any Observation Date or
below its Barrier Value on the Final Valuation Date.
|
|
●
|
You
understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of any
Reference Asset or any securities to which any Reference Asset
provides exposure, nor will you have any voting rights with respect
to any Reference Asset or any securities to which any Reference
Asset provides exposure.
|
|
●
|
You are
willing and able to accept the individual market risk of each
Reference Asset and understand that any decline in the value of one
Reference Asset will not be offset or mitigated by a lesser decline
or any potential increase in the value of any other Reference
Asset.
|
|
●
|
You
understand and accept the risks that (a) you will not receive a
Contingent Coupon if the Closing Value of any Reference Asset is
less than its Coupon Barrier Value on an Observation Date and (b)
you will lose some or all of your principal at maturity if the
Final Value of any Reference Asset is less than its Barrier
Value.
|
|
●
|
You
understand and accept the risk that you will not receive any Unpaid
Coupon Amounts unless a Contingent Coupon becomes payable on a
subsequent Observation Date.
|
|
●
|
You
understand and accept the risk that, if the Notes are not redeemed
prior to scheduled maturity, the payment at maturity, if any, will
be based solely on the Reference Asset Return of the Least
Performing Reference Asset.
|
|
●
|
You
understand and are willing and able to accept the risks associated
with an investment linked to the performance of the Reference
Assets.
|
|
●
|
You are
willing and able to accept the risk that the Notes may be redeemed
prior to scheduled maturity and that you may not be able to
reinvest your money in an alternative investment with comparable
risk and yield.
|
|
●
|
You can
tolerate fluctuations in the price of the Notes prior to scheduled
maturity that may be similar to or exceed the downside fluctuations
in the values of the Reference Assets.
|
|
●
|
You do
not seek an investment for which there will be an active secondary
market, and you are willing and able to hold the Notes to maturity
if the Notes are not redeemed.
|
|
●
|
You are
willing and able to assume our credit risk for all payments on the
Notes.
|
|
●
|
You are
willing and able to consent to the exercise of any U.K. Bail-in
Power by any relevant U.K. resolution authority.
|
The
Notes may not be a suitable investment for you if
any of the following statements are true:
|
●
|
You
seek an investment that produces fixed periodic interest or coupon
payments or other non-contingent sources of current income, and/or
you cannot tolerate receiving few or no Contingent Coupons over the
term of the Notes in the event the Closing Value of any Reference
Asset falls below its Coupon Barrier Value on one or more of the
specified Observation Dates.
|
|
●
|
You
seek an investment that participates in the full appreciation of
any or all of the Reference Assets rather than an investment with a
return that is limited to the Contingent Coupons and Unpaid Coupon
Amounts, if any, paid on the Notes.
|
|
●
|
You
seek an investment that provides for the full repayment of
principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose some or all of the principal amount of
the Notes in the event that the Final Value of the Least Performing
Reference Asset falls below its Barrier Value.
|
|
●
|
You
anticipate that the Closing Value of at least one Reference Asset
will decline during the term of the Notes such that the Closing
Value of at least one Reference Asset will fall below its Coupon
Barrier Value on one or more Observation Dates and/or the Final
Value of at least one Reference Asset will fall below its Barrier
Value.
|
|
●
|
You are
unwilling or unable to accept the individual market risk of each
Reference Asset and/or do not understand that any decline in the
value of one Reference Asset will not be offset or mitigated by a
lesser decline or any potential increase in the value of any other
Reference Asset.
|
|
●
|
You do
not understand and/or are unwilling or unable to accept the risks
associated with an investment linked to the performance of the
Reference Assets.
|
|
●
|
You are
unwilling or unable to accept the risk that the negative
performance of only one Reference Asset may cause you to not
receive Contingent Coupons (and thus, Unpaid Coupon Amounts) and/or
suffer a loss of principal at maturity, regardless of the
performance of any other Reference Asset.
|
|
●
|
You are
unwilling or unable to accept the risk that the Notes may be
redeemed prior to scheduled maturity.
|
PS—6
|
●
|
You
seek an investment that entitles you to dividends or distributions
on, or voting rights related to any Reference Asset or any
securities to which any Reference Asset provides
exposure.
|
|
●
|
You
cannot tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside
fluctuations in the values of the Reference Assets.
|
|
●
|
You
seek an investment for which there will be an active secondary
market, and/or you are unwilling or unable to hold the Notes to
maturity if the Notes are not redeemed.
|
|
●
|
You
prefer the lower risk, and therefore accept the potentially lower
returns, of fixed income investments with comparable maturities and
credit ratings.
|
|
●
|
You are
unwilling or unable to assume our credit risk for all payments on
the Notes.
|
|
●
|
You are
unwilling or unable to consent to the exercise of any U.K. Bail-in
Power by any relevant U.K. resolution authority.
|
You
must rely on your own evaluation of the merits of an investment in
the Notes. You should reach a decision whether to
invest in the Notes after carefully considering, with your
advisors, the suitability of the Notes in light of your investment
objectives and the specific information set out in this pricing
supplement and the documents referenced under “Additional Documents
Related to the Offering of the Notes” in this pricing 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
Observation Dates (including the Final Valuation Date), the
Contingent Coupon Payment Dates, any Call Settlement Date and the
Maturity Date are subject to postponement in certain circumstances,
as described under “Reference Assets—Equity Securities—Market
Disruption Events for Securities with an Equity Security as a
Reference Asset,” “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” and
“Terms of the Notes—Payment Dates” in the accompanying prospectus
supplement.
In
addition, the Reference Assets and the Notes are subject to
adjustment by the Calculation Agent under certain circumstances, as
described under “Reference Assets—Equity Securities—Share
Adjustments Relating to Securities with an Equity Security as a
Reference Asset” in the accompanying prospectus
supplement.
PS—7
HYPOTHETICAL
EXAMPLES OF CONTINGENT COUPONS AND UNPAID COUPON AMOUNTS THAT MAY
BE PAYABLE DURING THE TERM OF THE NOTES
The
following examples demonstrate the circumstances under which you
may receive a Contingent Coupon and/or any Unpaid Coupon Amounts on
hypothetical Contingent Coupon Payment Dates during the term of the
Notes. The numbers appearing in these tables are purely
hypothetical and are provided for illustrative purposes only. These
examples do not take into account any tax consequences from
investing in the Notes and assume that the Notes are not redeemed
prior to scheduled maturity.
|
Example
1: A Contingent Coupon is payable with respect to each Observation
Date.
Is
the Closing Value of Any Reference
Asset Less Than its Coupon Barrier
Value?
Total
Payment on Related Contingent Coupon Payment
Date (per
$1,000 Principal Amount Note)
With
respect to each Observation Date, No
Because
the Closing Value of each Reference Asset on each Observation Date
is greater than or equal to its Coupon Barrier Value, a Contingent
Coupon becomes payable on each Contingent Coupon Payment Date. The
total amount of Contingent Coupons that you receive is
$363.00 per $1,000 principal amount Note, the maximum possible
amount of Contingent Coupons that you may receive.
|
|
Example
2: A Contingent Coupon is payable with respect to some Observation
Dates but not with respect to other Observation
Dates.
Is
the Closing Value of Any Reference
Asset Less Than its Coupon Barrier
Value?
Total
Payment on Related Contingent Coupon Payment
Date (per
$1,000 Principal Amount Note)
With
respect to each Observation Date, No
The
total amount of Contingent Coupons that you receive is
$332.75 per $1,000 principal amount Note, which includes an
Unpaid Coupon Amount of $30.25 accrued in respect of the first
Observation Date and payable on the second Contingent Coupon
Payment Date.
This
example is intended to illustrate how Unpaid Coupon Amounts may or
may not become payable during the term of the Notes. No Contingent
Coupons are payable with respect to the first and twelfth
Observation Dates because the Closing Value of at least one
Reference Asset on each such date is less than its Coupon Barrier
Value. Because no Contingent Coupon ever becomes payable after the
twelfth Observation Date, you will never receive the related Unpaid
Coupon Amounts for the remaining Observation Dates after the
twelfth Observation Date.
|
PS—8
|
Example
3: No Contingent Coupons are payable with respect any Observation
Dates.
Is
the Closing Value of Any Reference
Asset Less Than its Coupon Barrier
Value?
Total
Payment on Related Contingent Coupon Payment
Date (per
$1,000 Principal Amount Note)
With
respect to each Observation Date, Yes
The
total amount of Contingent Coupons that you receive during the term
of the Notes is $0.00. Because no Contingent Coupon is payable on
any Contingent Coupon Payment Date, you will not receive any
Contingent Coupons, nor will you receive any Unpaid Coupon Amounts
that have accrued.
This
example demonstrates that you may not
receive any Contingent Coupons during the
term of the Notes.
|
PS—9
HYPOTHETICAL
EXAMPLES OF AMOUNTS PAYABLE UPON AUTOMATIC CALL
The
following examples demonstrate the hypothetical total return upon
an Automatic Call under various circumstances. The “total return”
as used in these examples is the number, expressed as a percentage,
that results from comparing the aggregate payments 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 tables and examples have been
rounded for ease of analysis. The hypothetical examples below do
not take into account any tax consequences from investing in the
Notes and make the following key assumption:
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■
|
For
each Observation Date that is not also a Call Valuation Date, the
Closing Value of at least one Reference Asset is less than its
Coupon Barrier Value. Accordingly, you
will NOT receive Contingent Coupons on those
Observation Dates, unless indicated otherwise below.
|
|
Example
1: The Notes are redeemed on the first Call Valuation
Date.
Is
the Closing Value of any Reference
Asset Less Than its Coupon Barrier
Value?
Is
the Closing Value of any Reference
Asset Less Than its Call
Value?
Total
Payment on Related Contingent Coupon Payment
Date (per
$1,000 principal amount Note)
Because
the Closing Value of each Reference Asset on the first Call
Valuation Date is greater than or equal to its Call Value, the
Notes are redeemed and you will receive the Redemption Price on the
related Call Settlement Date.
The
Notes will cease to be outstanding after the Call Settlement Date,
and you will not receive any further payments on the
Notes.
The
total return on investment of the Notes is 12.10%.
|
|
Example
2: The Notes are redeemed on the third Call Valuation
Date.
Is
the Closing Value of any Reference
Asset Less Than its Coupon Barrier
Value?
Is
the Closing Value of any Reference
Asset Less Than its Call
Value?
Total
Payment on Related Contingent Coupon Payment Date
** Any
Unpaid Coupon Amount has been paid on a previous Contingent Coupon
Payment Date.
Because
the Closing Value of each Reference Asset on the third Call
Valuation Date is greater than or equal to its Call Value, the
Notes are redeemed and you will receive the Redemption Price on the
related Call Settlement Date.
The
Notes will cease to be outstanding after the Call Settlement Date,
and you will not receive any further payments on the
Notes.
The
total return on investment of the Notes is 18.15%.
|
PS—10
|
Example
3: The Notes are redeemed on the final Call Valuation
Date.
Is
the Closing Value of any Reference
Asset Less Than its Coupon Barrier
Value?
Is
the Closing Value of any Reference
Asset Less Than its Call
Value?
Total
Payment on Related Contingent Coupon Payment Date
With
respect to each Call Valuation Date, Yes
With
respect to each Call Valuation Date, Yes
**
Assumes NO Contingent Coupons have been previously
paid. Accordingly, this amount includes the Contingent Coupon that
is payable on this Contingent Coupon Payment Date plus the Unpaid
Coupon Amounts that have accrued.
Because
the Closing Value of each Reference Asset on the final Call
Valuation Date is greater than or equal to its Call Value, the
Notes are redeemed and you will receive the Redemption Price on the
related Call Settlement Date. Example 3 demonstrates that the
Closing Value of at least one Reference Asset is less than its
Coupon Barrier Value on each Observation Date prior to the final
Call Valuation Date. Accordingly, no Contingent Coupons are payable
on the Notes until the final Call Valuation Date.
The
Notes will cease to be outstanding after the Call Settlement Date,
and you will not receive any further payments on the
Notes.
The
total return on investment of the Notes is 33.275%.
|
|
Each of
the examples above demonstrate that the return on the Notes upon an
Automatic Call will be limited to the Contingent Coupons, if any,
that may be payable on the Notes up to and including the applicable
Call Settlement Date. Each of the examples above demonstrate that
the return on your Notes will be limited to the Contingent Coupons
and any Unpaid Coupon Amounts that may be payable on the Notes.
Each of these examples also demonstrate that, if the Closing Value
of each Reference Asset is less than its Coupon Barrier Value on an
Observation Date, you will not receive a Contingent Coupon on the
related Contingent Coupon Payment Date. If a Contingent Coupon does
not become payable with respect to an Observation Date (and instead
becomes an Unpaid Coupon Amount), you will receive payment of such
amount only if a Contingent Coupon becomes payable with respect to
a future Observation Date. If a Contingent Coupon fails to become
payable with respect to an Observation Date, and if the Closing
Value of each Reference Asset is less than its Coupon Barrier Value
on each subsequent Observation Date, you will never receive payment
of the Unpaid Coupon Amount(s). If the Closing Value of each
Reference Asset is less than its Coupon Barrier Value on each
Observation Date, you will not receive any coupon payments during
the term of the Notes.
|
PS—11
HYPOTHETICAL
EXAMPLES OF AMOUNTS PAYABLE AT MATURITY
The
following table illustrates the hypothetical payment at maturity
under various circumstances. The examples set forth below are
purely hypothetical and are provided for illustrative purposes
only. The numbers appearing in the following table and examples
have been rounded for ease of analysis. The hypothetical examples
below do not take into account any tax consequences from investing
in the Notes and make the following key assumptions:
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■
|
Hypothetical Initial
Value of each Reference Asset: 100.00*
|
|
■
|
Hypothetical Coupon
Barrier Value for each Reference Asset: 70.00 (70.00% of the
hypothetical Initial Value set forth above)*
|
|
■
|
Hypothetical Barrier
Value for each Reference Asset: 70.00 (70.00% of the hypothetical
Initial Value set forth above)*
|
|
■
|
You
hold the Notes to maturity, and the Notes
are NOT redeemed prior to scheduled
maturity.
|
|
*
|
The hypothetical Initial
Value of 100.00, the hypothetical Coupon
Barrier Value of 70.00 and
the hypothetical Barrier Value of 70.00 for
each Reference Asset have been chosen for illustrative purposes
only and do not represent a likely Initial Value, Coupon Barrier
Value or Barrier Value for any Reference Asset. The actual Initial
Value for each Reference Asset will be equal to its Closing Value
on the Initial Valuation Date, and the actual Coupon Barrier Value
and Barrier Value for each Reference Asset will each be equal to
70.00% of its Initial Value.
|
|
For
information regarding recent values of the Reference Assets, please
see “Information Regarding the Reference Assets” in this pricing
supplement.
|
|
Final
Value
|
|
Reference
Asset Return
|
|
|
|
AMZN
(Reference
Asset A)
|
BABA
(Reference
Asset B)
|
YUM
(Reference
Asset C)
|
|
AMZN
(Reference
Asset A)
|
BABA
(Reference
Asset B)
|
YUM
(Reference
Asset C)
|
|
Reference
Asset Return of the Least Performing Reference
Asset
|
Payment
at Maturity**
|
|
140.00
|
145.00
|
150.00
|
|
40.00%
|
45.00%
|
50.00%
|
|
40.00%
|
$1,000.00
|
|
135.00
|
130.00
|
140.00
|
|
35.00%
|
30.00%
|
40.00%
|
|
30.00%
|
$1,000.00
|
|
120.00
|
125.00
|
122.00
|
|
20.00%
|
25.00%
|
22.00%
|
|
20.00%
|
$1,000.00
|
|
112.00
|
110.00
|
115.00
|
|
12.00%
|
10.00%
|
15.00%
|
|
10.00%
|
$1,000.00
|
|
100.00
|
105.00
|
120.00
|
|
0.00%
|
5.00%
|
20.00%
|
|
0.00%
|
$1,000.00
|
|
140.00
|
90.00
|
105.00
|
|
40.00%
|
-10.00%
|
5.00%
|
|
-10.00%
|
$1,000.00
|
|
80.00
|
102.00
|
105.00
|
|
-20.00%
|
2.00%
|
5.00%
|
|
-20.00%
|
$1,000.00
|
|
80.00
|
75.00
|
70.00
|
|
-20.00%
|
-25.00%
|
-30.00%
|
|
-30.00%
|
$1,000.00
|
|
60.00
|
120.00
|
100.00
|
|
-40.00%
|
20.00%
|
0.00%
|
|
-40.00%
|
$1,000.00
|
|
135.00
|
50.00
|
110.00
|
|
35.00%
|
-50.00%
|
10.00%
|
|
-50.00%
|
$500.00
|
|
150.00
|
40.00
|
100.00
|
|
50.00%
|
-60.00%
|
0.00%
|
|
-60.00%
|
$400.00
|
|
40.00
|
30.00
|
90.00
|
|
-60.00%
|
-70.00%
|
-10.00%
|
|
-70.00%
|
$300.00
|
|
20.00
|
55.00
|
50.00
|
|
-80.00%
|
-45.00%
|
-50.00%
|
|
-80.00%
|
$200.00
|
|
50.00
|
10.00
|
55.00
|
|
-50.00%
|
-90.00%
|
-45.00%
|
|
-90.00%
|
$100.00
|
|
0.00
|
105.00
|
80.00
|
|
-100.00%
|
5.00%
|
-20.00%
|
|
-100.00%
|
$0.00
|
|
** per
$1,000 principal amount Note, excluding the final Contingent Coupon
that may be payable on the Maturity Date.
|
|
The
following examples illustrate how the payments at maturity set
forth in the table above are calculated:
|
Example
1: The Final Value of Reference Asset A is $135.00,
the Final Value of Reference Asset B is
$130.00 and the Final Value of Reference Asset C
is $140.00.
Because
Reference Asset B has the lowest Reference Asset Return, Reference
Asset B is the Least Performing Reference Asset. Because the Final
Value of the Least Performing Reference Asset is greater than or
equal to its Barrier Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold
(plus (i) any Contingent Coupon that may otherwise be
payable on the Maturity Date and (ii) any Unpaid Coupon Amounts
that have not previously been paid).
PS—12
Example
2: The Final Value of Reference Asset A is $80.00,
the Final Value of Reference Asset B is $75.00 and
the Final Value of Reference Asset C is
$70.00.
Because
Reference Asset C has the lowest Reference Asset Return,
Reference Asset C is the Least Performing Reference
Asset. Because the Final Value of the Least Performing Reference
Asset is greater than or equal to its Barrier Value, you will
receive a payment at maturity of $1,000 per $1,000 principal amount
Note that you hold (plus (i) any Contingent Coupon that may
otherwise be payable on the Maturity Date and (ii) any Unpaid
Coupon Amounts that have not previously been paid).
Example
3: The Final Value of Reference Asset A is $60.00,
the Final Value of Reference Asset B is $120.00 and
the Final Value of Reference Asset C is
$100.00.
Because
Reference Asset A has the lowest Reference Asset Return, Reference
Asset A is the Least Performing Reference Asset. Because the Final
Value of the Least Performing Reference Asset is greater than or
equal to its Barrier Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold. Because,
however, the Final Value of at least one Reference Asset is less
than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the Maturity Date, nor will you receive any accrued
Unpaid Coupon Amounts.
Example
4: The Final Value of Reference Asset A is $150.00,
the Final Value of Reference Asset B is $40.00 and
the Final Value of Reference Asset C is
$100.00.
Because
Reference Asset B has the lowest Reference Asset Return, Reference
Asset B is the Least Performing Reference Asset. Because the Final
Value of the Least Performing Reference Asset is less than its
Barrier Value, you will receive a payment at maturity of $400.00
per $1,000 principal amount Note that you hold, calculated as
follows:
$1,000
+ [$1,000 × Reference Asset Return of the Least Performing
Reference Asset]
$1,000
+ [$1,000 × -60.00%] = $400.00
In
addition, because the Final Value of at least one Reference Asset
is less than its Coupon Barrier Value, you will not receive a
Contingent Coupon, nor will you receive any accrued Unpaid Coupon
Amounts on the Maturity Date.
Example
4 demonstrates that if the Notes are not redeemed prior to
scheduled maturity, and if the Final Value of the Least Performing
Reference Asset is less than its Barrier Value, your investment in
the Notes will be fully exposed to the decline of the Least
Performing Reference Asset from its Initial Value. You will not
benefit in any way from the Reference Asset Return of any other
Reference Asset being higher than the Reference Asset Return of the
Least Performing Reference Asset.
If
the Notes are not redeemed prior to scheduled maturity,
you may lose up to 100.00% of
the principal amount of your Notes. Any payment on the Notes,
including the repayment of principal, is subject to the credit risk
of Barclays Bank PLC.
PS—13
SELECTED
RISK CONSIDERATIONS
An
investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Reference
Assets or their components, if any. Some of the risks that apply to
an investment in the Notes are summarized below, but we urge you to
read the more detailed explanation of risks relating to the Notes
generally in the “Risk Factors” section of the prospectus
supplement. You should not purchase the Notes unless you understand
and can bear the risks of investing in the Notes.
Risks
Relating to the Notes Generally
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●
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Your
Investment in the Notes May Result in a Significant Loss—The
Notes differ from ordinary debt securities in that the Issuer will
not necessarily repay the full principal amount of the Notes at
maturity. If the Notes are not redeemed prior to scheduled
maturity, and if the Final Value of the Least Performing Reference
Asset is less than its Barrier Value, your Notes will be fully
exposed to the decline of the Least Performing Reference Asset from
its Initial Value. You may lose up
to 100.00% of the principal amount of your
Notes.
|
|
●
|
Potential
Return is Limited to the Contingent Coupons, If
Any, and You Will Not Participate in Any Appreciation
of Any Reference Asset—The potential positive return on the
Notes is limited to the Contingent Coupons, if any, that may be
payable during the term of the Notes (whether paid as Contingent
Coupons on the Contingent Coupon Payment Date following an
Observation Date or as Unpaid Coupon Amounts on a subsequent
Contingent Coupon Payment Date). You will not participate in any
appreciation in the value of any Reference Asset, which may be
significant, even though you will be exposed to the depreciation in
the value of the Least Performing Reference Asset if the Notes are
not redeemed and the Final Value of the Least Performing Reference
Asset is less than its Barrier Value.
|
|
●
|
You
May Not Receive Any Contingent Coupon Payments on the Notes—The
Issuer will not necessarily make periodic coupon payments on the
Notes. You will receive a Contingent Coupon on a Contingent Coupon
Payment Date only if the Closing Value of each
Reference Asset on the related Observation Date is greater than or
equal to its respective Coupon Barrier Value. If the Closing Value
of any Reference Asset on an Observation Date is less than its
Coupon Barrier Value, you will not receive a Contingent Coupon on
the related Contingent Coupon Payment Date and you will only
receive the related Unpaid Coupon Amount if a Contingent Coupon
becomes payable on a future Observation Date. If a Contingent
Coupon fails to become payable on an Observation Date (and instead
becomes an Unpaid Coupon Amount), and no Contingent Coupon becomes
payable on any future Observation Date, you will never receive
payment of the Unpaid Coupon Amount(s). If the Closing Value of at
least one Reference Asset is less than its respective Coupon
Barrier Value on each Observation Date, you will not receive any
Contingent Coupons during the term of the Notes.
|
|
●
|
Because
the Notes Are Linked to the Least Performing Reference Asset, You
Are Exposed to Greater Risks of No Contingent Coupons (or Unpaid
Coupon Amount(s)) and Sustaining a Significant Loss of Principal at
Maturity Than If the Notes Were Linked to a Single Reference
Asset—The risk that you will not receive any Contingent Coupons
(or Unpaid Coupon Amount(s)) 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 Reference
Asset. With multiple Reference Assets, it is more likely that the
Closing Value of at least one Reference Asset will be less than its
Coupon Barrier Value on the specified Observation Dates or less
than its Barrier Value on the Final Valuation Date, and therefore,
it is more likely that you will not receive any Contingent Coupons
(or Unpaid Coupon Amount(s)) and that you will suffer a
significant loss of principal at maturity. Further, the performance
of the Reference Assets may not be correlated or may be negatively
correlated. The lower the correlation between multiple Reference
Assets, the greater the potential for one of those Reference Assets
to close below its Coupon Barrier Value or Barrier Value on an
Observation Date or the Final Valuation Date,
respectively.
|
It is
impossible to predict what the correlation among the Reference
Assets will be over the term of the Notes. The Reference Assets
represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
Although
the correlation of the Reference Assets’ performance may change
over the term of the Notes, the Contingent Coupon rate is
determined, in part, based on the correlation of the Reference
Assets’ performance calculated using our internal models at the
time when the terms of the Notes are finalized. A higher Contingent
Coupon is generally associated with lower correlation of the
Reference Assets, which reflects a greater potential for missed
Contingent Coupons and for a loss of principal at
maturity.
|
●
|
You
Are Exposed to the Market Risk of Each Reference Asset—Your
return on the Notes is not linked to a basket consisting of the
Reference Assets. Rather, it will be contingent upon the
independent performance of each Reference Asset. 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
Reference Asset. Poor performance by any Reference Asset 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
value of any other Reference Asset. To receive a Contingent Coupon,
the Closing Value of each Reference Asset must be greater than or
equal to its Coupon Barrier Value on the applicable Observation
Date. In addition, if the Notes have not been redeemed prior to
scheduled maturity, and if the Final Value of any Reference Asset
is less than its Barrier Value, you will be exposed to the full
decline in the Least Performing Reference Asset from its Initial
Value. Accordingly, your investment is subject to the market risk
of each Reference Asset.
|
|
●
|
The
Notes Are Subject to Volatility Risk—Volatility is a measure of
the degree of variation in the price of an asset (or level of an
index) over a period of time. The amount of any coupon payments
that may be payable under the Notes is based on a number of
factors, including the expected volatility of the Reference Assets.
The amount of such coupon payments will be paid at a per annum rate
that is higher than the fixed rate that we would pay on a
conventional debt security of the same tenor and is higher than
it
|
PS—14
otherwise
would have been had the expected volatility of the Reference Assets
been lower. As volatility of a Reference Asset increases, there
will typically be a greater likelihood that (a) the Closing Value
of that Reference Asset on one or more Observation Dates will be
less than its Coupon Barrier Value and (b) the Final Value of that
Reference Asset will be less than its Barrier Value.
Accordingly,
you should understand that a higher coupon payment amount reflects,
among other things, an indication of a greater likelihood that you
will (a) not receive coupon payments with respect to one or more
Observation Dates and/or (b) incur a loss of principal at maturity
than would have been the case had the amount of such coupon
payments been lower. In addition, actual volatility over the term
of the Notes may be significantly higher than the expected
volatility at the time the terms of the Notes were determined. If
actual volatility is higher than expected, you will face an even
greater risk that you will not receive coupon payments and/or that
you will lose some or all of your principal at maturity for the
reasons described above.
|
●
|
Early
Redemption and Reinvestment Risk—While the original term of the
Notes is as indicated on the cover of this pricing supplement, the
Notes may be redeemed prior to maturity, as described above, and
the holding period over which you may receive any coupon payments
that may be payable under the Notes could be as short as
approximately one year.
|
The
Redemption Price that you would receive on a Call Settlement Date,
together with any coupon payments that you may have received prior
to the Call Settlement Date, may be less than the aggregate amount
of payments that you would have received had the Notes not been
redeemed. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the Notes in a comparable
investment with a similar level of risk in the event the Notes are
redeemed prior to the Maturity Date. No additional payments will be
due after the relevant Call Settlement Date. The fact that the
Notes may be redeemed prior to maturity may also adversely impact
your ability to sell your Notes and the price at which they may be
sold.
|
●
|
If
the Notes Are Not Redeemed Prior to Scheduled Maturity, the Payment
at Maturity, If Any, is Based Solely on the Closing Value of the
Least Performing Reference Asset on the Final Valuation Date—If
the Notes are not redeemed prior to scheduled maturity, the Final
Value of any Reference Asset will be based solely on its Closing
Value on the Final Valuation Date, and your payment at maturity, if
any, will be determined based solely on the performance of the
Least Performing Reference Asset from the Initial Valuation Date to
the Final Valuation Date. Accordingly, if the value of the Least
Performing Reference Asset drops on the Final Valuation Date, the
payment at maturity on the Notes, if any, may be significantly less
than it would have been had it been linked to the value of the
Reference Asset at any time prior to such drop.
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If the
Final Value of the Least Performing Reference Asset is less than
its Barrier Value, you will lose some or all of the principal
amount of your Notes. Your losses will not be offset in any way by
virtue of the Reference Asset Return of any other Reference Asset
being higher than the Reference Asset Return of the Least
Performing Reference Asset.
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Contingent
Repayment of Any Principal Amount Applies Only at Maturity or upon
Any Redemption—You should be willing to hold your Notes to
maturity or any redemption. Although the Notes provide for the
contingent repayment of the principal amount of your Notes at
maturity, provided that the Final Value of the Least Performing
Reference Asset is greater than or equal to its Barrier Value, or
upon any redemption, if you sell your Notes prior to such time in
the secondary market, if any, you may have to sell your Notes at a
price that is less than the principal amount even if at that time
the value of each Reference Asset has increased from its Initial
Value. See “Many Economic and Market Factors Will Impact the Value
of the Notes” below.
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Owning
the Notes is Not the Same as Owning Any Reference Asset or Any
Securities to which Any Reference Asset Provides Exposure—The
return on the Notes may not reflect the return you would realize if
you actually owned any Reference Asset or any securities to which
any Reference Asset provides exposure. As a holder of the Notes,
you will not have voting rights or rights to receive dividends or
other distributions or any other rights that holders of any
Reference Asset or any securities to which any Reference Asset
provides exposure may have.
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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 “Tax Considerations” below.
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Risks
Relating to the Issuer
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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 may not receive any amounts 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 or
beneficial owner of the Notes, by acquiring the Notes, each holder
and beneficial owner of the Notes acknowledges, accepts, agrees to
be bound by, and consents to the exercise of, any U.K. Bail-in
Power by the relevant U.K. resolution authority as set forth under
“Consent to U.K. Bail-in Power” in this pricing supplement.
Accordingly, any U.K. Bail-in Power may be exercised in such a
manner as to result in you and other holders and beneficial owners
of the Notes losing all or a part of the value of your investment
in the Notes or receiving a different security from the Notes,
which may be worth significantly less than the Notes and which may
have significantly fewer protections than those typically afforded
to debt securities. Moreover, the relevant U.K. resolution
authority may exercise the U.K. Bail-in Power without providing any
advance notice to, or requiring the consent of, the holders and the
beneficial owners of the Notes. The exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority with respect to the
Notes will not be a default or an Event of Default (as each term is
defined in the senior debt securities indenture) and the
trustee
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PS—15
will
not be liable for any action that the trustee takes, or abstains
from taking, in either case, in accordance with the exercise of the
U.K. Bail-in Power by the relevant U.K. resolution authority with
respect to the Notes. See “Consent to U.K. Bail-in Power” in this
pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is
failing or likely to fail could materially adversely affect the
value of the securities” and “Risk Factors—Risks Relating to the
Securities Generally—Under the terms of the securities, you have
agreed to be bound by the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority” in the accompanying prospectus
supplement.
Risks
Relating to the Reference Assets
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Historical
Performance of the Reference Assets Should Not Be Taken as Any
Indication of the Future Performance of the Reference Assets Over
the Term of the Notes—The value of each Reference Asset has
fluctuated in the past and may, in the future, experience
significant fluctuations. The historical performance of a Reference
Asset is not an indication of the future performance of that
Reference Asset over the term of the Notes. The historical
correlation among the Reference Assets is not an indication of the
future correlation among them over the term of the Notes.
Therefore, the performance of the Reference Assets individually or
in comparison to each other over the term of the Notes may bear no
relation or resemblance to the historical performance of any
Reference Asset.
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Single
Equity Risk—The values of the Reference Assets can rise or fall
sharply due to factors specific to each Reference Asset and its
issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments,
management changes and decisions and other events, as well as
general market factors, such as general stock market volatility and
levels, interest rates and economic and political conditions. We
urge you to review financial and other information filed
periodically with the SEC by the issuers of the Reference Assets.
We have not undertaken any independent review or due diligence of
the SEC filings of the issuers of the Reference Assets or of any
other publicly available information regarding any such
issuer.
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Anti-Dilution
Protection Is Limited, and the Calculation Agent Has Discretion to
Make Anti-Dilution Adjustments—The Calculation Agent may in its
sole discretion make adjustments affecting the amounts payable on
the Notes upon the occurrence of certain corporate events (such as
stock splits or extraordinary or special dividends) that the
Calculation Agent determines have a diluting or concentrative
effect on the theoretical value of any Reference Asset. However,
the Calculation Agent might not make such adjustments in response
to all events that could affect any Reference Asset. The occurrence
of any such event and any adjustment made by the Calculation Agent
(or a determination by the Calculation Agent not to make any
adjustment) may adversely affect any amounts payable on the Notes.
See “Reference Assets—Equity Securities—Share Adjustments Relating
to Securities with an Equity Security as a Reference Asset” in the
accompanying prospectus supplement.
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Reorganization
Or Other Events Could Adversely Affect the Value of the Notes Or
Result in the Notes Being Accelerated—Upon the occurrence of
certain reorganization events or a nationalization, expropriation,
liquidation, bankruptcy, insolvency or de-listing of any Reference
Asset, the Calculation Agent will make adjustments to that
Reference Asset that may result in payments on the Notes being
based on the performance of shares, cash or other assets
distributed to holders of that Reference Asset upon the occurrence
of such event or, in some cases, the Calculation Agent may
accelerate the maturity date for a payment determined by the
Calculation Agent. Any of these actions could adversely affect the
value of any Reference Asset and, consequently, the value of the
Notes. Any amount payable upon acceleration could be significantly
less than the amount(s) that would be due on the Notes if they were
not accelerated. See “Reference Assets—Equity Securities—Share
Adjustments Relating to Securities with an Equity Security as a
Reference Asset” in the accompanying prospectus
supplement.
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There
are Important Differences between the American Depositary Shares
and the Underlying Securities of BABA—You should be aware that
your return on the Notes is linked to the price of American
depositary shares representing the underlying securities of BABA
and not any actual underlying securities. There are important
differences between the rights of holders of American depositary
shares and the rights of holders of underlying securities. Each
American depositary share is a security evidenced by American
depositary receipts, one of which represents one underlying
security of BABA. The American depositary shares are issued
pursuant to a deposit agreement, which sets forth the rights and
responsibilities of the depositary, the relevant non-U.S. issuer
and holders of the American depositary shares, which may be
different from the rights of holders of any underlying securities.
For example, a company may make distributions in respect of its
underlying securities that are not passed on to the holders of its
American depositary shares. Any such differences between the rights
of holders of the American depositary shares and the rights of
holders of underlying securities may be significant and may
materially and adversely affect the value of the American
depositary shares and, as a result, the value of your
Notes.
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Risks
Associated with non-U.S. Companies—An investment linked to the
value of securities issued by non-U.S. companies, such as the
American depositary shares of BABA, involves risks associated with
such countries of organization and operation. The prices of such
company’s securities may be affected by political, economic,
financial and social factors in such countries, including changes
in such countries' government, economic and fiscal policies,
currency exchange laws or other laws or restrictions.
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Emerging
Markets Risk—An investment such as the Notes linked to
securities issued by companies that are organized in or do all or a
substantial portion of their business in emerging markets, such as
BABA, involves many risks beyond those involved in an investment
linked to securities issued by companies that are organized in or
do business primarily in developed markets, including, but not
limited to: economic, social, political, financial and military
conditions in the emerging markets, including especially political
uncertainty and financial instability; the increased likelihood of
restrictions on export or currency conversion in the emerging
markets; the greater potential for an inflationary environment in
the emerging markets; the possibility of nationalization or
confiscation of assets; the greater likelihood of regulation by the
national, provincial and local governments of the
emerging
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PS—16
market
countries, including the imposition of currency exchange laws and
taxes; and less liquidity in emerging market currency markets than
in those of developed markets. The currencies of emerging markets
may be more volatile than those of developed markets and may be
affected by political and economic developments in different ways
than developed markets. Moreover, the emerging market economies may
differ favorably or unfavorably from developed market economies in
a variety of ways, including growth of gross national product, rate
of inflation, capital reinvestment, resources and
self-sufficiency.
Risks
Relating to Conflicts of Interest
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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.
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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 Reference
Assets or their components, if any. In any such market making,
trading and hedging activity, and other financial services, we or
our affiliates may take positions or take actions that are
inconsistent with, or adverse to, the investment objectives of the
holders of the Notes. We and our affiliates have no obligation to
take the needs of any buyer, seller or holder of the Notes into
account in conducting these activities. Such market making, trading
and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent
for the Notes, could present significant conflicts of interest with
the role of Barclays Bank PLC, as issuer of the Notes. For example,
Barclays Capital Inc. or its representatives may derive
compensation or financial benefit from the distribution of the
Notes and such compensation or financial benefit may serve as
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 Reference Assets and make any other
determinations necessary to calculate any payments on the Notes. In
making these determinations, the Calculation Agent may be required
to make discretionary judgements relating to the Reference Assets,
including determining whether a market disruption event has
occurred or whether certain adjustments to the Reference Assets or
other terms of the Notes are necessary, as further described in the
accompanying prospectus supplement. In making these discretionary
judgments, our economic interests are potentially adverse to your
interests as an investor in the Notes, and any of these
determinations may adversely affect any payments on the
Notes.
Risks
Relating to the Estimated Value of the Notes and the Secondary
Market
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The
Estimated Value of Your Notes is Expected to
be Lower Than the Initial Issue Price of Your
Notes—The estimated value of your Notes on the Initial
Valuation Date is expected to be lower, and may be significantly
lower, than the initial issue price of your Notes. The difference
between the initial issue price of your Notes and the estimated
value of the Notes is 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 (including any structuring or other distribution related
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.
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The
Estimated Value of Your Notes Might be Lower if Such Estimated
Value Were Based on the Levels at Which Our Debt Securities Trade
in the Secondary Market—The estimated value of your Notes on
the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates
may vary from the levels at which our benchmark debt securities
trade in the secondary market. As a result of this difference, the
estimated 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.
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The
Estimated Value of the Notes is Based on Our Internal Pricing
Models, Which May Prove to be Inaccurate and May be Different from
the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the Initial Valuation Date is
based on our internal pricing models, which take into account a
number of variables and are based on a number of subjective
assumptions, which may or may not materialize. These variables and
assumptions are not evaluated or verified on an independent basis.
Further, our pricing models may be different from other financial
institutions’ pricing models and the methodologies used by us to
estimate the value of the Notes may not be consistent with those of
other financial institutions which may be purchasers or sellers of
Notes in the secondary market. As a result, the secondary market
price of your Notes may be materially different from the estimated
value of the Notes determined by reference to our internal pricing
models.
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The
Estimated Value of Your Notes Is Not a Prediction of the Prices at
Which You May Sell Your Notes in the Secondary Market, if any, and
Such Secondary Market Prices, If Any, Will Likely be Lower Than the
Initial Issue Price of Your Notes and May be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes
will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to
purchase the Notes from you in secondary market transactions (if
they are willing to purchase, which they are not obligated to do).
The price at which you may be able to sell your Notes in the
secondary market at any time will be influenced by many factors
that cannot be predicted, such as market conditions, and any bid
and ask spread for similar sized trades, and may be substantially
less than our estimated value of the
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PS—17
Notes.
Further, as secondary market prices of your Notes take into account
the levels at which our debt securities trade in the secondary
market, and do not take into account our various costs related to
the Notes such as fees, commissions, discounts, and the costs of
hedging our obligations under the Notes, secondary market prices of
your Notes will likely be lower than the initial issue price of
your Notes. As a result, the price at which Barclays Capital Inc.,
other affiliates of ours or third parties may be willing to
purchase the Notes from you in secondary market transactions, if
any, will likely be lower than the price you paid for your Notes,
and any sale prior to the Maturity Date could result in a
substantial loss to you.
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The
Temporary Price at Which We May Initially Buy The Notes in the
Secondary Market And the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account Statements
At All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after
the Initial Valuation Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market
(if Barclays Capital Inc. makes a market in the Notes, which it is
not obligated to do) and the value that we may initially use for
customer account statements, if we provide any customer account
statements at all, may exceed our estimated value of the Notes on
the Initial Valuation Date, as well as the secondary market value
of the Notes, for a temporary period after the initial Issue Date
of the Notes. The price at which Barclays Capital Inc. may
initially buy or sell the Notes in the secondary market and the
value that we may initially use for customer account statements may
not be indicative of future prices of your Notes.
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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 willing and able to hold your Notes to
maturity.
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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:
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the
market price of, dividend rate on and expected volatility of the
Reference Assets or the components of the Reference Assets, if
any;
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correlation
(or lack of correlation) of the Reference Assets;
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the
time to maturity of the Notes;
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interest
and yield rates in the market generally;
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a
variety of economic, financial, political, regulatory or judicial
events;
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supply
and demand for the Notes; and
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our
creditworthiness, including actual or anticipated downgrades in our
credit ratings.
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PS—18
INFORMATION REGARDING THE REFERENCE ASSETS
We urge
you to read the following section in the accompanying prospectus
supplement: “Reference Assets—Equity Securities—Reference Asset
Issuer and Reference Asset Information.” Companies with securities
registered under the Securities Exchange Act of 1934, as amended,
which is commonly referred to as the “Exchange Act,” and the
Investment Company Act of 1940, as amended, which is commonly
referred to as the “’40 Act,” are required to periodically file
certain financial and other information specified by the SEC.
Information provided to or filed with the SEC electronically can be
accessed through a website maintained by the SEC. The address of
the SEC’s website is http://www.sec.gov. Information provided to or
filed with the SEC pursuant to the Exchange Act or the ’40 Act by
the company issuing can be located by reference to the SEC
file number specified below.
The
summary information below regarding comes from each company’s
respective SEC filings. You are urged to refer to the SEC filings
made by the company and to other publicly available information
(such as the company’s annual report) to obtain an understanding of
the company’s business and financial prospects. The summary
information contained below is not designed to be, and should not
be interpreted as, an effort to present information regarding the
financial prospects of any issuer or any trends, events or other
factors that may have a positive or negative influence on those
prospects or as an endorsement of any particular company. We have
not undertaken any independent review or due diligence of the SEC
filings of the issuer of or of any other publicly available
information regarding each such issuer.
Information
from outside sources is not incorporated by reference in, and
should not be considered part of, this pricing supplement or any
accompanying prospectus or prospectus supplement. We have not
undertaken any independent review or due diligence of the SEC
filings of or any other publicly available information
regarding .
We
obtained the historical trading price information with respect to
set forth below from Bloomberg
Professional® service (“Bloomberg”). We have not
independently verified the accuracy or completeness of the
information obtained from Bloomberg.
Amazon.com,
Inc.
According
to publicly available information, Amazon.com, Inc. operates online
and physical stores, and manufactures and sells electronic
products.
Information
filed by Amazon.com, Inc. with the SEC under the Exchange Act can
be located by reference to its SEC file number: 000-22513. The
common stock of Amazon.com, Inc. is listed on the Nasdaq Global
Select Market under the ticker symbol “AMZN.”
Historical
Performance of the Common Stock
of Amazon.com, Inc.
The
graph below sets forth the historical performance of Amazon.com,
Inc. based on the daily Closing Value from January 4, 2016 through
January 11, 2021. We obtained the Closing Values shown in the graph
below from Bloomberg. We have not independently verified the
accuracy or completeness of the information obtained from
Bloomberg.
Historical
Performance of the Common Stock of Amazon.com,
Inc.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—19
Yum!
Brands, Inc.
According
to publicly available information, Yum! Brands, Inc. has over
50,000 restaurants in more than 150 countries and territories
primarily operating under the three concepts of KFC, Pizza Hut, and
Taco Bell.
Information
filed by Yum! Brands, Inc. with the SEC under the Exchange Act can
be located by reference to its SEC file number: 001-13163. The
common stock of Yum! Brands, Inc. is listed on the New York Stock
Exchange under the ticker symbol “YUM.”
Historical
Performance of the Common Stock of Yum!
Brands, Inc.
The
graph below sets forth the historical performance of Yum! Brands,
Inc. based on the daily Closing Value from January 4, 2016
through January 11, 2021. We obtained the Closing Values shown in
the graph below from Bloomberg. We have not independently verified
the accuracy or completeness of the information obtained from
Bloomberg.
Historical
Performance of the Common Stock of Yum! Brands,
Inc.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—20
Alibaba
Group Holding Limited
According
to publicly available information, Alibaba Group Holding Limited
provides technology infrastructure and marketing
reach.
Information
filed by Alibaba Group Holding Limited with the SEC under the
Exchange Act can be located by reference to its SEC file number:
001-36614. The American Depositary Shares of Alibaba Group Holding
Limited is listed on the New York Stock Exchange under the ticker
symbol “BABA.”
Historical
Performance of the American Depositary Shares
of Alibaba Group Holding Limited
The
graph below sets forth the historical performance of Alibaba Group
Holding Limited based on the daily Closing Value from January 4,
2016 through January 11, 2021. We obtained the Closing Values shown
in the graph below from Bloomberg. We have not independently
verified the accuracy or completeness of the information obtained
from Bloomberg.
Historical
Performance of the American Depositary Shares of Alibaba Group
Holding Limited
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
PS—21
TAX CONSIDERATIONS
You
should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax
Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent
Coupons” and, if you are a non-U.S. holder, “—Tax Consequences to
Non-U.S. Holders.” The following discussion supersedes the
discussion in the accompanying prospectus supplement to the extent
it is inconsistent therewith.
In
determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and (ii) any
Contingent Coupon payments as ordinary income, as described in the
section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or
Derivative Contracts with Associated Contingent Coupons” in the
accompanying prospectus supplement. Our special tax counsel, Davis
Polk & Wardwell LLP, has advised that it believes this
treatment to be reasonable, but that there are other reasonable
treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale,
exchange or redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes
(including redemption upon an automatic call or at maturity), you
should recognize capital gain or loss equal to the difference
between the amount realized on the sale or exchange and your tax
basis in the Notes, which should equal the amount you paid to
acquire the Notes (assuming Contingent Coupon payments are properly
treated as ordinary income, consistent with the position referred
to above). This gain or loss should be long-term capital gain or
loss if you hold the Notes for more than one year, whether or not
you are an initial purchaser of the Notes at the issue price. The
deductibility of capital losses is subject to limitations. If you
sell your Notes between the time your right to a Contingent Coupon
payment is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the
Contingent Coupon payment. Although uncertain, it is possible that
proceeds received from the sale or exchange of your Notes prior to
an Observation Date but that can be attributed to an expected
Contingent Coupon payment could be treated as ordinary income. You
should consult your tax advisor regarding this issue.
As
noted above, there are other reasonable treatments that the IRS or
a court may adopt, in which case the timing and character of any
income or loss on the Notes could be materially affected. In
addition, in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to
these instruments and the relevance of factors such as the nature
of the underlying property to which the instruments are linked.
While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially
affect the tax consequences of an investment in the Notes, possibly
with retroactive effect. You should consult your tax advisor
regarding the U.S. federal income tax consequences of an investment
in the Notes, including possible alternative treatments and the
issues presented by this notice.
Non-U.S.
holders. Insofar as we have responsibility as a
withholding agent, we do not currently intend to treat Contingent
Coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However,
non-U.S. holders should in any event expect to be required to
provide appropriate Forms W-8 or other documentation in order to
establish an exemption from backup withholding, as described under
the heading “—Information Reporting and Backup Withholding” in the
accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect
to amounts withheld.
Treasury
regulations under Section 871(m) generally impose a withholding tax
on certain “dividend equivalents” under certain “equity linked
instruments.” A recent IRS notice excludes from the scope of
Section 871(m) instruments issued prior to January 1, 2023 that do
not have a “delta of one” with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on our
determination that the Notes do not have a “delta of one” within
the meaning of the regulations, we expect that these regulations
will not apply to the Notes with regard to non-U.S. holders. Our
determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding
the potential application of Section 871(m) will be provided in the
pricing supplement for the Notes. You should consult your tax
advisor regarding the potential application of Section 871(m) to
the Notes.
PS—22
SUPPLEMENTAL PLAN OF DISTRIBUTION
We will
agree to sell to Barclays Capital Inc. (the “Agent”), and the Agent
will agree to purchase from us, the principal amount of the Notes,
and at the price, specified on the cover of this pricing
supplement. The Agent will commit to take and pay for all of the
Notes, if any are taken.
PS—23
iPath Series B S&P 500 V... (AMEX:VXX)
Gráfica de Acción Histórica
De Dic 2020 a Ene 2021
iPath Series B S&P 500 V... (AMEX:VXX)
Gráfica de Acción Histórica
De Ene 2020 a Ene 2021
