Barclays Bank plc

11/22/2024 | Press release | Distributed by Public on 11/22/2024 11:41

Primary Offering Prospectus - Form 424B2

The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus and prospectus supplement 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 November 22, 2024
Preliminary Pricing Supplement
(To the Prospectus dated May 23, 2022 and the Prospectus Supplement dated June 27, 2022)
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158
$[●]
Autocallable Fixed Coupon Notes due November 27, 2026
Linked to the Least Performing of Three Equity Securities
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:
November 22, 2024
Issue Date:
November 27, 2024
Final Valuation Date:*
November 23, 2026
Maturity Date:*
November 27, 2026
Reference Assets:
The Common Stock of Oracle Corporation ("ORCL"), the Common Stock of Micron Technology, Inc. ("MU") and the American Depositary Shares of Taiwan Semiconductor Manufacturing Co Ltd ("TSM"), as set forth in the following table:
Reference Asset
Bloomberg Ticker
Initial Value **
Call Value
Barrier Value
ORCL
ORCL UN <Equity>
192.43
192.43
115.46
MU
MU UW <Equity>
102.76
102.76
61.66
TSM
TSM UN <Equity>
191.24
191.24
114.74
The Common Stock of ORCL, the Common Stock of MU and the American Depositary Shares of TSM 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 the final Coupon Payment 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 (a) the Final Value of the Least Performing Reference Asset is less than its Barrier Value and (b) we have not elected to exercise our physical settlement option, 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 (a) the Final Value of the Least Performing Reference Asset is less than its Barrier Value and (b) we have elected to exercise our physical settlement option, you will receive, per $1,000 principal amount Note, (i) an amount of shares of the Least Performing Reference Asset equal to the Applicable Physical Delivery Amount and (ii) a cash payment equal to the Applicable Fractional Share Amount multiplied by the Final Value 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. In such an event, if we elect to exercise our physical settlement option, the market value of the shares that you receive may be less than the amount of cash that you would have received had we not elected to exercise such option. You may lose up to 100.00% of the principal amount of your Notes at maturity (not including the Coupon Payments on the Notes).
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 and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the Trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See "Consent to U.K. Bail-in Power" on page PS-4 of this pricing supplement.
[Terms of the Notes Continue on the Next Page]
Initial Issue Price(1)
Price to Public
Agent's Commission(2)
Proceeds to Barclays Bank PLC
Per Note
$1,000
100.00%
3.00%
97.00%
Total
$[●]
$[●]
$[●]
$[●]
(1)
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is expected to be between $938.30 and $958.30 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.
(2)
Barclays Capital Inc. will receive commissions from the Issuer of up to $30.00 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.
Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-9 of the prospectus supplement and "Selected Risk Considerations" beginning on page PS-12 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 approximately the first six months 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.
Coupon Payments:
$35.25 per $1,000 principal amount Note, which is 3.525% of the principal amount per Note (rounded to four decimal places, as applicable) (based on 14.10% per annum rate), payable on each Coupon Payment Date.
Coupon Reference Dates:*
February 21, 2025, May 21, 2025, August 21, 2025, November 21, 2025, February 23, 2026, May 21, 2026, August 21, 2026 and the Final Valuation Date
Coupon Payment Dates:*
February 26, 2025, May 27, 2025, August 26, 2025, November 26, 2025, February 26, 2026, May 27, 2026, August 26, 2026 and the Maturity Date
Call Valuation Dates:*
May 21, 2025, August 21, 2025, November 21, 2025, February 23, 2026, May 21, 2026 and August 21, 2026.
Call Settlement Date:*
The 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 November 21, 2024, as set forth in the table above
Call Value:
With respect to each Reference Asset, 100.00% of its Initial Value, 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 the Coupon Payment that will otherwise be payable on the Call Settlement Date
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
Least Performing Reference Asset:
The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth above
Applicable Physical Delivery Amount:
The Physical Delivery Amount (as described below) applicable to the Least Performing Reference Asset
Applicable Fractional Shares Amount:
The Fractional Share Amount (as described below) applicable to the Least Performing Reference Asset
Physical Delivery Amount and Fractional Share Amount:
With respect to each Reference Asset, (a) the Physical Delivery Amount is a number of shares of such Reference Asset equal to $1,000 divided by the Initial Value, rounded down to the nearest whole number and (b) the Fractional Share Amount is equal to the number of fractional shares resulting from dividing $1,000 by the Initial Value. The Physical Delivery Amount and Fractional Share Amount for each Reference Asset are set forth in the following table:
Reference Asset
Physical Delivery Amount
Fractional Share Amount
Oracle Corporation
5 shares
0.19669 shares
Micron Technology, Inc.
9 shares
0.73141 shares
Taiwan Semiconductor Manufacturing Co Ltd
5 shares
0.22903 shares
For the avoidance of doubt, if the Initial Value of the Least Performing Reference Asset is greater than $1,000, and if we do elect to exercise our physical settlement option, you will not receive any shares of such Reference Asset, rather you will only receive a cash payment on the Maturity Date equivalent to the Fractional Share Amount of such Reference Asset multiplied by its Final 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.
Calculation Agent:
Barclays Bank PLC
CUSIP / ISIN:
06744EMZ7 / US06744EMZ78
* 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 November 21, 2024. 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
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus dated May 23, 2022 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 May 23, 2022:
●
Prospectus Supplement dated June 27, 2022:
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 and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder or beneficial owner of the Notes (or the Trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
Under the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the "FSMA") threshold conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that is a European Economic Area ("EEA") or third country institution or investment firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see "Selected Risk Considerations-Risks Relating to the Issuer-You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority" in this pricing supplement as well as "U.K. Bail-in Power," "Risk Factors-Risks Relating to the Securities Generally-Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities" and "Risk Factors-Risks Relating to the Securities Generally-Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority" in the accompanying prospectus supplement.
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 three 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-12 of this pricing supplement.
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 appropriate for all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
●
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 Coupon Payments 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 are willing and able to accept the risks associated with receiving shares of the Least Performing Reference Asset at maturity.
●
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 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, 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 an appropriate investment for you if any of the following statements are true:
●
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 Coupon Payments 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 are unwilling or unable to accept the risks associated with receiving shares of the Least Performing Reference Asset at maturity.
●
You anticipate that the Closing Value of at least one Reference Asset will decline during the term of the Notes such that 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 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.
●
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.
PS-6
●
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 appropriateness 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 appropriateness of the Notes for investment.
PS-7
ADDITIONAL TERMS OF THE NOTES
The Coupon Reference Dates, Coupon Payment Dates, any Call Valuation Date, 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.
For the avoidance of doubt, if a Call Valuation Date or Coupon Reference Date is postponed, the Call Settlement Date or the Coupon Payment Date following such Call Valuation Date or Coupon Reference Date will be postponed by the same number of business days from but excluding the originally scheduled Call Valuation Date or Coupon Reference Date to and including the actual Call Valuation Date or Coupon Reference Date. No interest will accrue as a result of any delayed payment.
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-8
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:
■
For each Coupon Reference Date that is not also a Call Valuation Date, you will receive a Coupon Payment on the related Coupon Payment Date.
Example 1: The Notes are redeemed on the first Call Valuation Date.
Call Valuation Date
Is the Closing Value of any Reference Asset Less Than its Call Value?
Payment on Coupon Payment Date (per $1,000 principal amount Note)
1
No
$1,035.25
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, including the Coupon Payments, is 7.05%.
Example 2: The Notes are redeemed on the third Call Valuation Date.
Call Valuation Date
Is the Closing Value of any Reference Asset Less Than its Call Value?
Payment on Coupon Payment Date (per $1,000 principal amount Note)
1
Yes
$35.25
2
Yes
$35.25
3
No
$1,035.25
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, including the Coupon Payments, is 14.10%.
Example 3: The Notes are redeemed on the final Call Valuation Date.
Call Valuation Date
Is the Closing Value of any Reference Asset Less Than its Call Value?
Payment on Coupon Payment Date (per $1,000 principal amount Note)
1
Yes
$35.25
2 - 5
With respect to each Call Valuation Date, Yes
$35.25
6
No
$1,035.25
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.
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, including the Coupon Payments, is 24.675%.
Each of the examples above demonstrate that the return on the Notes upon an Automatic Call will be limited to the Coupons Payments payable on the Notes up to and including the applicable Call Settlement Date.
PS-9
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 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 assumptions:
■
You hold the Notes to maturity, and the Notes are NOT redeemed prior to scheduled maturity.
■
Hypothetical Initial Value, Barrier Value, Physical Delivery Amount and Fractional Share Amount for each Reference Asset are as follows:*
Reference Asset
Initial Value
Barrier Value
Physical Delivery Amount
Fractional Share Amount
Oracle Corporation
150.00
90.00
6 shares
0.66667 shares
Micron Technology, Inc.
70.00
42.00
14 shares
0.28571 shares
Taiwan Semiconductor Manufacturing Co Ltd
100.00
60.00
10 shares
0.00 shares
* Thehypothetical Initial Values shown above have been chosen for illustrative purposes only and do not represent likely Initial Values. Thehypothetical Barrier Values, Physical Delivery Amounts and Fractional Share Amounts shown in the table above are based on such hypothetical Initial Values. The actual Initial Value, Barrier Value, Physical Delivery Amount and Fractional Share Amount for each Reference Asset are as set forth on the cover of this pricing supplement.
Final Value
Reference Asset Return
ORCL
(Reference Asset A)
MU
(Reference Asset B)
TSM
(Reference Asset C)
ORCL
(Reference Asset A)
MU
(Reference Asset B)
TSM
(Reference Asset C)
Reference Asset Return of the Least Performing Reference Asset
Payment at Maturity**
Total Return on the Notes (Including the Coupon Payments)
232.50
112.00
150.00
55.00%
60.00%
50.00%
50.00%
$1,000.00
28.20%
210.00
101.50
150.00
40.00%
45.00%
50.00%
40.00%
$1,000.00
28.20%
195.00
94.50
140.00
30.00%
35.00%
40.00%
30.00%
$1,000.00
28.20%
187.50
91.00
120.00
25.00%
30.00%
20.00%
20.00%
$1,000.00
28.20%
165.00
80.50
120.00
10.00%
15.00%
20.00%
10.00%
$1,000.00
28.20%
150.00
73.50
110.00
0.00%
5.00%
10.00%
0.00%
$1,000.00
28.20%
142.50
70.00
90.00
-5.00%
0.00%
-10.00%
-10.00%
$1,000.00
28.20%
120.00
59.50
90.00
-20.00%
-15.00%
-10.00%
-20.00%
$1,000.00
28.20%
105.00
52.50
80.00
-30.00%
-25.00%
-20.00%
-30.00%
$1,000.00
28.20%
97.50
49.00
60.00
-35.00%
-30.00%
-40.00%
-40.00%
$1,000.00
28.20%
75.00
38.50
60.00
-50.00%
-45.00%
-40.00%
-50.00%
$500.00
-21.80%
60.00
31.50
50.00
-60.00%
-55.00%
-50.00%
-60.00%
$400.00
-31.80%
52.50
28.00
30.00
-65.00%
-60.00%
-70.00%
-70.00%
$300.00
-41.80%
30.00
17.50
30.00
-80.00%
-75.00%
-70.00%
-80.00%
$200.00
-51.80%
15.00
10.50
20.00
-90.00%
-85.00%
-80.00%
-90.00%
$100.00
-61.80%
7.50
7.00
0.00
-95.00%
-90.00%
-100.00%
-100.00%
$0.00
-71.80%
** per $1,000 principal amount Note, excluding the final Coupon Payment, and assumes we do not elect to exercise our physical settlement option. For an example demonstrating the amount of shares and cash that you would receive if (a) the Final Value of the Reference Asset is less than the Barrier Value and (b) we elect to exercise our physical settlement option, please see the final example below.
The following examples illustrate how the payments at maturity set forth in the table above are calculated:
PS-10
Example 1: The Final Value of Reference Asset A is $232.50, the Final Value of Reference Asset B is $112.00 and the Final Value of Reference Asset C is $150.00.
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 the final Coupon Payment on the Notes).
The total return on investment of the Notes, including the Coupon Payments is 28.20%, the maximum possible return on the Notes.
Example 2: The Final Value of Reference Asset A is $210.00, the Final Value of Reference Asset B is $101.50 and the Final Value of Reference Asset C is $150.00.
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 (plus the final Coupon Payment on the Notes).
The total return on investment of the Notes, including the Coupon Payments is 28.20%, the maximum possible return on the Notes
Example 3: The Final Value of Reference Asset A is $60.00, the Final Value of Reference Asset B is $31.50 and the Final Value of Reference Asset C is $50.00.
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 less than its Barrier Value, you will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold (plus the final Coupon Payment on the Notes), calculated as follows:
$1,000 + [$1,000 × Reference Asset Return of the Least Performing Reference Asset]
$1,000 + [$1,000 × -60.00%] = $400.00
The total return on investment of the Notes, including the Coupon Payments, is -31.80%.
Because Reference Asset A is the Least Performing Reference Asset, the Applicable Physical Delivery Amount and the Applicable Fractional Share Amount are 6 shares and 0.66667 shares, respectively, of Reference Asset A. Accordingly, if we do elect to exercise our physical settlement option, you will receive on the Maturity Date a total of 6 shares of Reference Asset A plus $40.00 in cash. For the avoidance of doubt, if the Initial Value of the Least Performing Reference Asset is greater than $1,000 and we do elect to exercise our physical settlement option, you will not receive any shares of such Reference Asset, rather you will only receive a cash payment on the Maturity Date equivalent to the Fractional Share Amount of such Reference Asset multiplied by its Final Value.
Example 3 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-11
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
●
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.
●
The Notes Are Subject to Risks Associated with our Physical Settlement Option - As described on the cover of this pricing supplement, you may under certain circumstances receive shares of the Least Performing Reference Asset at maturity. If we exercise our physical settlement option, the market value of the shares that you receive may be less than the amount of the cash payment that you would have received had we not exercised such option because of fluctuations in the value of the Least Performing Reference Asset between the Final Valuation Date and the Maturity Date.
●
Potential Return is Limited to the Coupon Payment on the Notes and You Will Not Participate in Any Appreciation of Any Reference Asset - The potential positive return on the Notes is limited to the Coupon Payments payable during the term of the Notes. 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 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 positive return on your Notes at maturity, the Final Value of each Reference Asset must be greater than or equal to its Barrier Value. 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 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 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 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 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 six months.
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.
●
Any Payment on the Notes Will Be Determined Based on the Closing Values of the Reference Assets on the Dates Specified - Any payment on the Notes will be determined based on the Closing Values of the Reference Assets on the dates specified. You will not benefit from any more favorable values of the Reference Assets determined at any other time.
●
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
PS-12
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.
●
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.
●
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.
Risks Relating to the Issuer
●
Credit of Issuer - The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank PLC were to default on its obligations, you 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 and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the Trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under "Consent to U.K. Bail-in Power" in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See "Consent to U.K. Bail-in Power" in this pricing supplement as well as "U.K. Bail-in Power," "Risk Factors-Risks Relating to the Securities Generally-Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities" and "Risk Factors-Risks Relating to the Securities Generally-Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority" in the accompanying prospectus supplement.
Risks Relating to the Reference Assets
●
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.
●
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.
●
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
PS-13
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.
●
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.
●
There are Important Differences between the American Depositary Shares and the Underlying Securities of TSM - You should be aware that your return on the Notes is linked to the price of American depositary shares representing the underlying securities of TSM 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 TSM. 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.
●
The Notes Are Subject to 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 TSM, 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.
●
The Notes Are Subject to Currency Exchange Risk - American depositary shares are denominated in U.S. dollars but represent non-U.S. equity securities that are denominated in a non-U.S. currency. Changes in currency exchange rates may negatively impact the value of the American depositary shares. The value of the non-U.S. currency may be subject to a high degree of fluctuation due to changes in interest rates, the effects of monetary policies issued by the United States, non-U.S. governments, central banks or supranational entities, the imposition of currency controls or other national or global political or economic developments. Therefore, exposure to exchange rate risk may result in reduced returns for Notes linked to American depositary shares.
Risks Relating to Conflicts of Interest
●
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.
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
PS-14
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
●
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.
●
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.
●
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 May be Lower Than the Estimated Value of Your Notes - The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
●
The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative of Future Prices of Your Notes - Assuming that all relevant factors remain constant after the 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.
●
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.
PS-15
●
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 market price of, dividend rate on and expected volatility of the Reference Assets or the components of the Reference Assets, if any;
o
correlation (or lack of correlation) of the Reference Assets;
o
the time to maturity of the Notes;
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-16
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 each Reference Asset can be located by reference to the SEC file number specified below.
The summary information below regarding each Reference Asset 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 any Reference Asset 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 any Reference Asset or any other publicly available information regarding any Reference Asset.
We obtained the historical trading price information with respect to each Reference Asset set forth below from Bloomberg Professional® service ("Bloomberg"). We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Oracle Corporation
According to publicly available information, Oracle Corporation provides products and services that address enterprise information technology environments.
Information filed by Oracle Corporation with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-35992. The common stock of Oracle Corporation is listed on the New York Stock Exchange under the ticker symbol "ORCL."
Historical Performance of the Common Stock of Oracle Corporation
The graph below sets forth the historical performance of Oracle Corporation based on the daily Closing Value from January 4, 2019 through November 21, 2024. 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. These historical closing values may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
Historical Performance of the Common Stock of Oracle Corporation
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-17
Micron Technology, Inc.
According to publicly available information, Micron Technology, Inc. develops memory and storage technologies.
Information filed by Micron Technology, Inc. with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-10658. The common stock of Micron Technology, Inc. is listed on the Nasdaq Global Select Market under the ticker symbol "MU."
Historical Performance of the Common Stock of Micron Technology, Inc.
The graph below sets forth the historical performance of Micron Technology, Inc. based on the daily Closing Value from January 4, 2019 through November 21, 2024. 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. These historical closing values may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
Historical Performance of the Common Stock of Micron Technology, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-18
Taiwan Semiconductor Manufacturing Co Ltd
According to publicly available information, Taiwan Semiconductor Manufacturing Co Ltd. is a Taiwanese semiconductor contract manufacturing and design company.
Information filed by Taiwan Semiconductor Manufacturing Co Ltd with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-14700. The American Depositary Shares of Taiwan Semiconductor Manufacturing Co Ltd are listed on the New York Stock Exchange under the ticker symbol "TSM."
Historical Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Co Ltd
The graph below sets forth the historical performance of Taiwan Semiconductor Manufacturing Co Ltd based on the daily Closing Value from January 4, 2019 through November 21, 2024. 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. These historical closing values may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
Historical Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Co Ltd
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-19
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 Put Options and Deposits" and, if you are a non-U.S. holder, "-Tax Consequences to Non-U.S. Holders." 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.
Due to the lack of direct legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment in the Notes. Our special tax counsel believes that it is reasonable to treat a Note for U.S. federal income tax purposes as a put option (the "Put Option") written by you to us with respect to the Reference Assets, secured by a cash deposit equal to the initial issue price of the Note (the "Deposit"), which will have an annual yield based on our cost of borrowing, as shown below. If this treatment is respected, only a portion of each coupon payment will be attributable to interest on the Deposit; the remainder will represent premium attributable to your grant of the Put Option ("Put Premium"). By purchasing the Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently with the treatment and allocation as described above. We will follow this approach in determining our information reporting responsibilities, if any. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Assuming the treatment and allocation described above are respected, interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to the taxable disposition of the Notes (including redemption upon an automatic call or at maturity). Assuming that you are an initial purchaser of Notes purchasing the Notes at the initial issue price for cash, (i) if your Notes are called or held to maturity and the Put Option expires unexercised (i.e., you receive a cash payment - not including the final coupon payment - at maturity equal to the amount of the Deposit), you will recognize short-term capital gain in an amount equal to the total Put Premium received, and (ii) if, instead, the Put Option is deemed to be exercised at maturity and we do not elect to exercise our physical settlement option (i.e., you receive a cash payment at maturity - not including the final coupon payment - that is less than the amount of the Deposit), you will recognize short-term capital gain or loss in an amount equal to the difference between (x) the total Put Premium received and (y) the cash settlement value of the Put Option (i.e., the amount of the Deposit minus the cash you receive at maturity, not including the final coupon payment). If at maturity you receive shares of the Least Performing Reference Asset, you generally will not recognize gain or loss with respect to the Put Premium or the Reference Asset received; instead, the total Put Premium will reduce your basis in that Reference Asset. This discussion does not address the U.S. federal income tax consequences of the ownership or disposition of any Reference Asset that you may receive at maturity. You should consult your tax advisor regarding the potential U.S. federal tax consequences of the ownership and disposition of the Reference Asset.
There are, however, other reasonable treatments that the Internal Revenue Service (the "IRS") or a court may adopt for the Notes, in which case the timing and character of your income or loss 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 on a number of issues, the most relevant of which for investors in the Notes are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the Notes would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that 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 all aspects of the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice. Purchasers who are not initial purchasers of Notes at the initial issue price should also consult their tax advisors with respect to the tax consequences of an investment in the Notes, including possible alternative treatments, as well as the allocation of the purchase price of the Notes between the Deposit and the Put Option.
The discussions above and in the accompanying prospectus supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
Treasury regulations under Section 871(m) generally impose a withholding tax on certain "dividend equivalents" under certain "equity linked instruments." A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a "delta of one" with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an "Underlying Security"). Based on our determination that the Notes do not have a "delta of one" within the meaning of the regulations, we expect that these regulations 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.
Consistent with the position described above, below are the portions of each coupon payment that we intend, in determining our reporting responsibilities (if any), to treat as attributable to interest on the Deposit and to Put Premium:
Coupon Payment rate per Annum
Interest on Deposit per Annum(1)
Put Premium per Annum(1)
14.10%
[●]%
[●]%
(1) To be determined on the Initial Valuation Date.
PS-20
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.
We expect that delivery of the Notes will be made against payment for the Notes on the Issue Date, which is more than one business day following the Initial Valuation Date. Notwithstanding anything to the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to one business day before delivery will be required to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
PS-21