Pricing Supplement dated November 24, 2021
(To the Prospectus dated August 1, 2019, the Prospectus Supplement dated August 1, 2019, the
Underlying Supplement dated August 1, 2019 and the Prospectus Supplement Addendum dated February 18, 2021) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333232144
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$7,532,000
Buffered Autocallable Contingent Coupon Notes due November 29, 2023
Linked to the Least Performing of the ARK Innovation ETF and the Dow Jones Industrial Average®
Global Medium-Term Notes, Series A
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement. |
Issuer:
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Barclays Bank PLC
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
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Initial Valuation Date:
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November 24, 2021
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Issue Date:
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November 30, 2021
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Final Valuation Date:*
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November 24, 2023
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Maturity Date:*
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November 29, 2023
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Reference Assets:
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The ARK Innovation ETF (the ARKK Fund) and the Dow Jones Industrial Average® (the INDU Index), as set forth in the following table:
Reference Asset
Bloomberg Ticker
Initial Value
Call Value
Coupon Barrier Value
Buffer Value
ARKK Fund
ARKK UP <Equity>
$107.77
$102.38
$86.22
$86.22
INDU Index
INDU Index <Equity>
35,804.38
34,014.16
28,643.50
28,643.50
The ARKK Fund and the INDU Index are each referred to herein as a Reference Asset and, collectively, as the Reference Assets.
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Payment at Maturity:
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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 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 Buffer 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 Buffer 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 + Buffer Percentage)]
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 Buffer Value, you will lose 1.00% of the principal amount of your Notes for every 1.00% that the Reference Asset Return of the Least Performing Reference Asset falls below -20.00%. You may lose up to 80.00% 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.
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Consent to U.K. Bail-in Power:
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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, 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.
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Initial Issue Price(1)(2)
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Price to Public
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Agent’s Commission(3)
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Proceeds to Barclays Bank PLC
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Per Note
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$1,000
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100.00%
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2.50%
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97.50%
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Total
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$7,532,000
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$7,532,000
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$188,300
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$7,343,700
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(1)
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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 $975.00 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.
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(2)
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Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $947.10 per Note. The estimated value is less than the initial issue price of the Notes. See Additional Information Regarding Our Estimated Value of the Notes on page PS5 of this pricing supplement.
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(3)
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Barclays Capital Inc. will receive commissions from the Issuer of $25.00 per $1,000 principal amount Note. Barclays Capital Inc. will use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers.
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Terms of the Notes, Continued
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Automatic Call:
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The Notes cannot be redeemed for 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.
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Contingent Coupon:
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$13.75 per $1,000 principal amount Note, which is 1.375% of the principal amount per Note (rounded to six decimal places, as applicable) (based on 5.50% 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, you will receive a Contingent Coupon on the related Contingent Coupon Payment Date. 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.
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Observation Dates:*
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The 24th calendar day of each February, May, August and November during the term of the Notes, beginning in February 2022, provided that the final Observation Date will be the Final Valuation Date
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Contingent Coupon Payment Dates:*
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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
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Call Valuation Dates:*
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Each Observation Date during the term of the Notes, beginning in May 2022 and ending in and including August 2023.
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Call Settlement Date:*
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The Contingent Coupon Payment Date following the Call Valuation Date on which an Automatic Call occurs.
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Initial Value:
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With respect to each Reference Asset, the Closing Value on the Initial Valuation Date, as set forth in the table above
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Call Value:
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With respect to each Reference Asset, 95.00% of its Initial Value (rounded to two decimal places), as set forth in the table above
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Coupon Barrier Value:
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With respect to each Reference Asset, 80.00% of its Initial Value (rounded to two decimal places), as set forth in the table above
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Buffer Value:
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With respect to each Reference Asset, 80.00% of its Initial Value (rounded to two decimal places), as set forth in the table above
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Buffer Percentage:
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20.00%
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Final Value:
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With respect to each Reference Asset, the Closing Value on the Final Valuation Date
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Redemption Price:
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$1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Call Settlement Date
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Reference Asset Return:
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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:
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The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth above
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Closing Value:
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All references in this pricing supplement to the Closing Value of the INDU Index mean the closing level of the INDU Index, as further described under Reference Assets—Indices—Special Calculation Provisions in the prospectus supplement and all references in this pricing supplement to the Closing Value of the ARKK Fund mean the closing price of one share of the ARKK Fund, as further described under Reference Assets—Exchange-Traded Funds—Special Calculation Provisions in the prospectus supplement, rounded to two decimal places (if applicable).
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Calculation Agent:
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Barclays Bank PLC
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CUSIP / ISIN:
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06748WTT0 / US06748WTT08
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Prospectus dated August 1, 2019:
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Prospectus Supplement dated August 1, 2019:
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Underlying Supplement dated August 1, 2019:
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Prospectus Supplement Addendum dated February 18, 2021:
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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.
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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, if any, paid on the Notes.
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You can tolerate a loss of up to 80.00% 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.
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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 Buffer Value on the Final Valuation Date.
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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.
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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.
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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 Buffer Value.
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You understand and accept the risk that, if the Notes are not redeemed prior to scheduled maturity, the payment at maturity, will be based solely on the Reference Asset Return of the Least Performing Reference Asset.
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You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Reference Assets.
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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.
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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.
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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.
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You are willing and able to assume our credit risk for all payments on the Notes.
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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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.
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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, if any, paid on the Notes.
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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 Buffer Value.
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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 Buffer Value.
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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.
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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.
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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/or suffer a loss of principal at maturity, regardless of the performance of any other Reference Asset.
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You are unwilling or unable to accept the risk that the Notes may be redeemed prior to scheduled maturity.
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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.
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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.
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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.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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■
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Hypothetical Initial Value of each Reference Asset: 100.00*
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■
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Hypothetical Coupon Barrier Value for each Reference Asset: 80.00 (80.00% of the hypothetical Initial Value set forth above)*
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■
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Hypothetical Call Value for each Reference Asset: 95.00 (95.00% of the hypothetical Initial Value set forth above)*
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Reference Asset
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Closing Value on Relevant Observation Date
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ARKK Fund
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$94.00
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INDU Index
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85.00
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Reference Asset
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Closing Value on Relevant Observation Date
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ARKK Fund
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$90.00
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INDU Index
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79.00
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Reference Asset
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Closing Value on Relevant Observation Date
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ARKK Fund
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$78.00
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INDU Index
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60.00
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■
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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.
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Call Valuation Date
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Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value?
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Is the Closing Value of any Reference Asset Less Than its Call Value?
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Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note)
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1
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No
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No
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$1,013.75
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Call Valuation Date
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Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value?
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Is the Closing Value of any Reference Asset Less Than its Call Value?
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Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note)
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1
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No
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Yes
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$13.75
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2
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Yes
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Yes
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$0.00
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3
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No
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No
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$1,013.75
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Call Valuation Date
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Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value?
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Is the Closing Value of any Reference Asset Less Than its Call Value?
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Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note)
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1
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Yes
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Yes
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$0.00
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2 - 5
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With respect to each Call Valuation Date, Yes
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With respect to each Call Valuation Date, Yes
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$0.00
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6
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No
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No
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$1,013.75
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■
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Hypothetical Initial Value of each Reference Asset: 100.00*
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■
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Hypothetical Coupon Barrier Value for each Reference Asset: 80.00 (80.00% of the hypothetical Initial Value set forth above)*
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■
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Hypothetical Buffer Value for each Reference Asset: 80.00 (80.00% of the hypothetical Initial Value set forth above)*
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■
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You hold the Notes to maturity, and the Notes are NOT redeemed prior to scheduled maturity.
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Final Value
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Reference Asset Return
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ARKK Fund
(Reference Asset A)
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INDU Index
(Reference Asset B)
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ARKK Fund
(Reference Asset A)
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INDU Index
(Reference Asset B)
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Reference Asset Return of the Least Performing Reference Asset
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Payment at Maturity**
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$140.00
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145.00
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40.00%
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45.00%
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40.00%
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$1,000.00
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$135.00
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130.00
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35.00%
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30.00%
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30.00%
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$1,000.00
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$120.00
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125.00
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20.00%
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25.00%
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20.00%
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$1,000.00
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$112.00
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110.00
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12.00%
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10.00%
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10.00%
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$1,000.00
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$100.00
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105.00
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0.00%
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5.00%
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0.00%
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$1,000.00
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$140.00
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90.00
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40.00%
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-10.00%
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-10.00%
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$1,000.00
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$85.00
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80.00
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-15.00%
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-20.00%
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-20.00%
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$1,000.00
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$70.00
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105.00
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-30.00%
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5.00%
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-30.00%
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$900.00
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$60.00
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120.00
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-40.00%
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20.00%
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-40.00%
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$800.00
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$135.00
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50.00
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35.00%
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-50.00%
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-50.00%
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$700.00
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$150.00
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40.00
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50.00%
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-60.00%
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-60.00%
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$600.00
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$40.00
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30.00
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-60.00%
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-70.00%
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-70.00%
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$500.00
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$20.00
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55.00
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-80.00%
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-45.00%
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-80.00%
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$400.00
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$50.00
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10.00
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-50.00%
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-90.00%
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-90.00%
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$300.00
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$0.00
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105.00
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-100.00%
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5.00%
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-100.00%
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$200.00
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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 Buffer Value, you will lose 1.00% of the principal amount of your Notes for every 1.00% that the Reference Asset Return of the Least Performing Reference Asset falls below -20.00%. You may lose up to 80.00% of the principal amount of your Notes.
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●
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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. 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 Buffer Value.
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●
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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. 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.
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●
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Because the Notes Are Linked to the Least Performing Reference Asset, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss of Principal at Maturity Than If the Notes Were Linked to a Single Reference Asset—The risk that you will not receive any Contingent Coupons and lose a significant portion or all of your principal amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance of a single 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 Buffer Value on the Final Valuation Date, and therefore, it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss of principal at maturity. 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 Buffer Value on an Observation Date or the Final Valuation Date, respectively.
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●
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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 Buffer Value, you will lose 1.00% of the principal amount of your Notes for every 1.00% that the Reference Asset Return of the Least Performing Reference Asset falls below -20.00%. Accordingly, your investment is subject to the market risk of each Reference Asset.
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●
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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 (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 Buffer Value.
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●
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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.
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●
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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.
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●
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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 Buffer 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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●
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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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●
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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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●
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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 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, 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 will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See Consent to U.K. Bail-in Power in this pricing supplement as well as U.K. Bail-in Power, Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value of the securities and Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority in the accompanying prospectus supplement.
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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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The Notes Are Subject to Risks Associated with Actively Managed Funds—The ARKK Fund is actively managed. Unlikely a passively managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead made by the investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively managed fund, the ARKK Fund is subject to management risk. In managing an actively managed fund, the investment advisor of a fund applies investment strategies, techniques and analyses in making investment decisions for that fund, but there can be no guarantee that these actions will produce the intended results. The ability of the ARKK Fund's investment adviser to successfully implement the ARKK Fund's investment strategy will significantly influence the market price of the shares of the ARKK Fund and, consequently, the value of the Notes.
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Adjustments to the ARKK Fund or its Underlying Index Could Adversely Affect the Value of the Notes or Result in the Notes Being Accelerated—The investment adviser of the ARKK Fund may add, delete or substitute the component securities held by the ARKK Fund or make changes to its investment strategy, and the sponsor of the Underlying Index that the ARKK Fund is designed to track may add, delete, substitute or adjust the securities composing the Underlying Index or make other methodological changes to the Underlying Index that could affect its performance. In addition, if the shares of the ARKK Fund are delisted or if the ARKK Fund is liquidated or otherwise terminated, the Calculation Agent may select a succesor fund that the Calculation Agent determines to be comparable to the ARKK Fund or, if no successor fund is available, the Maturity Date of the Notes will be accelerated for a payment determined by the Calculation Agent. Any of these actions could adversely affect the value of the ARKK Fund 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 securities if they were not accelerated. See Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Discontinuance of an Exchange-Traded Fund in the accompanying prospectus supplement.
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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 events that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the shares of the ARKK Fund. However, the Calculation Agent might not make such adjustments in response to all events that could affect the shares of 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—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Anti-dilution Adjustments in the accompanying prospectus supplement.
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The Notes Are Subject to Risks Associated with Disruptive Innovation Companies—The ARKK Fund's investment strategy involves exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace older technologies or create new markets (disruptive innovation companies). However, the companies selected by the investment adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments. These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen, and the securities issued by these companies may under-perform the securities of other companies that are primarily focused on a particular theme. The ARKK Fund may invest in companies that do not currently derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation or technology may constitute a small portion of any company's overall business. As a result, the success of a disruptive innovation or technology may not affect the value of the equity securities issued by that company.
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The Notes Are Subject to Risks Associated with Non-U.S. Securities Markets—Some of the component securities of the ARKK Fund are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
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The Notes Are Subject to Risks Associated with Emerging Markets—The component securities of the ARKK Fund have been issued by non-U.S. companies located in emerging market countries. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets generally, as described in the previous risk factor. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions.
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The Notes Are Subject to Currency Exchange Risk—Because the value of the ARKK Fund is related to the U.S. dollar value of the component securities held by the ARKK Fund, the values of the ARKK Fund will be exposed to the currency exchange rate risk with respect to each of the currencies in which the component securities held by the ARKK Fund trade. An investor’s net exposure will depend on the extent to which each of those non-U.S. currencies strengthens or weakens against the U.S. dollar and the relative weight of the component securities denominated in those non-U.S. currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those non-U.S. currencies, the value of the ARKK Fund will be adversely affected and any payments on the Notes may be reduced.
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existing and expected rates of inflation;
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existing and expected interest rate levels;
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the balance of payments between the countries represented in the ARKK Fund and the United States; and
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the extent of governmental surpluses or deficits in the countries represented in the ARKK Fund and the United States.
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The Notes Are Subject to Risks Associated with Mid-Size, Small and Micro-Capitalization Stocks—Some of the component securities held by the ARKK Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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The Notes May Become Subject to Executive Orders that Could Adversely Affect Your Investment in the Notes—Pursuant to recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities. Although we do not believe that the Notes are subject to those executive orders at this time, it is possible that those executive orders could be expanded or modified to include the Notes. Under those circumstances, the value of the Notes could be adversely affected, and transactions in, or holdings of, the Notes may become prohibited under U.S. law. You may suffer significant losses if you are forced to divest the Notes when the value of the Notes declines.
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The INDU Index Reflects the Price Return of the Securities Composing the INDU Index, Not the Total Return—The return on the Notes is based on the performance of the INDU Index, which reflects changes in the market prices of the securities composing the INDU Index. The INDU Index is not a "total return" index that, in addition to reflecting those price returns, would also reflect dividends paid on the securities composing the INDU Index. Accordingly, the return on the Notes will not include such a total return feature.
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Adjustments to the INDU Index Could Adversely Affect the Value of the Notes—The sponsor of the INDU Index may add, delete, substitute or adjust the securities composing the INDU Index or make other methodological changes to the INDU Index that could affect its value. The Calculation Agent will calculate the value to be used as the Closing Value of the INDU Index in the event of certain material changes in or modifications to the INDU Index. In addition, the sponsor of the INDU Index may also discontinue or suspend calculation or publication of the INDU Index at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the INDU Index or, if no successor index is available, the Calculation Agent will determine the value to be used as the Closing Value of the INDU Index. Any of these actions could adversely affect the value of any Index and, consequently, the value of the Notes. See Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset in the accompanying prospectus supplement.
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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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The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees (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 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,
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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;
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the exchange rates relative to the U.S. dollar with respect to the currency in which some of the component securities held by the Reference Asset trade; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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