Pricing Supplement dated August 8, 2022
(To the Prospectus dated May 23, 2022, the Prospectus Supplement dated June 27, 2022 and the Underlying Supplement dated June 27, 2022)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158
|
|
$550,000
Buffered Autocallable Notes due February 13, 2024
Linked to the Least Performing of the S&P 500® Index, the Nasdaq-100 Index® and the Russell 2000® Index
Global Medium-Term Notes, Series A
|
Issuer:
|
Barclays Bank PLC
|
||
Denominations:
|
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
|
||
Initial Valuation Date:
|
August 8, 2022
|
|
|
Issue Date:
|
August 11, 2022
|
|
|
Final Valuation Date:†
|
February 8, 2024
|
|
|
Maturity Date:†
|
February 13, 2024
|
|
|
Reference Assets:*
|
The S&P 500® Index (the SPX Index), the Nasdaq-100 Index® (the NDX Index) and the Russell 2000® Index (the RTY Index) (each, an Underlier and together, the Underliers), as set forth in the following table:
|
||
|
Underliers
Bloomberg Ticker
Initial Underlier Value(1)
Buffer Value(2)
SPX Index
SPX<Index>
4,151.94
2,491.164
NDX Index
NDX<Index>
13,311.04
7,986.62
RTY Index
RTY<Index>
1,906.456
1,143.87
|
||
|
(1) With respect to each Underlier, the Closing Value of that Underlier on August 4, 2022. The Initial Underlier Value for each Underlier is not the Closing Value of that Underlier on the Initial Valuation Date.
(2) With respect to each Underlier, 60.00% of its Initial Underlier Value (rounded to two decimal places)
| ||
Automatic Redemption:
|
The Notes will not be automatically redeemable for approximately the first year after the Issue Date. If, on the Observation Date, the Closing Value of each Underlier is greater than or equal to its Initial Underlier Value, the Notes will be automatically redeemed and you will receive on the Redemption Settlement Date a cash payment per $1,000 principal amount Note that will provide a return equal to the Redemption Premium, calculated as follows:
$1,000 + ($1,000 × Redemption Premium)
No further amounts will be payable on the Notes after they have been automatically redeemed.
|
||
Redemption Premium:
|
8.50%. If the Notes are automatically redeemed, your return on the Notes will not exceed the Redemption Premium, and your return will not be based on the amount of any appreciation in the value of any Underlier, which may be significant. In addition, if the Notes are automatically redeemed, you will not benefit from the Participation Factor, which only applies to the payment at maturity if the Final Underlier Value of the Least Performing Underlier is greater than its Initial Underlier Value.
|
||
Payment at Maturity:
|
If the Notes are not automatically redeemed, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note determined as follows:
■
If the Final Underlier Value of the Least Performing Underlier is greater than its Initial Underlier Value, you will receive a payment per $1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier Return of the Least Performing Underlier × Participation Factor)
■
If the Final Underlier Value of the Least Performing Underlier is less than or equal to its Initial Underlier Value but 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 Underlier Value of the Least Performing Underlier is less than its Buffer Value, you will receive an amount per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × (Underlier Return of the Least Performing Underlier + Buffer Percentage)]
If the Notes are not automatically redeemed and the Final Underlier Value of any Underlier is less than its Buffer Value, your Notes will be exposed to the decline of the Least Performing Underlier in excess of the Buffer Percentage and you will lose up to 60.00% of your investment 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. See Selected Risk Considerations and Consent to U.K. Bail-in Power in this pricing supplement and Risk Factors in the accompanying prospectus supplement.
|
||
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, 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.
|
||
Participation Factor:
|
1.00
|
||
Buffer Percentage:
|
40.00%
|
|
Initial Issue Price(1)(2)
|
Price to Public
|
Agent’s Commission(3)
|
Proceeds to Barclays Bank PLC
|
Per Note
|
$1,000
|
100%
|
1.80%
|
98.20%
|
Total
|
$550,000
|
$550,000
|
$9,900
|
$540,100
|
(1)
|
Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions, fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $982.00 and $1,000 per Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.
|
(2)
|
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $978.30 per Note. The estimated value is less than the initial issue price of the Notes. See Additional Information Regarding Our Estimated Value of the Notes on page PS-5 of this pricing supplement.
|
(3)
|
Barclays Capital Inc. will receive commissions from the Issuer of up to $23.50 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.
|
Underlier Return:
|
With respect to each Underlier, an amount calculated as follows:
Final Underlier Value Initial Underlier Value
Initial Underlier Value |
Final Underlier Value:
|
With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date
|
Least Performing Underlier:
|
The Underlier with the lowest Underlier Return
|
Observation Date:†
|
August 9, 2023
|
Redemption Settlement Date:†
|
August 14, 2023
|
Closing Value:*
|
Closing Value has the meaning assigned to closing level set forth under Reference Assets—Indices—Special Calculation Provisions in the prospectus supplement, rounded to two decimal places (if applicable).
|
Calculation Agent:
|
Barclays Bank PLC
|
CUSIP / ISIN:
|
06748XMF5/ US06748XMF59
|
●
|
Prospectus dated May 23, 2022:
|
●
|
Prospectus Supplement dated June 27, 2022:
|
●
|
Underlying Supplement dated June 27, 2022:
|
●
|
You do not seek an investment that produces periodic interest or coupon payments or other sources of current income.
|
●
|
You understand and accept that, if the Notes are automatically redeemed, you will not participate in any appreciation of any Underlier, which may be significant, and that your return potential on the Notes is limited to the Redemption Premium.
|
●
|
You can tolerate a loss of up to 60.00% of your principal amount if the Notes are not automatically redeemed and the Final Underlier Value of any Underlier is less than its Buffer Value, and you are willing and able to make an investment that may have downside market risk similar to that of an investment in the Least Performing Underlier.
|
●
|
You do not anticipate that, if the Notes are not automatically redeemed, the Final Underlier Value of any Underlier will fall below its Buffer Value.
|
●
|
You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of the other Underliers.
|
●
|
You understand and accept the risk that, if the Notes are not automatically redeemed, the payment at maturity, if any, will be based solely on the Underlier Return of the Least Performing Underlier.
|
●
|
You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers.
|
●
|
You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities composing the Underliers, nor will you have any voting rights with respect to the securities composing the Underliers.
|
●
|
You are willing and able to accept the risk that the Notes may be automatically redeemed 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 that may be similar to or exceed the downside fluctuations in the value of the Underliers.
|
●
|
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 automatically 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.
|
●
|
You seek an investment that produces periodic interest or coupon payments or other sources of current income.
|
●
|
You seek an investment that, if the Notes are automatically redeemed, participates in the full appreciation of any or all of the Underliers rather than an investment with a return that is limited to the Redemption Premium.
|
●
|
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 up to 60.00% of the principal amount of your Notes in the event that the Notes are not automatically redeemed and the Final Underlier Value of the Least Performing Underlier falls below its Buffer Value.
|
●
|
You anticipate that, if the Notes are not automatically redeemed, the Final Underlier Value of at least one Underlier will fall below its Buffer Value.
|
●
|
You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of the other Underliers.
|
●
|
You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of the Underliers.
|
●
|
You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to suffer a loss of principal at maturity, regardless of the performance of the other Underliers.
|
●
|
You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the Underliers.
|
●
|
You are unwilling or unable to accept the risk that the Notes may be automatically redeemed.
|
●
|
You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of the Underliers.
|
●
|
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 automatically redeemed.
|
●
|
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
|
●
|
You are unwilling or unable to assume our credit risk for all payments on the Notes.
|
●
|
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
■
|
Hypothetical Initial Underlier Value of each Underlier: 100.00*
|
Underlier
|
Closing Value on the Observation Date
|
Are the Notes Automatically Redeemed?
|
Redemption Premium
|
SPX Index
|
130.00
|
Yes
|
8.50%
|
NDX Index
|
120.00
|
||
RTY Index
|
140.00
|
Underlier
|
Closing Value on the Observation Date
|
Are the Notes Automatically Redeemed?
|
Redemption Premium
|
SPX Index
|
95.00
|
No
|
N/A
|
NDX Index
|
90.00
|
||
RTY Index
|
110.00
|
■
|
Hypothetical Initial Underlier Value of each Underlier: 100.00*
|
■
|
Hypothetical Buffer Value for each Underlier: 60.00 (60.00% of the hypothetical Initial Underlier Value set forth above)*
|
■
|
You hold the Notes to maturity, and the Notes are NOT automatically redeemed.
|
Final Underlier Value of the Least Performing Underlier
|
Underlier Return of the Least Performing Underlier
|
Payment at Maturity per $1,000 Principal Amount Note
|
150.00
|
50.00%
|
$1,500.00
|
140.00
|
40.00%
|
$1,400.00
|
130.00
|
30.00%
|
$1,300.00
|
120.00
|
20.00%
|
$1,200.00
|
110.00
|
10.00%
|
$1,100.00
|
100.00
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
$1,000.00
|
90.00
|
-10.00%
|
$1,000.00
|
80.00
|
-20.00%
|
$1,000.00
|
70.00
|
-30.00%
|
$1,000.00
|
60.00
|
-40.00%
|
$1,000.00
|
50.00
|
-50.00%
|
$900.00
|
40.00
|
-60.00%
|
$800.00
|
30.00
|
-70.00%
|
$700.00
|
20.00
|
-80.00%
|
$600.00
|
10.00
|
-90.00%
|
$500.00
|
0.00
|
-100.00%
|
$400.00
|
●
|
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 automatically redeemed, and if the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, your Notes will be exposed to the decline of the Least Performing Underlier in excess of the Buffer Percentage. You may lose up to 60.00% of the principal amount of your Notes.
|
●
|
No Interest Payments—As a holder of the Notes, you will not receive interest payments.
|
●
|
If the Notes Are Automatically Redeemed, Your Potential Return on the Notes Is Limited to the Redemption Premium—If the Notes are automatically redeemed, your return on the Notes will be limited to the Redemption Premium and will not be based on the amount of any appreciation in the value of any Underlier, which may be significant. In addition, if the Notes are automatically redeemed, you will not benefit from the Participation Factor, which only applies to the payment at maturity if the Final Underlier Value of the Least Performing Underlier is greater than its Initial Underlier Value.
|
●
|
Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risk of Sustaining a Significant Loss of Principal at Maturity Than if the Notes Were Linked to a Single Underlier—The risk that you will lose up to 60.00% 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 Underlier. With multiple Underliers, it is more likely that the Final Underlier Value of at least one Underlier will be less than its Buffer Value, and therefore, it is more likely that you will suffer a significant loss of principal at maturity. Further, the performance of the Underliers may not be correlated or may be negatively correlated. The lower the correlation between multiple Underliers, the greater the potential for one of those Underliers to close below its Buffer Value on the Final Valuation Date.
|
●
|
You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting of the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. 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 Underlier. Poor performance by any Underlier 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 the other Underliers. If the Notes have not been automatically redeemed, and if the Final Underlier Value of any Underlier is less than its Buffer Value, you will be exposed to the decline in the Least Performing Underlier in excess of the Buffer Percentage. Accordingly, your investment is subject to the market risk of each Underlier.
|
●
|
Automatic 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 automatically redeemed prior to maturity for a term that could be as short as approximately one year. 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 automatically redeemed prior to the Maturity Date.
|
●
|
Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified—Any payment on the Notes will be determined based on the Closing Values of the Underliers on the dates specified. You will not benefit from any more favorable values of the Underliers determined at any other time.
|
●
|
Contingent Repayment of the Principal Amount Applies Only at Maturity or upon Any Automatic Redemption—You should be willing to hold your Notes to maturity or any automatic redemption. Although the Notes provide for the contingent repayment of the principal amount of your Notes at maturity, provided the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, or upon any automatic 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 Underlier has increased from its Initial Underlier Value. See Many Economic and Market Factors Will Impact the Value of the Notes below.
|
●
|
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 Redemption Premium is based on a number of factors, including the expected volatility of the Underliers. The Redemption Premium reflects 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
|
●
|
Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may not reflect the return you would realize if you actually owned the securities composing the Underliers. As a holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing the Underliers would have.
|
●
|
The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain—There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the Internal Revenue Service (the IRS). Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described below under Tax Considerations. If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition of the Notes could be materially and adversely affected. In addition, in 2007 the Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the sections of the accompanying prospectus supplement entitled Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts and, if you are a non-U.S. holder, —Tax Consequences to Non-U.S. Holders, and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the Notes (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
●
|
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.
|
●
|
Each Underlier Reflects the Price Return of the Securities Composing that Underlier, Not the Total Return—The return on the Notes is based on the performance of the Underliers, which reflect changes in the market prices of the securities composing each Underlier. Each Underlier is not a total return index that, in addition to reflecting those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the Notes will not include such a total return feature.
|
●
|
Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add, delete, substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that could affect its performance. The
|
●
|
There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities with Respect to the NDX Index—Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home countries of the issuers of those non-U.S. equity securities. 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.
|
●
|
The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index—The RTY Index tracks companies that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies, and therefore Notes linked to the RTY Index may be more volatile than an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition, small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.
|
●
|
Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term of the Notes. Therefore, the performance of the Underliers 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 Underlier.
|
●
|
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.
|
●
|
Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
●
|
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 values and expected volatility of the Underliers and the components of each Underlier;
|
o
|
correlation (or lack of correlation) of the Underliers;
|
o
|
the time to maturity of the Notes;
|
o
|
dividend rates on the components of each Underlier;
|
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.
|
●
|
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 expected as a result of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected 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 values referenced above might be lower if such estimated values 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.
|