Pricing Supplement dated August 17, 2022
(To the Prospectus dated May 23, 2022, the Prospectus Supplement dated June 27, 2022 and the Underlying Supplement dated June 27, 2022)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158
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$4,000,000
Capped Accelerated Return Notes due February 1, 2028
Linked to the S&P 500® Index
Global Medium-Term Notes, Series A
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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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Trade Date:
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August 17, 2022. The Initial Underlier Value will be the arithmetic average of the Closing Values of the Underlier over the Initial Valuation Period and will not be the Closing Value of the Underlier on the Trade Date.
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Issue Date:
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August 22, 2022
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Maturity Date:†
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February 1, 2028
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Reference Asset:*
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The S&P 500® Index (Bloomberg ticker symbol SPX<Index>) (the Underlier)
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Payment at Maturity:
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You will receive on the Maturity Date a cash payment per $1,000 principal amount Note determined as follows:
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If the Underlier Return is greater than or equal to 60.00%, you will receive a payment per $1,000 principal amount Note resulting in a return equal to the Maximum Return of 85.20%, calculated as follows:
$1,000 + ($1,000 × Maximum Return)
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If the Underlier Return is greater than or equal to 25.00% but less than 60.00%, you will receive a payment per $1,000 principal amount Note resulting in a return equal to 105.57% of the excess of the Underlier Return over 25.00%, plus 48.25%, calculated as follows:
$1,000 + ($1,000 × [1.0557 × (Underlier Return 25.00%) + 48.25%])
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If the Underlier Return is greater than or equal to 0.00% but less than 25.00%, you will receive a payment per $1,000 principal amount Note resulting in a return equal to 121.00% of the excess of the Underlier Return over 0.00%, plus 18.00%, calculated as follows:
$1,000 + ($1,000 × [1.21 × Underlier Return + 18.00%])
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If the Underlier Return is greater than or equal to -10.00% but less than 0.00%, you will receive a payment per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × 1.80 × (Underlier Return + 10.00%)]
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If the Underlier Return is less than -10.00%, you will receive a payment per $1,000 principal amount Note resulting in a loss of 1.00% of the principal amount of your Notes for every 1.00% that the Underlier Return is less than -10.00%. Accordingly, you will receive a payment per $1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier Return + 10.00%)
If the Underlier Return is less than -10.00%, your Notes will be fully exposed to the decline of the Underlier and you will lose 1.00% of the principal amount of your Notes for every 1.00% that the Underlier Return falls below -10.00%. You may lose up to 90.00% 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. See Selected Risk Considerations and Consent to U.K. Bail-in Power in this pricing supplement and Risk Factors in the accompanying prospectus supplement.
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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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Maximum Return:
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85.20%
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Underlier Return:
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Final Underlier Value Initial Underlier Value
Initial Underlier Value |
Initial Underlier Value:
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The arithmetic average of the Closing Values of the Underlier over the Initial Valuation Period
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Final Underlier Value:
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The arithmetic average of the Closing Values of the Underlier over the Final Valuation Period
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Initial Issue Price(1)
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Price to Public
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Agent’s Commission(2)
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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%
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0.25%
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99.75%
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Total
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$4,000,000
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$4,000,000
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$10,000
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$3,990,000
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(1)
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Our estimated value of the Notes on the Trade Date, based on our internal pricing models is $967.50 per Note. The estimated value is expected to be less than the initial issue price of the Notes. See Additional Information Regarding Our Estimated Value of the Notes on page PS-5 of this pricing supplement.
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(2)
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Barclays Capital Inc. will receive commissions from the Issuer of $2.50 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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Initial Valuation Period:
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The Initial Valuation Period will consist of each scheduled trading day from and including August 15, 2022 to and including September 21, 2022† (the Initial Valuation Date). Notwithstanding anything to the contrary in the prospectus supplement, if a market disruption event occurs on any scheduled trading day during the Initial Valuation Period prior to the Initial Valuation Date, that day will be disregarded for purposes of determining the Initial Underlier Value.
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Final Valuation Period:
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The Final Valuation Period will consist of each scheduled trading day from and including October 28, 2027 to and including January 27, 2028† (the Final Valuation Date). Notwithstanding anything to the contrary in the prospectus supplement, if a market disruption event occurs on any scheduled trading day during the Final Valuation Period prior to the Final Valuation Date, that day will be disregarded for purposes of determining the Final Underlier Value.
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Closing Value:*
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Closing Value has the meaning assigned to closing level set forth under Reference Assets—Indices—Special Calculation Provisions in the prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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CUSIP / ISIN:
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06748XNV9 / US06748XNV90
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Prospectus dated May 23, 2022:
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Prospectus Supplement dated June 27, 2022:
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Underlying Supplement dated June 27, 2022:
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You do not seek an investment that produces periodic interest or coupon payments or other sources of current income.
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You understand and accept that you may not participate in the full appreciation of the Underlier, which may be significant, and that your potential return on the Notes is limited to the Maximum Return.
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You can tolerate a loss of up to 90.00% of your principal amount and you are willing and able to make an investment that may have the full downside market risk of an investment in the Underlier.
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You are willing and able to accept that the Initial Underlier Value will be the arithmetic average of the Closing Values of the Underlier over the Initial Valuation Period, and that the Initial Underlier Value may be greater than the value of the Underlier on or near the Trade Date.
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You are willing and able to accept that the Final Underlier Value will be the arithmetic average of the Closing Values of the Underlier over the Final Valuation Period, and that the Final Underlier Value may be less than the value of the Underlier on or near the Final Valuation Date.
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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 Underlier.
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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 the securities composing the Underlier, nor will you have any voting rights with respect to the securities composing the Underlier.
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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 Underlier.
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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.
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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 periodic interest or coupon payments or other sources of current income.
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You seek an investment that participates in the full appreciation of the Underlier rather than an investment with a return that is limited to the Maximum Return.
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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 up to 90.00% of the principal amount of your Notes in the event that the Underlier Return is less than -10%.
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You are unwilling or unable to accept that the Initial Underlier Value will be the arithmetic average of the Closing Values of the Underlier over the Initial Valuation Period, or that the Initial Underlier Value may be greater than the value of the Underlier on or near the Trade Date.
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You are unwilling or unable to accept that the Final Underlier Value will be the arithmetic average of the Closing Values of the Underlier over the Final Valuation Period, or that the Final Underlier Value may be less than the value of the Underlier on or near the Final Valuation Date.
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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 Underlier.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the Underlier.
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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 Underlier.
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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.
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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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Hypothetical Initial Underlier Value: 100.00*
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Final Underlier Value
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Underlier Return
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Payment at Maturity per $1,000 Principal Amount Note
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190.00
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90.00%
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$1,852.00
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180.00
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80.00%
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$1,852.00
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170.00
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70.00%
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$1,852.00
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160.00
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60.00%
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$1,852.00
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150.00
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50.00%
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$1,746.43
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140.00
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40.00%
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$1,640.86
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130.00
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30.00%
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$1,535.29
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125.00
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25.00%
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$1,4825.00
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120.00
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20.00%
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$1,422.00
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110.00
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10.00%
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$1,301.00
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100.00
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0.00%
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$1,180.00
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95.00
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-5.00%
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$1,090.00
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90.00
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-10.00%
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$1,000.00
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80.00
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-20.00%
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$900.00
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70.00
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-30.00%
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$800.00
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60.00
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-40.00%
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$700.00
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50.00
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-50.00%
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$600.00
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40.00
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-60.00%
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$500.00
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30.00
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-70.00%
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$400.00
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20.00
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-80.00%
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$300.00
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10.00
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-90.00%
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$200.00
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0.00
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-100.00%
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$100.00
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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 Underlier Return is less than -10.00%, you will receive a payment per $1,000 principal amount Note, resulting in a loss of 1.00% of the principal amount of your Notes for every 1.00% that the Underlier Return is less than -10.00%. If the Underlier Return is less than -10.00%, your Notes will be fully exposed to the decline of the Underlier from the Initial Underlier Value. You may lose up to 90.00% of the principal amount of your Notes.
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Your Potential Return on the Notes Is Limited to the Maximum Return—Any positive return on your Notes will not exceed a predetermined percentage of the principal amount, regardless of any appreciation in the value of the Underlier, which may be significant. We refer to this percentage as the Maximum Return, which is equal to 85.20%. Your return on the Notes will be less than the percentage change from the Initial Underlier Value to the Final Underlier Value if such percentage is greater than the Maximum Return.
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No Interest Payments—As a holder of the Notes, you will not receive interest payments.
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The Initial Underlier Value Will Be Calculated Based on the Arithmetic Average of the Closing Values of the Underlier Over the Initial Valuation Period—The Initial Underlier Value will be calculated by reference to an average of the Closing Values of the Underlier over the Initial Valuation Period. As a result, the Initial Underlier Value cannot be determined until the Initial Valuation Date, which occurs approximately six weeks after the Trade Date. In addition, decreases in the value of the Underlier on one or more scheduled trading days during the Initial Valuation Period may be moderated, offset or more than offset by lesser decreases or increases in the value of the Underlier on the other scheduled trading days during the Initial Valuation Period. Therefore, your investment in the Notes may underperform an alternative investment with an Initial Underlier Value based solely on the performance of the Underlier on a single date on or near the Trade Date. For example, if the value of the Underlier were to increase suddenly following the Trade Date such that the Closing Value of the Underlier on the Trade Date was significantly lower than the Closing Values of the Underlier over the following six weeks, the Initial Underlier Value would be significantly greater than the Closing Value of the Underlier on the Trade Date and the Initial Underlier Value would be more than it would have been if it had been determined based solely on the Closing Value of the Underlier on the Trade Date.
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The Final Underlier Value Will Be Calculated Based on the Arithmetic Average of the Closing Values of the Underlier Over the Final Valuation Period—The Final Underlier Value will be calculated by reference to an average of the Closing Values of the Underlier over the Final Valuation Period. As a result, increases in the value of the Underlier on one or more scheduled trading days during the Final Valuation Period may be moderated, offset or more than offset by lesser increases or decreases in the value of the Underlier on the other scheduled trading days during the Final Valuation Period. Therefore, your investment in the Notes may underperform an alternative investment with a Final Underlier Value based solely on the performance of the Underlier on a single date on or near the Final Valuation Date. For example, if the value of the Underlier were to increase suddenly such that the Closing Value of the Underlier on the Final Valuation Date was significantly greater than the Closing Values of the Underlier over the prior six weeks, the Final Underlier Value would be significantly less than the Closing Value of the Underlier on the Final Valuation Date and the payment at maturity would be less than it would have been if it had been determined based solely on the Closing Value of the Underlier on the Final Valuation Date.
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Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the Dates Specified—Any payment on the Notes will be determined based on the Closing Values of the Underlier on the dates specified. You will not benefit from any more favorable value of the Underlier determined at any other time.
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Contingent Repayment of the Principal Amount Applies Only at Maturity—You should be willing to hold your Notes to maturity. Although the Notes provide for the contingent repayment of the principal amount of your Notes at maturity, provided the Underlier Return is greater than or equal to -10.00%, 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 the Underlier has increased from the Initial Underlier Value. See Many Economic and Market Factors Will Impact the Value of the Notes below.
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Owning the Notes Is Not the Same as Owning the Securities Composing the Underlier—The return on the Notes may not reflect the return you would realize if you actually owned the securities composing the Underlier. 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 Underlier would have.
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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
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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 (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.
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The Underlier Reflects the Price Return of the Securities Composing the Underlier, Not the Total Return—The return on the Notes is based on the performance of the Underlier, which reflect changes in the market prices of the securities composing the Underlier. The Underlier is not a total return index that, in addition to reflecting those price returns, would also reflect dividends paid on the securities composing the Underlier. Accordingly, the return on the Notes will not include such a total return feature.
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Adjustments to the Underlier Could Adversely Affect the Value of the Notes—The sponsor of the Underlier may add, delete, substitute or adjust the securities composing the Underlier or make other methodological changes to the Underlier that could affect its performance. The Calculation Agent will calculate the value to be used as the Closing Value of the Underlier in the event of certain material changes in or modifications to the Underlier. In addition, the sponsor of the Underlier may also discontinue or suspend calculation or publication of the Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the Underlier or, if no successor index is available, the Calculation Agent will determine the value to be used as the Closing Value of the Underlier. Any of these actions could adversely affect the value of the Underlier 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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Historical Performance of the Underlier Should Not Be Taken as Any Indication of the Future Performance of the Underlier Over the Term of the Notes—The value of the Underlier has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of the Underlier is not an indication of the future performance of the Underlier over the term of the Notes. Therefore, the performance of the Underlier over the term of the Notes may bear no relation or resemblance to the historical performance of the Underlier.
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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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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.
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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 values and expected volatility of the Underlier and the components of the Underlier;
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the time to maturity of the Notes;
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dividend rates on the components of the Underlier;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes on the Trade 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.
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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 Trade 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
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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 Trade 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, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
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The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer Account Statements, if We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your Notes—Assuming that all relevant factors remain constant after the Trade 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 Trade 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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