|
The information in this preliminary
pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus
supplement and index supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the
securities in any state where the offer or sale is not permitted.
Subject
to Completion. Dated November 24, 2017
|
|
November 2017
Registration Statement
No. 333-212571
Pricing Supplement dated
November , 2017
Filed pursuant to Rule
424(b)(2)
|
Structured
Investments
Opportunities in U.S. and International Equities
Contingent Income Auto-Callable Securities due
June 2, 2020
Based on the Value of the Worst Performing of
the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Unlike conventional debt
securities, the securities do not guarantee the payment of interest or any return of principal at maturity. Instead, the securities
offer the opportunity for investors to receive a contingent quarterly payment equal to at least
3.00%
of
the stated principal amount (the actual contingent quarterly payment will be determined on the pricing date) with respect to each
quarterly determination period if a coupon barrier event has not occurred during that determination period. However, if a coupon
barrier event has occurred during a determination period, investors will not receive any contingent quarterly payment for that
determination period. A coupon barrier event will occur with respect to a determination period if the closing level of
any
underlier
is less than
75%
of its initial
underlier value, which we refer to as a
downside threshold level, on
any
scheduled
trading day during that determination period. In addition, if the closing level of
each
underlier is greater than or equal
to its initial underlier value on any determination period-end date
(other than the final determination date)
,
the securities will be automatically redeemed for an amount per security equal to the stated principal amount
plus
any
contingent quarterly payment otherwise due. However, if on any determination period-end date the closing level of
any
underlier
is less than its initial underlier value, the securities will not be redeemed. If the securities are not redeemed prior to maturity
and the final underlier value of
each
underlier is greater than or equal to
its
downside
threshold level, the payment at maturity due on the securities will be equal to the stated principal amount
plus
any contingent
quarterly payment otherwise due. However, if the securities are not redeemed prior to maturity and the final underlier value of
any
underlier
is less than its downside threshold level, at maturity investors
will lose 1% of the stated principal amount for every 1% that the final underlier value of the
worst p
erforming
underlier is less than its initial underlier value. Under these circumstances, the amount investors receive will be less than
75%
of the stated principal amount and could be zero. Because all payments on the
securities are based on the
worst p
erforming of the underliers, a decline in the
closing level of
any
underlier
below its
downside threshold level
on
any scheduled trading day during most or all of the determination periods will result in few or no contingent quarterly payments,
and a decline in the closing level of
any
underlier
below its downside threshold
level on the final determination date will result in a significant loss of your investment,
in each case, even if the other
underliers appreciate or have not declined as much
. The securities are for investors who
are willing and able to risk their principal and forgo guaranteed interest payments, in exchange for the opportunity to receive
contingent quarterly payments at a potentially above-market rate, subject to automatic early redemption. Investors will not participate
in any appreciation of
any
underlier
even though investors will be exposed
to the depreciation in the value of the
worst p
erforming underlier if the securities
have not been redeemed prior to maturity and the final underlier value of the
worst p
erforming
underlier is less than its downside threshold level.
Investors may lose their entire initial investment in the securities.
The securities are unsecured and unsubordinated debt obligations of Barclays Bank PLC. Any payment on the securities, including
any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (as
described on page 5 of this document) by the relevant U.K. resolution authority, you might not receive any amounts owed to you
under the securities. See “Risk Factors” and “Consent to U.K. Bail-in Power” in this document and “Risk
Factors” in the accompanying prospectus supplement.
|
SUMMARY
TERMS
|
|
|
Issuer:
|
Barclays Bank PLC
|
|
Reference
assets*:
|
Russell 2000
®
Index (Bloomberg ticker symbol “RTY<Index>”) (the “RTY Index”), S&P 500
®
Index (Bloomberg ticker symbol “SPX<Index>”) (the “SPX Index”) and EURO STOXX
®
Banks Index (Bloomberg ticker symbol “SX7E<Index>”) (the “SX7E Index”) (each an “underlier” and together the “underliers”)
|
|
Aggregate
principal amount:
|
$
|
|
Stated
principal amount:
|
$1,000 per security
|
|
Initial
issue price:
|
$1,000 per security (see “Commissions and initial issue price” below)
|
|
Pricing
date
†
:
|
November 28, 2017
|
|
Original
issue date
†
:
|
December 1, 2017
|
|
Maturity
date
†
:
|
June 2, 2020
|
|
Automatic
early redemption:
|
If, on any determination period-end date (other than the final determination date), the closing level of each underlier is greater than or equal to its initial underlier value, the securities will be automatically redeemed for an early redemption payment on the contingent payment date immediately following that determination period-end date.
The securities will not be redeemed early if the closing level of any underlier is less than its initial underlier value on the related determination period-end date. No further payments will be made on the securities after they have been redeemed.
|
|
Early
redemption payment:
|
The early redemption payment will be an amount per security equal to (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due.
|
|
Contingent
quarterly payment:
|
·
If
a coupon barrier event has not occurred during a determination period, we will pay a contingent quarterly payment of at least
$30.00 (at least 3.00% of the stated principal amount) per security on the related contingent payment date with respect to that
determination period. The actual contingent quarterly payment will be determined on the pricing date.
·
If
a coupon barrier event has occurred during a determination period, no contingent quarterly payment will be made with respect to
that determination period.
|
|
Payment
at maturity:
|
If the securities are not automatically redeemed prior
to maturity, you will receive on the maturity date a cash payment per security determined as follows:
·
If
the final underlier value of each underlier is
greater than or equal to
its downside threshold level:
(i) stated principal amount
plus
(ii) any contingent quarterly payment otherwise due
·
If
the final underlier value of
any
underlier is
less than
its downside threshold level:
stated principal amount
× underlier performance factor of the worst performing underlier
Under these circumstances, the payment at maturity
will be less than the stated principal amount of $1,000 and will represent a loss of more than 25%, and possibly all, of an investor’s
initial investment. Investors may lose their entire initial investment in the securities. Any payment on the securities, 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 by the relevant U.K. resolution authority.
|
|
U.K.
Bail-in Power acknowledgment:
|
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the securities, by acquiring the securities, each holder of the securities 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 5 of this document.
|
|
|
(terms continued on the next page)
|
|
Commissions and initial issue price:
|
Initial issue price
(1)
|
Price to public
(1)
|
Agent’s commissions
|
Proceeds to issuer
|
|
Per security
|
$1,000
|
$1,000
|
$20.00
(2)
$5.00
(3)
|
$975.00
|
|
Total
|
$
|
$
|
$
|
$
|
|
|
(1)
|
Our estimated value of the securities on the pricing date, based on our internal pricing models, is expected to be between
$944.00 and $964.00 per security. The estimated value is expected to be less than the initial issue price of the securities. See
“Additional Information Regarding Our Estimated Value of the Securities” on page 4 of this document.
|
|
|
(2)
|
Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc.,
a fixed sales commission of $20.00 for each security they sell. See “Supplemental Plan of Distribution” in this document.
|
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each
security.
|
One or more of our affiliates may purchase up to 15% of the
aggregate principal amount of the securities and hold such securities for investment for a period of at least 30 days. Accordingly,
the total principal amount of the securities may include a portion that was not purchased by investors on the original issue date.
Any unsold portion held by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore,
could adversely affect the price of the securities in the secondary market. Circumstances may occur in which our interests or
those of our affiliates could be in conflict with your interests.
Investing in the securities involves risks not
associated with an investment in conventional debt securities. See “Risk Factors” beginning on page 16 of this document
and on page S-7 of the prospectus supplement. You should read this document together with the related prospectus, prospectus supplement
and index supplement, each of which can be accessed via the hyperlinks below before you make an investment decision.
The securities will not be listed on any U.S. securities
exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities
commission has approved or disapproved of the securities or determined that this document is truthful or complete. Any representation
to the contrary is a criminal offense.
The securities constitute
our unsecured and unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered
by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental
agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
Terms continued from previous page:
|
|
Downside threshold level:
|
With respect to the RTY Index: , which is equal to 75%
of its initial underlier value (rounded to three decimal places)
With respect to the SPX Index: , which is equal to 75%
of its initial underlier value (rounded to three decimal places)
With respect to the SX7E Index: , which is equal to
75% of its initial underlier value (rounded to three decimal places)
|
|
Coupon barrier event:
|
A coupon barrier event will occur with respect to a determination period if (i) the closing level of
any
underlier is less than its downside threshold level on any scheduled trading day during that determination period and (ii) a market disruption event has not occurred with respect to that underlier on that day.
|
|
Initial underlier value:
|
With respect to the RTY Index: , which is the closing
level of that underlier on the pricing date
With respect to the SPX Index: , which is the closing
level of that underlier on the pricing date
With respect to the SX7E Index: , which is the closing
level of that underlier on the pricing date
|
|
Final underlier value:
|
With respect to each underlier, the closing level of that underlier on the final determination date
|
|
Underlier performance factor:
|
With respect to each underlier, its final underlier value divided by its initial underlier value
|
|
Worst performing underlier:
|
The underlier with the lowest underlier performance factor
|
|
Determination periods:
|
There are ten quarterly determination periods. The first determination period will consist of each day from but excluding the pricing date to and including the first determination period-end date. Each subsequent determination period will consist of each day from but excluding a determination period-end date to and including the next following determination period-end date.
|
|
Determination period-end dates
†
:
|
February 28, 2018, May 29, 2018, August 28, 2018, November 28, 2018, February 28, 2019, May 28, 2019, August 28, 2019, November 29, 2019, February 28, 2020 and May 28, 2020. We also refer to the final determination period-end date, May 28, 2020, as the final determination date.
|
|
Contingent payment dates
†
:
|
March 5, 2018, June 1, 2018, August 31, 2018, December 3, 2018, March 5, 2019, May 31, 2019, September 3, 2019, December 4, 2019, March 4, 2020 and the maturity date
|
|
Closing level*:
|
With respect to each underlier, closing level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
|
|
Additional terms:
|
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement.
|
|
CUSIP / ISIN:
|
06744CMZ1 / US06744CMZ13
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
Selected dealer:
|
Morgan Stanley Wealth Management (“MSWM”)
|
|
*
|
If an underlier is discontinued or if the sponsor of an underlier fails to publish that underlier, the calculation agent may select a successor underlier or, if no successor underlier is available, will calculate the value to be used as the closing level of that underlier. In addition, the calculation agent will calculate the value to be used as the closing level of an underlier in the event of certain changes in or modifications to that underlier. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
|
|
†
|
Expected. In the event that we make any change to the pricing date or the original issue date, the determination period-end dates, the contingent payment dates and/or the maturity date may be changed so that the stated term of the securities remains the same. Each determination period-end date may be postponed if that determination period-end date is not a scheduled trading day with respect to
any underlier
or if a market disruption event occurs with respect to
any underlier
on that determination period-end date as described under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference Asset” and “Reference Assets—Least or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement. In addition, a contingent payment date and/or the maturity date will be postponed if that day is not a business day or if the relevant determination period-end date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
|
Barclays Capital Inc
.
|
|
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Additional Terms of the Securities
You should read this document
together with the prospectus dated July 18, 2016, as supplemented by the prospectus supplement dated July 18, 2016 and the index
supplement dated July 18, 2016 relating to our Global Medium-Term Notes, Series A, of which the securities are a part. This document,
together with the documents listed below, contains the terms of the securities and supersedes all prior or contemporaneous oral
statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider,
among other things, the matters set forth in “Risk Factors” in the prospectus supplement, as the securities involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisors before you invest in the securities.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on
the SEC website):
Prospectus dated July 18,
2016:
http://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.htm
Prospectus supplement dated
July 18, 2016:
http://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm
Index supplement dated
July 18, 2016:
http://www.sec.gov/Archives/edgar/data/312070/000110465916133002/a16-14463_22424b3.htm
Our SEC file number is
1-10257 and our Central Index Key, or CIK, on the SEC website is 0000312070. As used in this document, “we,” “us”
and “our” refer to Barclays Bank PLC.
In connection with this
offering, Morgan Stanley Wealth Management is acting in its capacity as a selected dealer.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Additional Information Regarding Our Estimated
Value of the Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based on our internal
funding rates. Our estimated value of the securities might be lower if such valuation were based on the levels at which our benchmark
debt securities trade in the secondary market.
Our estimated value of the securities on the pricing date is
expected to be less than the initial issue price of the securities. The difference between the initial issue price of the securities
and our estimated value of the securities is expected to result from several factors, including 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 securities, the estimated cost that we may incur in hedging our obligations under the securities,
and estimated development and other costs that we may incur in connection with the securities.
Our estimated value on the pricing date is not a prediction of
the price at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may
buy or sell the securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another
affiliate of ours intends to offer to purchase the securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the
pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market, if any,
and the value that we may initially use for customer account statements, if we provide any customer account statements at all,
may exceed our estimated value on the pricing date for a temporary period expected to be approximately 40 days after the initial
issue date of the securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated
cost of hedging our obligations under the securities and other costs in connection with the securities that we will no longer expect
to incur over the term of the securities. We made such discretionary election and determined this temporary reimbursement period
on the basis of a number of factors, which may include the tenor of the securities and/or any agreement we may have with the distributors
of the securities. The amount of our estimated costs that we effectively reimburse to investors in this way may not be allocated
ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the
reimbursement period after the initial issue date of the securities based on changes in market conditions and other factors that
cannot be predicted.
We urge you to read “Risk Factors” beginning on
page 16 of this document.
You may revoke your offer to
purchase the securities at any time prior to the pricing date. We reserve the right to change the terms of, or reject any offer
to purchase, the securities prior to their pricing date. In the event of any changes to the terms of the securities, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in
which case we may reject your offer to purchase.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Consent to U.K. Bail-in Power
Notwithstanding any
other agreements, arrangements or understandings between us and any holder of the securities, by acquiring the securities, each
holder of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by
the relevant U.K. resolution authority.
Under the U.K. Banking
Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant
U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment
firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is an European Economic Area (“EEA”) or third country institution or investment
firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect
of that entity.
The U.K. Bail-in Power
includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities into shares or other
securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder of the securities
such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the securities, or amendment
of the amount of interest or any other amounts due on the securities, or the dates on which interest or any other amounts become
payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation
of the terms of the securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder of the securities further acknowledges and agrees that the rights of the holders of the securities are subject
to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders of the securities
may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach
of laws applicable in England.
For
more information, please see “Risk Factors—You may lose some or all of your investment if any U.K. bail-in power is
exercised by the relevant U.K. resolution authority” in this document 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.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
The Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and
the EURO STOXX
®
Banks Index, which we refer to as the securities, provide an opportunity for investors to receive
a contingent quarterly payment, which is an amount equal to at least $30.00 (at least 3.00% of the stated principal amount), with
respect to each quarterly determination period if a coupon barrier event has not occurred during that determination period. However,
if a coupon barrier event has occurred during a determination period, investors will not receive any contingent quarterly payment
for that determination period. A coupon barrier event will occur with respect to a determination period if the closing level of
any
underlier is less than 75% of its initial underlier value, which we refer to as a downside threshold level, on
any
scheduled trading day during that determination period. The actual contingent quarterly payment will be determined on the pricing
date. The closing level of at least one of the underliers could be below its downside threshold level on any scheduled trading
day during most or all of the determination periods so that you receive few or no contingent quarterly payments over the term of
the securities.
If
the closing level of
each underlier is greater than or equal to its initial underlier value on any determination period-end date
(other than
the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the stated
principal amount
plus
any contingent quarterly payment otherwise due. If the securities are automatically redeemed prior
to maturity, investors will receive no further contingent quarterly payments. At maturity, if the securities have not previously
been redeemed and the final underlier value of each underlier is greater than or equal to its downside threshold level, the payment
at maturity will be equal to the stated principal amount
plus
any contingent quarterly payment otherwise due. However, if
the securities have not previously been redeemed and the final underlier value of any underlier is less than its downside threshold
level, investors will lose 1% of the stated principal amount for every 1% that the final underlier value of the worst performing
underlier is less than its initial underlier value. Under these circumstances, the amount investors receive will be less than 75%
of the stated principal amount and could be zero. Investors in the securities must be willing and able to accept the risk of losing
their entire initial investment based on the performance of the worst performing underlier and also the risk of not receiving any
contingent quarterly payment throughout the entire term of the securities. In addition, investors will not participate in any appreciation
of any underlier.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Key Investment Rationale
The securities offer investors an opportunity to receive a contingent
quarterly payment of at least $30.00 (at least 3.00% of the stated principal amount) with respect to each determination period
if a coupon barrier event has not occurred during that determination period. The actual contingent quarterly payment will be determined
on the pricing date. If, on any determination period-end date (other than the final determination date), the closing level of each
underlier is greater than or equal to its initial underlier value, the securities will be automatically redeemed prior to maturity
for the stated principal amount per security
plus
any contingent quarterly payment otherwise due. The following scenarios
reflect the potential payments, if any, on the securities:
|
Scenario 1
|
On any determination period-end date (other
than the final determination date), the closing level of each underlier is greater than or equal to its initial underlier value.
§
The
securities will be automatically redeemed for (i) the stated principal amount plus (ii) any contingent quarterly payment otherwise
due.
§
Investors
will not participate in any appreciation of any underlier from its initial underlier value and will receive no further contingent
quarterly payments.
|
|
Scenario 2
|
The securities are not automatically redeemed
prior to maturity and the final underlier value of each underlier is
greater than or equal to
its downside threshold level.
§
The
payment due at maturity will be (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due.
§
Investors
will not participate in any appreciation of any underlier from its initial underlier value.
|
|
Scenario 3
|
The securities are not automatically redeemed
prior to maturity and the final unde
rlier value of any underlier is less than
its downside threshold level.
§
The
payment due at maturity will be equal to the stated principal amount
times
the underlier performance factor of the worst
performing underlier. In this case, at maturity, the securities pay less than 75% of the stated principal amount and the percentage
loss of the stated principal amount will be equal to the percentage decrease in the final underlier value of the worst performing
underlier from its initial underlier value. For example, if the final underlier value of the worst performing underlier is
55% less than its initial underlier value, the securities will pay $450.00 per security, or 45% of the stated principal amount,
for a loss of 55% of the stated principal amount.
Investors will lose a significant portion and may lose all of their
principal in this scenario.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Selected Purchase Considerations
The securities are not suitable
for all investors. The securities
may
be a suitable investment for you if all of the following statements are true:
|
|
§
|
You do not seek an investment that produces fixed
periodic interest or coupon payments or other non-contingent sources of current income.
|
|
|
§
|
You do not anticipate that the final underlier value
of
any
underlier will be less than its downside threshold level on the final determination date, and you are willing and
able to accept the risk that, if it is, you will lose a significant portion or all of the stated principal amount.
|
|
|
§
|
You understand that a coupon barrier event will occur
with respect to a determination period if the closing level of
any
underlier is less than its downside threshold level on
any scheduled trading day
during that determination period, and you are willing and able to accept the risk that if a coupon
barrier event occurs during a determination period, you will not receive any contingent quarterly payment for that determination
period.
|
|
|
§
|
You understand that the closing
level of
any
underlier
could be below its
downside threshold level
on
any scheduled trading day
during
most or all of the determination periods, and you are willing and able to accept the risk that, if it is, you will receive few
or no contingent quarterly payments over the term of the securities.
|
|
|
§
|
You are willing and able to accept the individual
market risk of
each underlier
and you understand that poor performance by
any
underlier over the term of the securities
may negatively affect your return and will not be offset or mitigated by any positive performance by the other underliers.
|
|
|
§
|
You are willing and able to forgo participation in
any appreciation of any underlier, and you understand that any return on your investment will be limited to the contingent quarterly
payments that may be payable on the securities.
|
|
|
§
|
You are willing and able to accept the risks associated
with an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk
Factors” section of this document.
|
|
|
§
|
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
securities may be automatically redeemed prior to scheduled maturity and that you may not be able to reinvest your money in an
alternative investment with comparable risk and yield.
|
|
|
§
|
You do not seek an investment for which there will
be an active secondary market and you are willing and able to hold the securities to maturity if the securities are not automatically
redeemed.
|
|
|
§
|
You are willing and able to assume our credit risk
for all payments on the securities.
|
|
|
§
|
You are willing and able to consent to the exercise
of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
The securities
may
not
be a suitable investment for you if
any
of the following statements are true:
|
|
§
|
You seek an investment that produces fixed periodic
interest or coupon payments or other non-contingent sources of current income.
|
|
|
§
|
You seek an investment that provides for the full
repayment of principal at maturity.
|
|
|
§
|
You anticipate that the final underlier value of
any
underlier will be less than its downside threshold level on the final determination date, or you are unwilling or unable to accept
the risk that, if it is, you will lose a significant portion or all of the stated principal amount.
|
|
|
§
|
You are unwilling or unable to accept the risk that,
if the closing level of
any underlier
is less than its downside threshold level on
any scheduled trading day
during
a determination period, a coupon barrier event will occur with respect to that determination period and you will not receive any
contingent quarterly payment for that determination period.
|
|
|
§
|
You are unwilling or unable
to accept that, if the closing level of
any
underlier is below its
downside threshold level
on
any scheduled trading day
during most or all of the determination periods, you will receive few or no contingent quarterly
payments over the term of the securities.
|
|
|
§
|
You are unwilling or unable to accept the individual
market risk of
each underlier
or the risk that poor performance by
any
underlier over the term of the securities
may negatively affect your return and will not be offset or mitigated by any positive performance by the other underliers.
|
|
|
§
|
You seek exposure to any upside performance of the
underliers or you seek an investment with a return that is not limited to the contingent quarterly payments that may be payable
on the securities.
|
|
|
§
|
You are unwilling or unable to accept the risks associated
with an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk
Factors” section of this document.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
§
|
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 securities may be automatically redeemed prior to scheduled maturity.
|
|
|
§
|
You seek an investment for which there will be an
active secondary market and/or you are unwilling or unable to hold the securities to maturity if they are not automatically redeemed.
|
|
|
§
|
You are unwilling or unable to assume our credit risk
for all payments on the securities.
|
|
|
§
|
You are unwilling or unable to consent to the exercise
of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
You must rely on your own
evaluation of the merits of an investment in the securities
.
You should reach a decision whether to invest in the securities
after carefully considering, with your advisors, the suitability of the securities in light of your investment objectives and the
specific information set forth in this document, the prospectus, the prospectus supplement and the index supplement. Neither the
issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the securities for investment.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on the closing level of each underlier on the scheduled trading days during the determination periods
and on the final determination date.
Diagram #1: Determination Periods Prior to
the Final Determination Period
Diagram #2: Payment at Maturity If No Automatic
Early Redemption Occurs
For more information about the payment upon an automatic early
redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Hypothetical Examples
The numbers appearing in the following examples may have been
rounded for ease of analysis. The examples below assume that the securities will be held until maturity or earlier redemption and
do not take into account the tax consequences of an investment in the securities. The examples below are based on the following
terms:*
|
Hypothetical Initial Underlier Values:
|
With respect to each underlier: 100.00
|
|
Hypothetical Downside Threshold Levels:
|
With respect to each underlier: 75.000, which is 75% of its hypothetical initial underlier value
|
|
Hypothetical Contingent Quarterly Payment:
|
$30.00 (3.00% of the stated principal amount). The actual contingent quarterly payment will be set on the pricing date and will be at least 3.00% of the stated principal amount.
|
|
Stated Principal Amount:
|
$1,000 per security
|
* Terms used for purposes of these hypothetical examples may
not represent the actual initial underlier values, downside threshold levels or contingent quarterly payment applicable to the
securities. In particular, the hypothetical initial underlier value of 100.00 for each underlier used in these examples has been
chosen for illustrative purposes only and may not represent a likely actual initial underlier value for any underlier. Please see
“Russell 2000
®
Index Overview,” “S&P 500
®
Index Overview” and “EURO
STOXX
®
Banks Index Overview” below for recent actual values of the underliers. The actual initial underlier
values, downside threshold levels and contingent quarterly payment applicable to the securities will be determined on the pricing
date.
The examples below are based on the worst performing underlier
during each determination period and on the final determination date, and assume that no market disruption event occurs with respect
to any underlier during the term of the securities. We make no representation or warranty as to which of the underliers will be
the worst performing underlier for the purpose of calculating the payment at maturity, if applicable, or as to what the closing
level of any underlier will be on any scheduled trading day during any determination period. For purposes of the examples below,
the “worst performing underlier” on any scheduled trading day during each determination period or on the final determination
date will be the underlier with the largest percentage decline from its initial underlier value to its closing level on that scheduled
trading day or the final determination date, as applicable.
In Examples 1 and 2, the closing level of each underlier is greater
than or equal to its hypothetical initial underlier value of 100.00 on one of the determination period-end dates prior to the final
determination date (the actual initial underlier values will be determined on the pricing date). Because the closing level of each
underlier is greater than or equal to its initial underlier value on one of the determination period-end dates prior to the final
determination date, the securities are automatically redeemed following the relevant determination period-end date. In Examples
3 and 4, the closing level of at least one of the underliers on the determination period-end dates prior to the final determination
date is less than its initial underlier value, and, consequently, the securities are not automatically redeemed prior to, and remain
outstanding until, maturity.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
Example 1
|
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Hypothetical Closing Level of Worst Performing Underlier on Determination Period-End Date
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
|
#1
|
50.00
|
Yes
|
65.00
|
$0
|
N/A
|
|
#2
|
85.00
|
No
|
120.00
|
—*
|
$1,030.00
|
|
#3
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#4
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#5
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#6
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#7
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#8
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#9
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Final Determination Period
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Payment at Maturity
|
N/A
|
* If the securities are automatically redeemed, the early redemption
payment will include any contingent quarterly payment otherwise due.
In Example 1, the securities are automatically redeemed following
the second determination period, as the closing level of each underlier on the second determination period-end date is greater
than or equal to its initial underlier value. As a coupon barrier event did not occur during the related determination period,
the early redemption payment you receive following the second determination period will include the contingent quarterly payment
due with respect to that determination period, and the early redemption payment will be calculated as follows:
stated
principal amount + contingent quarterly payment = $1,000 +
$30.00
=
$1,030.00
In this example, the automatic early redemption feature limits
the term of your investment to approximately 6 months, and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the worst performing underlier
has appreciated from its initial underlier value as of the second determination period-end date, upon automatic early redemption
you receive only $1,030.00 per security and do not benefit from the appreciation of any underlier.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
Example 2
|
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Hypothetical Closing Level of Worst Performing Underlier on Determination Period-End Date
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
|
#1
|
95.00
|
No
|
95.00
|
$30.00
|
N/A
|
|
#2
|
50.00
|
Yes
|
65.00
|
$0
|
N/A
|
|
#3
|
40.00
|
Yes
|
55.00
|
$0
|
N/A
|
|
#4
|
59.50
|
Yes
|
79.50
|
$0
|
N/A
|
|
#5
|
80.00
|
No
|
95.00
|
$30.00
|
N/A
|
|
#6
|
40.00
|
Yes
|
105.00
|
—*
|
$1,000.00
|
|
#7
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#8
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
#9
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Final Determination Period
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Payment at Maturity
|
N/A
|
* If the securities are automatically redeemed, the early redemption
payment will include any contingent quarterly payment otherwise due.
In Example 2, the securities are automatically redeemed following
the sixth determination period, as the closing level of each underlier on the sixth determination period-end date is greater than
its initial underlier value. Because a coupon barrier event has not occurred during the first and fifth determination periods,
you receive the contingent quarterly payment of $30.00 with respect to those determination periods. Because a coupon barrier event
has occurred with respect to the sixth determination period, the early redemption payment you receive following the sixth determination
period will not include any contingent quarterly payment with respect to that determination period, and the early redemption payment
will be equal to the stated principal amount of $1,000. Moreover, because a coupon barrier event occurred with respect to the second,
third and fourth determination periods, no contingent quarterly payment is made with respect to those determination periods.
In this example, the automatic early redemption feature limits
the term of your investment to approximately 18 months, and you may not be able to reinvest at comparable terms or returns. If
the securities are redeemed early, you will stop receiving contingent quarterly payments.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Examples 3 and 4 illustrate the payment at maturity per security
based on the final underlier value of the worst performing underlier.
|
|
Example 3
|
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Hypothetical Closing Level of Worst Performing Underlier on Determination Period-End Date
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
|
#1
|
65.00
|
Yes
|
85.00
|
$0
|
N/A
|
|
#2
|
55.00
|
Yes
|
90.00
|
$0
|
N/A
|
|
#3
|
50.00
|
Yes
|
80.00
|
$0
|
N/A
|
|
#4
|
60.00
|
Yes
|
75.00
|
$0
|
N/A
|
|
#5
|
45.00
|
Yes
|
45.00
|
$0
|
N/A
|
|
#6
|
40.00
|
Yes
|
40.00
|
$0
|
N/A
|
|
#7
|
50.00
|
Yes
|
70.00
|
$0
|
N/A
|
|
#8
|
65.00
|
Yes
|
75.00
|
$0
|
N/A
|
|
#9
|
60.00
|
Yes
|
80.00
|
$0
|
N/A
|
|
Final Determination Period
|
50.00
|
Yes
|
50.00
|
$0
|
N/A
|
|
Payment at Maturity
|
$500.00
|
In Example 3, a coupon barrier event has occurred during each
determination period throughout the term of the securities. As a result, you do not receive any contingent quarterly payments during
the term of the securities even if the closing levels of the other underliers on each scheduled trading day during the determination
periods have appreciated or have not declined below their respective downside threshold levels. As indicated in this example, a
coupon barrier event may occur during a determination period even if the closing level of the worst performing underlier on the
determination period-end date for that determination period is greater than its downside threshold level. As the final underlier
value of the worst performing underlier is less than its downside threshold level, you are fully exposed to the decline in the
closing level of the worst performing underlier. Thus, investors will receive a cash payment at maturity that is significantly
less than the stated principal amount per security, calculated as follows:
(
$1,000
× underlier performance factor of the
worst
performing
underlier)
=
$1,000
× (final underlier value of the
worst
performing
underlier / initial underlier value of the
worst
performing underlier)
=
$1,000
× (50.00 / 100.00) = $500.00
In this example, the cash payment you receive at maturity
is significantly less than the stated principal amount.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
Example 4
|
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Hypothetical Closing Level of Worst Performing Underlier on Determination Period-End Date
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
|
#1
|
65.00
|
Yes
|
90.00
|
$0
|
N/A
|
|
#2
|
55.00
|
Yes
|
60.00
|
$0
|
N/A
|
|
#3
|
50.00
|
Yes
|
85.00
|
$0
|
N/A
|
|
#4
|
60.00
|
Yes
|
80.00
|
$0
|
N/A
|
|
#5
|
45.00
|
Yes
|
85.00
|
$0
|
N/A
|
|
#6
|
40.00
|
Yes
|
90.00
|
$0
|
N/A
|
|
#7
|
55.00
|
Yes
|
65.00
|
$0
|
N/A
|
|
#8
|
50.00
|
Yes
|
60.00
|
$0
|
N/A
|
|
#9
|
60.00
|
Yes
|
65.00
|
$0
|
N/A
|
|
Final Determination Period
|
50.00
|
Yes
|
85.00
|
$0
|
N/A
|
|
Payment at Maturity
|
$1,000.00
|
In Example 4, a coupon barrier event has occurred during each
determination period throughout the term of the securities. As a result, you do not receive any contingent quarterly payments with
respect to any determination period even if the closing levels of the other underliers on each scheduled trading day during the
determination periods have appreciated or have not declined below their respective downside threshold levels. As indicated in this
example, a coupon barrier event may occur during a determination period even if the closing level of the worst performing underlier
on the determination period-end date for that determination period is greater than its downside threshold level. In addition, the
closing level of the worst performing underlier decreases to a final underlier value of 85.00. Although the final underlier value
of the worst performing underlier is less than its initial underlier value, because the final underlier value of the worst performing
underlier is still not less than its downside threshold level, you receive the stated principal amount at maturity. However, because
a coupon barrier event has occurred during the final determination period, you will not receive a contingent quarterly payment
with respect to the final determination period.
In this example, although the
final underlier value of the worst performing underlier represents a 15% decline from its initial underlier value, you receive
the stated principal amount of $1,000 per security at maturity because the final underlier value of the worst performing underlier
is not less than its downside threshold level.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Risk Factors
An investment in the securities involves significant risks.
We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. Investing
in the securities is not equivalent to investing directly in any or all of the underliers or the securities composing the underliers.
The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these
and other risks, you should read the section entitled “Risk Factors” in the prospectus supplement, including the risk
factors discussed under the following headings:
|
|
o
|
“Risk Factors—Risks Relating to the Securities Generally”;
|
|
|
o
|
“Risk Factors—Additional Risks Relating to Securities with Reference Assets That Are Equity Securities, Indices
of Equity Securities or Exchange-Traded Funds that Hold Equity Securities”; and
|
|
|
o
|
“Risk Factors—Additional Risks Relating to Securities That We May Call or Redeem (Automatically or Otherwise).”
|
|
|
§
|
The securities do not guarantee the return of any
principal.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee
the return of any of the stated principal amount at maturity. Instead, if the securities have not been automatically redeemed prior
to maturity and if the final underlier value of any underlier is less than its downside threshold level, you will be exposed to
the decline in the closing level of the worst performing underlier, as compared to its initial underlier value, on a 1-to-1 basis
and you will receive for each security that you hold at maturity an amount in cash equal to the stated principal amount
times
the underlier performance factor of the worst performing underlier. Under these circumstances, your payment at maturity will be
less than 75% of the stated principal amount and could be zero.
|
|
|
§
|
You will not receive any contingent quarterly payment
for any quarterly determination period if a coupon barrier event occurs on any scheduled trading day during that determination
period with respect to any underlier.
The terms of the securities differ from those of ordinary debt securities in that they
do not provide for regular interest payments. Instead, a contingent quarterly payment will be made with respect to a determination
period only if a coupon barrier event has not occurred during that determination period. A coupon barrier event will occur if the
closing level of
any
underlier is less than its downside threshold level on
any
scheduled trading day during that
determination period. If the closing level of at least one underlier is below its downside threshold level on any scheduled trading
day during a determination period (i.e., if a coupon barrier event has occurred during that determination period), you will not
receive a contingent quarterly payment with respect to that determination period even if the closing levels of the other underliers
on each scheduled trading day during the determination periods have appreciated or have not declined below their respective downside
threshold levels and even if each underlier closes above its downside threshold level on the determination period end date for
that determination period. Therefore, unless each underlier closes above its downside threshold level on each scheduled trading
day during a determination period, you will not receive any contingent quarterly payment for that determination period. The closing
level of the worst performing underlier could be below its downside threshold level on any scheduled trading day during most or
all of the determination periods so that you receive few or no contingent quarterly payments over the term of the securities. If
you do not receive sufficient contingent quarterly payments over the term of the securities, the overall return on the securities
may be less than the amount that would be paid on a conventional debt security of the issuer of comparable maturity.
|
|
|
§
|
Credit of issuer.
The securities 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 securities, 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 securities and, in the event Barclays Bank
PLC were to default on its obligations, you might not receive any amount owed to you under the terms of the securities.
|
|
|
§
|
You may lose some or all
of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority.
Notwithstanding any other
agreements, arrangements or understandings between Barclays Bank PLC and any holder of the securities, by acquiring the securities,
each holder of the securities 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 document. Accordingly,
any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders of the securities losing all or
a part of the value of your investment in the securities or receiving a different security from the securities, which may be worth
significantly less than the securities 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 of the securities. The exercise of any U.K. Bail-in Power by the relevant U.K.
resolution authority with respect to the securities will not be a default or an Event of Default (as each term is defined in the
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 securities.
See “Consent to U.K. Bail-in Power” in this document 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.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
§
|
You are exposed to the market risk of each underlier,
with respect to both the contingent quarterly payments, if any, and the payment at maturity, if any.
Your return on the securities
is not linked to a basket consisting of each underlier. 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 securities may negatively affect your return and will not be offset or mitigated by any positive performance
by the other underliers. To receive a contingent quarterly payment with respect to a determination period, each underlier must
close at or above its downside threshold level on each scheduled trading day during that determination period. In addition, if
the securities have not been automatically redeemed early and any underlier has declined to below its downside threshold level
as of the final determination date, you will be fully exposed to the decline in the worst performing underlier over the term of
the securities on a 1-to-1 basis, even if the other underliers have appreciated or have not declined as much. Under this scenario,
the value of any such payment will be less than 75% of the stated principal amount and could be zero. Accordingly, your investment
is subject to the market risk of each underlier.
|
|
|
§
|
Because the securities are linked to the performance
of the worst performing underlier, you are exposed to greater risks of no contingent quarterly payments and sustaining a significant
loss on your investment than if the securities were linked to just one underlier.
The risk that you will not receive any contingent
quarterly payments, or that you will suffer a significant loss on your investment, is greater if you invest in the securities as
opposed to substantially similar securities that are linked to the performance of just one underlier. With three underliers, it
is more likely that any underlier will close below its downside threshold level on any scheduled trading day during any determination
period than if the securities were linked to only one underlier, and therefore it is more likely that you will not receive any
contingent quarterly payments. In addition, because each underlier must close above its initial underlier value on a quarterly
determination period-end date (other than the final determination date) in order for the securities to be redeemed prior to maturity,
the securities are less likely to be redeemed on any determination period-end date (other than the final determination date) than
if the securities were linked to just one underlier. Further, with three underliers, it is more likely that any underlier will
close below its downside threshold level on the final determination date than if the securities were linked to only one underlier,
and therefore it is more likely that you will suffer a significant loss on your investment.
|
|
|
§
|
Automatic early redemption risk.
The term of
your investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature
of the securities. If the securities are redeemed prior to maturity, no further contingent quarterly payments will be made on the
securities and you may be forced to reinvest in a lower interest rate environment. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the securities in a comparable investment with a similar level of risk in the event
the securities are redeemed prior to the maturity date.
|
|
|
§
|
Contingent repayment of principal applies only
at maturity.
You should be willing and able to hold the securities to maturity. If you sell the securities prior to maturity
in the secondary market, if any, you may have to sell the securities at a loss relative to your initial investment even if the
level of each underlier is above its downside threshold level.
|
|
|
§
|
You will not participate in any appreciation in
the value of any underlier.
You will not participate in any appreciation in the value of any underlier from its initial underlier
value even though you will be exposed to the depreciation in the value of the worst performing underlier if the securities have
not been redeemed prior to maturity and the final underlier value of the worst performing underlier is less than its downside threshold
level. The return on the securities will be limited to the contingent quarterly payment that is paid with respect to each determination
period during which a coupon barrier event has not occurred.
|
|
|
§
|
The securities will not be listed on any securities
exchange, and secondary trading may be limited.
Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer
to purchase the securities in the secondary market but are not required to do so and may cease any such market making activities
at any time, without notice. Even if a secondary market develops, it may not provide enough liquidity to allow you to trade or
sell the securities easily. Because other dealers are not likely to make a secondary market for the securities, the price, if any,
at which you may be able to trade your securities 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 securities. In addition, Barclays Capital Inc. or one or more of our
other affiliates may at any time hold an unsold portion of the securities (as described on the cover page of this document), which
may inhibit the development of a secondary market for the securities. The securities are not designed to be short-term trading
instruments. Accordingly, you should be willing and able to hold your securities to maturity.
|
|
|
§
|
The securities are subject
to volatility risk.
Volatility is a measure
of the degree of variation in the levels of the underliers over a period of time. The contingent quarterly payment will be determined
on the pricing date based on a number of factors, including the expected volatility of the underliers. The contingent quarterly
payment will be higher than the fixed rate that we would pay on a conventional debt security of the same tenor and will be higher
than it otherwise would have been had the expected volatility of the underliers, calculated as of the pricing date, been lower.
As volatility of an underlier increases, there will typically be a greater likelihood that (a) the closing level of that underlier
will be less than its downside threshold level during one or more determination periods and (b) the final underlier value of that
underlier will be less than its downside threshold level.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Accordingly, you should understand that a higher contingent
quarterly payment will reflect, among other things, an indication of a greater likelihood that you will (a) not receive contingent
quarterly payments with respect to one or more determination periods and/or (b) incur a loss of principal at maturity than would
have been the case had the contingent quarterly payment been lower. In addition, actual volatility over the term of the securities
may be significantly higher than the expected volatility at the time the terms of the securities were determined. If actual volatility
is higher than expected, you will face an even greater risk that you will not receive contingent quarterly payments and/or that
you will lose a significant portion or all of your principal at maturity for the reasons described above.
|
|
§
|
The contingent quarterly payment is based on the
closing level of each underlier throughout the determination periods.
Whether the contingent quarterly payment will be made
with respect to a determination period will be based on the closing level of each underlier on each scheduled trading day during
that determination period. As a result, you will not know whether you will receive the contingent quarterly payment with respect
to a determination period until the end of that determination period. Moreover, because each contingent quarterly payment is based
solely on the closing level of each underlier on any scheduled trading day during a determination period, if the closing level
of any underlier on any scheduled trading day during a determination period is less than its downside threshold level, you will
not receive any contingent quarterly payment with respect to that determination period, even if the closing level of that underlier
was higher on other days during that determination period.
|
|
|
§
|
Investing in the securities is not equivalent to
investing in any or all underliers or the securities composing the underliers.
Investors in the securities will not have
voting rights or rights to receive dividends or other distributions or any other rights with respect to the securities composing
the underliers.
|
|
|
§
|
The securities 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 securities 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.
|
|
|
§
|
The equity securities
included in the SX7E Index are concentrated in the banking industry.
Each of the equity securities included in the SX7E Index
has been issued by a company whose business is associated with the banking industry. Because the value of the securities is determined
in part by the performance of the SX7E Index, an investment in these securities will be concentrated in this industry. As a result,
the value of the securities may be subject to greater volatility and be more adversely affected by a single positive or negative
economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more
broadly diversified group of issuers.
|
|
|
§
|
There are risks associated with investments in
securities linked to the value of non-U.S. equity securities with respect to the SX7E Index.
The equity securities composing
the SX7E Index 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 securities, 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.
|
|
|
§
|
The
securities do
not provide
direct exposure to fluctuations in exchange rates between the U.S. dollar and the euro with respect to the SX7E Index.
The
SX7E Index is composed of non-U.S. securities denominated in euros. Because the level of the SX7E Index is also calculated in euros
(and not in U.S. dollars), the performance of the SX7E Index will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the euro. In addition, any payments on the securities determined based in part on the performance of the SX7E Index
will not be adjusted for exchange rate fluctuations between the U.S. dollar and the euro. Therefore, holders of the securities
will not benefit from any appreciation of the euro relative to the U.S. dollar.
|
|
|
§
|
Adjustments to the underliers could adversely affect the value of the securities.
The publisher of each underlier may discontinue or suspend calculation or publication of that underlier at any time. In these circumstances,
the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlier
and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
§
|
Hedging and trading activity by the issuer and
its affiliates could potentially adversely affect the value of the securities.
Hedging or trading activities of the issuer’s
affiliates and of any other hedging counterparty with respect to the securities could adversely affect the values of the underliers
and, as a result, could decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging
or trading activities on or prior to the pricing date could potentially increase the initial underlier values and, as a result,
the downside threshold levels, which are the levels at or above which the respective underliers must close on each scheduled trading
day during a determination period in order for you to receive a contingent quarterly payment with respect to that determination
period or, if the securities are not redeemed prior to maturity, the levels at or above which the respective underliers must close
on the final determination date in order for you to avoid being exposed to the negative price performance of the worst performing
underlier at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect
the values of the underliers on any scheduled trading day during the determination periods, on any determination period-end date
or on the final determination date and, accordingly, whether investors will receive one or more contingent quarterly payments,
whether the securities are automatically redeemed prior to maturity and, if the securities are not redeemed prior to maturity,
the payment at maturity, if any.
|
|
|
§
|
The market price of the securities will be influenced
by many unpredictable factors.
Several factors will influence the value of the securities in the secondary market and the price
at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC may be willing to purchase or sell the securities in the
secondary market. Although we expect that generally the values of the underliers on any day will affect the value of the securities
more than any other single factor, other factors that may influence the value of the securities include:
|
|
|
o
|
the volatility (frequency and magnitude of changes in value) of each underlier;
|
|
|
o
|
whether the closing level of any underlier has been, or is expected to be, below its downside threshold level on any scheduled
trading day during any determination period or the final determination date;
|
|
|
o
|
correlation (or lack of correlation) of the underliers;
|
|
|
o
|
dividend rates on the securities composing the underliers;
|
|
|
o
|
interest and yield rates in the market;
|
|
|
o
|
time remaining until the securities mature;
|
|
|
o
|
supply and demand for the securities;
|
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory and judicial events that affect the securities composing
the underliers and that may affect the final underlier values;
|
|
|
o
|
the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities composing the
SX7E Index trade; and
|
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
The values of the underliers may be, and have recently
been, volatile, and we can give you no assurance that the volatility will lessen. See “Russell 2000
®
Index
Overview,” “S&P 500
®
Index Overview” and “EURO STOXX
®
Banks Index Overview”
below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell
your securities prior to maturity.
|
|
§
|
The estimated value of your securities is expected to be lower than
the initial issue price of your securities.
The estimated value of your securities on the pricing date is expected to be lower,
and may be significantly lower, than the initial issue price of your securities. The difference between the initial issue price
of your securities and the estimated value of the securities 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 securities, the estimated cost that we may incur in hedging our obligations under the securities,
and estimated development and other costs that we may incur in connection with the securities.
|
|
|
§
|
The estimated value of your securities 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 securities
on the pricing 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.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
§
|
The estimated value of the securities 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 securities on the pricing 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 securities may not be consistent with those of other
financial institutions that may be purchasers or sellers of securities in the secondary market. As a result, the secondary market
price of your securities may be materially different from the estimated value of the securities determined by reference to our
internal pricing models.
|
|
|
§
|
The estimated value of your securities is not a prediction of the
prices at which you may sell your securities in the secondary market, if any, and such secondary market prices, if any, will likely
be lower than the initial issue price of your securities and may be lower than the estimated value of your securities.
The
estimated value of the securities 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 securities 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 securities 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 securities. Further, as secondary market prices of
your securities 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 securities such as fees, commissions, discounts, and the costs of hedging our obligations under
the securities, secondary market prices of your securities will likely be lower than the initial issue price of your securities.
As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the
securities from you in secondary market transactions, if any, will likely be lower than the price you paid for your securities,
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 securities
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 securities.
Assuming that all relevant factors remain constant
after the pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market
(if Barclays Capital Inc. makes a market in the securities, 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
securities on the pricing date, as well as the secondary market value of the securities, for a temporary period after the initial
issue date of the securities. The price at which Barclays Capital Inc. may initially buy or sell the securities 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 securities.
|
|
|
§
|
We and our affiliates, and any dealer participating in the distribution
of the securities, may engage in various activities or make determinations that could materially affect your securities in various
ways and create conflicts of interest.
We and our affiliates play a variety of roles in connection with the issuance of the
securities, as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse
to your interests as an investor in the securities.
|
In connection with our normal business activities and
in connection with hedging our obligations under the securities, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other
financial services with respect to these financial instruments and products. These financial instruments and products may include
securities, derivative instruments or assets that may relate to the underliers or their components. In any such market making,
trading and hedging activity, investment banking and other financial services, we or our affiliates may take positions or take
actions that are inconsistent with, or adverse to, the investment objectives of the holders of the securities. We and our affiliates
have no obligation to take the needs of any buyer, seller or holder of the securities into account in conducting these activities.
Such market making, trading and hedging activity, investment banking and other financial services may negatively impact the value
of the securities.
In addition, the role played by Barclays Capital Inc.,
as the agent for the securities, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from
the distribution of the securities and such compensation or financial benefit may serve as an incentive to sell the securities
instead of other investments. Furthermore, we and our affiliates establish the offering price of the securities for initial sale
to the public, and the offering price is not based upon any independent verification or valuation.
Furthermore, if any dealer participating in the distribution
of the securities or any of its affiliates conducts hedging activities for us in connection with the securities, that participating
dealer or its affiliates will expect to realize a projected profit from such hedging activities, and this projected profit will
be in addition to any selling concession that the participating dealer realizes for the sale of the securities to you. This additional
projected profit may create a further incentive for the participating dealer to sell the securities to you.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
In addition to the activities described above, we will
also act as the calculation agent for the securities. As calculation agent, we will determine any values of the underliers and
make any other determinations necessary to calculate any payments on the securities. In making these determinations, we may be
required to make discretionary judgments, including determining whether a market disruption event has occurred on any date that
the value of an underlier is to be determined; if an underlier is discontinued or if the sponsor of an underlier fails to publish
that underlier, selecting a successor underlier or, if no successor underlier is available, determining any value necessary to
calculate any payments on the securities; and calculating the value of an underlier on any date of determination in the event of
certain changes in or modifications to that underlier. In making these discretionary judgments, our economic interests are potentially
adverse to your interests as an investor in the securities, and any of these determinations may adversely affect any payments on
the securities.
|
|
§
|
Tax treatment.
Significant
aspects of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See
“Additional provisions—Tax considerations” below.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The RTY Index
is calculated, maintained and published by FTSE Russell. The RTY Index measures the capitalization-weighted price performance of
2,000 small-capitalization stocks and is designed to track the performance of the small capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The Russell Indices” in the accompanying index
supplement, as supplemented by the following updated information. As of August 2017, to be eligible for inclusion in the RTY Index,
each company is required to have more than 5% of its voting rights (aggregated across all of its equity securities) in the hands
of unrestricted shareholders. Companies already included in the RTY Index have a 5 year grandfathering period to comply or they
will be removed from the RTY Index in September 2022.
Information about the RTY Index as of market close on November
21, 2017:
|
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High:
|
1,518.890
|
|
Current Closing Level:
|
1,518.890
|
52 Week Low:
|
1,313.803
|
|
52 Weeks Ago (11/22/2016):
|
1,334.341
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the RTY Index for each quarter for the period of January 3, 2012 through November 21, 2017. The associated graph
shows the closing levels of the RTY Index for each day in the same period. The closing level of the RTY Index on November 21, 2017
was 1,518.890. We obtained the closing levels of the RTY Index from Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. Although the official closing levels of the RTY Index are published to six decimal places by
the RTY Index sponsor, Bloomberg reports the closing levels of the RTY Index to fewer decimal places. Historical performance of
the RTY Index should not be taken as an indication of future performance. Future performance of the RTY Index may differ significantly
from historical performance, and no assurance can be given as to the closing level of the RTY Index during the term of the securities,
including on any scheduled trading day during a determination period, on any determination period-end date or on the final determination
date. We cannot give you assurance that the performance of the RTY Index will result in the return of any of your initial investment.
|
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
|
Fourth Quarter
|
852.494
|
769.483
|
849.349
|
|
2013
|
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
|
2014
|
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
|
2015
|
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
|
2016
|
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
|
2017
|
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
|
Fourth Quarter (through November 21, 2017)
|
1,518.890
|
1,464.095
|
1,518.890
|
RTY Index Historical Performance*
January 3, 2012 to November 21, 2017
|
|
|
* The dotted line indicates a hypothetical downside threshold level of 75% of the closing level of the RTY Index on November 21, 2017. The actual downside threshold level will be equal to 75% of the initial underlier value of the RTY Index.
|
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
S&P 500
®
Index Overview
The SPX Index
consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more information
about the SPX Index, see “Indices—The S&P U.S. Indices” in the accompanying index supplement, as supplemented
by the following updated information. Beginning in June 2016 (or July 2017, in the case of IEX), U.S. common equities listed on
Bats BZX, Bats BYX, Bats EDGA, Bats EDGX or IEX were added to the universe of securities that are eligible for inclusion in the
SPX Index and, effective March 10, 2017, the minimum unadjusted company market capitalization for potential additions to the SPX
Index was increased to $6.1 billion from $5.3 billion. In addition, as of July 31, 2017, the securities of companies with multiple
share class structures are no longer eligible to be added to the SPX Index, but securities already included in the SPX Index have
been grandfathered and are not affected by this change.
Information about the SPX Index as of market close on November
21, 2017:
|
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High:
|
2,599.03
|
|
Current Closing Level:
|
2,599.03
|
52 Week Low:
|
2,191.08
|
|
52 Weeks Ago (11/22/2016):
|
2,202.94
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the SPX Index for each quarter for the period of January 3, 2012 through November 21, 2017. The associated graph
shows the closing levels of the SPX Index for each day in the same period. The closing level of the SPX Index on November 21, 2017
was 2,599.03. We obtained the closing levels of the SPX Index from Bloomberg, without independent verification. Historical performance
of the SPX Index should not be taken as an indication of future performance. Future performance of the SPX Index may differ significantly
from historical performance, and no assurance can be given as to the closing level of the SPX Index during the term of the securities,
including on any scheduled trading day during a determination period, on any determination period-end date or on the final determination
date. We cannot give you assurance that the performance of the SPX Index will result in the return of any of your initial investment.
|
S&P 500
®
Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
|
2013
|
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
|
2014
|
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
|
2015
|
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
|
2016
|
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
S&P 500
®
Index
|
High
|
Low
|
Period End
|
|
2017
|
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
|
Fourth Quarter (through November 21, 2017)
|
2,599.03
|
2,529.12
|
2,599.03
|
SPX Index Historical Performance*
January 3, 2012 to November 21, 2017
|
|
|
* The dotted line indicates a hypothetical downside threshold level of 75% of the closing level of the SPX Index on November 21, 2017. The actual downside threshold level will be equal to 75% of the initial underlier value of the SPX Index.
|
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
EURO STOXX
®
Banks Index Overview
The SX7E
Index is a free-float market capitalization index that includes the stocks composing the STOXX
®
Europe 600 Index
issued by banking sector companies from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg,
the Netherlands, Portugal and Spain. At any given time, some eligible countries may not be represented in the SX7E Index. The STOXX
®
Europe 600 Index contains the 600 largest European stocks by free-float market capitalization. For more information about the SX7E
Index, see “Annex—The EURO STOXX
®
Banks Index” below.
Information about the SX7E Index as of market close on November
21, 2017:
|
Bloomberg Ticker Symbol:
|
SX7E
|
52 Week High:
|
139.91
|
|
Current Closing Level:
|
129.98
|
52 Week Low:
|
101.88
|
|
52 Weeks Ago (11/22/2016):
|
105.89
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the SX7E Index for each quarter for the period of January 2, 2012 through November 21, 2017. The associated graph
shows the closing levels of the SX7E Index for each day in the same period. The closing level of the SX7E Index on November 21,
2017 was 129.98. We obtained the closing levels of the SX7E Index from Bloomberg, without independent verification. Historical
performance of the SX7E Index should not be taken as an indication of future performance. Future performance of the SX7E Index
may differ significantly from historical performance, and no assurance can be given as to the closing level of the SX7E Index during
the term of the securities, including on any scheduled trading day during a determination period, on any determination period-end
date or on the final determination date. We cannot give you assurance that the performance of the SX7E Index will result in the
return of any of your initial investment.
|
EURO STOXX
®
Banks Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
120.92
|
89.16
|
107.95
|
|
Second Quarter
|
107.80
|
77.65
|
90.00
|
|
Third Quarter
|
112.04
|
73.06
|
101.56
|
|
Fourth Quarter
|
114.56
|
101.60
|
112.36
|
|
2013
|
|
|
|
|
First Quarter
|
127.75
|
101.95
|
102.46
|
|
Second Quarter
|
118.77
|
100.51
|
101.39
|
|
Third Quarter
|
129.63
|
100.57
|
125.84
|
|
Fourth Quarter
|
142.30
|
129.32
|
141.43
|
|
2014
|
|
|
|
|
First Quarter
|
156.58
|
139.31
|
155.26
|
|
Second Quarter
|
162.81
|
145.66
|
146.52
|
|
Third Quarter
|
154.60
|
135.67
|
149.21
|
|
Fourth Quarter
|
149.39
|
129.86
|
134.51
|
|
2015
|
|
|
|
|
First Quarter
|
158.53
|
124.29
|
157.65
|
|
Second Quarter
|
161.70
|
148.38
|
149.91
|
|
Third Quarter
|
161.45
|
128.04
|
131.34
|
|
Fourth Quarter
|
141.12
|
123.03
|
127.87
|
|
2016
|
|
|
|
|
First Quarter
|
125.04
|
89.65
|
101.38
|
|
Second Quarter
|
111.28
|
79.03
|
83.25
|
|
Third Quarter
|
99.11
|
78.37
|
92.54
|
|
Fourth Quarter
|
120.34
|
91.84
|
117.67
|
|
2017
|
|
|
|
|
First Quarter
|
127.52
|
111.98
|
127.52
|
|
Second Quarter
|
139.87
|
118.94
|
131.16
|
|
Third Quarter
|
139.91
|
127.83
|
138.38
|
|
Fourth Quarter (through November 21, 2017)
|
137.82
|
129.98
|
129.98
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
SX7E Index Historical Performance*
January 2, 2012 to November 21, 2017
|
|
|
* The dotted line indicates a hypothetical downside threshold level of 75% of the closing level of the SX7E Index on November 21, 2017. The actual downside threshold level will be equal to 75% of the initial underlier value of the SX7E Index.
|
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on
the cover page of this document.
|
Additional provisions:
|
|
|
Record date:
|
One business day prior to the related contingent payment date
|
|
Minimum ticketing size:
|
$1,000 / 1 security
|
|
Tax considerations:
|
You should review carefully the sections entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative
Contracts with Associated (Contingent) Coupons” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders,” in the accompanying prospectus supplement. The following discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend
to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with
Associated (Contingent) Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell
LLP, has advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal
Revenue Service (the “IRS”) or a court may adopt.
Sale, exchange or redemption of a security.
Assuming the
treatment described above is respected, upon a sale or exchange of the securities (including redemption upon an automatic call
or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the securities, which should equal the amount you paid to acquire the securities (assuming contingent quarterly
payments are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be
short-term capital gain or loss unless you hold the securities for more than one year, in which case the gain or loss should be
long-term capital gain or loss, whether or not you are an initial purchaser of the securities at the issue price. The deductibility
of capital losses is subject to limitations. If you sell your securities between the time your right to a contingent quarterly
payment is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the contingent
quarterly payment. Although uncertain, it is possible that proceeds received from the sale or exchange of your securities prior
to a determination period-end date but that can be attributed to an expected contingent quarterly payment could be treated as ordinary
income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the securities could be materially affected.
In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax advisor regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. holders.
Insofar as we have responsibility as
a withholding agent, we do not currently intend to treat contingent quarterly payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required
to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described
under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.
If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) imposing a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments” exclude from their scope
instruments issued in 2017 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the
securities do not have a “delta of one” within the meaning of the regulations, we expect that these regulations will
not apply to the securities with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement
for the securities. You should consult your tax advisor regarding the potential application of Section 871(m) to the securities.
|
|
Trustee:
|
The Bank of New York Mellon
|
|
Calculation agent:
|
Barclays Bank PLC
|
|
Use of proceeds and hedging:
|
The net proceeds we receive from the sale
of the securities will be used for various corporate purposes as set forth in the prospectus and prospectus supplement and,
in part, in connection with hedging our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or
others, hedge our anticipated exposure in connection with the securities by taking positions in futures and options contracts
on the underliers and any other securities or instruments we may wish to use in connection with such hedging. Trading and
other transactions by us or our affiliates could affect the values of the underliers, the market value of the securities or any
amounts payable on the securities. For further information on our use of proceeds and hedging, see “Use of Proceeds
and Hedging” in the prospectus supplement.
|
|
ERISA:
|
See “Benefit Plan Investor Considerations” in the accompanying prospectus supplement.
|
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087.
|
This document represents a summary of the terms and conditions
of the securities. We encourage you to read the accompanying prospectus, prospectus supplement and index supplement for this offering,
which can be accessed via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan
Stanley Wealth Management”) and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a
fixed sales commission of $20.00 for each security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring
fee of $5.00 for each security.
We expect that delivery of the securities
will be made against payment for the securities on the original issue date indicated on the cover of this document, which is expected
to be more than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended,
trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly
agree otherwise. Accordingly, purchasers who wish to trade the securities on any date prior to two business days before delivery
will be required, by virtue of the fact that the securities will initially settle in more than two business days, to specify alternative
settlement arrangements to prevent a failed settlement. See “Plan of Distribution (Conflicts of Interest)” in the prospectus
supplement.
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Annex—The
EURO STOXX
®
Banks Index
We have derived all information
contained in this document regarding the EURO STOXX
®
Banks Index (the “SX7E Index”), including, without
limitation, its make-up, method of calculation and changes in its components, from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, STOXX Limited. The SX7E Index is calculated,
maintained and published by STOXX Limited. STOXX Limited has no obligation to continue to publish, and may discontinue publication
of, the SX7E Index at any time.
The SX7E Index is calculated
in euros and is reported by Bloomberg under the ticker symbol “SX7E.”
The SX7E Index was created
by STOXX Limited,
a wholly owned subsidiary of Deutsche Börse AG
. Publication
of the SX7E Index began on June 15, 1998, based on an initial value of 100 at December 31, 1991. The SX7E Index is disseminated
on the STOXX Limited website: www.stoxx.com, which sets forth, among other things, the country and industrial sector weightings
of the securities composing the SX7E Index. We make no representation or warranty as to the accuracy or completeness of such information.
Information contained in the STOXX Limited website is not incorporated by reference in, and should not be considered a part of,
this document.
Index
Composition
The SX7E Index includes
stocks composing the STOXX
®
Europe 600 Index that have been issued by banking sector companies from 11 Eurozone
countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
At
any given time, some eligible countries may not be represented in the SX7E Index.
The SX7E
Index is one of 19 EURO STOXX
®
Supersector indices that compose the STOXX
®
Europe 600 Index. The
STOXX
®
Europe 600 Index contains the 600 largest European stocks by free float market capitalization. Each of the
19 EURO STOXX
®
Supersector indices contain the companies within the Eurozone subset of the STOXX
®
Europe 600 Index that fall within the relevant supersector, determined by reference to the Industry Classification Benchmark (“ICB”),
an international system for categorizing companies that is maintained by FTSE International Limited. The SX7E Index includes companies
in the banks supersector, which tracks companies providing a broad range of financial services, including retail banking, loans
and money transmissions.
The composition of each
of the EURO STOXX
®
Supersector indices is reviewed quarterly, based on the closing stock data on the last trading
day of the month following the implementation of the last quarterly index review. The component stocks are announced on the fourth
Tuesday of the month immediately prior to the review implementation month. Changes to the component stocks are implemented after
the close on the third Friday in each of March, June, September and December and are effective the following trading day.
The STOXX
®
Europe 600 Index is also reviewed on an ongoing basis, and any changes affecting the STOXX
®
Europe 600 Index are
also applied to the relevant EURO STOXX
®
Supersector index. Corporate actions (including initial public offerings,
mergers and takeovers, spin-offs, delistings and bankruptcy) that affect the STOXX
®
Europe 600 Index composition
are immediately reviewed. Any changes are announced, implemented and effective in line with the type of corporate action and the
magnitude of the effect.
The free float factors
and weighting cap factors for each component stock used to calculate the EURO STOXX
®
Supersector indices, as described
below, are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. All components
of the SX7E Index are subject to a 30% cap for the largest company and a 15% cap for the second-largest company.
Index
Calculation
The EURO STOXX
®
Supersector indices are calculated with the “Laspeyres formula,” which measures the aggregate price changes in the
component stocks against a fixed base quantity weight. The formula for calculating each EURO STOXX
®
Supersector
index value at any time can be expressed as follows:
|
Index =
|
free float market capitalization of the relevant EURO STOXX
®
Supersector Index
|
|
Divisor
|
The “free float market
capitalization of the relevant EURO STOXX
®
Supersector index” is equal to the sum of the products of the price,
number of shares, free float factor and weighting cap factor for each component stock as of the time the relevant EURO STOXX
®
Supersector index is being calculated.
The divisor for each EURO
STOXX
®
Supersector index is adjusted to maintain the continuity of that EURO STOXX
®
Supersector index
values despite changes due to corporate actions. The following is a summary of the adjustments to any component stock made for
corporate actions and the effect of such adjustment on the divisor, where shareholders of the component stock will receive “B”
number of shares for every “A” share held (where applicable).
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
(1)
Special cash dividend:
Cash distributions that
are outside the scope of the regular dividend policy or that the company defines as an extraordinary distribution
Adjusted price = closing
price – dividend announced by the company × (1 – withholding tax if applicable)
Divisor: decreases
|
|
(2)
Split and reverse split:
Adjusted price = closing
price × A / B
New number of shares =
old number of shares × B / A
Divisor: unchanged
|
|
(3)
Rights offering:
If
the subscription price is not available or if the subscription price is equal to or greater
than the closing price
on the day before the effective date, then no adjustment is made.
In case the share increase
is greater than or equal to 100% (B / A ≥ 1), the adjustment of the shares and weight factors are delayed until the new shares
are listed.
Adjusted
price = (closing price × A + subscription price × B) / (A + B)
New
number of shares = old number of shares × (A + B)/ A
Divisor: increases
|
|
(4)
Stock dividend:
Adjusted price = closing
price × A / (A + B)
New
number of shares = old number of shares × (A + B) / A
Divisor: unchanged
|
(5)
S
tock dividend (from treasury stock):
Adjusted only if treated
as extraordinary dividend:
Adjusted close = close
– close × B / (A + B)
Divisor: decreases
|
|
(6)
S
tock dividend of another company:
Adjusted
price = (closing price × A – price of other company × B) / A
Divisor: decreases
|
(7)
Return of capital and share consolidation:
Adjusted
price = (closing price – capital return announced by company × (1-withholding tax)) × A / B
New number of shares =
old number of shares × B / A
Divisor: decreases
|
|
(8)
R
epurchase of shares / self-tender:
Adjusted
price = ((price before tender × old number of shares) – (tender price × number of tendered shares)) / (old number
of shares – number of tendered shares)
New number of shares =
old number of shares – number of tendered shares
Divisor: decreases
|
(9)
Spin-off:
Adjusted price = (closing price × A – price of spun-off shares × B) / A
Divisor: decreases
|
(10)
or split) and rights offering:
For this corporate action, the following additional assumptions apply:
Shareholders receive B new shares from the distribution and C new shares from the rights offering for every A share held.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
If A is not equal to one
share, all the following “new number of shares” formulae need to be divided by A:
|
|
- If rights are applicable
after stock distribution (one action applicable to other):
Adjusted
price = (closing price × A + subscription price × C × (1 + B / A)) / ((A + B) × ( 1 + C / A))
New
number of shares = old number of shares × ((A + B) × (1 + C / A)) / A
Divisor: increases
|
- If stock distribution
is applicable after rights (one action applicable to other)
:
Adjusted
price = (closing price × A + subscription price × C) /((A + C) × (1 + B / A))
New
number of shares = old number of shares × ((A + C) × (1 + B / A))
Divisor: increases
|
|
- Stock distribution
and rights (neither action is applicable to the other):
Adjusted price = (closing
price × A + subscription price × C) / (A + B + C)
New number of shares =
old number of shares × (A + B + C) / A
Divisor: increases
|
|
(11)
Addition / deletion
of a company:
No price adjustments are
made. The net change in market capitalization determines the divisor adjustment.
|
(12)
Free float and
shares changes:
No price adjustments are
made. The net change in market capitalization determines the divisor adjustment.
|
|
|
|
|
License
Agreement
We have entered into a
non-exclusive license agreement with STOXX Limited whereby we, in exchange for a fee, are permitted to use the SX7E Index in connection
with certain securities, including the securities. The license agreement between STOXX Limited and us provides that the following
language must be set forth herein:
STOXX Limited and its licensors
(the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of the SX7E Index and the related
trademarks for use in connection with the securities.
STOXX Limited and its
Licensors do
not
:
|
|
·
|
sponsor, endorse, sell or promote the securities;
|
|
|
·
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recommend that any person invest in the securities
or any other securities;
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·
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have any responsibility or liability for or
make any decisions about the timing, amount or pricing of the securities;
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·
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have any responsibility or liability for the
administration, management or marketing of the securities; or
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·
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consider the needs of the securities or the
owners of the securities in determining, composing or calculating the SX7E Index or have any obligation to do so.
|
STOXX Limited and its
Licensors will not have any liability in connection with the securities. Specifically,
|
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·
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STOXX Limited and its Licensors do not
make any warranty, express or implied and disclaim any and all warranty about:
|
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·
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The results to be obtained by the securities,
the owner of the securities or any other person in connection with the use of the SX7E Index and the data included in the SX7E
Index;
|
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|
·
|
The accuracy or completeness of the SX7E Index
and its data; or
|
|
|
·
|
The merchantability and the fitness for a
particular purpose or use of the SX7E Index and its data.
|
Contingent Income Auto-Callable Securities due June 2, 2020
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
|
·
|
STOXX Limited and its Licensors will have
no liability for any errors, omissions or interruptions in the SX7E Index or its data.
|
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·
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Under no circumstances will STOXX Limited
or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX
Limited or its Licensors knows that they might occur.
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The
licensing agreement between Barclays Bank PLC and STOXX Limited is solely for their benefit and not for the benefit of the owners
of the securities or any other third parties.
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