ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
,
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding rates. Our estimated value of the Notes 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 Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes which we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the tenor of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the
Selected Risk Considerations
beginning on page PS-7 of this pricing supplement.
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2
SELECTED PURCHASE CONSIDERATIONS
The Notes are not suitable for all investors. The Notes 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 understand and accept that any positive return on your investment will be limited to the Contingent Coupons that you may receive on your Notes
·
You are willing to accept the risk that you may lose some or all of the principal amount of your Notes
·
You do not anticipate that the value of any Reference Asset will fall below its Coupon Barrier Value on any Observation Date or its Barrier Value on the Final Valuation Date
·
You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value of only one Reference Asset is less than its Coupon Barrier Value on an Observation Date and (b) you will lose some or all of your principal if the Closing Value of only one Reference Asset is less than its Barrier on the Final Valuation Date
·
You understand and accept the risk that, if your Notes are not redeemed by us prior to maturity, the payment at maturity will be based solely on the Reference Asset Return of the Least Performing Reference Asset
·
You are willing to accept the risks associated with an investment linked to the performance of the Reference Assets
·
You are willing to accept the risk that we may, in our sole discretion, redeem the Notes 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 notes to maturity if we do not exercise our early redemption option
·
You are willing to assume our credit risk for all payments on the Notes
·
You are willing to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority
The Notes 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 and you are unwilling to accept the risk that you may lose some or all of the principal amount of your Notes
·
You seek an investment the return on which is not limited to the Contingent Coupons that may be payable on the Notes
·
You anticipate that the value of at least one Reference Asset will decline during the term of the Notes such that the value of at least one Reference Asset is less than its Coupon Barrier Value on one or more Observation Dates and/or the Final Value of at least one Reference Asset is less than its Barrier Value
·
You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Reference Assets
·
You are unwilling or unable to accept the risk that negative performance of only one Reference Asset may cause you to not receive Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of the other Reference Asset
·
You are unwilling or unable to accept the risk that we may redeem the Notes prior to scheduled maturity
·
You seek an investment for which there will be an active secondary market or and/or you are unable or unwilling to hold the Notes to maturity if we do not exercise our early redemption option
·
You are unwilling or unable to assume our credit risk for all payments on the Notes
·
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority
You must rely on your own evaluation of the merits of an investment in the Notes
. You should reach a decision whether to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this pricing supplement, the prospectus supplement, the prospectus and the index supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
ADDITIONAL TERMS OF THE NOTES
The Observation Dates (including the Final Valuation Date), the Contingent Coupon Payment Dates and the Maturity Date are subject to postponement in certain circumstances, as described under Reference AssetsLeast or Best Performing Reference AssetScheduled Trading Days and Market Disruption Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded Funds and/or Indices of Equity Securities and Terms of the NotesPayment Dates in the accompanying prospectus supplement.
In addition, the Reference Assets and the Notes are subject to adjustment by the Calculation Agent under certain circumstances, as described under Reference AssetsIndicesAdjustments Relating to Securities with an Index as a Reference Asset and Reference AssetsExchange-Traded FundsAdjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset in each case in the accompanying prospectus supplement.
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3
HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT COUPON PAYMENT DATE
The following examples demonstrate the circumstances under which you may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. The numbers appearing in these tables are purely hypothetical and are provided for illustrative purposes only. These examples do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
§
Hypothetical Initial Value of each Reference Asset: 100.00*
§
Coupon Barrier Value for each Reference Asset: 60.00 (60.00% of the hypothetical Initial Value set forth above)
* The
hypothetical
Initial Value of 100.00 and the
hypothetical
Coupon Barrier Value of 60.00 for each Reference Asset have been chosen for illustrative purposes only. The Initial Value and Coupon Barrier Value for each Reference Asset are as set forth on the cover of this pricing supplement.
Example 1
: The Closing Value of each Reference Asset on the relevant Observation Date is greater than its Coupon Barrier Value.
Reference Asset
|
Closing Value on Relevant
Observation Date
|
S&P 500 Index
|
85.00
|
Biotech ETF
|
150.00
|
United States Oil Fund
|
110.00
|
Because the Closing Value of each Reference Asset is greater than its respective Coupon Barrier Value, you will receive a Contingent Coupon of $25.00, or 2.50% of the principal amount per Note, on the related Contingent Coupon Payment Date.
Example 2
: The Closing Value of at least one Reference Asset on the relevant Observation Date is greater than its Coupon Barrier Value and the Closing Value of at least one other Reference Asset is less than its Coupon Barrier Value.
Reference Asset
|
Closing Value on Relevant
Observation Date
|
S&P 500 Index
|
55.00
|
Biotech ETF
|
90.00
|
United States Oil Fund
|
135.00
|
Because the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 3
: The Closing Value of each Reference Asset on the relevant Observation Date is less than its Coupon Barrier Value.
Reference Asset
|
Closing Value on Relevant
Observation Date
|
S&P 500 Index
|
45.00
|
Biotech ETF
|
55.00
|
United States Oil Fund
|
50.00
|
Because the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate that you may not receive a Contingent Coupon on a Contingent Coupon Payment Date. If the Closing Value of at least one Reference Asset is below its Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons during the term of your Notes.
PS-
4
HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE AT MATURITY
The following table illustrates a hypothetical range of payments that you may receive at maturity (excluding the final Contingent Coupon payment that may be payable on the Notes) under various circumstances. The examples set forth below are purely hypothetical and are provided for illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The following examples do not take into account any tax consequences from investing in the Notes. These examples also make the following key assumptions:
§
Hypothetical Initial Value of each Reference Asset: 100.00*
§
Coupon Barrier Value for each Reference Asset: 60.00 (60.00% of the hypothetical Initial Value set forth above)
§
Barrier Value for each Reference Asset: 60.00 (60.00% of the hypothetical Initial Value set forth above)
§
You hold your Notes to maturity and we do NOT exercise our option to redeem your Notes prior to maturity
* The
hypothetical
Initial Value of 100.00, the
hypothetical
Coupon Barrier Value of 60.00 and the
hypothetical
Barrier Value of 60.00 for each Reference Asset have been chosen for illustrative purposes only. The Initial Value, Coupon Barrier Value and Barrier Value for each Reference Asset are as set forth on the cover of this pricing supplement.
Final Value
|
|
Reference Asset Return
|
|
|
S&P 500
Index
|
Biotech
ETF
|
United
States Oil
Fund
|
|
S&P 500 Index
|
Biotech
ETF
|
United
States Oil
Fund
|
|
Reference Asset Return
of Least Performing
Reference Asset
|
Payment at
Maturity**
|
150.00
|
155.00
|
175.00
|
|
50.00%
|
55.00%
|
75.00%
|
|
50.00%
|
$1,000.00
|
142.00
|
145.00
|
140.00
|
|
42.00%
|
45.00%
|
40.00%
|
|
40.00%
|
$1,000.00
|
140.00
|
130.00
|
150.00
|
|
40.00%
|
30.00%
|
50.00%
|
|
30.00%
|
$1,000.00
|
130.00
|
125.00
|
120.00
|
|
30.00%
|
25.00%
|
20.00%
|
|
20.00%
|
$1,000.00
|
110.00
|
115.00
|
120.00
|
|
10.00%
|
15.00%
|
20.00%
|
|
10.00%
|
$1,000.00
|
102.00
|
110.00
|
100.00
|
|
2.00%
|
10.00%
|
0.00%
|
|
0.00%
|
$1,000.00
|
95.00
|
90.00
|
102.50
|
|
-5.00%
|
-10.00%
|
2.50%
|
|
-10.00%
|
$1,000.00
|
90.00
|
102.00
|
80.00
|
|
-10.00%
|
2.00%
|
-20.00%
|
|
-20.00%
|
$1,000.00
|
100.00
|
95.00
|
70.00
|
|
0.00%
|
-5.00%
|
-30.00%
|
|
-30.00%
|
$1,000.00
|
135.00
|
60.00
|
90.00
|
|
35.00%
|
-40.00%
|
-10.00%
|
|
-40.00%
|
$1,000.00
|
85.00
|
50.00
|
135.00
|
|
-15.00%
|
-50.00%
|
35.00%
|
|
-50.00%
|
$500.00
|
80.00
|
40.00
|
150.00
|
|
-20.00%
|
-60.00%
|
50.00%
|
|
-60.00%
|
$400.00
|
40.00
|
30.00
|
145.00
|
|
-60.00%
|
-70.00%
|
45.00%
|
|
-70.00%
|
$300.00
|
50.00
|
40.00
|
20.00
|
|
-50.00%
|
-60.00%
|
-80.00%
|
|
-80.00%
|
$200.00
|
55.00
|
10.00
|
95.00
|
|
-45.00%
|
-90.00%
|
-5.00%
|
|
-90.00%
|
$100.00
|
60.00
|
102.00
|
0.00
|
|
-40.00%
|
2.00%
|
-100.00%
|
|
-100.00%
|
$0.00
|
** per $1,000 principal amount Note, excluding the final Contingent Coupon (if one is payable on the Maturity Date)
The following examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The Final Value of the S&P 500 Index is 110.00, the Final Value of the Biotech ETF is 115.00 and the Final Value of the United States Oil Fund is 120.00.
Because the S&P 500 Index has the lowest Reference Asset Return, the S&P 500 Index is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset is greater than its Initial Value (and, accordingly, not less than its Barrier Value), you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Maturity Date.
Example 2: The Final Value of the S&P 500 Index is 90.00, the Final Value of the Biotech ETF is 102.00 and the Final Value of the United States Oil Fund is 80.00.
Because the United States Oil Fund has the lowest Reference Asset Return, the United States Oil Fund is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset is not less than its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).
Example 3: The Final Value of the S&P 500 Index is 80.00, the Final Value of the Biotech ETF is 40.00 and the Final Value of the United States Oil Fund is 150.00.
Because the Biotech ETF has the lowest Reference Asset Return, the Biotech ETF is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset is less than its Barrier Value, you will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x Reference Asset Return of Least Performing Reference Asset]
$1,000 + [$1,000 x -60.00%] = $400.00
In addition, because the Final Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
PS-
5
Example 4: The Final Value of the S&P 500 Index is 40.00, the Final Value of the Biotech ETF is 30.00 and the Final Value of the United States Oil Fund is 145.00.
Because the Biotech ETF has the lowest Reference Asset Return, the Biotech ETF is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset is less than its Barrier Value, you will receive a payment at maturity of $300.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x Reference Asset Return of Least Performing Reference Asset]
$1,000 + [$1,000 x -70.00%] = $300.00
In addition, because the Final Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Examples 3 and 4 above demonstrate that, if we do not redeem your Notes prior to maturity, and if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your investment in the Notes will be fully exposed to the negative performance of the Least Performing Reference Asset. You will not benefit in any way from the Reference Asset Return of the other Reference Assets being higher than the Reference Asset Return of the Least Performing Reference Asset.
If we do not redeem your Notes prior to maturity, you may lose up to 100% of the principal amount of your Notes.
PS-
6
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets or their components. These risks are explained in more detail in the Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings of the prospectus supplement:
·
Risk FactorsRisks Relating to the Securities Generally; and
·
Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are Equity Securities, Indices of Equity Securities or Exchange-Traded Funds that Hold Equity Securities
In addition to the risks described above, you should consider the following:
·
Your Investment in the Notes May Result in a Significant Loss
The Notes do not guarantee any return of principal. If the Notes are not redeemed by us prior to maturity, and if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your Notes will be fully exposed to the negative performance of such Reference Asset and you will lose some or all of your principal.
You may lose up to 100% of the principal amount of your Notes.
·
Potential
Return Limited to the Contingent Coupons
The positive return on the Notes is limited to the Contingent Coupons, if any, that may be payable during the term of the Notes. You will not participate in any appreciation in the value of any Reference Asset and you will not receive more than the principal amount of your Notes at maturity (plus a Contingent Coupon if one is payable in respect of the Final Valuation Date) even if the Reference Asset Return of one or more Reference Assets is positive.
Based on the stated term of the Notes, the maximum amount of Contingent Coupons that you may receive is $350.00 per $1,000 principal amount Note (or 35.00% of the principal amount of your Notes). You will receive this maximum amount of Contingent Coupons only if (a) the Closing Value of each Reference Asset on each Observation Date equals or exceeds its Coupon Barrier Value and (b) the Notes are not redeemed by us prior to maturity. The actual amount of Contingent Coupons that you receive may be substantially less than this amount, and may be as low as zero (as described immediately below).
·
You May No
t Receive any Contingent Coupon Payments
on the Notes
You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the Closing Value of each Reference Asset on the related Observation Date is equal to or greater than its respective Coupon Barrier Value. If the Closing Value of any Reference Asset on an Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. Because each Reference Asset must close at or above its Coupon Barrier Value on an Observation Date in order for a Contingent Coupon to become payable, it is more likely that you will not receive Contingent Coupons than would have been the case had the Notes been linked to only one of the Reference Assets. If the Closing Value of at least one Reference Asset is less than its respective Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.
·
The Notes are Subject to Volatility Risk
Volatilit
y
is a measure of the magnitude of the movements of the price of an asset (or level of an index) over a period of time. The Contingent Coupon is based on a number of factors, including the expected volatility of the Reference Assets. The Contingent Coupon is 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 Reference Assets been lower. As volatility of a Reference Asset increases, there will typically be a greater likelihood that (a) the Closing Value of that Reference Asset on one or more Observation Dates will be less than its Coupon Barrier Value and (b) the Final Value of that Reference Asset will be less than its Barrier Value.
Accordingly, you should understand that the Contingent Coupon reflects, among other things, an indication of a greater likelihood that you will (a) not receive Contingent Coupons with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case had the Contingent Coupon been lower. In addition, actual volatility over the term of the Notes may be significantly higher than expected volatility at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will face an even greater risk that you will not receive Contingent Coupons and/or that you will lose some or all of your principal at maturity for the reasons described above
.
·
Potential
Early Exit
While the original term of the Notes is as indicated on the cover page of this pricing supplement, we may redeem your Notes (in whole but not in part) at our sole discretion without your consent at the Redemption Price on any Contingent Coupon Payment Date prior to the Maturity Date, beginning with the Contingent Coupon Payment Date following the fourth Observation Date. Accordingly, the term of the Notes may be as short as approximately one year.
The Redemption Price that you receive on any Early Redemption Date, together with any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than aggregate amount of payments that you would have received had you held your Notes to the scheduled maturity. You may not be able to reinvest any amounts received on the Early Redemption Date in a comparable investment with similar risk and yield. No additional payments will be due after the Early Redemption Date. Our right to redeem the Notes may also adversely impact your ability to sell your Notes and the price at which they may be sold.
·
If Your Notes are not Redeemed by Us Prior to Maturity, the Payment at Maturity is not Based on the Value of any Reference Asset at any Time Other than the Closing Value of the Least Performing Reference Asset on the Final Valuation Date
The Final Values and Reference Asset Returns will be based solely on the Closing Values of the Reference Assets on the Final Valuation Date. Accordingly, if the value of the Least Performing Reference Asset drops on the Final
PS-
7
Valuation Date, the payment at maturity on the Notes may be significantly less than it would have been it been linked to the value of such Reference Asset at a time prior to such drop
.
If your Notes are not redeemed by us prior to maturity, your payment at maturity will be based solely on the Reference Asset Return of the Least Performing Reference Asset. If the Final Value of the Least Performing Reference Asset is less than the Barrier Value applicable to such Reference Asset, you will lose some or all of the principal amount of your Notes. Your losses will not be limited in any way by virtue of the Reference Asset Return of the other Reference Asset being higher than the Reference Asset Return of the Least Performing Reference Asset.
·
Credit of Issuer
The Notes are senior unsecured debt obligations of the issuer, Barclays Bank PLC and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any Contingent Coupons and any payment upon early redemption or at maturity, 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. In the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
·
You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the Notes, by acquiring the Notes, each holder of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under Consent to U.K. Bail-in Power in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders of the Notes losing all or a part of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders of the Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each term is defined in the indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See Consent to U.K. Bail-in Power in this pricing supplement as well as U.K. Bail-in Power, Risk FactorsRisks Relating to the Securities GenerallyRegulatory 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 FactorsRisks Relating to the Securities GenerallyUnder 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.
·
No Dividend Payments or Voting Rights
As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the ETFs, the securities included in their underlying indices or the securities underlying the S&P 500 Index would have.
·
Historical Performance of the Reference Assets Should Not Be Taken as Any Indication of the Future Performance of the Reference Assets Over the Term of the Notes
The value of each Reference Asset has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of a Reference Asset is not an indication of the future performance of that Reference Asset over the term of the Notes. The historical correlation between the Reference Assets is not an indication of the future correlation between them over the term of the Notes. Therefore, the performance of the Reference Assets individually or in comparison to each other over the term of the Notes may bear no relation or resemblance to the historical performance of any Reference Asset.
·
Certain Features of Exchange-Traded Funds Will Impact the Value of the ETFs and the Notes:
o
Management Risk
. This is the risk that the investment strategy for an ETF, the implementation of which is subject to a number of constraints, may not produce the intended results. An investment in an exchange-traded fund involves risks similar to those of investing in any fund of equity securities traded on an exchange, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. Because, however, the ETFs are not actively managed, they generally do not take defensive positions in declining markets and generally will not sell a security if the issuer of such security was in financial trouble. Accordingly, the performance of the ETFs could be lower than other types of mutual funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline.
o
Derivatives Risk
. The ETFs may invest in futures contracts, options on futures contracts, other types of options and swaps and other derivatives. A derivative is a financial contract, the value of which depends on, or is derived from, the value of an underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices, and thus the ETFs losses, and, as a consequence, the losses on your Notes, may be greater than if the ETFs invested only in conventional securities.
o
Tracking and Underperformance Risk (Particularly in Periods of Market Volatility)
. The performance of each ETF may not replicate the performance of, and may underperform, its underlying index or asset. Each ETF will reflect transaction costs and fees that will reduce its relative performance.
Moreover, it is also possible that each ETF may not fully replicate or may, in certain circumstances, diverge significantly from the performance of its underlying index or asset due to differences in trading hours between the ETF and its underlying index or asset or due to other circumstances. During periods of market volatility, securities underlying the Biotech ETF or the
PS-
8
asset underlying the United States Oil Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the intraday net asset value per share of the ETF and the liquidity of the ETF may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares in an ETF. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of each ETF. As a result, under these circumstances, the market value of the ETFs may vary substantially from their respective net asset values per share. This variation in performance is called tracking error and, at times, the tracking error may be significant.
·
The Performance of the United States Oil Fund is Generally Linked to the Performance of the Crude Oil Market and Adverse Conditions in the Crude Oil Market May Adversely Affect the Value of Your Notes
The investment objective of the United States Oil Fund is to have the changes in the net asset value of its units reflect the changes in percentage terms of the spot price of light, sweet crude oil delivered to Cushing, Oklahoma, as measured by the changes in the price of certain futures contract for light, sweet crude oil traded on the New York Mercantile Exchange, less the funds expenses. The spot price for such a commodity will be influenced by many complex and interrelated factors, including, among others, market supply and demand for petroleum products, economic conditions that affect the end-use of crude oil as a refined product (such as transportation and home heating fuel), exploration and production costs, governmental actions, geopolitical events and disruptions in the supply of oil (for example, due to war, natural events, accidents or acts of terrorism). Any adverse developments in the market for crude oil resulting from such factors may have a negative effect on the United States Oil Fund and, accordingly, the value of your Notes.
In addition, the crude oil market has experienced significant volatility and downward price movement since approximately the middle of 2014. In turn, the price per share of the United States Oil Fund has dropped significantly during such time period. For example, the Closing Value of the United States Oil Fund on June 30, 2014 was $38.88 per share and the Closing Value on January 19, 2018 was $12.72 per share, representing a decline of approximately of 67% between such dates. There can be no assurances that such volatility in the crude oil market will not continue, nor can there be any assurances that the price per share of the United States Oil Fund will not continue to decline during the term of the Notes.
·
An
Investment Based on the Performance of the Biotech ETF Involves Industry Concentration Risk
The investment objective of the Biotech ETF is to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the biotech industry. The performance of companies in the biotech industry will be influenced by many complex and unpredictable factors, including industry competition, government regulation, interest rates, geopolitical events, and supply and demand. Any adverse development in the biotech industry may have a material adverse effect on the securities held in the portfolio of the Biotech ETF and, as a result, may have a material adverse effect on the price of the Biotech ETF and the value of the Notes.
·
The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes
The estimated value of your Notes on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
·
The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market
The estimated value of your Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.
·
The Estimated Value of the Notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions
The estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
·
The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if any, and Such Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and Maybe Lower Than the Estimated Value of Your Notes
The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and
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9
the costs of hedging our obligations under the Notes,
secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the maturity date could result in a substantial loss to you.
·
The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative of Future Prices of Your Notes
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the initial issue date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
·
We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various Ways and Create Conflicts of Interest
We and our affiliates play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles, our and our affiliates economic interests are potentially adverse to your interests as an investor in the Notes.
We and our affiliates make markets in and trade various financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative instruments or assets that may relate to the Reference Assets or their components. In any such market making, trading and hedging activity, and other services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial services may negatively impact the value of the Notes.
In addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the Notes. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation.
In addition to the activities described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Reference Assets and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required to make certain discretionary judgments relating to the Reference Assets and the Notes. In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes.
·
Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
·
Tax Treatment
Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor about your tax situation. See Tax Considerations below.
·
Many Economic and Market Factors Will Impact the Value of the Notes
The value of the Notes will be affected by a number of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including:
o
the level of the S&P 500 Index and the market price of the ETFs, the components of the underlying indices for the ETFs and the components of the S&P 500 Index;
o
the expected volatility of the ETFs, the components of the underlying indices for the ETFs, the S&P 500 Index and the components of the S&P 500 Index;
o
the market price for and expected volatility of light, sweet crude oil;
o
the time to maturity of the Notes;
o
the dividend rate on the ETFs, the components of their underlying indices for the ETFs and the components of the S&P 500 Index;
o
interest and yield rates in the market generally;
o
a variety of economic, financial, political, regulatory or judicial events;
o
supply and demand for the Notes; and
o
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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10
INFORMATION REGARDING THE REFRENCE ASSETS
The
S&P 500
®
Index
The S&P 500 Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
Beginning in June 2016, U.S. common equities listed on Bats BZX, Bats BYX, Bats EDGA or Bats EDGX were added to the universe of securities that are eligible for inclusion in the S&P 500 Index and, effective March 10, 2017, the minimum unadjusted company market capitalization for potential additions to the S&P 500 Index was increased to $6.1 billion from $5.3 billion. As of July 31, 2017, the securities of companies with multiple share class structures are no longer eligible to be added to the S&P 500 Index, but securities already included in the S&P 500 Index have been grandfathered and are not affected by this change. For more information about the S&P 500 Index, please see IndicesThe S&P U.S. Indices in the accompanying index supplement
.
Historical Performance of the S&P 500 Index
The table below shows the high, low and final Closing Values of the S&P 500 Index for each of the periods noted below. The graph below sets forth the historical performance of the S&P 500 Index based on daily Closing Values from January 1, 2013 through January 19
, 2018. We obtained the Closing Values listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.
Period/Quarter Ended
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
March 31, 2013
|
1,569.19
|
1,457.15
|
1,569.19
|
June 30, 2013
|
1,669.16
|
1,541.61
|
1,606.28
|
September 30, 2013
|
1,725.52
|
1,614.08
|
1,681.55
|
December 31, 2013
|
1,848.36
|
1,655.45
|
1,848.36
|
March 31, 2014
|
1,878.04
|
1,741.89
|
1,872.34
|
June 30, 2014
|
1,962.87
|
1,815.69
|
1,960.23
|
September 30, 2014
|
2,011.36
|
1,909.57
|
1,972.29
|
December 31, 2014
|
2,090.57
|
1,862.49
|
2,058.90
|
March 31, 2015
|
2,117.39
|
1,992.67
|
2,067.89
|
June 30, 2015
|
2,130.82
|
2,057.64
|
2,063.11
|
September 30, 2015
|
2,128.28
|
1,867.61
|
1,920.03
|
December 31, 2015
|
2,109.79
|
1,923.82
|
2,043.94
|
March 31, 2016
|
2,063.95
|
1,829.08
|
2,059.74
|
June 30, 2016
|
2,119.12
|
2,000.54
|
2,098.86
|
September 30, 2016
|
2,190.15
|
2,088.55
|
2,168.27
|
December 31, 2016
|
2,271.72
|
2,085.18
|
2,238.83
|
March 31, 2017
|
2,395.96
|
2,257.83
|
2,362.72
|
June 30, 2017
|
2,453.46
|
2,328.95
|
2,423.41
|
September 30, 2017
|
2,519.36
|
2,409.75
|
2,519.36
|
December 31, 2017
|
2,690.16
|
2,529.12
|
2,673.61
|
January 19, 2018*
|
2,810.30
|
2,695.81
|
2,810.30
|
* For the period beginning on
January 1, 2018 and ending on January 19, 2018
|
Historical Performance of the
S&P 500
®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
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11
The Biotech ETF
We have derived all information contained in this pricing supplement regarding the Biotech ETF from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by SPDR
®
Series Trust and SSgA FM. The Biotech ETF is an investment portfolio maintained and managed by SSgA FM. SSgA FM is the investment adviser to the Biotech ETF. The Biotech ETF is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol XBI.
The SPDR
®
Series Trust consists of separate investment portfolios (each, a Series Fund). Each Series Fund is an index fund that invests in a particular industry or group of industries represented by one of the S&P Select Industry Indices (the Select Industry Indices and each, a Select Industry Index). The companies included in each Select Industry Index are selected on the basis of Global Industry Classification Standards (GICS) from a universe of companies defined by the S&P
®
Total Market Index (the S&P TM Index). The S&P TM Index is a benchmark intended to track the performance of companies of all market capitalization in the U.S. equities market. The investment objective of each Series Fund is to provide investment results that, before expenses, correspond generally to the price and yield performance of an index derived from a particular industry or group of industries, as represented by the relevant Select Industry Index.
SPDR
®
Series Trust is a registered investment company that consists of numerous separate investment portfolios, including the Biotech ETF. Information provided to or filed with the SEC by SPDR
®
Series Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SECs website at http://www.sec.gov. For additional information regarding SPDR
®
Series Trust, SSgA FM or the Biotech ETF, please see the SPDR
®
Series Trusts prospectus. In addition, information about SPDR
®
Series Trust, SSgA FM and the Biotech ETF may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the SPDR
®
Series Trust website at https://www.spdrs.com. Information contained in the SPDR
®
Series Trust website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.
Investment Objective
The Biotech ETF seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P
®
Biotechnology Select Industry
®
Index (the Biotech Index). For more information about the Biotech Index, please see The S&P
®
Biotechnology Select Industry
®
Index below.
Investment Strategy Sampling
In seeking to track the performance of the Biotech Index, the Biotech ETF employs a sampling strategy, which means that the Biotech ETF is not required to purchase all of the securities represented in the Biotech Index. Instead, the Biotech ETF may purchase a subset of the securities in the Biotech Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics of the Biotech Index.
Under normal market conditions, the Biotech ETF generally invests substantially all, but at least 80%, of its total assets in the securities included in the Biotech Index. In addition, the Biotech ETF may invest in equity securities that are not included in the Biotech Index, cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised by SSgA FM).
Correlation and Tracking Error
The Biotech Index is a theoretical financial calculation, while the Biotech ETF is an actual investment portfolio. The performance of the Biotech ETF and the Biotech Index will vary somewhat due to operating expenses, transaction costs, cash flows, regulatory requirements and operational inefficiencies. A figure of 100% would indicate perfect correlation. Any correlation of less than 100% is generally referred to as tracking error.
Disclaimer
The Notes are not sponsored, endorsed, sold or promoted by SPDR
®
Series Trust or SSgA FM. Neither the Select Sector Trust nor SSgA FM makes any representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. Neither the Select Sector Trust nor SSgA FM has any obligation or liability in connection with the operation, marketing, trading or sale of the Notes.
The S&P
®
Biotechnology Select Industry Index
The Biotech Index is an equal-weighted index that is designed to measure the performance of the biotechnology sub-industry portion of the S&P TM Index. The Biotech Index includes companies in the biotechnology industry. The Biotech Index is reported by Bloomberg L.P. under the ticker symbol SPSIBI. For more information about the S&P Select Industry Indices, please see The S&P Select Industry Indices below.
The S
&P Select Industry Indices
To be eligible for inclusion in the Select Industry Indices, companies must be in the S&P TM Index, must be included in the relevant GICS sub-industry and must satisfy one of the two following combined size and liquidity criteria:
1.
float-adjusted market capitalization above US$500 million and float-adjusted liquidity ratio (FALR) above 90%; or
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12
2.
float-adjusted market capitalization above US$400 million and float-adjusted liquidity ratio above 150%.
A number of companies in the S&P TM Index are represented by multiple share class lines. To determine eligibility for the Select Industry Indices, the float-adjusted market capitalization of each share class line of multiple class companies is combined to arrive at a company float-adjusted market capitalization figure. The liquidity of each individual share class line is evaluated independently based on the float-adjusted market capitalization of that individual line. If an individual share class line of a multiple share class company does not meet the liquidity criteria, the remaining share class line has its float-adjusted market capitalization reevaluated independently to ensure that it continues to meet the size criteria on its own.
All companies satisfying the above requirements are included in a Select Industry Index. The total number of companies in each Select Industry Index should be at least 35. If there are fewer than 35 companies in a Select Industry Index, companies from a supplementary list of highly correlated sub-industries, that meet the market capitalization and liquidity thresholds above, are included in order of their float-adjusted market capitalization to reach 35 companies. Minimum market capitalization requirements may be relaxed to ensure there are at least 22 companies in each Select Industry Index as of each rebalancing effective date.
Existing index constituents are removed at the quarterly rebalancing effective date if either their float-adjusted market capitalization falls below US$300 million or their FALR falls below 50%.
To be eligible for inclusion in a Select Industry Index, a company must also meet the following requirements:
Market Capitalization.
Float-adjusted market capitalization should be at least US$400 million for inclusion in a Select Industry Index. Existing index components must have a float-adjusted market capitalization of US$300 million to remain in the applicable Select Industry Index at each rebalancing.
Liquidity.
The liquidity measurement used is a liquidity ratio, defined as dollar value traded over the previous 12-months divided by the float-adjusted market capitalization as of the applicable Select Industry Index rebalancing reference date.
Constituents having a float-adjusted market capitalization above US$500 million must have a liquidity ratio greater than 90% to be eligible for addition to a Select Industry Index. Constituents having a float-adjusted market capitalization between US$400 and US$500 million must have a liquidity ratio greater than 150% to be eligible for addition to a Select Industry Index. Existing index constituents must have a liquidity ratio greater than 50% to remain in the applicable Select Industry Index at the quarterly rebalancing. The length of time to evaluate liquidity is reduced to the available trading period for IPOs or spin-offs that do not have 12 months of trading history. In these cases, the dollar value traded available as of the rebalance reference date is annualized.
Takeover Restrictions.
At the discretion of S&P Dow Jones Indices LLC, constituents with shareholder ownership restrictions defined in company bylaws may be deemed ineligible for inclusion in a Select Industry Index. Ownership restrictions preventing entities from replicating the index weight of a company may be excluded from the eligible universe or removed from the applicable Select Industry Index.
Turnover.
S&P Dow Jones Indices LLC believes turnover in index membership should be avoided when possible. At times a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to a Select Industry Index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to a Select Industry Index will not be deleted unless ongoing conditions warrant a change in the composition of the applicable Select Industry Index.
Sector Classification. A Select Industry Index includes companies in the applicable GICS sub-industries set forth above.
The membership to the Select Industry Indices is reviewed quarterly. Re-balancings occur after the closing on the third Friday of the quarter ending month. The reference date for additions and deletions is after the closing of the last trading date of the previous month. Closing prices as of the second Friday of the last month of the quarter are used for setting index weights.
Companies are added between rebalancings only if a deletion in the applicable Select Industry Index causes the stock count to fall below 22. In those cases, each company deletion is accompanied with a company addition. The new company will be added to the applicable Select Industry Index at the weight of the deleted company. In the case of mergers involving at least one index constituent, the merged company will remain in the applicable Select Industry Index if it meets all of the eligibility requirements. The merged company will be added to the applicable Select Industry Index at the weight of the pre-merger index company. If both companies involved in a merger are index constituents, the merged company will be added at the weight of the company deemed the acquirer in the transaction. In the case of spin-offs, the applicable Select Industry Index will follow the S&P TM Indexs treatment of the action. If the S&P TM Index treats the pre- and post-spun company as a deletion/addition action, using the stocks when-issued price, the applicable Select Industry Index will treat the spin-off this way as well.
A company is deleted from the applicable Select Industry Index if the S&P TM Index drops the company. If a company deletion causes the number of companies in the relevant index to fall below 22, each company deletion is accompanied with a corresponding company addition. In case of GICS changes, where a company does not belong to a qualifying sub-industry after the classification change, it is removed from the applicable Select Industry Index at the next rebalancing.
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13
Historical Performance of Biotech ETF
The table below shows the high, low and final Closing Values of the Biotech ETF for each of the periods noted below. The graph below
sets forth the historical performance of the Biotech ETF based on daily Closing Values from January 1, 2013 through January 19, 2018. We obtained the Closing Values listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.
Period/Quarter Ended
|
Quarterly High ($)
|
Quarterly Low ($)
|
Quarterly Close ($)
|
March 31, 2013
|
33.55
|
30.41
|
33.29
|
June 30, 2013
|
37.66
|
32.39
|
34.75
|
September 30, 2013
|
43.74
|
36.24
|
43.05
|
December 31, 2013
|
43.95
|
38.08
|
43.40
|
March 31, 2014
|
56.90
|
42.97
|
47.49
|
June 30, 2014
|
51.35
|
40.27
|
51.35
|
September 30, 2014
|
54.30
|
44.87
|
51.99
|
December 31, 2014
|
63.45
|
48.48
|
62.21
|
March 31, 2015
|
79.33
|
61.43
|
75.17
|
June 30, 2015
|
86.57
|
68.78
|
84.08
|
September 30, 2015
|
90.36
|
60.02
|
62.25
|
December 31, 2015
|
72.62
|
61.16
|
70.08
|
March 31, 2016
|
67.83
|
45.73
|
51.66
|
June 30, 2016
|
59.87
|
49.55
|
54.09
|
September 30, 2016
|
68.83
|
55.11
|
66.29
|
December 31, 2016
|
68.13
|
53.31
|
59.19
|
March 31, 2017
|
72.32
|
59.59
|
69.34
|
June 30, 2017
|
80.31
|
66.84
|
77.18
|
September 30, 2017
|
86.57
|
74.47
|
86.57
|
December 31, 2017
|
88.51
|
79.95
|
84.87
|
January 19, 2018*
|
89.62
|
85.31
|
88.92
|
* For the period beginning on
January 1, 2018 and ending on January 19, 2018
|
Historical Performance of the
SPDR
®
S&P
®
Biotechnology ETF
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
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14
The
United States Oil Fund, LP
We have derived all information contained in this pricing supplement regarding the United States Oil Fund from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, United States Commodity Funds LLC (the general partner of the United States Oil Fund, LP), formerly known as Victoria Bay Asset Management, LLC. Units of the United States Oil Fund trade on the NYSE Arca, Inc. (NYSE Arca) under the ticker symbol USO.
Information provided to or filed with the SEC by the United States Oil Fund, LP pursuant to the Securities Act of 1933 and the Securities Exchange Act of 1934 can be located by reference to SEC file numbers 333-153310 and 001-32834, respectively, through the SECs website at http://www.sec.gov. The United States Oil Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder. For additional information regarding the United States Oil Fund and United States Commodity Funds LLC, please see United States Oil Fund, LPs prospectus. In addition, information about the United States Oil Fund may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the website for the United States Oil Fund at www.unitedstatesoilfund.com. Information contained on such website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.
The United States Oil Fund is a commodity pool that issues units that may be purchased and sold on the NYSE Arca. The United States Oil Fund LP was organized as a limited partnership under Delaware law on May 12, 2005 and began trading on the NYSE Arca on April 10, 2006. The general partner of the United States Oil Fund is a single member limited liability company formed in Delaware on May 10, 2005 that is registered as a commodity pool operator with the Commodity Futures Trading Commission and is a member of the National Futures Association. The general partner of the United States Oil Fund is also its investment adviser.
The investment objective of United States Oil Fund is for changes in percentage terms of the net asset value of the units of the United States Oil Fund to reflect the changes in percentage terms of the spot price of light, sweet crude oil delivered to Cushing, Oklahoma as measured by the daily changes in the price of the futures contract for light, sweet crude oil traded on the New York Mercantile Exchange (the benchmark oil futures contract) that is the near month contract to expire, except when the near month contract is within two weeks of expiration, in which case it will be measured by the futures contract that is the next month contract to expire, less the funds expenses. The United States Oil Fund seeks to achieve its investment objective by investing in futures contracts for light, sweet crude oil and other types of crude oil, diesel-heating oil, gasoline, natural gas and other petroleum-based fuels that are traded on the New York Mercantile Exchange, ICE Futures Exchange or other U.S. and foreign exchanges and other oil-related investments such as cash-settled options on oil futures contracts, forward contracts for oil, cleared swap contracts and over-the-counter transactions that are based on the price of crude oil, heating oil, gasoline, natural gas and other petroleum-based fuels, oil futures contracts and indices based on the foregoing
.
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15
Historical Performance of the United States Oil Fund
The table below shows the high, low and final Closing Values of the United States Oil Fund for each of the periods noted below. The graph below
graph sets forth the historical performance of the United States Oil Fund based on daily Closing Values from January 1, 2013 through January 19, 2018. We obtained the Closing Values listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.
Period/Quarter Ended
|
Quarterly High($)
|
Quarterly Low($)
|
Quarterly Close($)
|
March 31, 2013
|
35.49
|
32.40
|
34.76
|
June 30, 2013
|
34.96
|
31.01
|
34.15
|
September 30, 2013
|
39.36
|
34.67
|
36.85
|
December 31, 2013
|
37.42
|
33.19
|
35.32
|
March 31, 2014
|
37.52
|
32.81
|
36.59
|
June 30, 2014
|
39.32
|
35.80
|
38.88
|
September 30, 2014
|
38.86
|
34.19
|
34.43
|
December 31, 2014
|
34.37
|
20.30
|
20.36
|
March 31, 2015
|
19.89
|
15.96
|
16.84
|
June 30, 2015
|
20.82
|
17.56
|
19.88
|
September 30, 2015
|
19.10
|
12.49
|
14.68
|
December 31, 2015
|
16.04
|
10.66
|
11.00
|
March 31, 2016
|
10.98
|
7.96
|
9.70
|
June 30, 2016
|
12.43
|
9.08
|
11.57
|
September 30, 2016
|
11.78
|
9.33
|
10.93
|
December 31, 2016
|
11.75
|
9.77
|
11.72
|
March 31, 2017
|
11.70
|
10.01
|
10.64
|
June 30, 2017
|
11.17
|
8.71
|
9.50
|
September 30, 2017
|
10.55
|
9.10
|
10.43
|
December 31, 2017
|
12.01
|
9.97
|
12.01
|
January 19, 2018*
|
12.87
|
12.07
|
12.72
|
* For the period beginning on
January 1, 2018 and ending on January 19, 2018
|
Historical Performance of the United States Oil Fund, LP
PAST PERFORMANCE IS
NOT
INDICATIVE OF FUTURE RESULTS
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16
TAX CONSIDERATIONS
You should review carefully the sections entitled Material U.S. Federal Income Tax ConsequencesTax Consequences to U.S. HoldersNotes 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 Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any contingent coupon payments as ordinary income, as described in the section entitled Material U.S. Federal Income Tax ConsequencesTax Consequences to U.S. HoldersNotes 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 Note.
Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including upon early redemption or redemption 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 Notes, which should equal the amount you paid to acquire the Notes (assuming contingent coupon payments are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be long-term capital gain or loss if you hold the Notes for more than one year, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your right to a contingent coupon 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 coupon payment. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to a determination date but that can be attributed to an expected contingent coupon 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 Notes 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 Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, 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 coupon 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) generally impose a withholding tax on certain dividend equivalents under certain equity linked instruments. A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2019 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an Underlying Security). Based on our determination that the Notes do not have a delta of one within the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of Section 871(m) to the Notes.
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17
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the Agent), and the Agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing supplement. The Agent commits to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment for the Notes on or about the Issue Date indicated on the cover of this pricing supplement, which will be the third business day following the Initial Valuation Date (this settlement cycle being referred to as T+3). 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 Notes on any date prior to two business days before delivery will be required, by virtue of the fact that the Notes will initially settle in three business days (T+3), to specify alternative settlement arrangements to prevent a failed settlement. See Plan of Distribution (Conflicts of Interest) in the prospectus supplement.
The Notes are not intended to be offered, sold or otherwise made available to and may not be offered, sold or otherwise made available to any retail investor in the European Economic Area (EEA Retail Investor). For these purposes, an EEA Retail Investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (MiFID II); (ii) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Directive 2003/71/EC. Consequently no key information document required by Regulation (EU) No 1286/2014 (as amended from time to time, the PRIIPs Regulation) for offering or selling the Notes or otherwise making them available to EEA Retail Investors has been prepared and therefore offering or selling such Notes or otherwise making them available to any EEA Retail Investor may be unlawful under the PRIIPs Regulation.
VALIDITY OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the Notes offered by this pricing supplement have been executed and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Notes will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors rights,
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLCs permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of June 28, 2017, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on June 28, 2017, and this opinion is subject to the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of Davis Polk & Wardwell LLP, dated June 28, 2017, which has been filed as an exhibit to the report on Form 6-K referred to above.
PS-
18
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