The Trigger Step Securities (the “Securities”) are
unsecured and unsubordinated debt obligations issued by Barclays Bank PLC (the “Issuer”) with returns linked to the
performance of the S&P 500
®
Index (the “Underlying”). If the Final Underlying Level is greater than
or equal to the Step Barrier (which is equal to the Initial Underlying Level), the Issuer will pay the principal amount of the
Securities at maturity plus a return equal to the greater of the Underlying Return and the Step Return of 37.05%. If the Final
Underlying Level is less than the Step Barrier but greater than or equal to the Downside Threshold (75% of the Initial Underlying
Level), the Issuer will repay the principal amount of the Securities at maturity. However, if the Final Underlying Level is less
than the Downside Threshold, the Issuer will pay you a cash payment at maturity that is less than the principal amount, if anything,
resulting in a percentage loss on your investment equal to the negative Underlying Return. In this case, you will have full downside
exposure to the Underlying from the Initial Underlying Level to the Final Underlying Level, and could lose all of your initial
investment.
Investing in the Securities involves significant risks.
The Issuer will not pay any interest on the Securities. You may lose a significant portion or all of your principal. The Final
Underlying Level is observed relative to the Downside Threshold only on the Final Valuation Date, and the contingent repayment
of principal applies only if you hold the Securities to maturity. 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 PS-4 of this
pricing supplement) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the Securities.
See “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors” in the accompanying prospectus
supplement.
|
Additional Information about Barclays Bank PLC and the Securities
|
You should read this pricing supplement together with the prospectus
dated March 30, 2018, 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 these Securities are a part. This pricing supplement, 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.
If the terms discussed in this pricing supplement differ from
those in the prospectus, prospectus supplement or index supplement, the terms discussed herein will control.
When you read the prospectus supplement
and the index supplement, note that all references to the prospectus dated July 18, 2016, or to any sections therein, should refer
instead to the accompanying prospectus dated March 30, 2018, or to the corresponding sections of that prospectus.
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):
Our SEC file number is 1-10257. As used
in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC. In this pricing
supplement, “Securities” refers to the Trigger Step Securities that are offered hereby, unless the context otherwise
requires.
|
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 Trade 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 Trade Date is 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 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 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 Trade 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
Trade 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 Trade Date for a temporary period expected to be approximately three months 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 the “Key Risks” beginning
on page PS-7 of this pricing supplement.
|
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 “Key Risks—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 pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities
Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail could materially
adversely affect the value of the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority” in the accompanying prospectus supplement.
|
The Securities may be suitable for you if:
|
|
¨
|
You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
|
|
¨
|
You can tolerate a loss of a significant portion or all of your initial investment, and you are willing to make an investment that may have the full downside market risk of the Underlying.
|
|
¨
|
You seek an investment with a return linked to the performance of the Underlying, and you believe the Underlying will appreciate over the term of the Securities.
|
|
¨
|
You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
|
|
¨
|
You do not seek current income from this investment, and you are willing to forgo any dividends paid on the securities composing the Underlying.
|
|
¨
|
You are willing and able to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
|
|
¨
|
You understand and are willing to accept the risks associated with the Underlying.
|
|
¨
|
You are willing and able to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments under the Securities and understand that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power, you might not receive any amounts due to you under the Securities, including any repayment of principal.
|
|
The Securities may not be suitable for you if:
|
|
¨
|
You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
|
|
¨
|
You cannot tolerate the loss of a significant portion or all of your initial investment, or you are not willing to make an investment that may have the full downside market risk of the Underlying.
|
|
¨
|
You do not seek an investment with exposure to the Underlying, or you believe the Underlying will depreciate over the term of the Securities and the Final Underlying Level is likely to be less than the Downside Threshold.
|
|
¨
|
You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
|
|
¨
|
You seek current income from this investment, or you would prefer to receive any dividends paid on the securities composing the Underlying.
|
|
¨
|
You are unable or unwilling to hold the Securities to maturity, or you seek an investment for which there will be an active secondary market.
|
|
¨
|
You do not understand or are not willing to accept the risks associated with the Underlying.
|
|
¨
|
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings that bear interest at a prevailing market rate.
|
|
¨
|
You are not willing or are unable to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments due to you under the Securities, including any repayment of principal.
|
|
|
|
The suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks” beginning on page PS-7 of this pricing supplement and the “Risk Factors” beginning on page S-7 of the prospectus supplement for risks related to an investment in the Securities. For more information about the Underlying, please see the section titled “S&P 500
®
Index” below.
|
|
Issuer:
|
Barclays Bank PLC
|
|
Principal Amount:
|
$10 per Security
|
|
Term
2
:
|
Approximately 4 years
|
|
Reference Asset
3
:
|
S&P 500
®
Index (Bloomberg ticker symbol “SPX<Index>“) (the “Underlying”)
|
|
Payment at Maturity (per Security):
|
·
If
the Final Underlying Level is greater than or equal to the Step Barrier
, the Issuer will pay the principal amount plus
a return equal to the greater of the Underlying Return and the Step Return. Accordingly, the payment at maturity per Security would
be calculated as follows:
$10 + ($10 × the greater
of (a) the Underlying Return and (b) the Step Return)
·
If
the Final Underlying Level is less than the Step Barrier but greater than or equal to the Downside Threshold,
the Issuer
will repay the full principal amount at maturity of $10 per Security.
·
If
the Final Underlying Level is less than the Downside Threshold,
the Issuer will repay less than the full principal amount
at maturity, if anything, resulting in a percentage loss on your investment equal to the decline of the Underlying from the Trade
Date to the Final Valuation Date. Accordingly, the payment at maturity per Security would be calculated as follows:
$10 + ($10 × Underlying Return)
If the Final Underlying Level is less than
the Downside Threshold, your principal is fully exposed to the decline in the Underlying, and you will lose a significant portion
or all of the principal amount of the Securities at maturity. 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.
|
|
Step Return:
|
37.05%
|
|
Underlying Return:
|
Final Underlying Level – Initial Underlying Level
Initial Underlying Level
|
|
Initial Underlying Level:
|
The Closing Level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
|
|
Final Underlying Level:
|
The Closing Level of the Underlying on the Final Valuation Date
|
|
Step Barrier:
|
100% of the Initial Underlying Level, as specified on the cover of this pricing supplement
|
|
Downside Threshold:
|
75% of the Initial Underlying Level (rounded to two decimal places), as specified on the cover of this pricing supplement
|
|
Closing Level
3
:
|
Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
|
|
Calculation
|
Barclays Bank PLC
|
|
|
Trade Date:
|
|
The Initial Underlying Level is observed and the Step Barrier and Downside Threshold are determined.
|
|
|
|
|
|
|
|
Maturity Date:
|
|
The Final Underlying Level is observed and the Underlying Return
is determined on the Final Valuation Date.
If
the Final Underlying Level is greater than or equal to the Step Barrier
, the Issuer will pay the principal amount plus
a return equal to the greater of the Underlying Return and the Step Return. Accordingly, the payment at maturity per Security would
be calculated as follows:
$10 + ($10 × the greater of (a) the
Underlying Return and (b) the Step Return)
If
the Final Underlying Level is less than the Step Barrier but greater than or equal to the Downside Threshold,
the Issuer
will repay the full principal amount at maturity of $10 per Security.
If
the Final Underlying Level is less than the Downside Threshold,
the Issuer will repay less than the full principal amount
at maturity, if anything, resulting in a percentage loss on your investment equal to the decline of the Underlying from the Trade
Date to the Final Valuation Date. Accordingly, the payment at maturity per Security would be calculated as follows:
$10 + ($10 × Underlying Return)
If the Final Underlying Level is less than the Downside
Threshold, your principal is fully exposed to the decline in the Underlying, and you will lose a significant portion or all of
the principal amount of the Securities at maturity. 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.
|
Investing in the Securities involves significant risks. The
Issuer will not pay any interest on the Securities. You may lose a significant portion or all of your principal. The Final Underlying
Level is observed relative to the Downside Threshold only on the Final Valuation Date, and the contingent repayment of principal
applies only if you hold the Securities to maturity. 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 by the relevant U.K. resolution authority,
you might not receive any amounts owed to you under the Securities.
|
1
|
Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
|
|
2
|
The Final Valuation Date may be postponed if the Final Valuation Date is not a scheduled trading day or if a market disruption event occurs on the Final Valuation Date as described under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference Asset” in the accompanying prospectus supplement. In addition, the Maturity Date will be postponed if that day is not a business day or if the Final Valuation Date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
|
3
|
If the Underlying is discontinued or if the sponsor of the Underlying fails to publish the Underlying, the Calculation Agent may select a successor underlying or, if no successor underlying is available, will calculate the value to be used as the Closing Level of the Underlying. In addition, the Calculation Agent will calculate the value to be used as the Closing Level of the Underlying in the event of certain changes in or modifications to the Underlying. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
|
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying or the securities composing the Underlying. Some of
the risks that apply to an investment in the Securities are summarized below, but we urge you to read the more detailed explanation
of risks relating to the Securities generally in the “Risk Factors” section of the prospectus supplement. You should
reach an investment decision only after you have carefully considered with your advisors the suitability of an investment in the
Securities in light of your particular circumstances.
|
|
¨
|
You risk losing a significant portion or all of your principal
— The Securities differ from ordinary debt securities in that the Issuer will not necessarily repay the full principal amount
of the Securities at maturity. The Issuer will pay you the principal amount of your Securities only if the Final Underlying Level
is greater than or equal to the Downside Threshold and will make such payment only at maturity. If the Final Underlying Level is
less than the Downside Threshold, you will be exposed to the full negative Underlying Return and the Issuer will repay less than
the full principal amount of the Securities at maturity, if anything, resulting in a percentage loss on your investment equal to
the decline of the Underlying from the Trade Date to the Final Valuation Date. Accordingly, you may lose a significant portion
or all of your principal.
|
|
|
¨
|
Contingent repayment of principal applies only if you hold the Securities
to maturity
— You should be willing to hold your Securities to maturity. The market value of the Securities may
fluctuate between the date you purchase them and the Final Valuation Date. If you are able to sell your Securities prior to maturity
in the secondary market, if any, you may have to sell them at a loss relative to your initial investment even if at that time the
level of the Underlying is greater than the Downside Threshold.
|
|
|
¨
|
The Step Return applies only if you hold the Securities to maturity
— You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in
the secondary market, if any, the price you receive likely will not reflect the full economic value of the Step Return or the Securities
themselves, and the return you realize may be less than the Underlying’s return itself, even if such return is positive.
You can receive the full benefit of the Step Return only if you hold your Securities to maturity.
|
|
|
¨
|
The probability that the Final Underlying Level will be less than
the Downside Threshold will depend on the volatility of the Underlying
— Volatility is a measure of the degree
of variation in the level of the Underlying over a period of time. The greater the expected volatility at the time the terms of
the Securities are set, the greater the expectation is at that time that the Final Underlying Level will be less than the Downside
Threshold, which would result in a loss of a significant portion or all of your principal at maturity. However, the Underlying’s
volatility can change significantly over the term of the Securities. The level of the Underlying could fall sharply, which could
result in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying and the potential
loss of a significant portion or all of your principal at 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 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 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 pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or
likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
|
|
|
¨
|
Owning the Securities is not the same as owning the securities composing
the Underlying
— The return on your Securities may not reflect the return you would realize if you actually owned
the securities composing the Underlying. As a holder of the Securities, you will not have voting rights or rights to receive dividends
or other distributions or other rights that holders of the securities composing the Underlying would have.
|
|
|
¨
|
The Underlying reflects the price return
of the securities composing the Underlying, not the total return
— The return
on the Securities is based on the performance of the Underlying, which reflects changes in the
market
prices
of the securities composing the Underlying. The Underlying is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing the Underlying. Accordingly, the return on the
Securities will not include such a total return feature.
|
|
|
¨
|
No interest payments
— The Issuer will not make
periodic interest payments on the Securities.
|
|
|
¨
|
Dealer incentives
— We, the Agents and affiliates
of the Agents act in various capacities with respect to the Securities. The Agents and various affiliates may act as a principal,
agent or dealer in connection with the Securities. We will not pay compensation to the Agents in connection with the distribution
of the Securities.
|
|
|
¨
|
There may be little or no secondary market for the Securities —
The Securities 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 Securities but are not required
|
to do so, and may discontinue any
such secondary market making at any time, without notice. Even if there is a secondary market, 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 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. The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity.
|
|
¨
|
Potentially inconsistent research, opinions or recommendations by
Barclays Capital Inc., UBS Financial Services Inc. or their respective affiliates —
Barclays Capital Inc., UBS
Financial Services Inc. or their respective affiliates and agents may publish research from time to time on financial markets and
other matters that may influence the value of the Securities, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the Securities. Any research, opinions or recommendations expressed by Barclays Capital Inc., UBS Financial
Services Inc. or their respective affiliates or agents may not be consistent with each other and may be modified from time to time
without notice. You should make your own independent investigation of the merits of investing in the Securities and the Underlying.
|
|
|
¨
|
Potential Barclays Bank PLC impact on the level of the Underlying
— Trading or transactions by Barclays Bank PLC or its affiliates in the securities composing the Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the Underlying or the securities composing the
Underlying may adversely affect the level of the Underlying and, therefore, the market value of the Securities.
|
|
|
¨
|
The Final Underlying Level is not based on the level of the Underlying
at any time other than the Final Valuation Date
— The Final Underlying Level will be based solely on the Closing
Level of the Underlying on the Final Valuation Date and the payment at maturity will be based solely on the Final Underlying Level
as compared to the Initial Underlying Level. Therefore, if the level of the Underlying has declined as of the Final Valuation Date,
the payment at maturity, if any, may be significantly less than it would otherwise have been had the Final Underlying Level been
determined at a time prior to such decline or after the level of the Underlying has recovered. Although the level of the Underlying
on the Maturity Date or at other times during the term of your Securities may be higher than the level of the Underlying on the
Final Valuation Date, you will not benefit from the level of the Underlying at any time other than the Final Valuation Date.
|
|
|
¨
|
Many economic and market factors will impact the value of the Securities
— Structured notes, including the Securities, can be thought of as securities that combine a debt instrument with
one or more options or other derivative instruments. As a result, the factors that influence the values of debt instruments and
options or other derivative instruments will also influence the terms and features of the Securities at issuance and their value
in the secondary market. Accordingly, in addition to the level of the Underlying on any day, the value of the Securities will be
affected by a number of economic and market factors that may either offset or magnify each other, including:
|
|
|
¨
|
the expected volatility of the Underlying and the securities composing the Underlying;
|
|
|
¨
|
the time to maturity of the Securities;
|
|
|
¨
|
the market prices of, and dividend rates on, the securities composing the Underlying;
|
|
|
¨
|
interest and yield rates in the market generally;
|
|
|
¨
|
supply and demand for the Securities;
|
|
|
¨
|
a variety of economic, financial, political, regulatory and judicial events; and
|
|
|
¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
|
¨
|
The estimated value of your Securities is lower than the initial
issue price of your Securities
— The estimated value of your Securities on the Trade Date is 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 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 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 Trade Date is based on a number of variables, including our internal funding rates. Our internal funding
rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference,
the estimated value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt
securities trade in the secondary market. Also, this difference in funding rate as well as certain factors, such as sales commissions,
selling concessions, estimated costs and profits mentioned below, reduces the economic terms of the Securities to you.
|
|
|
¨
|
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 Trade Date is based on our internal pricing models, which take into account
a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and
assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial
institutions’ pricing models and the methodologies used by us to estimate the value of the 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 Trade 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 Trade 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. Please see “Additional Information Regarding Our Estimated Value of the Securities” on page PS-3
for further information.
|
|
|
¨
|
We and our affiliates 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 Underlying or its 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.
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
Underlying 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 the Underlying is to be determined; if the Underlying is discontinued or if the sponsor of the Underlying
fails to publish the Underlying, selecting a successor underlying or, if no successor underlying is available, determining any
value necessary to calculate any payments on the Securities; and calculating the value of the Underlying on any date of determination
in the event of certain changes in or modifications to the Underlying. 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.
|
|
¨
|
The U.S. federal income tax consequences of an investment in the
Securities are uncertain
— There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently,
significant aspects of the tax treatment of the Securities are uncertain, and the IRS or a court might not agree with the treatment
of the Securities as prepaid forward contracts, as described under “What Are the Tax Consequences of an Investment in the
Securities?” below. If the IRS were successful in asserting an alternative treatment for the Securities, the tax consequences
of the ownership and disposition of the Securities could be materially and adversely affected. In addition, in 2007 the Treasury
Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly
with retroactive effect. You should review carefully the sections of the accompanying prospectus supplement entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative
Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” and consult your
tax advisor regarding the U.S. federal tax consequences of an investment in the Securities (including possible alternative treatments
and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
|
|
Hypothetical Examples and Return Table of the Securities at Maturity
|
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples and table below illustrate the payment at maturity
for a $10 principal amount Security on a hypothetical offering of Securities under various scenarios, with the assumptions set
forth below.* You should not take these examples or the table below as an indication or assurance of the expected performance of
the Securities. The examples and table below do not take into account any tax consequences from investing in the Securities. Numbers
appearing in the examples and table below have been rounded for ease of analysis.
|
Term:
|
Approximately 4 years
|
|
Hypothetical Initial Underlying Level:
|
100.00
|
|
Step Return:
|
37.05%
|
|
Hypothetical Step Barrier:
|
100.00 (100% of the hypothetical Initial Underlying Level)
|
|
Hypothetical Downside Threshold:
|
75.00 (75% of the hypothetical Initial Underlying Level)
|
|
|
*
|
Terms used for purposes of these hypothetical examples do not represent the actual Initial Underlying Level, Step Barrier,
Downside Threshold or Final Underlying Level. The hypothetical Initial Underlying Level of 100.00 has been chosen for illustrative
purposes only and does not represent the actual Initial Underlying Level. The actual Initial Underlying Level and resulting Step
Barrier and Downside Threshold are set forth on the cover of this pricing supplement, and the actual Final Underlying Level will
be the Closing Level of the Underlying on the Final Valuation Date. For historical Closing Levels of the Underlying, please see
the historical information set forth under the section titled “S&P 500
®
Index” below. We cannot
predict the Closing Level of the Underlying on any day during the term of the Securities, including on the Final Valuation Date.
|
|
Final Underlying Level
|
Underlying
Return
|
Payment
at Maturity
|
Total Return on Securities
at Maturity
1
|
|
180.00
|
80.00%
|
$18.000
|
80.00%
|
|
170.00
|
70.00%
|
$17.000
|
70.00%
|
|
160.00
|
60.00%
|
$16.000
|
60.00%
|
|
150.00
|
50.00%
|
$15.000
|
50.00%
|
|
140.00
|
40.00%
|
$14.000
|
40.00%
|
|
137.05
|
37.05%
|
$13.705
|
37.05%
|
|
130.00
|
30.00%
|
$13.705
|
37.05%
|
|
120.00
|
20.00%
|
$13.705
|
37.05%
|
|
110.00
|
10.00%
|
$13.705
|
37.05%
|
|
105.00
|
5.00%
|
$13.705
|
37.05%
|
|
100.00
|
0.00%
|
$13.705
|
37.05%
|
|
99.99
|
-0.01%
|
$10.000
|
0.00%
|
|
95.00
|
-5.00%
|
$10.000
|
0.00%
|
|
90.00
|
-10.00%
|
$10.000
|
0.00%
|
|
80.00
|
-20.00%
|
$10.000
|
0.00%
|
|
75.00
|
-25.00%
|
$10.000
|
0.00%
|
|
74.99
|
-25.01%
|
$7.499
|
-25.01%
|
|
70.00
|
-30.00%
|
$7.000
|
-30.00%
|
|
60.00
|
-40.00%
|
$6.000
|
-40.00%
|
|
50.00
|
-50.00%
|
$5.000
|
-50.00%
|
|
40.00
|
-60.00%
|
$4.000
|
-60.00%
|
|
30.00
|
-70.00%
|
$3.000
|
-70.00%
|
|
20.00
|
-80.00%
|
$2.000
|
-80.00%
|
|
10.00
|
-90.00%
|
$1.000
|
-90.00%
|
|
0.00
|
-100.00%
|
$0.000
|
-100.00%
|
|
1
|
The “total return” is the number, expressed as a percentage, that results from comparing the payment at maturity per Security to the purchase price of $10 per Security.
|
Example
1
— The Closing Level of the Underlying increases 20.00% from the Initial Underlying Level of 100.00 to a Final
Underlying Level of 120.00, resulting in an Underlying Return of 20.00%.
Because the Final Underlying Level is greater than or equal to
the Step Barrier (which is equal to the Initial Underlying Level) and the Step Return of 37.05% is greater than the Underlying
Return, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × the greater of (a) the
Underlying Return and (b) the Step Return)
$10 + ($10 × 37.05%) = $10 + $3.705
= $13.705
The payment at maturity of $13.705 per Security represents a
total return on the Securities of 37.05%.
Example
2
— The Closing Level of the Underlying increases 50.00% from the Initial Underlying Level of 100.00 to a Final
Underlying Level of 150.00, resulting in an Underlying Return of 50.00%.
Because the Final Underlying Level is greater than or equal to
the Step Barrier (which is equal to the Initial Underlying Level) and the Underlying Return of 50.00% is greater than the Step
Return of 37.05%, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × the greater of (a) the
Underlying Return and (b) the Step Return)
$10 + ($10 × 50.00%) = $10 + $5 = $15.000
The payment at maturity of $15.000 per Security represents a
total return on the Securities of 50.00%.
Example
3
— The Closing Level of the Underlying decreases 10.00% from the Initial Underlying Level of 100.00 to a Final
Underlying Level of 90.00, resulting in an Underlying Return of -10.00%.
Because the Final Underlying Level is less than the Step Barrier
(which is equal to the Initial Underlying Level) but is greater than or equal to the Downside Threshold, the Issuer will repay
the full principal amount at maturity of $10.000 per Security.
The payment at maturity of $10.000 per Security represents a
total return on the Securities of 0.00%.
Example
4
— The Closing Level of the Underlying decreases 60.00% from the Initial Underlying Level of 100.00 to a Final
Underlying Level of 40.00, resulting in an Underlying Return of -60.00%.
Because the Final Underlying Level is less than the Downside
Threshold, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × Underlying Return)
$10 + ($10 × -60.00%) = $10 + -$6 =
$4.000
The payment at maturity of $4.000 per Security represents a loss
on the Securities of 60.00%, which reflects the Underlying Return of -60.00%.
If the Final Underlying Level is less than the Downside Threshold,
at maturity the Issuer will repay less than the full principal amount, if anything, resulting in a percentage loss on your investment
equal to the decline of the Underlying from the Trade Date to the Final Valuation Date.
|
What Are the Tax Consequences of an Investment in the Securities?
|
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” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” in the accompanying
prospectus supplement. The following discussion, when read in combination with those sections, constitutes the full opinion of
our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and
disposing of the Securities. The following discussion supersedes the discussion in the accompanying prospectus supplement to the
extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special
tax counsel, it is reasonable to treat the Securities for U.S. federal income tax purposes as prepaid forward contracts with respect
to the Underlying. Assuming this treatment is respected, upon a sale or exchange of the Securities (including 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 Securities, which should equal the amount you paid to acquire the Securities. This gain or loss on your Securities
should be treated as long-term capital gain or loss if you hold your Securities for more than a year, whether or not you are an
initial purchaser of Securities at the original issue price. However, the IRS or a court may not respect this treatment, in which
case the timing and character of any income or loss on the Securities could be materially and adversely 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; the relevance of factors such as the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. 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 and
adversely 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 intend to treat payments on the Securities 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 Securities 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
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 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 Securities.
The Underlying consists of stocks of 500 companies selected to
provide a performance benchmark for the U.S. equity markets. For more information about the Underlying, 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 Underlying
and, effective March 10,
2017, the minimum unadjusted company market capitalization for potential additions to the Underlying 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 Underlying, but securities already included in the Underlying have been grandfathered and are not affected
by this change.
Historical Information
The following graph sets forth the performance of the Underlying
from January 2, 2008 through August 17, 2018, based on the daily Closing Levels of the Underlying. The Closing Level of the Underlying
on August 17, 2018 was 2,850.13. The dotted line represents the Downside Threshold of 2,137.60, which is equal to 75% of the Initial
Underlying Level.
We obtained
the Closing Levels of the Underlying from Bloomberg Professional
®
service,
without independent verification. Historical performance of the Underlying should not be taken as an indication of future performance.
Future performance of the Underlying may differ significantly from historical performance, and no assurance can be given as to
the Closing Level of the Underlying during the term of the Securities, including on the Final Valuation Date. We cannot give you
assurance that the performance of the Underlying will not result in a loss on your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.