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Form 424B2 BARCLAYS BANK PLC

May 27, 2016 3:25 PM EDT

 

CALCULATION OF REGISTRATION FEE

 

Title of Each Class of Securities Offered

 

Maximum Aggregate Offering Price

 

Amount of Registration Fee(1)

 

 

 

 

 

Global Medium-Term Notes, Series A

 

$431,000

 

$43.40

 

(1)         Calculated in accordance with Rule 457(r) of the Securities Act of 1933.

 



 

Pricing Supplement dated May 25, 2016
(To the Prospectus dated July 19, 2013, the Prospectus Supplement dated July 19, 2013,
the Prospectus Addendum dated February 3, 2015 and the Index Supplement dated July 19, 2013)

Filed Pursuant to Rule 424(b)(2)
Registration No. 333-190038

 

GRAPHIC

$431,000

Phoenix AutoCallable Notes due May 28, 2021

Linked to the Lesser Performing Index

of the Russell 2000® Index and the S&P 500® Index

Global Medium-Term Notes, Series A

 

Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.

 

Issuer:

Barclays Bank PLC

 

 

Denominations:

Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof

 

 

Initial Valuation Date:

May 25, 2016

 

 

Issue Date:

May 31, 2016

 

 

Final Valuation Date:*

May 25, 2021

 

 

Maturity Date:*

May 28, 2021

 

 

Observation Dates:*

The 25th of each February, May, August and November during the term of the Notes, beginning in August 2016 and ending on and including the Final Valuation Date

 

 

Contingent Coupon Payment Dates:

With respect to any Observation Date, the fifth business day after such Observation Date, provided that the Contingent Coupon Payment Date with respect to the Final Valuation Date will be the Maturity Date

 

 

Reference Assets:

The Russell 2000® Index (the “Russell 2000 Index”) and the S&P 500® Index (the “S&P 500 Index”), as noted in the following table:

 

 

 

 

 

 

 

 

 

 

Reference Asset

Bloomberg Ticker

Initial Level

Coupon Barrier Level

Barrier Level

 

 

 

Russell 2000 Index

RTY <Index>

1,141.02

855.77

684.61

 

 

 

S&P 500 Index

SPX <Index>

2,090.54

1,567.91

1,254.32

 

 

 

 

The Russell 2000 Index and the S&P 500 Index are each referred to in this pricing supplement as an “Index” and collectively as the “Indices”.

 

 

Payment at Maturity:

If the Notes are not automatically called prior to maturity, and if you hold your Notes to maturity, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note that you hold (in each case, subject to our credit risk and in addition to any Contingent Coupon that may be payable on such date) determined as follows:

 

¡                   If the Final Level of the Lesser Performing Index is equal to or greater than its Barrier Level, you will receive a payment of $1,000 per $1,000 principal amount Note

¡                   If the Final Level of the Lesser Performing Index is less than its Barrier Level, you will receive an amount per $1,000 principal amount Note calculated as follows:

 

$1,000 + [$1,000 x Index Return of the Lesser Performing Index]

 

If the Notes are not automatically called, and if the Final Level of the Lesser Performing Index is less than its Barrier Level, your Notes will be fully exposed to the negative performance of the Lesser Performing Index. You may lose up to 100% of the principal amount of your Notes.

 

Any payment on the Notes, including any Contingent Coupons and any payment upon automatic call or at maturity, is not guaranteed by any third party and is subject to both the creditworthiness of the Issuer and to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (or any other resolution measure) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the Notes. See “Consent to U.K. Bail-in Power” and “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in the accompanying prospectus addendum for more information.

 

 

Consent to U.K. Bail-in Power:

By acquiring the Notes, you acknowledge, agree to be bound by, and consent to the exercise of, any U.K. Bail-in Power. See “Consent to U.K. Bail-in Power” on page PS-1 of this pricing supplement.

 

[Terms of the Notes Continue on the Next Page]

 

 

 

Initial Issue Price(1)(2)

 

Price to Public

 

Agent’s Commission(3)(4)

 

Proceeds to Barclays Bank PLC(3)(4)

Per Note

 

$1,000

 

100%

 

3.625%

 

96.375%

Total

 

$431,000

 

$431,000

 

$15,624

 

$415,376

 

(1)          Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all selling concessions, fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $963.75 and $1,000 per Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.

(2)          Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $946.10 per Note.  The estimated value is less than the initial issue price of the Notes.  See “Additional Information Regarding Our Estimated Value of the Notes” on page PS-1 of this pricing supplement.

(3)          Barclays Capital Inc. will receive commissions from the Issuer of 3.625% of the principal amount of the Notes, or $36.25 per $1,000 principal amount. Barclays Capital Inc. will use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers.

(4)          In addition to the selling concessions and fees described above, Barclays Capital Inc. will pay (and will be reimbursed by the Issuer for) additional marketing, structuring, educational or other fees (collectively, “Marketing Fees”) of up to 0.50% of the principal amount per Note in connection with the distribution of the Notes by certain dealers participating in such distribution. With respect to each dealer participating in the distribution of the Notes, in no case will the sum of (a) the selling commissions and fees paid to that dealer and (b) the amount of Marketing Fees, if any, paid in connection with the distribution of Notes by that dealer exceed 4.125% of the principal amount per Note.

 

Investing in the Notes involves a number of risks.  See “Risk Factors” beginning on page S-6 of the prospectus supplement and on page PA-1 of the prospectus addendum and “Selected Risk Considerations” beginning on page PS-9 of this pricing supplement.

 

We may use this pricing supplement in the initial sale of Notes.  In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market resale transaction.

 

The Notes will not be listed on any U.S. securities exchange or quotation system.  Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete.   Any representation to the contrary is a criminal offense.

 

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured or guaranteed by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.

 



 

Terms of the Notes, Continued

 

Automatic Call:

If, on any Observation Date prior to the Final Valuation Date, beginning with the Observation Date scheduled to occur in May 2017 (the fourth Observation Date), the Closing Level of each Index is equal to or greater than its respective Initial Level, the Notes will be automatically called for a cash payment per $1,000 principal amount Note equal to the Redemption Price payable on the Call Settlement Date. No further amounts will be payable on the Notes after the Call Settlement Date.

 

 

Contingent Coupon:

$16.875 per $1,000 principal amount Note

 

If the Closing Level of each Index on any Observation Date is equal to or greater than its respective Coupon Barrier Level, you will receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Level of either Index is less than its Coupon Barrier Level on any Observation Date, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.

 

 

Call Settlement Date:*

The Contingent Coupon Payment Date following the Observation Date on which an Automatic Call occurs

 

 

Initial Level:

With respect to each Index, the Closing Level on the Initial Valuation Date, as noted in the table above

 

 

Coupon Barrier Level:

With respect to each Index, 75.00% of its Initial Level (rounded to two decimal places), as noted in the table above

 

 

Barrier Level:

With respect to each Index, 60.00% of its Initial Level (rounded to two decimal places), as noted in the table above

 

 

Final Level:

With respect to each Index, the Closing Level of such Index on the Final Valuation Date

 

 

Redemption Price:

$1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Call Settlement Date

 

 

Lesser Performing Index:

The Index with the lowest Index Return, as calculated in the manner set forth below

 

 

Index Return:

With respect to an Index, the performance of such Index from the Initial Level to the Final Level, calculated as follows:

 

Final Level – Initial Level
Initial Level

 

 

Closing Level:

With respect to an Index, on any date, the official closing level of that Index published at the regular weekday close of trading on that date as displayed on the applicable Bloomberg Professional® service page noted above or any successor page on Bloomberg Professional® service or any successor service, as applicable (rounded to two decimal places, if applicable)

 

 

Reference Asset Business Day:

A day that is a scheduled trading day with respect to each Index

The term “scheduled trading day”, with respect to each Index, has the meaning set forth under “Reference Assets—Indices—Market Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” in the accompanying prospectus supplement

 

 

Calculation Agent:

Barclays Bank PLC

 

 

CUSIP/ISIN:

06741WBT6 / US06741WBT62

 

*                  Subject to postponement, as described under “Additional Terms of the Notes—Reference Asset Business Days and Market Disruption Events” in this pricing supplement.

 

GRAPHIC

 



 

ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES

 

You should read this pricing supplement together with the prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013, the prospectus addendum dated February 3, 2015 and the index supplement dated July 19, 2013 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part.  This pricing supplement, together with the documents listed below, contains the terms of the Notes 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 under “Risk Factors” in the prospectus supplement, the prospectus addendum and the index supplement, as the Notes 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 Notes.

 

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

 

·                  Prospectus dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm

 

·                  Prospectus Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm

 

·                  Prospectus Addendum dated February 3, 2015:

http://www.sec.gov/Archives/edgar/data/312070/000119312515031134/d864437d424b3.htm

 

·                  Index Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295727/d570220d424b3.htm

 

Our SEC file number is 1-10257.  As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to Barclays Bank PLC.

 



 

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 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, including the tenor of the Notes and 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-9 of this pricing supplement.

 

CONSENT TO U.K. BAIL-IN POWER

 

Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the entity’s failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K. banking system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent by the winding up of the entity. Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power.  The U.K. Bail-in Power includes any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment in the Notes or receive a different security, 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 its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes.

 

By your acquisition of the Notes, you acknowledge, agree to be bound by, and consent to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority.

 

This is only a summary. For more information, please see “Selected Risk Considerations—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 and the full definition of “U.K. Bail-in Power” as well as the risk factors in the accompanying prospectus addendum.

 

PS-1



 

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 level of either Index will fall below its Coupon Barrier Level on any Observation Date or its Barrier Level on the Final Valuation Date

·                  You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Level of only one Index is less than its Coupon Barrier Level on an Observation Date and (b) the payment at maturity will be based solely on the Index Return of the Lesser Performing Index

·                  You are willing to accept the risks associated with an investment linked to the performance of the Indices

·                  You are willing to accept the risk that the Notes may be automatically called 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 the Notes are not automatically called

·                  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 Continent Coupons that may be payable on the Notes

·                  You anticipate that the level of at least one Index will decline during the term of the Notes such that the level of at least one Index is less than its Coupon Barrier Level on one or more Observation Dates and/or less than its Barrier Level on the Final Valuation Date

·                  You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Indices

·                  You are unwilling or unable to accept the risk that negative performance of only one Index may cause you to not receive Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of the other Index

·                  You are unwilling or unable to accept the risk that the Notes may be automatically called 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 they are not automatically called

·                  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, the prospectus addendum 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

 

·                  Reference Asset Business Days and Market Disruption Events—The Observation Dates (including the Final Valuation Date), the Contingent Coupon Payment Dates, any Call Settlement Date and the Maturity Date are subject to adjustment in the event that a scheduled Observation Date is not a Reference Asset Business Day or if a Market Disruption Event occurs or is continuing with respect to either Index on a scheduled Observation Date.

 

If a scheduled Observation Date is not a Reference Asset Business Day, the Observation Date will be the next following Reference Asset Business Day. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing with respect to either Index on an Observation Date, the relevant Observation Date will be postponed.  If such postponement occurs, the Closing Levels of the Indices shall be determined using the Closing Levels on the first following Reference Asset Business Day on which no Market Disruption Event occurs or is continuing with respect to either Index.  In no event, however, will an Observation Date be postponed by more than five Reference Asset Business Days.  If the Calculation Agent determines that a

 

PS-2



 

Market Disruption Event occurs or is continuing in respect of either Index on such fifth day, the Calculation Agent will determine the Closing Level of any Index unaffected by such Market Disruption Event using the Closing Level on such fifth day, and will make an estimate of the Closing Level of any Index affected by such Market Disruption Event that would have prevailed on such fifth day in the absence of such Market Disruption Event.

 

In the event that an Observation Date (other than the Final Valuation Date) is postponed, the applicable Contingent Coupon Payment Date (and Call Settlement Date, if applicable) will be the fifth Business Day following the relevant Observation Date, as postponed. If the final Observation Date (the Final Valuation Date) is postponed, the Maturity Date will be postponed such that the number of business days between the Final Valuation Date and the Maturity Date remains the same.

 

Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be postponed by up to five Reference Asset Business Days, as described above.

 

For a description of what constitutes a Market Disruption Event with respect to an Index, see “Reference Assets—Indices—Market Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” in the accompanying prospectus supplement.

·                  Adjustments to the Indices—Each Index and the Notes are subject to adjustment under certain circumstances, as described under “Reference Assets—Indices—Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices” in the accompanying prospectus supplement.

 

PS-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 Level of each Index: 100.00*

 

§                  Coupon Barrier Level for each Index: 75.00 (75.00% of the hypothetical Initial Level set forth above)

 

§                  Contingent Coupon: $16.875 per $1,000 principal amount Note (1.6875% of the principal amount per Note )

 

* The hypothetical Initial Level of 100.00 and the hypothetical Coupon Barrier Level of 75.00 for each Index have been chosen for illustrative purposes only. The actual Initial Level and Coupon Barrier Level for each Index are as set forth on the cover of this pricing supplement.

 

Example 1: The Closing Level of each Index is greater than its Coupon Barrier Level on the relevant Observation Date.

 

Reference Asset

 

 

Closing Level on Relevant
Observation Date

Russell 2000 Index

 

 

95.00

S&P 500 Index

 

 

105.00

 

Because the Closing Level of each Index is greater than its respective Coupon Barrier Level, you will receive a Contingent Coupon of $16.875, or 1.6875% of the principal amount per Note, on the related Contingent Coupon Payment Date.

 

Example 2: The Closing Level of one Index is greater than its Coupon Barrier Level on the relevant Observation Date and the Closing Level of the other Index is less than its Coupon Barrier Level.

 

Reference Asset

 

 

Closing Level on Relevant
Observation Date

Russell 2000 Index

 

 

105.00

S&P 500 Index

 

 

55.00

 

Because the Closing Level of one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.

 

Example 3: The Closing Level of each Index is less than its Coupon Barrier Level on the relevant Observation Date.

 

Reference Asset

 

 

Closing Level on Relevant
Observation Date

Russell 2000 Index

 

 

55.00

S&P 500 Index

 

 

50.00

 

Because the Closing Level of at least one Index is less than its Coupon Barrier Level, 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 Level of either Index is below its Coupon Barrier Level on each Observation Date, you will not receive any Contingent Coupons during the term of your Notes.

 

In each of the examples above, because the Closing Level of at least one Index is below its Initial Level on the relevant Observation Date, the Notes would not be called on the related Contingent Coupon Payment Date. Your Notes will be automatically called only if the Closing Level of each Index on any Observation Date prior to the Final Valuation Date, beginning with the fourth Observation Date, is equal to or greater than its respective Initial Level.

 

PS-4



 

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE UPON AUTOMATIC CALL OR AT MATURITY

 

The following table illustrates the hypothetical total return upon an automatic call or at maturity under various circumstances.  The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the aggregate payments per $1,000 principal amount Note to $1,000.  The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes.  The numbers appearing in the following tables and examples have been rounded for ease of analysis.  The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:

 

§                  Contingent Coupon: $16.875 per $1,000 principal amount Note

 

§                  Redemption Price: $1,000 plus the Contingent Coupon that is otherwise payable on the Call Settlement Date

 

§                  Hypothetical Initial Level of each Index: 100.00*

 

§                  Coupon Barrier Level for each Index: 75.00

 

§                  Barrier Level for each Index: 60.00

 

* The hypothetical Initial Level of 100.00, the hypothetical Coupon Barrier Level of 75.00 and the hypothetical Barrier Level of 60.00 for each Index have been chosen for illustrative purposes only. The actual Initial Level, Coupon Barrier Level and Barrier Level for each index are as set forth on the cover of this pricing supplement.

 

 

Examples Where the Notes are Automatically Called Prior to Maturity

 

Example 1: The Notes are automatically called on the fourth Observation Date.

 

 

 

Closing Level

 

 

Observation Date

 

Russell 2000 Index

S&P 500 Index

 

Payment on Contingent Coupon Payment Date

(per $1,000 principal amount Note)

1

 

55.00

80.00

 

$0.00

2

 

75.00

55.00

 

$0.00

3

 

105.00

110.00

 

$16.875

4

 

110.00

108.00

 

$1,016.875

 

Because the Closing Level of each Index is equal to or greater than its Initial Level on the fourth Observation Date (the first Observation Date on which the Notes may be called), the Notes are called on the related Call Settlement Date. On the Call Settlement Date, you will receive the applicable Redemption Price of $1,016.875 per $1,000 principal amount Note that you hold.

 

The Notes will cease to be outstanding after the related Call Settlement Date, and you will not receive any further payments on the Notes.

 

The total return on investment of the Notes is 3.375%.

 

Example 2: The Notes are automatically called on the tenth Observation Date.

 

 

 

Closing Level

 

 

Observation Date

 

Russell 2000 Index

S&P 500 Index

 

Payment on Contingent Coupon Payment Date

(per $1,000 principal amount Note)

1

 

103.00

80.00

 

$16.875

2

 

70.00

75.00

 

$0.00

3

 

76.00

80.00

 

$16.875

4

 

80.00

65.00

 

$0.00

5

 

75.00

70.00

 

$0.00

6

 

77.00

65.00

 

$0.00

7

 

85.00

75.00

 

$16.875

8

 

75.00

70.00

 

$0.00

9

 

85.00

80.00

 

$16.875

10

 

110.00

102.00

 

$1,016.875

 

Because the Closing Level of each Index is equal to or greater than its Initial Level on the tenth Observation Date, the Notes are called on the related Call Settlement Date. On the Call Settlement Date, you will receive the applicable Redemption price of $1,016.875 per $1,000 principal amount Note that you hold.

 

The Notes will cease to be outstanding after the related Call Settlement Date, and you will not receive any further payments on the Notes.

 

The total return on investment of the Notes is 8.4375%.

 

PS-5



 

Examples Where the Notes are Not Automatically Called Prior to Maturity

 

Example 1: The Notes are NOT automatically called and the Final Level of the Lesser Performing Index is NOT less than its Barrier Level.

 

 

 

Closing Level

 

 

Observation Date

 

Russell 2000 Index

S&P 500 Index

 

Payment on Contingent Coupon Payment Date

(per $1,000 principal amount Note)

1

 

93.00

110.00

 

$16.875

2

 

70.00

85.00

 

$0.00

3

 

70.00

70.00

 

$0.00

4

 

85.00

90.00

 

$16.875

5

 

70.00

80.00

 

$0.00

6

 

85.00

83.00

 

$16.875

7

 

73.00

80.00

 

$0.00

8

 

80.00

90.00

 

$16.875

9

 

70.00

85.00

 

$0.00

10

 

92.00

90.00

 

$16.875

11

 

82.00

85.00

 

$16.875

12

 

74.00

80.00

 

$0.00

13

 

80.00

79.00

 

$16.875

14

 

67.00

70.00

 

$0.00

15

 

80.00

70.00

 

$0.00

16

 

65.00

80.00

 

$0.00

17

 

70.00

70.00

 

$0.00

18

 

78.00

80.00

 

$16.875

19

 

105.00

95.00

 

$16.875

20 (Final Valuation Date)

 

90.00

80.00

 

$1,016.875

 

Because the Closing Level of at least one Index is less than its Initial Level on each Observation Date between the fourth Observation Date and the Final Valuation Date, the Notes are not automatically called prior to maturity.

 

Because the S&P 500 Index has the lower Index Return, the S&P 500 Index is the Lesser Performing Index.  Because the Final Level of the Lesser Performing Index is not less than its Barrier Level, 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).

 

The total return on investment of the Notes is 16.875%.

 

PS-6



 

Example 2: The Notes are NOT automatically called and the Final Level of the Lesser Performing Index is less than its Barrier Level.

 

 

 

Closing Level

 

 

Observation Date

 

Russell 2000 Index

S&P 500 Index

 

Payment on Contingent Coupon Payment Date

(per $1,000 principal amount Note)

1

 

70.00

60.00

 

$0.00

2

 

75.00

51.00

 

$0.00

3

 

70.00

60.00

 

$0.00

4

 

65.00

50.00

 

$0.00

5

 

66.00

56.00

 

$0.00

6

 

65.00

50.00

 

$0.00

7

 

70.00

55.00

 

$0.00

8

 

55.00

70.00

 

$0.00

9

 

65.00

55.00

 

$0.00

10

 

72.00

57.00

 

$0.00

11

 

65.00

65.00

 

$0.00

12

 

60.00

60.00

 

$0.00

13

 

70.00

65.00

 

$0.00

14

 

65.00

60.00

 

$0.00

15

 

60.00

70.00

 

$0.00

16

 

56.00

70.00

 

$0.00

17

 

60.00

72.00

 

$0.00

18

 

68.00

70.00

 

$0.00

19

 

60.00

65.00

 

$0.00

20 (Final Valuation Date)

 

60.00

50.00

 

$500.00

 

Because the Closing Level of at least one Index is less than its Initial Level on each Observation Date between the fourth Observation Date and the Final Valuation Date, the Notes are not automatically called prior to maturity.

 

Because the S&P 500 Index has the lower Index Return, the S&P 500 Index is the Lesser Performing Index.  Because the Final Level of the Lesser Performing Index is less than its Barrier Level, you will receive a payment at maturity of $500.00 per $1,000.00 principal amount Note that you hold, calculated as follows:

 

$1,000 + [$1,000 x Index Return of the Lesser Performing Index]

$1,000 + [$1,000 x -50.00%] = $500.00

 

The total return on investment of the Notes is -50.00%.

 

Example 2 demonstrates that if the Notes are not called prior to maturity, and if the Final Level of the Lesser Performing Index is less than its Barrier Level, your Notes will be fully exposed to the negative performance of the Lesser Performing Index and you will lose some or all of in the principal amount of your Notes. Example 2 further demonstrates that if the Closing Level of at least one Index is less than its Coupon Barrier Level on each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.

 

If your Notes are not automatically called prior to maturity, you may lose up to 100% of the principal amount of your Notes.

 

PS-7



 

Additional Examples Where the Notes Are Not Automatically Called Prior to Maturity

 

The following table and examples are based upon the assumptions set forth above and further assume that the Notes have not been automatically called prior to maturity. These examples demonstrate hypothetical examples of amounts payable on the Notes at maturity given these assumptions.

 

Final Level

 

Index Return

 

 

Russell

2000 Index

S&P 500

Index

 

Russell

2000 Index

S&P 500

Index

 

Index Return of the

Lesser Performing Index

Payment at Maturity**

155.00

150.00

 

55.00%

50.00%

 

50.00%

$1,000.00

140.00

145.00

 

40.00%

45.00%

 

40.00%

$1,000.00

135.00

130.00

 

35.00%

30.00%

 

30.00%

$1,000.00

120.00

125.00

 

20.00%

25.00%

 

20.00%

$1,000.00

112.00

110.00

 

12.00%

10.00%

 

10.00%

$1,000.00

100.00

100.00

 

0.00%

0.00%

 

0.00%

$1,000.00

95.00

90.00

 

-5.00%

-10.00%

 

-10.00%

$1,000.00

80.00

102.00

 

-20.00%

2.00%

 

-20.00%

$1,000.00

70.00

105.00

 

-30.00%

5.00%

 

-30.00%

$1,000.00

60.00

80.00

 

-40.00%

-20.00%

 

-40.00%

$1,000.00

75.00

50.00

 

-25.00%

-50.00%

 

-50.00%

$500.00

40.00

50.00

 

-60.00%

-50.00%

 

-60.00%

$400.00

115.00

30.00

 

15.00%

-70.00%

 

-70.00%

$300.00

20.00

55.00

 

-80.00%

-45.00%

 

-80.00%

$200.00

50.00

10.00

 

-50.00%

-90.00%

 

-90.00%

$100.00

0.00

105.00

 

-100.00%

5.00%

 

-100.00%

$0.00

 

**   Per $1,000 principal amount Note, and 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 Level of the Russell 2000 Index is 120.00 and the Final Level of the S&P 500 is 125.00.

 

Because the Russell 2000 Index has the lower Index Return, the Russell 2000 Index is the Lesser Performing Index. Because the Final Level of the Lesser Performing Index is greater than its Initial Level (and, accordingly, not less than its Barrier Level), 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 Level of the Russell 2000 Index is 70.00 and the Final Level of the S&P 500 Index is 105.00.

 

Because the Russell 2000 Index has the lower Index Return, the Russell 2000 Index is the Lesser Performing Index.  Because the Final Level of the Lesser Performing Index is greater than its Barrier Level, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold.

 

Because, however, the Final Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the Maturity Date.

 

Example 3: The Final Level of the Russell 2000 Index is 75.00 and the Final Level of the S&P 500 Index is 50.00.

 

Because the S&P 500 Index has the lower Index Return, the S&P 500 Index is the Lesser Performing Index.  Because the Final Level of the Lesser Performing Index is less than its Barrier Level, you will receive a payment at maturity of $500.00 per $1,000 principal amount Note, calculated as follows:

 

$1,000 + [$1,000 x Index Return of the Lesser Performing Index]

$1,000 + [$1,000 x -50.00%] = $500.00

 

In addition, because the Final Level of at least one Index is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the Maturity Date.

 

Example 3 demonstrates that, if the Notes are not automatically called and if the Final Level of the Lesser Performing Index is less than its Barrier Level, your investment in the Notes will be fully exposed to the negative performance of the Lesser Performing Index. You will not benefit in any way from the Index Return of the other Index being higher than the Index Return of the Lesser Performing Index.

 

If the Notes are not called prior to maturity, you may lose up to 100% of the principal amount of your Notes.

 

PS-8



 

SELECTED RISK CONSIDERATIONS

 

An investment in the Notes involves significant risks.  Investing in the Notes is not equivalent to investing directly in the Indices or their components.  These risks are explained in more detail in the “Risk Factors” section of the prospectus supplement, prospectus addendum and index supplement, including the risk factors discussed under the following headings of the prospectus supplement (unless otherwise noted):

 

·                  “Risk Factors—Risks Relating to All Securities”;

·                  “Risk Factors—Additional Risks Relating to Securities with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds”;

·                  “Risk Factors—Additional Risks Relating to Securities with More Than One Reference Asset, Where the Performance of the Security is Based on the Performance of Only One Reference Asset”;

·                  Risk Factors—Additional Risks Relating to Securities with a Barrier Percentage or a Barrier Level”;

·                  “Risk Factors—Additional Risks Relating to Securities Which We May Call or Redeem (Automatically or Otherwise)”;

·                  “Risk Factors—Additional Risks Relating to Notes Which Are Not Characterized as Being Fully Principal Protected or Are Characterized as Being Partially Protected or Contingently Protected”; and

·                  “Risk Factors—Under The Terms of the Notes, 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 addendum).

 

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.  The payment at maturity depends on whether the Final Level of the Lesser Performing Index is less than its Barrier Level.  If the Final Level of the Lesser Performing Index is less than its Barrier Level, your Notes will be fully exposed to the decline of such Index from its Initial Level to its Final Level 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 level of either Index 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 Index Return of one or both Indices is positive.

·                  You May Not Receive any Contingent Coupon Payments on the Notes—You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the Closing Level of each Index on the related Observation Date is equal to or greater than its respective Coupon Barrier Level. If the Closing Level of either Index on an Observation Date is less than its Coupon Barrier Level, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Level of at least one Index is less than its respective Coupon Barrier Level on each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.

·                  Potential Early Exit—While the original term of the Notes is as indicated on the cover page of this pricing supplement, the Notes will be automatically called if the Closing Level of each Index on any Observation Date prior to the Final Valuation Date, beginning with the fourth Observation Date, is equal to or greater than its Initial Level, as described above. Accordingly, the term of the Notes may be as short as approximately one year.

 

The Redemption Price that you receive on a Call Settlement Date, together with any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than the aggregate amount of payments that you would have received had you held your Notes to maturity. You may not be able to reinvest any amounts received on the Call Settlement Date in a comparable investment with similar risk and yield. No additional payments will be due after the relevant Call Settlement Date.  The “automatic call” feature may also adversely impact your ability to sell your Notes and the price at which they may be sold.

·                  If Your Notes are not Automatically Called Prior to Maturity, the Payment at Maturity is not Based on the Level of either Index at any Time Other than the Closing Level of the Lesser Performing Index on the Final Valuation Date—The Final Levels and Index Returns of the Indices (and, accordingly, the Index Return of the Lesser Performing Index) will be based solely on the Closing Levels of the Indices on the Final Valuation Date.  Accordingly, if the level of the Lesser Performing Index drops precipitously on the Final Valuation Date, the payment at maturity that you will receive, if any, may be significantly less than it would have been had your payment at maturity been linked to the level of such Index at a time prior to such drop.

 

If your Notes are not automatically called prior to maturity, your payment at maturity will be based solely on the Index Return of the Lesser Performing Index. If the Final Level of the Lesser Performing Index is less than the Barrier Level applicable to such Index, 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 Index Return of the other Index being higher than the Index Return of the Lesser Performing Index.

·                  Whether or Not the Notes Will be Automatically Called Prior to Maturity Will Not be Based on the Level of Either Index at Any Time Other than the Closing Levels of the Indices on the applicable Observation Date—Whether or not the Notes are automatically called prior to maturity will be based solely on the Closing Levels of the Indices on each Observation Date in

 

PS-9



 

respect of which the Notes may be called.  Accordingly, if the level of either Index drops on any Observation Date on which the Notes may be called such that the Closing Level of such Index falls below the applicable Initial Level, your Notes will not be called on such date.

·                  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 automatic call or at maturity, depends on 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—Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the entity’s failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K. banking system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent by the winding up of the entity.  Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power.  The U.K. Bail-in Power includes any statutory write-down and conversion power which allows for the cancellation of all, or a portion, of any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment in the Notes or receive a different security, 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 its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes.

 

By your acquisition of the Notes, you acknowledge, agree to be bound by, and consent to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. 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 relating to the Notes) 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. Accordingly, your rights as a holder of the Notes are subject to, and will be varied, if necessary, so as to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. Please see “Consent to U.K. Bail-in Power” in this pricing supplement and the risk factors in the accompanying prospectus addendum for more information.

·                  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 stocks underlying either Index would have.

·                  Historical Performance of the Indices Should Not Be Taken as Any Indication of the Future Performance of the Indices Over the Term of the Notes—The level of each Index has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of an Index is not an indication of the future performance of that Index over the term of the Notes.  The historical correlation between the Indices is not an indication of the future correlation between them over the term of the Notes.  Therefore, the performance of the Indices individually or in comparison to each other over the term of the Notes may bear no relation or resemblance to the historical performance of either Index.

·                  The Notes are Subject to Risks Associated with Small Capitalization Stocks—The Russell 2000 Index is intended to track the small capitalization segment of the U.S. equity market. The stock prices of smaller sized companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies may be less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

·                  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.

 

PS-10



 

·                  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 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 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.  Additionally, the role played by Barclays Capital Inc., as a dealer in the Notes, could present it with 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 and such compensation or financial benefit may serve as an incentive to sell these Notes instead of other investments.  We may pay dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the Notes.  Furthermore, we and our affiliates make markets in and trade various financial instruments or products for their own accounts and for the account of their 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, instruments or assets that may serve as the underliers, basket underliers or constituents of the underliers of the Notes.  Such market making, trading activities, other investment banking and financial services may negatively impact the value of the Notes.  Furthermore, in any such market making, trading activities, and other 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 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.

·                  Additional Potential Conflicts—In addition to the variety of roles that we and our affiliates play in connection with the issuance of the Notes described above, we also act as calculation agent and may enter into transactions to hedge our obligations under the Notes.  In performing these varied duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.

·                  Lack of Liquidity—The Notes will not be listed on any securities exchange.  Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice.  Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily.  Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments.  Accordingly, you should be able and willing to hold your Notes to maturity.

 

PS-11



 

Taxes—The U.S. federal income tax treatment of the Notes is uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described above.  As discussed further in the accompanying prospectus supplement, the Internal Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue interest over the term of an instrument such as the Notes at a rate that may exceed the Contingent Coupons (if any) that you receive on the Notes and whether all or part of the gain you may recognize upon the sale, redemption or maturity of an instrument such as the Notes should be treated as ordinary income.  Similarly, the Internal Revenue Service and the Treasury Department have current projects open with regard to the tax treatment of pre-paid forward contracts and contingent notional principal contracts.  While it is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the Notes (and while any such guidance may be issued on a prospective basis only), such guidance could be applied retroactively and could in any case (i) require you to accrue income in respect of the Notes even if you do not receive any payments with respect to the Notes until redemption or maturity and (ii) require you to accrue income in respect of the Notes in excess of any Contingent Coupons you receive on the Notes.  The outcome of this process is uncertain.  In addition, any character mismatch arising from your inclusion of ordinary income in respect of any Contingent Coupons and capital loss (if any) upon the sale, redemption or maturity of your Notes may result in adverse tax consequences to you because an investor’s ability to deduct capital losses is subject to significant limitations.  You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.

·                  Many Economic and Market Factors Will Impact the Value of the Notes—In addition to the levels of the Indices on any day, 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 expected volatility of the Indices and the stocks underlying the Indices;

o                the time to maturity of the Notes;

o                the market price and dividend rate on the stocks underlying the Indices;

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.

 

PS-12



 

INFORMATION REGARDING THE INDICES

 

The Russell 2000® Index

 

The Russell 2000 Index is designed to track the performance of the small capitalization segment of the U.S. equity market.

 

For more information about the Russell 2000 Index, the index sponsor and license agreement between the index sponsor and the Issuer,  as well as certain risk factors that you should consider, see “Reference Assets—Non-Proprietary Indices—Equity Indices—Russell 2000® Index” and “Risk Factors” on page IS-31 and IS-2, respectively, of the accompanying index supplement.

 

Historical Performance of the Russell 2000 Index

 

The table below shows the high, low and final Closing Level of the Russell 2000 Index, rounded to two decimal places, for each of the periods noted below. The graph below sets forth the historical performance of the Russell 2000 Index based on daily Closing Levels from January 1, 2011 through May 25, 2016. We obtained the Closing Levels 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, 2011

843.55

773.18

843.55

June 30, 2011

865.29

777.20

827.43

September 30, 2011

858.11

643.42

644.16

December 31, 2011

765.43

609.49

740.92

March 31, 2012

846.13

747.28

830.30

June 30, 2012

840.63

737.24

798.49

September 30, 2012

864.70

767.75

837.45

December 31, 2012

852.49

769.48

849.35

March 31, 2013

953.07

872.60

951.54

June 30, 2013

999.99

901.51

977.48

September 30, 2013

1,078.41

989.54

1,073.79

December 31, 2013

1,163.64

1,043.46

1,163.64

March 31, 2014

1,208.65

1,093.59

1,173.04

June 30, 2014

1,192.96

1,095.99

1,192.96

September 30, 2014

1,208.15

1,101.68

1,101.68

December 31, 2014

1,219.11

1,049.30

1,204.70

March 31, 2015

1,266.37

1,154.71

1,252.77

June 30, 2015

1,295.80

1,215.42

1,253.95

September 30, 2015

1,273.33

1,083.91

1,100.69

December 31, 2015

1,204.16

1,097.55

1,135.89

March 31, 2016

1,114.03

953.72

1,114.03

May 25, 2016*

1,154.15

1,092.79

1,141.02

* For the period beginning on April 1, 2016 and ending on May 25, 2016

 

Historical Performance of the Russell 2000® Index

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

 

PS-13



 

The S&P 500® Index

 

The S&P 500 Index is intended to provide an indication of the pattern of stock price movement in the U.S. equities market. The daily calculation of the level of the S&P 500 Index is based on the aggregate market value of the common stocks of 500 leading companies in leading industries of the U.S. economy as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.

 

For more information about the S&P 500 Index, the index sponsor and license agreement between the index sponsor and the Issuer, as well as certain risk factors that you should consider, see “Non-Proprietary Indices—Equity Indices—S&P 500® Index” and “Risk Factors” on page IS-36 and IS-2, respectively, of the accompanying index supplement.

 

Historical Performance of the S&P 500 Index

 

The table below shows the high, low and final Closing Level 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 Levels from January 1, 2011 through May 25, 2016. We obtained the Closing Levels 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, 2011

1,343.01

1,256.88

1,325.83

June 30, 2011

1,363.61

1,265.42

1,320.64

September 30, 2011

1,353.22

1,119.46

1,131.42

December 31, 2011

1,285.09

1,099.23

1,257.60

March 31, 2012

1,416.51

1,277.06

1,408.47

June 30, 2012

1,419.04

1,278.04

1,362.16

September 30, 2012

1,465.77

1,334.76

1,440.67

December 31, 2012

1,461.40

1,353.33

1,426.19

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

May 25, 2016*

2,102.40

2,040.04

2,090.54

* For the period beginning on April 1, 2016 and ending on May 25, 2016

 

 

Historical Performance of the S&P 500® Index

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

 

PS-14



 

MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS

 

The material tax consequences of your investment in the Notes are summarized below.  The discussion below supplements the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.  Except as noted under “Non-U.S. Holders” below, this section applies to you only if you are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Notes in the initial issuance of the Notes).  In addition, this discussion does not apply to you if you purchase your Notes for less than the principal amount of the Notes.

 

The U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described below.  Pursuant to the terms of the Notes, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or judicial ruling to the contrary, to characterize your Notes as a contingent income-bearing derivative contract with respect to the Indices.

 

If your Notes are properly treated as a contingent income-bearing derivative contract, you will likely be taxed on any Contingent Coupons you receive on the Notes as ordinary income in accordance with your regular method of accounting for U.S. federal income tax purposes.  In addition, you should recognize gain or loss upon the sale, redemption or maturity of your Notes in an amount equal to the difference (if any) between the amount you receive at such time and your tax basis in the Notes.  Such gain or loss should generally be long-term capital gain or loss if you have held your Notes for more than one year, except that it is possible that you should recognize ordinary income upon the sale of your Notes to the extent a portion of the sale proceeds relates to accrued Contingent Coupons that you have not yet included in ordinary income.  Any character mismatch arising from your inclusion of ordinary income in respect of any Contingent Coupons and capital loss (if any) upon the sale, redemption or maturity of your Notes may result in adverse tax consequences to you because an investor’s ability to deduct capital losses is subject to significant limitations.

 

In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described above.  This opinion assumes that the description of the terms of the Notes in this pricing supplement is materially correct.

 

NO STATUTORY, JUDICIAL OR ADMINISTRATIVE AUTHORITY DIRECTLY DISCUSSES HOW YOUR NOTES SHOULD BE TREATED FOR U.S. FEDERAL INCOME TAX PURPOSES.  AS A RESULT, THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF YOUR INVESTMENT IN THE NOTES ARE UNCERTAIN.  ACCORDINGLY, WE URGE YOU TO CONSULT YOUR TAX ADVISOR AS TO THE TAX CONSEQUENCES OF INVESTING IN THE NOTES.

 

Alternative Treatments.  As discussed further in the accompanying prospectus supplement, the Treasury Department and the Internal Revenue Service are actively considering various alternative treatments that may apply to instruments such as the Notes, possibly with retroactive effect.  Other alternative treatments for your Notes may also be possible under current law.  For example, it is possible that the Notes could be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments.  Under the contingent payment debt instrument rules, you generally would be required to accrue interest on a current basis in respect of the Notes over their term based on the comparable yield and projected payment schedule for the Notes and pay tax accordingly, even though these amounts may exceed the Contingent Coupons (if any) that are paid on the Notes.  You would also be required to make adjustments to your accruals if the actual amounts that you receive in any taxable year differ from the amounts shown on the projected payment schedule.  In addition, any gain you may recognize on the sale, redemption or maturity of the Notes would be taxed as ordinary interest income and any loss you may recognize on the sale, redemption or maturity of the Notes would generally be ordinary loss to the extent of the interest you previously included as income without an offsetting negative adjustment and thereafter would be capital loss.  You should consult your tax advisor as to the special rules that govern contingent payment debt instruments.

 

It is also possible that your Notes could be treated as an investment unit consisting of (i) a debt instrument that is issued to you by us and (ii) a put option in respect of the Indices that is issued by you to us.  You should consult your tax advisor as to the possible consequences of this alternative treatment.

 

For a further discussion of the tax treatment of your Notes and the Contingent Coupons to be paid on the Notes as well as other possible alternative characterizations, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—Certain Notes Treated as Forward Contracts or Derivative Contracts” in the accompanying prospectus supplement.  You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.  For additional, important considerations related to tax risks associated with investing in the Notes, you should also examine the discussion in “Selected Risk Considerations—Taxes”, in this pricing supplement.

 

Non-U.S. Holders.  Barclays currently does not withhold on payments to non-U.S. holders in respect of instruments such as the Notes.  However, if Barclays determines that there is a material risk that it will be required to withhold on any such payments, Barclays may withhold on any Contingent Coupons at a 30% rate, unless you have provided to Barclays (i) a valid Internal Revenue Service Form W-8ECI or (ii) a valid Internal Revenue Service Form W-8BEN or Internal Revenue Service Form W-8BEN-E claiming tax treaty benefits that reduce or eliminate withholding.  If Barclays elects to withhold and you have provided Barclays with a valid Internal Revenue Service Form W-8BEN or Internal Revenue Service Form W-8BEN-E claiming tax treaty benefits that reduce or eliminate withholding, Barclays may nevertheless withhold up to 30% on any Contingent Coupons it pays to you if there is any possible characterization of the payments that would not be exempt from withholding under the treaty.  Non-U.S. holders will also be subject to the general rules regarding information reporting and backup withholding as described under the heading “Certain U.S. Federal Income Tax Considerations—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.

 

PS-15



 

The following replaces the discussion of Section 871(m) of the Internal Revenue Code in the accompanying prospectus supplement under “Certain U.S. Federal Income Tax Considerations—Tax Treatment of Non-U.S. Holders.”  The Treasury Department has issued regulations under Section 871(m) of the Internal Revenue Code which impose U.S. federal withholding tax on “dividend equivalent” payments made on certain financial instruments linked to U.S. corporations (which the regulations refer to as “specified ELIs”) that are owned by non-U.S. holders.  However, the regulations do not apply to “specified ELIs” issued prior to January 1, 2017; accordingly, non-U.S. holders of the Notes will not be subject to tax under Section 871(m) of the Internal Revenue Code.

 

 

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.

 

Notwithstanding anything to the contrary in “Plan of Distribution—Initial Offering and Issue of Securities” in the accompanying prospectus, the underwriting discount will be up to $36.25 per Note or 3.625% of the principal amount per Note, as described on the cover page of this pricing supplement.

 

In addition, as described on the cover page of this pricing supplement, the Agent may pay (and may be reimbursed by the Issuer for)  additional marketing, structuring, educational or other fees (collectively, “Marketing Fees”) of up to 0.50% of the principal amount per Note in connection with the distribution of the Notes by certain dealers participating in such distribution. With respect to each dealer participating in the distribution of the Notes, in no case will the sum of (a) the selling commissions and fees paid to that dealer and (b) the amount of Marketing Fees, if any, paid in connection with the distribution of Notes by that dealer exceed 4.125% of the principal amount per Note.

 

PS-16




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