Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee(1)
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Global Medium-Term Notes, Series A
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$12,353,000
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$1,591.07
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Pricing Supplement dated November 26, 2013
(To the Prospectus dated July 19, 2013 and the Prospectus Supplement dated July 19, 2013)
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-190038
$12,353,000 Barclays Bank PLC Trigger Phoenix Autocallable Optimization Securities
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Investment Description
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Features
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Key Dates
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q Contingent Coupon — Barclays Bank PLC will pay a quarterly contingent coupon payment only if the closing level of each Index on the applicable Observation Date (including the Final Valuation Date) is equal to or greater than the applicable Coupon Barrier. If the closing level of at least one Index is below the applicable Coupon Barrier, no coupon will accrue or be paid for that quarter.
q Automatic Call — Barclays Bank PLC will automatically call the Securities and repay your principal amount plus the contingent coupon otherwise due for that quarter only if the closing level of each Index on any quarterly Observation Date beginning after one year is greater than or equal to its Index Starting Level. If the Securities are not called, investors will have the potential for downside market exposure to the Lesser Performing Index at maturity.
q Contingent Repayment of Principal Amount at Maturity — If you hold the Securities to maturity, the Securities have not been called on any Observation Date and each Index closes at or above the applicable Trigger Level on the Final Valuation Date, Barclays Bank PLC will repay your full principal amount. If at least one Index closes below the applicable Trigger Level on the Final Valuation Date, Barclays Bank PLC will repay less than your principal amount, if anything, resulting in a loss of your principal that will be proportionate to the full negative Index Return of the Lesser Performing Index. 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 the Issuer.
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Trade Date: | November 26, 2013 | |
Settlement Date: | November 29, 2013 | ||
Observation Dates1: | Quarterly, commencing February 26, 2014
(callable beginning November 26, 2014)
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Final Valuation Date1: | November 27, 2023 | ||
Maturity Date1: | November 30, 2023 | ||
1 Subject to postponement in the event of a market disruption event as described under “Reference Assets—Indices—Market Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” and “Reference Assets—Baskets—Market Disruption Events for Securities with the Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, Any Other Assets or Any Combination Thereof” in the prospectus supplement. For purposes of such market disruption event provisions in the prospectus supplement only, each Index will be deemed a “basket component,” together comprising a “basket.” The Securities do NOT represent an investment in a basket of the Indices or the stocks included in the Indices. Notwithstanding anything to the contrary in the accompanying Prospectus Supplement, the Final Valuation Date may be postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on such date.
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Security Offering
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Index
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Contingent Coupon Rate
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Index Starting Level
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Coupon Barrier
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Trigger Level
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CUSIP/ ISIN
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Russell 2000® Index (ticker “RTY”)
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7.50%
per annum
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1,134.53
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794.17, which is 70% of the Index Starting Level
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567.27, which is 50% of the Index Starting Level
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06742E513 / US06742E5134
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EURO STOXX 50® Index (ticker “SX5E”)
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3,062.62
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2,143.83, which is 70% of the Index Starting Level
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1,531.31, which is 50% of the Index Starting Level
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Initial Issue Price1
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Underwriting Discount
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Proceeds to Barclays Bank PLC
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||||
Offering of Securities
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Trigger Phoenix Autocallable Optimization Securities linked to the lesser performing of the Russell 2000® Index and the EURO STOXX 50® Index
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$12,353,000
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$10.00
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$432,355
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$0.35
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$11,920,645
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$9.65
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1
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Our estimated value of the Securities on the Trade Date, based on our internal pricing models, is $9.408 per Security. The estimated value is less than the initial issue price of the Securities. See “Additional Information Regarding Our Estimated Value of the Securities” on page PS-2 of this pricing supplement.
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UBS Financial Services Inc. | Barclays Capital Inc. |
Additional Information about Barclays Bank PLC and the Securities
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¨
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Prospectus dated July 19, 2013:
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¨
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Prospectus supplement dated July 19, 2013:
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¨
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Index supplement dated July 19, 2013:
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Additional Information Regarding Our Estimated Value of the Securities
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Investor Suitability
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The Securities may be suitable for you if:
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The Securities may not be suitable for you if:
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¨ 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 the loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside market risk as the Lesser Performing Index.
¨ You are willing to accept the individual market risk of each Index and understand that any depreciation of one Index will not be offset by a lesser depreciation or any potential appreciation of the other Index.
¨ You believe each Index will close at or above the applicable Coupon Barrier on the specified Observation Dates, and you believe each Index will close at or above the applicable Trigger Level on the Final Valuation Date.
¨ You are willing to hold securities that will be called on the earliest Observation Date after 1 year on which each Index closes at or above its Index Starting Level, or you are otherwise willing to hold such securities to maturity, a term of approximately 10 years, and accept that there may be little or no secondary market for the Securities.
¨ You understand and accept that you will not participate in any appreciation of either Index, which may be significant, and are willing to make an investment whose return is limited to the applicable contingent coupon payments.
¨ You are willing to invest in the Securities based on the Contingent Coupon Rate specified on the cover of this pricing supplement.
¨ You are willing to forgo any dividends paid on the stocks included in the Indices.
¨ You do not seek guaranteed current income from this investment.
¨ You are willing 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 defaults on its payment obligations, you may not receive any payments due to you, including any repayment of principal.
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¨ 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 seek an investment designed to provide a full return of principal at maturity.
¨ You cannot tolerate the loss of all or a substantial portion of your investment, and you are not willing to make an investment that may have the same downside market risk as the Lesser Performing Index.
¨ You are unwilling to accept the individual market risk of each Index or do not understand that any depreciation of one Index will not be offset by a lesser depreciation or any potential appreciation of the other Index
¨ You do not believe each Index will close at or above the applicable Coupon Barrier on the specified Observation Dates, or you believe at least one Index will close below the applicable Trigger Level on the Final Valuation Date.
¨ You are unable or unwilling to hold securities that will be called on the earliest Observation Date after 1 year on which each Index closes at or above its Index Starting Level, or you are otherwise unable or unwilling to hold such securities to maturity, a term of approximately 10 years, and seek an investment for which there will be an active secondary market.
¨ You seek an investment that participates in the full appreciation of one or more of the Indices and whose return is not limited to the applicable contingent coupon payments.
¨ You are unwilling to invest in the Securities based on the Contingent Coupon Rate specified on the cover of this pricing supplement.
¨ You prefer to receive any dividends paid on the stocks included in one or more of the Indices.
¨ You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
¨ You seek guaranteed current income from your investment.
¨ You are not willing or are unable to assume the credit risk associated with Barclays Bank PLC, as Issuer of the Securities, for all payments under the Securities, including any repayment of principal.
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Final Terms1
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Issuer:
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Barclays Bank PLC
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Principal Amount per Security:
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$10.00 per Security (subject to minimum investment of 100 Securities)
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Term:
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Approximately 10 years, unless called earlier
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Indices2:
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The Russell 2000® Index and the EURO STOXX 50® Index
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Call Feature:
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The Securities will be called if the closing level of each Index on any Observation Date beginning after 1 year (November 26, 2014) is at or above its Index Starting Level. If the Securities are called, Barclays Bank PLC will pay on the applicable Call Settlement Date a cash payment per Security equal to the principal amount plus the contingent coupon otherwise due on the related Coupon Payment Date pursuant to the contingent coupon feature. No further amounts will be owed to you under the Securities.
The Securities will not be called if the closing level of at least one Index is below its Index Starting Level on the specified Observation Dates.
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Observation Dates3:
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The first Observation Date will occur on February 26, 2014; Observation Dates will occur quarterly thereafter as listed in the “Observation Dates/Coupon Payment Dates/Call Settlement Dates” section below. The final Observation Date, November 27, 2023, will be the “Final Valuation Date.”
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Call Settlement Dates:
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Two (2) business days following the applicable Observation Date; provided however, if the Securities are called on the Final Valuation Date, the related Call Settlement Date will be the Maturity Date
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Contingent Coupon:
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If the closing level of each Index is equal to or greater than the applicable Coupon Barrier on any Observation Date, Barclays Bank PLC will pay you the contingent coupon applicable to such Observation Date.
If the closing level of at least one Index is less than the applicable Coupon Barrier on any Observation Date, the contingent coupon applicable to such Observation Date will not accrue or be payable and Barclays Bank PLC will not make any payment to you on the related Coupon Payment Date.
The contingent coupon is a fixed amount based upon equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
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Coupon Barrier:
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In respect of each Index, 70% of the Index Starting Level of that Index, as specified on the cover of this pricing supplement
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Coupon Payment Dates:
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Two (2) business days following the applicable Observation Date; provided however, the final Coupon Payment Date will be the Maturity Date
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Contingent Coupon Rate:
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The Contingent Coupon Rate per annum is 7.50% per annum.
The table below sets forth the contingent coupon for each Security that would be payable for each Observation Date on which the closing level of each Index is equal to or greater than the applicable Coupon Barrier.
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Contingent Coupon
$0.1875
Contingent coupon payments on the Securities are not guaranteed. Barclays Bank PLC will not pay a contingent coupon for any Observation Date on which at least one of the Indices closes below its Coupon Barrier.
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Payment at Maturity (per Security):
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If the Securities are not called and the Index Ending Level of each Index is equal to or greater than both the applicable Trigger Level and the applicable Coupon Barrier, Barclays Bank PLC will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security plus the contingent coupon otherwise due for the final quarter.
If the Securities are not called and the Index Ending Level of each Index is equal to or greater than the applicable Trigger Level but the Index Ending Level of at least one Index is less than the applicable Coupon Barrier, Barclays Bank PLC will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security.
If the Securities are not called and the Index Ending Level of at least one Index is less than the applicable Trigger Level on the Final Valuation Date, Barclays Bank PLC will pay you a cash payment on the Maturity Date that is less than your principal amount, if anything, resulting in a loss of principal that is proportionate to the negative Index Return of the Lesser Performing Index; equal to:
$10.00 × (1 + Index Return of the Lesser Performing Index)
Accordingly, you may lose all or a substantial portion of your principal at maturity, depending on how much the closing level of the Lesser Performing Index declines from the Trade Date to the Final Valuation Date regardless of the performance of the other Index.
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Index Return:
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For each Index:
Index Ending Level – Index Starting Level
Index Starting Level
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Lesser Performing Index:
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The Index with the greater percentage decrease between its Index Starting Level and its Index Ending Level, as compared to the percentage decrease or increase between the Index Starting Level and Index Ending Level of the other Index
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Trigger Level:
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In respect of each Index, 50% of the Index Starting Level of that Index, as specified on the cover of this pricing supplement
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Index Starting Level:
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In respect of each Index, the closing level of that Index on the Trade Date, as specified on the cover of this pricing supplement
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Index Ending Level:
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In respect of each Index, the closing level of that Index on the Final Valuation Date
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1
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
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2
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For a description of adjustments that may affect the reference asset, see “Reference Assets—Indices—Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices” in the prospectus supplement.
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3
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Subject to postponement in the event of a market disruption event as described under “Reference Assets—Indices—Market Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” and “Reference Assets—Baskets—Market Disruption Events for Securities with the Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, Any Other Assets or Any Combination Thereof” in the prospectus supplement. For purposes of such market disruption event provisions in the prospectus supplement only, each Index will be deemed a “basket component,” together comprising a “basket.” The Securities do NOT represent an investment in a basket of the Indices or the stocks included in the Indices. Notwithstanding anything to the contrary in the accompanying Prospectus Supplement, the Final Valuation Date may be postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on such date.
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Investment Timeline
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Trade Date
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The closing level of each Index (the Index Starting Level) was observed, the Trigger Level and the Coupon Barrier of each Index were calculated and the Contingent Coupon Rate was determined.
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Quarterly (callable after 1 year)
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If the closing level of each Index is equal to or greater than the Coupon Barrier on any Observation Date, Barclays Bank PLC will pay you a contingent coupon payment on the applicable Coupon Payment Date.
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The Securities will be called if the closing level of each Index on any Observation Date on or after November 26, 2014, is equal to or greater than its Index Starting Level. If the Securities are called, Barclays Bank PLC will pay you a cash payment per Security equal to $10.00 plus the contingent coupon otherwise due on the related Coupon Payment Date.
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Maturity Date
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The Index Ending Level of each Index is determined as of the Final Valuation Date.
If the Securities have not been called and the Index Ending Level of each Index is equal to or greater than both the applicable Trigger Level and the applicable Coupon Barrier, Barclays Bank PLC will repay the principal amount equal to $10.00 per Security plus the contingent coupon otherwise due for the final quarter.
If the Securities have not been called and the Index Ending Level of each Index is equal to or greater than the applicable Trigger Level but the Index Ending Level of at least one Index is less than the applicable Coupon Barrier, Barclays Bank PLC will pay you a cash payment on the Maturity Date equal to $10.00 per Security.
If the Securities have not been called and the Index Ending Level of at least one Index is less than the applicable Trigger Level, Barclays Bank PLC will repay less than the principal amount, if anything, resulting in a loss of principal proportionate to the decline of the Lesser Performing Index, equal to:
$10.00 × (1 + Index Return of the Lesser Performing Index) per Security
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY CONTINGENT COUPON, PAYMENTS IN RESPECT OF AN AUTOMATIC CALL AND ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF BARCLAYS BANK PLC. IF BARCLAYS BANK PLC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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The Issuer will not pay a contingent coupon for any Observation Date on which at least one of the Indices closes below its Coupon Barrier. The Issuer will automatically call the Securities on any Observation Date after one year only if both of the Indices close at or above their respective Index Starting Levels on such Observation Date. You may lose some or all of your principal amount if the Securities are not called and the Index Ending Level of at least one of the Indices is below its Trigger Level.
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Observation Dates/Coupon Payment Dates/Call Settlement Dates
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Observation Dates
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Coupon Payment Dates/Call Settlement Dates*
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February 26, 2014*
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February 28, 2014*
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May 27, 2014*
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May 29, 2014*
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August 26, 2014*
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August 28, 2014*
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November 26, 2014
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December 1, 2014
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February 26, 2015
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March 2, 2015
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May 26, 2015
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May 28, 2015
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August 26, 2015
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August 28, 2015
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November 27, 2015
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December 1, 2015
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February 26, 2016
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March 1, 2016
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May 26, 2016
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May 31, 2016
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August 26, 2016
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August 31, 2016
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November 28, 2016
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November 30, 2016
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February 27, 2017
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March 1, 2017
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May 26, 2017
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May 31, 2017
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August 29, 2017
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August 31, 2017
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November 27, 2017
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November 29, 2017
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February 26, 2018
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February 28, 2018
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May 29, 2018
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May 31, 2018
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August 28, 2018
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August 30, 2018
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November 26, 2018
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November 28, 2018
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February 26, 2019
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February 28, 2019
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May 28, 2019
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May 30, 2019
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August 27, 2019
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August 29, 2019
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November 26, 2019
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November 29, 2019
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February 26, 2020
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February 28, 2020
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May 26, 2020
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May 28, 2020
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August 26, 2020
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August 28, 2020
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November 27, 2020
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December 1, 2020
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February 26, 2021
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March 2, 2021
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May 26, 2021
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May 28, 2021
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August 26, 2021
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August 31, 2021
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November 26, 2021
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November 30, 2021
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February 28, 2022
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March 2, 2022
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May 26, 2022
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May 31, 2022
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August 26, 2022
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August 31, 2022
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November 28, 2022
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November 30, 2022
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February 27, 2023
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March 1, 2023
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May 26, 2023
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May 31, 2023
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August 29, 2023
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August 31, 2023
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November 27, 2023
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November 30, 2023
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*
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The Securities are not callable until the fourth Observation Date, which is November 26, 2014. Thus, the first Call Settlement Date will be on or around December 1, 2014.
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Key Risks
|
¨
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You may lose some or all of your principal — The Securities differ from ordinary debt securities in that the Issuer will not necessarily pay the full principal amount at maturity. If the Securities are not called, the Issuer will only pay you the principal amount of your Securities if the Index Ending Level of each Index is equal to or greater than the applicable Trigger Level and will only make such payment at maturity. If the Securities are not called and the Index Ending Level of at least one Index is less than the applicable Trigger Level, you will lose some or all of your principal in an amount proportionate to the negative Index Return of the Lesser Performing Index. In that case, you will lose more than 50% and possibly all of your principal.
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¨
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If the Securities are not called, the payment at maturity, if any, is calculated based solely on the performance of the Lesser Performing Index — If the Securities are not called, the payment at maturity, if any, will be linked solely to the performance of the Lesser Performing Index. As a result, in the event that the Index Ending Level of at least one Index falls below the applicable Trigger Level, only the Index Return of the Lesser Performing Index will be used to determine the return on your Securities and you will not benefit from the performance of the other Index, even if the closing level of the other Index has an Index Ending Level that exceeds the applicable Trigger Level or its Index Starting Level.
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¨
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You may not receive any contingent coupons — For any Observation Date, Barclays Bank PLC will pay you the contingent coupon on the related Coupon Payment Date only if the closing level of each Index is equal to or greater than the applicable Coupon Barrier. If the closing level of at least one Index is less than the applicable Coupon Barrier on any Observation Date, then you will not receive any contingent coupon on the related Coupon Payment Date even if the other Index exceeds the applicable Coupon Barrier on such Observation Date. If the closing level of at least one Index is less than the applicable Coupon Barrier on each of the Observation Dates, Barclays Bank PLC will not pay you any contingent coupons during the term of the Securities, and you will not receive a positive return on your Securities. Generally, this non-payment of the contingent coupon coincides with a period of greater risk of principal loss on your Securities.
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¨
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Reinvestment risk — If your Securities are called early, the holding period over which you would receive the per annum Contingent Coupon Rate could be as little as one year. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Securities in a comparable investment with a similar level of risk in the event the Securities are called prior to the Maturity Date.
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¨
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Contingent repayment of principal applies only at maturity — You should be willing to hold your Securities to maturity. If you sell your Securities prior to maturity in the secondary market, if any, you may have to sell your Securities at a loss relative to your initial investment even if the level of each Index is above the applicable Trigger Level.
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¨
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Your potential return on the Securities is limited and you will not participate in any appreciation of either Index — The return potential of the Securities is limited to the pre-specified Contingent Coupon Rate, regardless of the appreciation of either Index. In addition, the total return on the Securities will vary based on the number of Observation Dates on which the closing level of each Index has equaled or exceeded the applicable Coupon Barrier prior to maturity or an automatic call. Further, if the Securities are called due to the automatic call feature, you will not receive any contingent coupons or any other payment in respect of any Observation Dates after the applicable Call Settlement Date. Because the Securities could be called as early as the fourth Observation Date, the total return on the Securities could be minimal. If the Securities are not called, you may be exposed to the decline in the Lesser Performing Index even though you cannot participate in any potential appreciation in the level of either Index. As a result, the return on an investment in the Securities could be less than the return on a hypothetical direct investment in one or both of the Indices.
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¨
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Higher Contingent Coupon Rates are generally associated with a greater risk of loss — Greater expected volatility with respect to the Indices reflects a higher expectation as of the Trade Date that the level of at least one Index could close below the applicable Trigger Level on the Final Valuation Date of the Securities. This greater expected risk will generally be reflected in a higher Contingent Coupon Rate for that security. However, while the Contingent Coupon Rate is a fixed amount set on the Trade Date, the Indices’ volatility may change significantly over the term of the Securities. The level of either Index could fall sharply, which could result in a significant loss of principal.
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¨
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Credit of Issuer — The Securities are 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 Securities, including contingent coupons and payments in respect of an automatic call or any repayment of principal, depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due. 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 amounts owed to you under the terms of the Securities and you could lose your entire investment.
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¨
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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 offer to purchase the Securities in the secondary market but are not required to do so and may cease any such market making activities at any time. 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.
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¨
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You are exposed to the market risk of each Index — Your return on the Securities is not linked to a basket consisting of the Indices. Rather, it will be contingent upon the performance of each Index on an individual basis. Unlike an instrument with a return linked to a basket of indices or other underlying assets where risk is mitigated and diversified among all of the components of the basket, by purchasing the Securities, you will be exposed equally to the risks related to each Index. Poor performance by any Index over the term of the Securities may negatively affect your return and will not be offset or mitigated by any increases or lesser declines in the level of the
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other Index. For Barclays Bank PLC to automatically call the Securities or to pay any contingent coupon payment, each Index is required to close above its Index Starting Level or Coupon Barrier, respectively, on the applicable Observation Date. In addition, if not called prior to maturity, you may incur a loss proportionate to the negative return of the Lesser Performing Index regardless of the performance of the other Index. Accordingly, your investment is subject to the market risk of each Index on an individual basis, and any declines in the level of an Index will not be offset by any increases or lesser declines in the level of the other Index.
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¨
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Because the Securities are linked to the performance of more than one Index, it is more likely that one of the Indices will decrease in value below its Coupon Barrier and/or Trigger Level — The risk that you will not receive any contingent coupons and lose some or all of your initial investment in the Securities is greater if you invest in the Securities as opposed to securities that are linked to the performance of a single Index if their terms are otherwise substantially similar. With a greater total number of Indices, it is more likely that one of the Indices will close below its Coupon Barrier on the specified Observation Dates or below its Trigger Level on the Final Valuation Date. Therefore, it is more likely that you will not receive a contingent coupon payment for some or all of the Observation Dates and receive an amount in cash at maturity that is worth less than your principal amount than if you had invested in a security with return based on the performance of a single Index.
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¨
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No assurance that the investment view implicit in the Securities will be successful — It is impossible to predict whether and the extent to which the level of either Index will rise or fall. The closing level of each Index will be influenced by complex and interrelated political, economic, financial and other factors that affect the Index. You should be willing to accept the downside risks of owning equities in general and each Index in particular, and the risk of losing some or all of your initial investment.
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¨
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Owning the Securities is not the same as owning the stocks included in one or both of the Indices — The return on your Securities may not reflect the return you would realize if you actually owned the stocks included in one or both of the Indices. For instance, as a holder of the Securities, you will not have voting rights, rights to receive cash dividends or other distributions, or any other rights that holders of the stocks included in an Index would have. Further, you will not participate in any appreciation of either Index, which could be significant, even though you may be exposed to any decline of the Lesser Performing Index at maturity.
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¨
|
The Indices reflect price return, not total return — The return on your Securities is based on the performance of the Indices, which reflect the changes in the market prices of their constituent stocks. It is not, however, linked to a “total return” index or strategy, which, in addition to reflecting those price returns, would also reflect dividends paid on the stocks included in the Indices. The return on your Securities will not include such a total return feature or dividend component.
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¨
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Dealer incentives — We, the Agents and affiliates of the Agents may 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. Such Agents, including the sales representatives of UBS Financial Services Inc., will derive compensation from the distribution of the Securities and such compensation may serve as an incentive to sell these Securities instead of other investments. We will pay compensation of $0.35 per Security to the Agents in connection with the distribution of the Securities, and such compensation may be passed on to affiliates of the Agents or other third party distributors.
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¨
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Potential Barclays Bank PLC impact on price — Trading or transactions by Barclays Bank PLC or its affiliates in the stocks included in the Indices and/or over-the-counter options, futures or other instruments with returns linked to the performance of the Indices or stocks included in the Indices, may adversely affect the market values of the stocks included in the Indices, the levels of the Indices and, therefore, the market value of the Securities.
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¨
|
Potential conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under the Securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Securities.
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¨
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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 each Index to which the Securities are linked.
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Tax treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax adviser about your tax situation.
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Many economic and market factors will impact the value of the Securities — In addition to the levels of the Indices 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:
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the expected volatility of the Indices;
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the correlation between the Indices;
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the time to maturity of the Securities;
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the market prices and dividend rates on the stocks included in the Indices;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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the supply and demand for the Securities; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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The Index Return for the EURO STOXX 50® Index will not be adjusted for changes in exchange rates relative to the U.S. dollar even though the stocks included in the EURO STOXX 50® Index are traded in a foreign currency and the Securities are denominated in U.S. dollars — The value of your Securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies in which the stocks included in the EURO STOXX 50® Index are based. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Securities, you will not receive any additional payment or incur any reduction in any payment with respect to the Securities.
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Non-U.S. securities markets risks — The stocks included in the EURO STOXX 50® Index are issued by non-U.S. companies and are traded on various non-U.S. exchanges. These stocks may be more volatile and may be subject to different political, market, economic, exchange rate, regulatory and other risks. Specifically, the index constituent stocks of the EURO STOXX 50® Index are issued by companies located within the Eurozone. The Eurozone is and has been undergoing severe financial stress, and the political, legal and regulatory ramifications are impossible to predict. Changes within the Eurozone could have a material adverse effect on the performance of the EURO STOXX 50® Index and, consequently, on the value of the Securities.
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The Securities are linked to the Russell 2000® Index and are subject to small-capitalization companies risk — The Russell 2000® Index tracks companies that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies, and therefore securities linked to the Russell 2000® Index may be more volatile than an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition, small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.
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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 may 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.
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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 which we may incur in hedging our obligations under the Securities, and estimated development and other costs which we may incur in connection with the Securities.
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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, which 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.
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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.
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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
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of future prices of your Securities. Please see “Additional Information Regarding Our Estimated Value of the Securities” on page PS-2 for further information.
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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 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. Additionally, the role played by Barclays Capital Inc., as a dealer in the Securities, could present it with 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 these Securities 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 Securities. 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 or constituents of the underliers of the Securities. Such market making, trading activities, other investment banking and financial services may negatively impact the value of the Securities. 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 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.
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Hypothetical Examples of How the Securities Perform
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Principal Amount:
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$10.00
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Term:
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Approximately 10 years, unless called earlier
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Russell 2000® Index (“RTY”): 1,134.53 |
Index Starting Level:
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EURO STOXX 50® Index (“SX5E”): 3,062.62 |
Contingent Coupon Rate:
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7.50% per annum (or 1.875% per quarter)
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Contingent Coupon:
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$0.1875 per quarter
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Observation Dates:
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Observation Dates will occur quarterly as set forth under “Final Terms” and “Observation Dates/Coupon Payment Dates/Call Settlement Dates” in this pricing supplement. The Securities will be callable beginning on the fourth Observation Date.
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Coupon Barrier:
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RTY: 794.17, which is 70% of the Index Starting Level.
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SX5E: 2,143.83, which is 70% of the Index Starting Level.
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Trigger Level:
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RTY: 567.27, which is 50% of the Index Starting Level.
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SX5E: 1,531.31, which is 50% of the Index Starting Level.
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Date
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Closing Level
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Payment (per Security)
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First Observation Date
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RTY: 1,150.00
SX5E: 3,100.00
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Closing level of each Index above applicable Index Starting Level, Securities NOT callable; closing level of each Index above applicable Coupon Barrier, Issuer pays contingent coupon payment of $0.1875 on first Coupon Payment Date.
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Second Observation Date
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RTY: 1,050.00
SX5E: 2,000.00
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Closing level of each Index below applicable Index Starting Level, Securities NOT callable; closing level of SX5E below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on second Coupon Payment Date.
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Third Observation Date
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RTY: 750.00
SX5E: 2,850.00
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Closing level of each Index below applicable Index Starting Level, Securities NOT callable; closing level of RTY below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on third Coupon Payment Date.
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Fourth Observation Date
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RTY: 1,200.00
SX5E: 3,100.00
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Closing level of each Index above applicable Index Starting Level, Securities called; Issuer repays principal plus pays contingent coupon payment of $0.1875 on Call Settlement Date.
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Total Payment (per $10.00 Security):
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$10.375 (3.75% total return on the Securities)
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Date
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Closing Level
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Payment (per Security)
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First Observation Date
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RTY: 1,150.00
SX5E: 3,100.00
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Closing level of each Index above applicable Index Starting Level, Securities NOT callable; closing level of each Index above applicable Coupon Barrier, Issuer pays contingent coupon payment of $0.1875 on first Coupon Payment Date.
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Second Observation Date
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RTY: 1,200.00
SX5E: 3,150.00
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Closing level of each Index above applicable Index Starting Level, Securities NOT callable; closing level of each Index above applicable Coupon Barrier, Issuer pays contingent coupon payment of $0.1875 on second Coupon Payment Date.
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Third Observation Date
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RTY: 1,250.00
SX5E: 2,000.00
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Closing level of SX5E below applicable Index Starting Level, Securities NOT callable; closing level of SX5E below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on third Coupon Payment Date.
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Fourth to thirty-ninth Observation Dates
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Various
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Closing level of at least one Index below applicable Index Starting Level on each Observation Date, Securities NOT called; closing level of at least one Index below applicable Coupon Barrier on each Observation Date, Issuer DOES NOT pay contingent coupon payment on any Coupon Payment Date immediately following the fourth through the thirty-ninth Observation Dates.
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Final Valuation Date
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RTY: 1,400.00
SX5E: 2,500.00
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Closing level of SX5E below applicable Index Starting Level, Securities NOT called; Index Ending Level of each Index above applicable Trigger Level and applicable Coupon Barrier, Issuer repays principal plus pays contingent coupon payment of $0.1875 on Maturity Date.
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Total Payment (per $10.00 Security):
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$10.5625 (5.625% total return on the Securities)
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Date
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Closing Level
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Payment (per Security)
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First Observation Date
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RTY: 1,150.00
SX5E: 3,100.00
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Closing level of each Index above applicable Index Starting Level, Securities NOT callable; closing level of each Index above applicable Coupon Barrier, Issuer pays contingent coupon payment of $0.1875 on first Coupon Payment Date.
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Second Observation Date
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RTY: 1,200.00
SX5E: 3,150.00
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Closing level of each Index above applicable Index Starting Level, Securities NOT callable; closing level of each Index above applicable Coupon Barrier, Issuer pays contingent coupon payment of $0.1875 on second Coupon Payment Date.
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Third Observation Date
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RTY: 1,250.00
SX5E: 2,000.00
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Closing level of SX5E below applicable Index Starting Level, Securities NOT callable; closing level of SX5E below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on third Coupon Payment Date.
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Fourth to thirty-ninth Observation Dates
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Various
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Closing level of at least one Index below applicable Index Starting Level on each Observation Date, Securities NOT called; closing level of at least one Index below applicable Coupon Barrier on each Observation Date, Issuer DOES NOT pay contingent coupon payment on any Coupon Payment Date immediately following the fourth through the thirty-ninth Observation Dates.
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Final Valuation Date
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RTY: 1,400.00
SX5E: 1,700.00
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Closing level of SX5E below applicable Index Starting Level, Securities NOT called; Index Ending Level of each Index above applicable Trigger Level; Index Ending Level of SX5E below applicable Coupon Barrier, Issuer repays principal on Maturity Date.
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Total Payment (per $10.00 Security):
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$10.375 (3.75% total return on the Securities)
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Date
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Closing Level
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Payment (per Security)
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First Observation Date
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RTY: 700.00
SX5E: 3,100.00
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Closing level of RTY below applicable Index Starting Level, Securities NOT callable; closing level of RTY below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on first Coupon Payment Date.
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Second Observation Date
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RTY: 750.00
SX5E: 2,850.00
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Closing level of each Index below applicable Index Starting Level, Securities NOT callable; closing level of RTY below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on second Coupon Payment Date.
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Third Observation Date
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RTY: 800.00
SX5E: 1,400.00
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Closing level of each Index below applicable Index Starting Level, Securities NOT callable; closing level of SX5E below applicable Coupon Barrier, Issuer DOES NOT pay contingent coupon payment on third Coupon Payment Date.
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Fourth to thirty-ninth Observation Dates
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Various
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Closing level of at least one Index below applicable Index Starting Level on each Observation Date, Securities NOT called; closing level of at least one Index below applicable Coupon Barrier on each Observation Date, Issuer DOES NOT pay contingent coupon payment on any Coupon Payment Date immediately following the fourth through the thirty-ninth Observation Dates.
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Final Valuation Date
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RTY: 510.54
SX5E: 3,100.00
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Closing level of RTY below applicable Index Starting Level, Securities NOT called; closing level of RTY below applicable Coupon Barrier and applicable Trigger Level, Issuer DOES NOT pay contingent coupon payment on Maturity Date, and Barclays Bank PLC will repay less than the principal amount resulting in a loss proportionate to the decline of the Lesser Performing Index.
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Total Payment (per $10.00 Security):
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$4.50 (a 55.00% loss on the Securities)
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Index Ending Level – Index Starting Level
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=
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510.54 – 1,134.53
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= -55.00%
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Index Starting Level
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1,134.43
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The Issuer will not pay a contingent coupon for any Observation Date on which at least one of the Indices closes below its Coupon Barrier. The Issuer will not automatically call the Securities on any Observation Date after one year on which at least one of the Indices closes below its Index Starting Level. You may lose some or all of your principal amount if the Securities are not called and the Index Ending Level of at least one of the Indices is below its Trigger Level.
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Index Ending Level of Lesser Performing Index
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Index Return of the Lesser Performing Index
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Payment at Maturity
(per $10.00 principal amount)*
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2,042.15
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80.00%
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$10.00
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1,928.70
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70.00%
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$10.00
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1,815.25
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60.00%
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$10.00
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1,701.80
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50.00%
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$10.00
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1,588.34
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40.00%
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$10.00
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1,474.89
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30.00%
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$10.00
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1,361.44
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20.00%
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$10.00
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1,247.98
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10.00%
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$10.00
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1,191.26
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5.00%
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$10.00
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1,162.89
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2.50%
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$10.00
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1,134.53
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0.00%
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$10.00
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1,077.80
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-5.00%
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$10.00
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1,021.08
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-10.00%
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$10.00
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964.35
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-15.00%
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$10.00
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907.62
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-20.00%
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$10.00
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794.17
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-30.00%
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$10.00
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680.72
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-40.00%
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$10.00
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567.27
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-50.00%
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$10.00
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453.81
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-60.00%
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$4.00
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340.36
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-70.00%
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$3.00
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226.91
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-80.00%
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$2.00
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113.45
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-90.00%
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$1.00
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0.00
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-100.00%
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$0.00
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* Not including any quarterly contingent coupon payments that may have been due up to and including maturity date.
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What Are the Tax Consequences of an Investment in the Securities?
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Russell 2000® Index
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EURO STOXX 50® Index
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Supplemental Plan of Distribution
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