Issuer Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-190038
March 2, 2015
Barclays Bank PLC Trigger Phoenix Autocallable Optimization Securities
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Investment Description
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Features
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Key Dates1
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q Contingent Coupon: Unless the Securities have been previously called, the Issuer will pay you a Contingent Coupon each quarter if the Closing Level of each Index on the applicable Observation Date is greater than or equal to its Coupon Barrier. Otherwise, no coupon will be paid for that quarter.
q Automatic Call: The Issuer will automatically call the Securities if the Closing Level of each Index on any Observation Date (quarterly, beginning on March 3, 2016) is greater than or equal to its Initial Index Level. If the Securities are automatically called, the Issuer will repay the principal amount of your Securities plus pay the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the Securities.
q Contingent Repayment of Principal at Maturity: If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to both its Trigger Level and its Coupon Barrier, the Issuer will pay you a cash payment at maturity equal to the principal amount of your Securities plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date. If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to its Trigger Level but the Final Index Level of either Index is less than its Coupon Barrier, the Issuer will pay you a cash payment at maturity equal to the principal amount of your Securities, but no coupon will be paid. However, if the Final Index Level of either Index is less than its Trigger Level, the Issuer will repay less than your principal amount, if anything, resulting in a loss of your initial investment that will be proportionate to the negative Index Return of the Lesser Performing Index. The Trigger Level of each Index is observed relative to its Final Index Level only on the Final Valuation Date, and the contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC.
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Trade Date:
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March 13, 2015
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Settlement Date:
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March 18, 2015
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Observation Dates2:
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Quarterly, commencing June 3, 2015 (callable beginning March 3, 2016)
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Final Valuation Date2:
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March 13, 2025
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Maturity Date2:
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March 19, 2025
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1 Expected. In the event we make any change to the expected Trade Date or Settlement Date, the Observation Dates, including the Final Valuation Date, and/or the Maturity Date may be changed so that the stated term of the Securities remains the same.
2 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” in the prospectus supplement and “Supplemental Terms of the Securities” in this free writing prospectus. Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be postponed by up to five scheduled trading days for both Indices 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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Initial Index Level
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Coupon Barrier*
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Trigger Level*
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CUSIP/ ISIN
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EURO STOXX 50® Index (SX5E)
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7.00% to 7.50% per annum
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•
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70.00% of the Initial Index Level
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50.00% of the Initial Index Level
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06743P756/
US06743P7565
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S&P 500® Index (SPX)
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•
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70.00% of the Initial Index Level
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50.00% of the Initial Index 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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Per Security
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$10.00
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$0.35
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$9.65
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Total
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$•
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$•
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$•
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UBS Financial Services Inc.
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Barclays Capital Inc.
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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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Prospectus addendum dated February 3, 2015:
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¨
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Index supplement dated July 19, 2013:
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Supplemental Terms of the Securities
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Consent to UK Bail-in Power
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Investor Suitability
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The Securities may be suitable for you if:
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full downside market risk of an investment in the Lesser Performing Index.
¨ You are willing to accept the individual market risk of each Index and understand that any decline in the level of one Index will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Index.
¨ You believe each Index is likely to close at or above its Coupon Barrier on the specified Observation Dates, and, if either Index does not, you can tolerate receiving few or no Contingent Coupons over the term of the Securities.
¨ You believe the Final Index Level of each Index is not likely to be less than its Trigger Level and, if the Final Index Level of either Index is less than its Trigger Level, you can tolerate a loss of all or a substantial portion of your investment.
¨ You understand and accept that you will not participate in any appreciation of either Index, which may be significant, and that your return potential on the Securities is limited to any Contingent Coupons paid on the Securities.
¨ You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the levels of the Indices.
¨ You are willing and able to hold securities that will be called on the earliest Observation Date (quarterly, beginning on March 3, 2016) on which the Closing Level of each Index is greater than or equal to its Initial Index Level, and you are otherwise willing and able to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
¨ You would be willing to invest in the Securities if the Contingent Coupon Rate were set equal to the bottom of the range specified on the cover of this free writing prospectus (the actual Contingent Coupon Rate will be set on the Trade Date).
¨ You do not seek guaranteed current income from this investment, and you are willing to forgo any dividends paid on the securities composing the Indices.
¨ You seek an investment with a return potentially based on the performance of companies in the Eurozone.
¨ 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 were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power, you might not receive any amounts due to you, including any repayment of principal.
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The Securities may not be suitable for you if:
¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You require an investment designed to provide a full return of principal at maturity, you cannot tolerate a loss of all or a substantial portion of your investment or you are not willing to make an investment that may have the full downside market risk of an investment in the Lesser Performing Index.
¨ You are unwilling to accept the individual market risk of each Index or do not understand that any decline in the level of one Index will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Index.
¨ You do not believe each Index is likely to close at or above its Coupon Barrier on the specified Observation Dates, or you cannot tolerate receiving few or no Contingent Coupons over the term of the Securities.
¨ You believe the Final Index Level of either Index is likely to be less than its Trigger Level, which could result in a total loss of your initial investment.
¨ You seek an investment that participates in the full appreciation in the level of either or both of the Indices and whose return is not limited to any Contingent Coupons paid on the Securities.
¨ You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the levels the Indices.
¨ You are unable or unwilling to hold securities that will be called on the earliest Observation Date (quarterly, beginning on March 3, 2016) on which the Closing Level of each Index is greater than or equal to its Initial Index Level, or you are unable or unwilling to hold the Securities to maturity and seek an investment for which there will be an active secondary market.
¨ You would be unwilling to invest in the Securities if the Contingent Coupon Rate were set equal to the bottom of the range specified on the cover of this free writing prospectus (the actual Contingent Coupon Rate will be set on the Trade Date).
¨ You seek guaranteed current income from your investment, or you prefer to receive any dividends paid on the securities composing 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 do not seek an investment with a return potentially based on the performance of companies in the Eurozone.
¨ You are not willing to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments under the Securities, including any repayment of principal.
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Indicative Terms1
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Issuer:
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Barclays Bank PLC
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Issue Price:
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$10.00 per Security
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Principal Amount:
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$10.00 per Security (subject to minimum investment of 100 Securities)
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Term2:
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Approximately ten years, unless called earlier
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Indices3:
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The EURO STOXX 50® Index (Bloomberg ticker symbol “SX5E<Index>”) and the S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”)
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Call Feature:
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The Issuer will automatically call the Securities if the Closing Level of each Index on any Observation Date (quarterly, beginning on March 3, 2016) is greater than or equal to its Initial Index Level. If the Securities are automatically called, the Issuer will repay the principal amount of your Securities plus pay the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the Securities.
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Observation Dates2,4:
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The first Observation Date will occur on or about June 3, 2015; Observation Dates will occur quarterly thereafter as listed in the “Observation Dates/Coupon Payment Dates/Call Settlement Dates” section below. The final Observation Date, March 13, 2025, is the “Final Valuation Date.”
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Call Settlement Dates4:
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The Coupon Payment Date immediately following the applicable Observation Date, which will be two (2) business days following the applicable Observation Date; provided that, if the Securities are automatically 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 greater than or equal to its Coupon Barrier on any Observation Date, the Issuer will pay you the Contingent Coupon applicable to that Observation Date.
If the Closing Level of either Index is less than its Coupon Barrier on any Observation Date, the Contingent Coupon applicable to that Observation Date will not accrue or be payable and the Issuer will not make any payment to you on the related Coupon Payment Date.
The Contingent Coupon is a fixed amount potentially payable quarterly based on the per annum Contingent Coupon Rate.
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Coupon Barrier:
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With respect to each Index, a percentage of the Initial Index Level of that Index, as specified on the cover of this free writing prospectus
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Coupon Payment Dates4:
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Two (2) business days following the applicable Observation Date; provided that 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 is between 7.00% and 7.50% per annum. Accordingly, the Contingent Coupon that would be payable for each Observation Date on which the Closing Level of each Index is greater than or equal to its Coupon Barrier is equal to between $0.1750 and $0.1875 per Security. The actual Contingent Coupon amount will be based on the Contingent Coupon Rate set on the Trade Date.
Whether Contingent Coupons will be paid on the Securities will depend on the performance of the Indices. The Issuer will not pay you the Contingent Coupon for any Observation Date on which the Closing Level of either Index is less than its Coupon Barrier.
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Payment at Maturity (per Security):
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If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to both its Trigger Level and its Coupon Barrier, the Issuer will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to its Trigger Level but the Final Index Level of either Index is less than its Coupon Barrier, the Issuer will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security, but no coupon will be paid.
If the Securities are not automatically called and the Final Index Level of either Index is less than its Trigger Level, the Issuer will pay you a cash payment on the Maturity Date per $10.00 principal amount Security 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 Lesser Performing Index declines, regardless of the performance of the other Index. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
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Index Return:
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With respect to each Index:
Final Index Level – Initial Index Level
Initial Index Level
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Lesser Performing Index:
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The Index with the lower Index Return
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Trigger Level:
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With respect to each Index, a percentage of the Initial Index Level of that Index, as specified on the cover of this free writing prospectus
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Initial Index Level:
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With respect to each Index, the Closing Level of that Index on the Trade Date
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Final Index Level:
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With respect to each Index, the Closing Level of that Index on the Final Valuation Date
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Closing Level:
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With respect to each Index, on any scheduled trading day, the closing level of that Index as published with respect to the regular weekday close of trading on that scheduled trading day as displayed on the applicable Bloomberg Professional® service (“Bloomberg”) page as set forth under “Indices” above or any successor page on Bloomberg or any successor service, as applicable. In certain circumstances, the Closing Level of an Index will be based on the alternate calculation of that Index as described in “Reference Assets—Indices—Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices” starting on page S-98 of the accompanying prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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1
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Terms used in this free writing prospectus, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
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2
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In the event that we make any change to the expected Trade Date or Settlement Date, the Observation Dates, including the Final Valuation Date, and/or the Maturity Date may be changed to ensure that the stated term of the Securities remains the same.
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3
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For a description of adjustments that may affect the Indices, 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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4
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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” in the prospectus supplement and “Supplemental Terms of the Securities” in this free writing prospectus. Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be postponed by up to five scheduled trading days for both Indices 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 Initial Index Level) is observed, the Contingent Coupon Rate is set and the Coupon Barrier and Trigger Level of each Index are determined.
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Quarterly (callable beginning March 3, 2016):
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If the Closing Level of each Index is greater than or equal to its Coupon Barrier on any Observation Date, the Issuer will pay you the Contingent Coupon applicable to that Observation Date.
The Issuer will automatically call the Securities if the Closing Level of each Index on any Observation Date (quarterly, beginning on March 3, 2016) is greater than or equal to its Initial Index Level. If the Securities are automatically called, the Issuer will repay the principal amount of your Securities plus pay the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the Securities.
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Maturity Date:
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The Final Index Level of each Index is determined as of the Final Valuation Date.
If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to both its Trigger Level and its Coupon Barrier, the Issuer will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
If the Securities are not automatically called and the Final Index Level of each Index is greater than or equal to its Trigger Level but the Final Index Level of either Index is less than its Coupon Barrier, the Issuer will pay you a cash payment on the Maturity Date equal to $10.00 per $10.00 principal amount Security, but no coupon will be paid.
If the Securities are not automatically called and the Final Index Level of either Index is less than its Trigger Level, the Issuer will pay you a cash payment on the Maturity Date per $10.00 principal amount Security 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 Lesser Performing Index declines, regardless of the performance of the other Index.
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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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June 3, 2015*
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June 5, 2015
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September 3, 2015*
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September 8, 2015
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December 3, 2015*
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December 7, 2015
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March 3, 2016
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March 7, 2016
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June 3, 2016
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June 7, 2016
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September 6, 2016
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September 8, 2016
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December 5, 2016
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December 7, 2016
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March 3, 2017
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March 7, 2017
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June 5, 2017
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June 7, 2017
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September 5, 2017
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September 7, 2017
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December 4, 2017
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December 6, 2017
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March 5, 2018
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March 7, 2018
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June 4, 2018
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June 6, 2018
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September 4, 2018
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September 6, 2018
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December 3, 2018
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December 5, 2018
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March 4, 2019
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March 6, 2019
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June 3, 2019
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June 5, 2019
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September 3, 2019
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September 5, 2019
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December 3, 2019
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December 5, 2019
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March 3, 2020
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March 5, 2020
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June 3, 2020
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June 5, 2020
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September 3, 2020
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September 8, 2020
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December 3, 2020
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December 7, 2020
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March 3, 2021
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March 5, 2021
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June 3, 2021
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June 7, 2021
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September 3, 2021
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September 8, 2021
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December 3, 2021
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December 7, 2021
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March 3, 2022
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March 7, 2022
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June 3, 2022
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June 7, 2022
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September 6, 2022
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September 8, 2022
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December 5, 2022
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December 7, 2022
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March 3, 2023
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March 7, 2023
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June 5, 2023
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June 7, 2023
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September 5, 2023
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September 7, 2023
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December 4, 2023
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December 6, 2023
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March 4, 2024
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March 6, 2024
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June 3, 2024
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June 5, 2024
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September 3, 2024
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September 5, 2024
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December 3, 2024
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December 5, 2024
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March 13, 2025
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March 19, 2025
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*The Securities are NOT automatically callable until the fourth Observation Date, which is March 3, 2016. Thus, the first Call Settlement Date will be on or about March 7, 2016.
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¨
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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 of the Securities at maturity. If the Securities are not automatically called, the Issuer will pay you the principal amount of your Securities only if the Final Index Level of each Index is greater than or equal to its Trigger Level and will make such payment only at maturity. If the Securities are not automatically called and the Final Index Level of either Index is less than its Trigger Level, you will be exposed to the full decline in the Lesser Performing Index and the Issuer will repay less than the full principal amount of the Securities at maturity, if anything, resulting in a loss of principal that is proportionate to the negative Index Return of the Lesser Performing Index. Accordingly, you may lose some or all of your principal.
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¨
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If the Securities are not automatically called, the payment at maturity, if any, is calculated based solely on the performance of the Lesser Performing Index — If the Securities are not automatically called pursuant to the Call Feature, 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 Final Index Level of the Lesser Performing Index is less than its Trigger Level, the Index Return of only 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 Final Index Level of the other Index is greater than or equal to its Trigger Level or Initial Index Level.
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¨
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You may not receive any Contingent Coupons — The Issuer will not necessarily make periodic coupon payments on the Securities. If the Closing Level of either Index on an Observation Date is less than its Coupon Barrier, the Issuer will not pay you the Contingent Coupon applicable to that Observation Date even if the Closing Level of the other Index is greater than or equal to its Coupon Barrier on that Observation Date. If the Closing Level of either Index is less than its Coupon Barrier on each of the Observation Dates, the Issuer 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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Contingent repayment of principal applies only at maturity — You should be willing to hold your Securities to maturity. The market value of the Securities may fluctuate between the date you purchase them and the Final Valuation Date. If you are able to sell your Securities prior to maturity in the secondary market, if any, you may have to sell them at a loss relative to your initial investment even if the level of either or both of the Indices is above its Trigger Level.
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¨
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Your return potential on the Securities is limited to any Contingent Coupons paid on the Securities, and you will not participate in any appreciation of either Index — The return potential of the Securities is limited to the pre-specified per annum Contingent Coupon Rate, regardless of any 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 been greater than or equal to its Coupon Barrier prior to maturity or an automatic call. Further, if the Securities are automatically called pursuant to the automatic call feature, you will not receive Contingent Coupons or any other payment in respect of any Observation Dates after the applicable Call Settlement Date. If the Securities are not automatically called, you may be subject to the decline in the level of the Lesser Performing Index even though you cannot participate in any appreciation of either Index. As a result, the return on an investment in the Securities could be less than the return on a direct investment in either or both of the Indices or securities composing the Indices. Because the Securities could be called as early as the fourth Observation Date, the total return on the Securities could be minimal.
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¨
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Because the Securities are linked to the Lesser Performing Index, you are exposed to greater risks of no Contingent Coupons and sustaining a significant loss on your investment at maturity than if the securities were linked to a single Index — The risk that you will not receive any Contingent Coupons and lose some or all of your initial investment in the Securities at maturity is greater if you invest in the Securities as opposed to substantially similar securities that are linked to the performance of a single Index. With two Indices, it is more likely that the Closing Level of either Index will be less than its Coupon Barrier on the specified Observation Dates or less than its Trigger Level on the Final Valuation Date and therefore it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss on your investment at maturity. In addition, because the Closing Level of each Index must be greater than or equal to its Initial Index Level on a quarterly Observation Date in order for the securities to be automatically called prior to maturity, the securities are less likely to be automatically called on any Observation Date than if the Securities were linked to a single Index. Further, if the performances of the Indices are not correlated to each other, the risk that you will not receive any Contingent Coupons and that one of the Indices will be less than its Trigger Level is even greater.
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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 each Index. Rather, it will be contingent upon the independent performance of each Index. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each Index. Poor performance by either 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 other Index. To receive any Contingent Coupons, the Closing Level of each Index must be greater than or equal to its Coupon Barrier on the applicable Observation Date. In addition, if the Securities have not been automatically called prior to maturity and the Final Index Level of either Index is less than its Trigger Level, you will be exposed to the full decline in the Lesser Performing Index. Accordingly, your investment is subject to the market risk of each Index.
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¨
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Reinvestment risk — If your Securities are automatically called early, the holding period over which you would receive the per annum Contingent Coupon Rate could be as short 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 automatically called prior to the Maturity Date.
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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 and lower correlation of the Indices each reflect a higher expectation as of the Trade Date that the level of an Index could
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close below its Coupon Barrier on the Observation Dates or its Trigger Level on the Final Valuation Date. A higher Contingent Coupon Rate will generally be indicative of this greater expected risk. However, while the Contingent Coupon Rate is a fixed percentage, the volatility of either or both Indices and the correlation of the Indices may change significantly over the term of the Securities. The level of either or both Indices 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 and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal, depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Securities and, in the event Barclays Bank PLC were to default on its obligations, you might not receive any amount owed to you under the terms of the Securities.
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¨
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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 Securities, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Securities, 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 Securities. 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 Securities or receive a different security, which may be worth significantly less than the Securities and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Securities.
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¨
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Owning the Securities is not the same as owning the securities composing either or both Indices — The return on your Securities may not reflect the return you would realize if you actually owned the securities composing either or both Indices. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing either Index would have.
|
¨
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Dealer incentives — We, the Agents and affiliates of the Agents act in various capacities with respect to the Securities. The Agents and various affiliates may act as a principal, agent or dealer in connection with the Securities. 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 as specified on the cover of this free writing prospectus 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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There may be little or no secondary market for the Securities — The Securities will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Securities but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Securities. The Securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity.
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¨
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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.
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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. There can be no assurance that the level of either Index will not close below its
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Trigger Level on the Final Valuation Date. The level of each Index will be influenced by complex and interrelated political, economic, financial and other factors that affect that Index. You should be willing to accept the downside risks associated with 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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Potential Barclays Bank PLC impact on the levels of the Indices — Trading or transactions by Barclays Bank PLC or its affiliates in the securities composing the Indices and/or over-the-counter options, futures or other instruments with returns linked to the performance of either or both Indices or the securities composing the Indices, may adversely affect the level of either Index and, therefore, the market value of the Securities.
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¨
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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 securities composing 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 securities composing 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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¨
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Non-U.S. securities markets risks with respect to the EURO STOXX 50® Index — The securities composing the EURO STOXX 50® Index are issued by non-U.S. companies and are traded on various non-U.S. exchanges. These securities may be more volatile and may be subject to different political, market, economic, exchange rate, regulatory and other risks. Specifically, the securities composing the EURO STOXX 50® Index are issued by companies located within the Eurozone. The Eurozone is and has been undergoing 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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¨
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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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¨
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the expected volatility of the Indices;
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¨
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correlation (or lack of correlation) of the Indices
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¨
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the time to maturity of the Securities;
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¨
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the market prices and dividend rates on the securities composing the Indices;
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¨
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interest and yield rates in the market generally;
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¨
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supply and demand for the Securities;
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¨
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a variety of economic, financial, political, regulatory and judicial events;
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¨
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the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities composing the EURO STOXX 50® Index trade; and
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¨
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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¨
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The estimated value of your Securities is expected to be lower than the initial issue price of your Securities — The estimated value of your Securities on the Trade Date is expected to be lower, and may be significantly lower, than the initial issue price of your Securities. The difference between the initial issue price of your Securities and the estimated value of the Securities is expected as a result of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Securities, the estimated cost that we may incur in hedging our obligations under the Securities, and estimated development and other costs that we may incur in connection with the Securities.
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¨
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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 values referenced above might be lower if such estimated values were based on the levels at which our benchmark debt securities trade in the secondary market. 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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¨
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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 that may be purchasers or sellers of Securities in the secondary market. As a result, the secondary market price of your Securities may be materially different from the estimated value of the Securities determined by reference to our internal pricing models.
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¨
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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
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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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¨
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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 of future prices of your Securities. Please see “Additional Information Regarding Our Estimated Value of the Securities” on page FWP-2 for further information.
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¨
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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, basket 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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¨
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Tax treatment— Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax advisor about your tax situation. See “What Are the Tax Consequences of an Investment in the Securities?” on page FWP-16 of this free writing prospectus.
|
Hypothetical Examples
|
Principal Amount:
|
$10.00
|
|
Term:
|
Approximately ten years (unless called earlier)
|
|
Hypothetical Contingent Coupon Rate:
|
7.25% per annum (or 1.8125% per quarter) (based on the midpoint of the range of 7.00% to 7.50% per annum)
|
|
Hypothetical Contingent Coupon:
|
$0.18125 per quarter
|
|
Hypothetical Initial Index Level:
|
100.00 for the SX5E Index and 100.00 for the SPX Index
|
|
Hypothetical Coupon Barrier:
|
70.00 for the SX5E Index and 70.00 for the SPX Index (which, with respect to each Index, is 70% of the hypothetical Initial Index Level of that Index)
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|
Hypothetical Trigger Level:
|
50.00 for the SX5E Index and 50.00 for the SPX Index (which, with respect to each Index, is 50% of the hypothetical Initial Index Level of that Index)
|
|
Observation Dates:
|
Observation Dates will occur quarterly as set forth under “Indicative Terms” and “Observation Dates/Coupon Payment Dates/Call Settlement Dates” in this free writing prospectus and will be callable beginning on the fourth Observation Date.
|
*
|
Terms used for purposes of these hypothetical examples may not represent the actual Contingent Coupon Rate per annum, Initial Index Levels, Coupon Barriers or Trigger Levels. The actual Contingent Coupon Rate will be set on the Trade Date. The hypothetical Initial Index Level of 100.00 for the SX5E Index and 100.00 for the SPX Index has been chosen for illustrative purposes only and may not represent a likely actual Initial Index Level for either Index. The actual Initial Index Level and resulting Trigger Level and Coupon Barrier of each Index will be based on the Closing Level of that Index on the Trade Date. For historical data regarding the actual Closing Levels of the Indices, please see the historical information set forth under the sections titled “EURO STOXX 50® Index” and “S&P 500® Index” below.
|
Date
|
Closing Level
|
Payment (per Security)
|
|||
First Observation Date
|
SX5E Index: 105.00
|
Closing Level of each Index above its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18125 on first Coupon Payment Date.
|
|||
SPX Index: 110.00
|
|||||
Second Observation Date
|
SX5E Index: 80.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SPX Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
|||
SPX Index: 60.00
|
|||||
Third Observation Date
|
SX5E Index: 60.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|||
SPX Index: 80.00
|
|||||
Fourth Observation Date
|
SX5E Index: 110.00
|
Closing Level of each Index at or above its Initial Index Level; Securities are automatically called; Issuer repays principal plus pays Contingent Coupon of $0.18125 on Call Settlement Date.
|
|||
SPX Index: 115.00
|
|||||
Total Payments (per $10.00 Security):
|
Payment on Call Settlement Date:
|
$10.18125 ($10.00 + $0.18125)
|
|||
Prior Contingent Coupons:
|
$0.18125 ($0.18125 × 1)
|
||||
Total:
|
$10.36250
|
||||
Total Return:
|
3.6250%
|
Date
|
Closing Level
|
Payment (per Security)
|
|||
First Observation Date
|
SX5E Index: 115.00
|
Closing Level of each Index above its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18125 on first Coupon Payment Date.
|
|||
SPX Index: 110.00
|
|||||
Second Observation Date
|
SX5E Index: 80.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18125 on second Coupon Payment Date.
|
|||
SPX Index: 75.00
|
|||||
Third Observation Date
|
SX5E Index: 85.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SPX Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|||
SPX Index: 65.00
|
|||||
Fourth to Thirty-Ninth Observation Dates
|
Various (below 70.00 Coupon Barrier)
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically called. Closing Level of each Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
|||
Fortieth Observation Date (the Final Valuation Date)
|
SX5E Index: 110.00
|
Closing Level of SPX Index below its Initial Index Level; Securities NOT automatically called. Final Index Level of each Index above its Trigger Level and Coupon Barrier; Issuer repays principal plus pays Contingent Coupon of $0.18125 on Maturity Date.
|
|||
SPX Index: 80.00
|
|||||
Total Payments (per $10.00 Security):
|
Payment at Maturity:
|
$10.18125 ($10.00 + $0.18125)
|
|||
Prior Contingent Coupons:
|
$0.36250 ($0.18125 × 2)
|
||||
Total:
|
$10.54375
|
||||
Total Return:
|
5.43750%
|
Date
|
Closing Level
|
Payment (per Security)
|
|||
First Observation Date
|
SX5E Index: 115.00
|
Closing Level of each Index above its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18125 on first Coupon Payment Date.
|
|||
SPX Index: 110.00
|
|||||
Second Observation Date
|
SX5E Index: 80.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18125 on second Coupon Payment Date.
|
|||
SPX Index: 75.00
|
|||||
Third Observation Date
|
SX5E Index: 105.00
|
Closing Level of SPX Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SPX Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|||
SPX Index: 60.00
|
|||||
Fourth to Thirty-Ninth Observation Dates
|
Various (below 70.00 Coupon Barrier)
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically called. Closing Level of each Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
|||
Fortieth Observation Date (the Final Valuation Date)
|
SX5E Index: 110.00
|
Closing Level of SPX Index below its Initial Index Level; Securities NOT automatically called. Final Index Level of each Index above its Trigger Level; Final Index Level of SPX Index below its Coupon Barrier; Issuer repays principal on Maturity Date.
|
|||
SPX Index: 60.00
|
|||||
Total Payments (per $10.00 Security):
|
Payment at Maturity:
|
$10.00
|
|||
Prior Contingent Coupons:
|
$0.36250 ($0.18125 × 2)
|
||||
Total:
|
$10.36250
|
||||
Total Return:
|
3.6250%
|
Date
|
Closing Level
|
Payment (per Security)
|
|||
First Observation Date
|
SX5E Index: 60.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of each Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
|||
SPX Index: 65.00
|
|||||
Second Observation Date
|
SX5E Index: 105.00
|
Closing Level of the SPX Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SPX Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
|||
SPX Index: 65.00
|
|||||
Third Observation Date
|
SX5E Index: 90.00
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing Level of SPX Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|||
SPX Index: 65.00
|
|||||
Fourth to Thirty-Ninth Observation Dates
|
Various (below 70.00 Coupon Barrier)
|
Closing Level of each Index below its Initial Index Level; Securities NOT automatically called. Closing Level of each Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
|||
Fortieth Observation Date (the Final Valuation Date)
|
SX5E Index: 45.00
|
Closing Level of SX5E Index below its Initial Index Level; Securities NOT automatically called. Closing Level of SX5E Index below its Coupon Barrier and Trigger Level; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Lesser Performing Index.
|
|||
SPX Index: 110.00
|
|||||
Total Payments (per $10.00 Security):
|
Payment at Maturity:
|
$4.50
|
|||
Prior Contingent Coupons:
|
$0.00
|
||||
Total:
|
$4.50
|
||||
Total Return:
|
-55.00%
|
Final Index Level – Initial Index Level
|
=
|
45.00 – 100.00
|
= -55.00%
|
Initial Index Level
|
100.00
|
Final Index Level – Initial Index Level
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Index Level
|
100.00
|
EURO STOXX 50® Index
|
S&P 500® Index
|
Supplemental Plan of Distribution
|
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