Pricing Supplement dated April 30, 2021
(To the Prospectus dated August 1, 2019, the Prospectus Supplement dated August 1, 2019 and the
Prospectus Supplement Addendum dated February 18, 2021) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333232144
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$1,494,000
Barrier SupertrackSM Notes due April 30, 2024
Linked to the ARK Innovation ETF
Global Medium-Term Notes, Series A
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Issuer:
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Barclays Bank PLC
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
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Initial Valuation Date:
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April 30, 2021
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Issue Date:
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May 5, 2021
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Final Valuation Date:*
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April 25, 2024
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Maturity Date:*
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April 30, 2024
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Reference Asset:
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The ARK Innovation ETF (Bloomberg ticker symbol ARKK UP <Equity>)
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Payment at Maturity:
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If you hold the Notes to maturity, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note that you hold determined as follows:
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If the Final Value of the Reference Asset is greater than or equal to the Initial Value, you will receive an amount per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × lesser of (a) Reference Asset Return of the Reference Asset × Upside Leverage Factor and (b) Maximum Return]
If the Reference Asset Return is 60.00% or more, you will receive a payment at maturity of $1,900.00 per $1,000 principal amount Note that you hold.
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If the Final Value of the Reference Asset is less than the Initial Value, but greater than or equal to the Barrier Value, you will receive a payment of $1,000 per $1,000 principal amount Note.
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If the Final Value of the Reference Asset is less than the Barrier Value, you will receive an amount per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × Reference Asset Return of the Reference Asset]
If the Final Value of the Reference Asset is less than the Barrier Value, your Notes will be fully exposed to the decline of the Reference Asset from the Initial Value. You may lose up to 100.00% of the principal amount of your Notes at maturity.
Any payment on the Notes is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power (as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution authority. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (or any other resolution measure) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the Notes. See Consent to U.K. Bail-in Power and Selected Risk Considerations in this pricing supplement and Risk Factors in the accompanying prospectus supplement for more information.
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Consent to U.K. Bail-in Power:
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Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See Consent to U.K. Bail-in Power on page PS-4 of this pricing supplement.
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Initial Issue Price(1)(2)
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Price to Public
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Agent’s Commission(3)
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Proceeds to Barclays Bank PLC(3)
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Per Note
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$1,000
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100.00%
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1.10%
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98.90%
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Total
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$1,494,000
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$1,494,000
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$7,538
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$1,486,462
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(1)
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Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions, fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $989.00 and $1,000 per Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.
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(2)
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Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $928.30 per Note. The estimated value is less than the initial issue price of the Notes. See Additional Information Regarding Our Estimated Value of the Notes on page PS5 of this pricing supplement.
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(3)
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Barclays Capital Inc. will receive commissions from the Issuer of up to $11.00 per $1,000 principal amount Note. Barclays Capital Inc. will use these commissions to pay variable selling concessions or fees (including custodial or clearing fees) to other dealers. The per Note agent’s commission and proceeds to Issuer shown above is the minimum amount of proceeds that the Issuer receives per Note, assuming the maximum Agent’s Commission per Note of 1.10%. The total agent’s commission and total proceeds to Issuer shown above give effect to the actual amount of the variable Agent’s commission.
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Terms of the Notes,
Continued |
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Initial Value:
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$120.77, the Closing Value of the Reference Asset on the Initial Valuation Date (rounded to two decimal places)
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Barrier Value:
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$84.54, 70.00% of the Initial Value (rounded to two decimal places)
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Final Value:
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The Closing Value of the Reference Asset on the Final Valuation Date
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Closing Value:
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The term Closing Value means the closing price of one share of the Reference Asset, as further described under Reference Assets—Exchange-Traded Funds—Special Calculation Provisions in the prospectus supplement, rounded to two decimal places (if applicable).
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Upside Leverage Factor:
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1.50
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Maximum Return:
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90.00%
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Reference Asset Return:
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The performance of the Reference Asset from the Initial Value to the Final Value, calculated as follows:
Final Value Initial Value
Initial Value |
Calculation Agent:
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Barclays Bank PLC
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CUSIP / ISIN:
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06748EHB2 / US06748EHB20
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Prospectus dated August 1, 2019:
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Prospectus Supplement dated August 1, 2019:
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Prospectus Supplement Addendum dated February 18, 2021:
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You do not seek an investment that produces periodic interest or coupon payments or other sources of current income.
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You accept that your return on investment will not exceed the Maximum Return.
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You anticipate that the Final Value of the Reference Asset will be greater than the Barrier Value.
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You understand and accept the risk that the payment at maturity will be based solely on the Reference Asset Return of the Reference Asset.
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You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment that may have the full downside market risk of an investment in the Reference Asset.
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You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of a Reference Asset or any securities to which a Reference Asset provides exposure, nor will you have any voting rights with respect to a Reference Asset or any securities to which a Reference Asset provides exposure.
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You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Reference Asset.
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You can tolerate fluctuations in the price of the Notes prior to scheduled maturity that may be similar to or exceed the downside fluctuations in the value of the Reference Asset.
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You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to maturity.
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You are willing and able to assume our credit risk for all payments on the Notes.
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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You seek an investment that produces periodic interest or coupon payments or other sources of current income.
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You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept the risk that you may lose some or all of the principal amount of the Notes in the event that the Final Value of the Reference Asset falls below the Barrier Value.
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You anticipate that the Final Value of the Reference Asset will be less than the Barrier Value.
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You seek uncapped exposure to any positive performance of the Reference Asset.
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You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of the Reference Asset.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to a Reference Asset or any securities to which a Reference Asset provides exposure.
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You cannot tolerate fluctuations in the price of the Notes prior to scheduled maturity that may be similar to or exceed the downside fluctuations in the value of the Reference Asset.
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You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to maturity.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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Hypothetical Initial Value of the Reference Asset: 100.00*
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Hypothetical Barrier Value for the Reference Asset: 70.00 (70.00% of the hypothetical Initial Value set forth above)*
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Final Value
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Reference Asset Return
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Payment at Maturity**
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Total Return on the Notes
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$170.00
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70.00%
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$1,900.00
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90.00%
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$160.00
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60.00%
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$1,900.00
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90.00%
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$150.00
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50.00%
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$1,750.00
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75.00%
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$140.00
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40.00%
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$1,600.00
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60.00%
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$130.00
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30.00%
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$1,450.00
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45.00%
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$120.00
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20.00%
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$1,300.00
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30.00%
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$110.00
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10.00%
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$1,150.00
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15.00%
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$105.00
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5.00%
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$1,075.00
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7.50%
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$100.00
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0.00%
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$1,000.00
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0.00%
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$90.00
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-10.00%
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$1,000.00
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0.00%
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$80.00
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-20.00%
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$1,000.00
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0.00%
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$70.00
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-30.00%
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$1,000.00
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0.00%
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$60.00
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-40.00%
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$600.00
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-40.00%
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$50.00
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-50.00%
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$500.00
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-50.00%
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$40.00
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-60.00%
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$400.00
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-60.00%
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$30.00
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-70.00%
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$300.00
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-70.00%
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$20.00
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-80.00%
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$200.00
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-80.00%
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$10.00
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-90.00%
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$100.00
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-90.00%
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$0.00
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-100.00%
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$0.00
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-100.00%
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** per $1,000 principal amount Note
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The following examples illustrate how the payments at maturity set forth in the table above are calculated:
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Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in that the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Final Value of the Reference Asset is less than the Barrier Value, your Notes will be fully exposed to the decline of the Reference Asset from the Initial Value. You may lose up to 100.00% of the principal amount of your Notes.
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Potential Return Limited to the Maximum Return—If the Reference Asset Return is greater than 0.00%, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold plus an additional payment that will not exceed $1,000 times the Maximum Return. Accordingly, the maximum payment that you may receive at maturity is $1,900.00 per $1,000 principal amount Note that you hold, and because the Upside Leverage Factor is equal to 1.50, you will not benefit from any appreciation of the Reference Asset beyond a Reference Asset Return 60.00%, which may be significant.
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The Payment at Maturity of the Notes is Based Solely on the Closing Value of the Reference Asset on the Final Valuation Date—The Final Value of the Reference Asset will be based solely on the Closing Value on the Final Valuation Date. Accordingly, if the value of the Reference Asset drops on the Final Valuation Date, the payment at maturity on the Notes may be significantly less than it would have been had it been linked to the value of the Reference Asset at any time prior to such drop.
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Owning the Notes is Not the Same as Owning a Reference Asset or Any Securities to which a Reference Asset Provides Exposure—The return on the Notes may not reflect the return you would realize if you actually owned a Reference Asset or any securities to which a Reference Asset provides exposure. As a holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or any other rights that holders of a Reference Asset or any securities to which a Reference Asset provides exposure may have.
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The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain—There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the Internal Revenue Service (the IRS). Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described below under Tax Considerations. If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition of the Notes could be materially and adversely affected.
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Credit of Issuer—The Notes 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 Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
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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—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under Consent to U.K. Bail-in Power in this pricing
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Historical Performance of the Reference Asset Should Not Be Taken as Any Indication of the Future Performance of the Reference Asset Over the Term of the Notes—The value of the Reference Asset has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of the Reference Asset is not an indication of the future performance of the Reference Asset over the term of the Notes. Therefore, the performance of the Reference Asset over the term of the Notes may bear no relation or resemblance to the historical performance of the Reference Asset.
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The Notes Are Subject to Risks Associated with Actively Managed Funds—The Reference Asset is actively managed. Unlike a passively managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead made by the investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively managed fund, the Reference Asset is subject to management risk. In managing an actively managed fund, the investment adviser of a fund applies investment strategies, techniques and analyses in making investment decisions for that fund, but there can be no guarantee that these actions will produce the intended results. The ability of the Reference Asset’s investment adviser to successfully implement the Reference Asset’s investment strategy will significantly influence the market price of the shares of the Reference Asset and, consequently, the value of the Notes.
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Adjustments to the Reference Asset Could Adversely Affect the Value of the Notes or Result in the Notes Being Accelerated—The investment adviser of the Reference Asset may add, delete or substitute the component securities held by the Reference Asset or make changes to its investment strategy that could affect its performance. In addition, if the shares of the Reference Asset are delisted or if the Reference Asset is liquidated or otherwise terminated, the Calculation Agent may select a successor fund that the Calculation Agent determines to be comparable to the Reference Asset or, if no successor fund is available, the Maturity Date of the Notes will be accelerated for a payment determined by the Calculation Agent. Any of these actions could adversely affect the value of the Reference Asset and, consequently, the value of the Notes. Any amount payable upon acceleration could be significantly less than the amount(s) that would be due on the securities if they were not accelerated. See Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Discontinuance of an Exchange-Traded Fund in the accompanying prospectus supplement.
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Anti-Dilution Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-Dilution Adjustments—The Calculation Agent may in its sole discretion make adjustments affecting the amounts payable on the Notes upon the occurrence of certain events that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the shares of the Reference Asset. However, the Calculation Agent might not make such adjustments in response to all events that could affect the shares of the Reference Asset. The occurrence of any such event and any adjustment made by the Calculation Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely affect any amounts payable on the Notes. See Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Anti-dilution Adjustments in the accompanying prospectus supplement.
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The Notes Are Subject to Risks Associated with Disruptive Innovation Companies—The Reference Asset’s investment strategy involves exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace older technologies or create new markets (disruptive innovation companies). However, the companies selected by the investment adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments. These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen, and the securities issued by these companies may under-perform the securities of other companies that are primarily focused on a particular theme. The Reference Asset may invest in companies that do not currently derive any revenue from disruptive innovations or technologies, and there is no assurance that any company will derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation or technology may constitute a small portion of any company’s overall business. As a result, the success of a disruptive innovation or technology may not affect the value of the equity securities issued by that company.
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The Notes Are Subject to Risks Associated with Non-U.S. Securities Markets—Some of the component securities of the Reference Asset are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
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The Notes Are Subject to Risks Associated with Emerging Markets—The component securities of the Reference Asset have been issued by non-U.S. companies located in emerging market countries. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets generally, as described in the previous risk factor. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions.
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The Notes Are Subject to Currency Exchange Risk—Because the value of the Reference Asset is related to the U.S. dollar value of the component securities held by the Reference Asset, the values of the Reference Asset will be exposed to the currency exchange rate risk with respect to each of the currencies in which the component securities held by the Reference Asset trade. An investor’s net exposure will depend on the extent to which each of those non-U.S. currencies strengthens or weakens against the U.S. dollar and the relative weight of the component securities denominated in those non-U.S. currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those non-U.S. currencies, the value of the Reference Asset will be adversely affected and any payments on the Notes may be reduced.
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existing and expected rates of inflation;
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existing and expected interest rate levels;
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the balance of payments between the countries represented in the Reference Asset and the United States; and
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the extent of governmental surpluses or deficits in the countries represented in the Reference Asset and the United States.
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The Notes Are Subject to Risks Associated with Mid-Size, Small and Micro-Capitalization Stocks—Some of the component securities held by the Reference Asset have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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The Notes May Become Subject to Executive Orders that Could Adversely Affect Your Investment in the Notes—Pursuant to recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities. Although we do not believe that the Notes are subject to those executive orders at this time, it is possible that those executive orders could be expanded or modified to include the Notes. Under those circumstances, the value of the Notes could be adversely affected, and transactions in, or holdings of, the Notes may become prohibited under U.S. law. You may suffer significant losses if you are forced to divest the Notes when the value of the Notes declines.
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We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes.
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The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees (including any structuring or other distribution related fees) to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
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The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt securities trade in the secondary market.
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The Estimated Value of the Notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
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The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if any, and Such Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and May be Lower Than the Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
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The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be
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Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be willing and able to hold your Notes to maturity.
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Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including:
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the market price of, dividend rate on and expected volatility of the Reference Asset or the components of the Reference Asset, if any;
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the time to maturity of the Notes;
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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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supply and demand for the Notes;
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the exchange rates relative to the U.S. dollar with respect to the currency in which some of the component securities held by the Reference Asset trade; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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