EX-2.2 2 bbplcfy2020index22.htm EX-2.2 bbplcfy2020index22
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
1
DESCRIPTION
 
OF
 
SECURITIES
 
REGISTERED
 
UNDER
 
SECTION
 
12
 
OF
 
THE
 
EXCHANGE
 
ACT
As
 
of
 
December
 
31,
 
2020,
 
Barclays
 
Bank
 
PLC
 
(“
Barclays
,”
 
the
 
“
Company
,”
 
“
we
,”
 
“
us
,”
 
and
 
“
our
”)
 
had
 
the
 
following
 
classes
 
of
 
securities
 
registered
 
pursuant
 
to
 
Section
 
12(b)
 
of
 
the
 
Securities
 
Exchange
 
Act
 
of
 
1934
(the
 
“
Act
”):
 
Senior
 
Debt
 
Securities
 
(as
 
defined
 
below)
 
and
 
Exchange-Traded
 
Notes.
 
A.
 
Description
 
of
 
Senior
 
Debt
 
Securities
 
As
 
of
 
December
 
31,
 
2020,
 
we
 
had
 
the
 
following
 
series
 
of
 
Senior
 
Debt
 
Securities
 
registered
 
pursuant
 
to
 
Section
 
12(b)
 
of
 
the
 
Act,
 
which
 
is
 
listed
 
on
 
the
 
New
 
York
 
Stock
 
Exchange:
Debt
 
Securities
(class/
 
interest
rate)
Principal
Interest
Payment
 
Dates
(in
 
arrear)
Issue
 
Date
Maturity
 
Date
Redemption
 
rights
Par
 
Redemption
Date
(2)
 
(when
applicable)
Events
 
of
 
Default
Prospectus
Supplement
Indenture
1.700%
 
Fixed
Rate
 
Senior
Notes
 
due
 
2022
US$1,750,000,000
May
 
12
 
and
November
 
12
May
 
12,
2020
May
 
12,
 
2022
Tax
 
Redemption,
(1)
Par
 
Redemption
(2)
Notice
 
Period:
Not
 
less
than
 
15
 
nor
 
more
 
than
60
 
days’
 
prior
 
notice.
April
 
12,
 
2022
Events
 
of
 
Default
(3)
Prospectus
Supplement
 
dated
May
 
5,
 
2020
Senior
 
Debt
Securities
Indenture
 
dated
September
 
16,
2004
(1)
 
Tax
 
Redemption
 
means
 
that
 
we
 
have
 
the
 
right
 
to
 
redeem
 
the
 
Senior
 
Debt
 
Securities
 
on
 
the
 
terms
 
described
 
below
 
under
 
“
Tax
 
Redemption
.”
(2)
 
Par
 
Redemption
 
means
 
that
 
we
 
have
 
the
 
right
 
to
 
redeem
 
the
 
Senior
 
Debt
 
Securities
 
on
 
the
 
terms
 
described
 
below
 
under
 
“
Optional
 
Redemption
.”
 
(3)
 
Events
 
of
 
Default
 
means
 
that
 
the
 
events
 
of
 
default
 
described
 
below
 
under
 
“
Events
 
of
 
Default
”
 
are
 
applicable
 
to
 
the
 
Senior
 
Debt
 
Securities.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
2
The
 
summary
 
set
 
out
 
below
 
of
 
the
 
general
 
terms
 
and
 
provisions
 
of
 
our
 
Senior
 
Debt
 
Securities
 
does
 
not
 
purport
 
to
 
be
 
complete
 
and
 
is
subject
 
to
 
and
 
qualified
 
by
 
reference
 
to,
 
all
 
of
 
the
 
definitions
 
and
 
provisions
 
of
 
the
 
relevant
 
indenture
 
(as
 
listed
 
in
 
the
 
table
 
above),
 
any
supplement
 
to
 
the
 
relevant
 
indenture
 
and
 
the
 
form
 
of
 
the
 
instrument
 
representing
 
the
 
Senior
 
Debt
 
Securities.
 
Certain
 
terms,
 
unless
 
otherwise
defined
 
here,
 
have
 
the
 
meaning
 
given
 
to
 
them
 
in
 
the
 
relevant
 
indenture
.
General
The
 
1.700%
 
Fixed
 
Rate
 
Senior
 
Notes
 
due
 
2022
 
are
 
our
 
senior
 
obligations
 
(the
 
“
Senior
 
Debt
 
Securities
”).
 
The
 
Senior
 
Debt
 
Securities
 
are
 
not
 
secured
 
by
 
any
 
assets
 
or
 
property
 
of
 
Barclays
 
Bank
 
PLC
 
or
 
any
 
of
 
its
 
subsidiaries
 
or
 
affiliates.
The
 
Senior
 
Debt
 
Securities
 
were
 
issued
 
under
 
an
 
indenture,
 
dated
 
September
 
16,
 
2004,
 
entered
 
into
 
between
 
us
 
and
 
The
 
Bank
 
of
 
New
York
 
Mellon,
 
New
 
York
 
Branch,
 
as
 
“
Trustee
”
 
(the
 
“
Indenture
”).
 
The
 
terms
 
of
 
the
 
Senior
 
Debt
 
Securities
 
include
 
those
 
stated
 
in
 
the
 
Indenture
and
 
any
 
supplements
 
thereto,
 
and
 
those
 
terms
 
made
 
part
 
of
 
the
 
Indenture
 
by
 
reference
 
to
 
the
 
U.S.
 
Trust
 
Indenture
 
Act
 
of
 
1939,
 
as
 
amended
(the
 
“
Trust
 
Indenture
 
Act
”).
 
The
 
Senior
 
Debt
 
Securities
 
listed
 
in
 
the
 
table
 
above
 
were
 
issued
 
pursuant
 
to
 
an
 
effective
 
registration
 
statement
 
and
a
 
related
 
prospectus
 
and
 
prospectus
 
supplement
 
setting
 
forth
 
the
 
terms
 
of
 
the
 
Senior
 
Debt
 
Securities.
The
 
Indenture
 
does
 
not
 
limit
 
the
 
amount
 
of
 
Senior
 
Debt
 
Securities
 
that
 
we
 
may
 
issue.
 
The
 
Senior
 
Debt
 
Securities
 
may
 
be
 
reopened,
without
 
notice
 
to
 
or
 
consent
 
of
 
any
 
holder
 
of
 
outstanding
 
Senior
 
Debt
 
Securities,
 
for
 
issuances
 
of
 
additional
 
Senior
 
Debt
 
Securities.
 
The
 
Senior
Debt
 
Securities
 
and
 
any
 
additional
 
new
 
Senior
 
Debt
 
Securities
 
would
 
be
 
treated
 
as
 
a
 
single
 
series
 
for
 
all
 
purposes
 
under
 
the
 
Indenture.
 
Holders
 
of
 
Senior
 
Debt
 
Securities
 
have
 
no
 
voting
 
rights
 
except
 
as
 
described
 
below
 
under
 
“
Modification
 
and
 
Waiver
”
 
and
 
“
Events
 
of
Default
.”
The
 
Senior
 
Debt
 
Securities
 
are
 
not
 
subject
 
to
 
any
 
sinking
 
fund.
Interest
 
The
 
interest
 
rate
 
and
 
interest
 
payment
 
dates
 
of
 
the
 
Senior
 
Debt
 
Securities
 
are
 
set
 
out
 
in
 
the
 
table
 
above.
Interest
 
on
 
the
 
Senior
 
Debt
 
Securities
 
is
 
computed
 
on
 
the
 
basis
 
of
 
a
 
360-day
 
year
 
of
 
twelve
 
30-day
 
months.
Payments
Payment
 
of
 
principal
 
of
 
and
 
interest
 
on
 
the
 
Senior
 
Debt
 
Securities,
 
so
 
long
 
as
 
the
 
Senior
 
Debt
 
Securities
 
are
 
represented
 
by
 
global
securities,
 
are
 
made
 
in
 
immediately
 
available
 
funds.
 
If
 
any
 
scheduled
 
interest
 
payment
 
date
 
is
 
not
 
a
 
Business
 
Day
 
(as
 
defined
 
below),
 
we
 
will
pay
 
interest
 
on
 
the
 
next
 
succeeding
 
Business
 
Day,
 
but
 
interest
 
on
 
that
 
payment
 
will
 
not
 
accrue
 
during
 
the
 
period
 
from
 
and
 
after
 
the
 
scheduled
interest
 
payment
 
date.
 
Payments
 
in
 
respect
 
of
 
the
 
Senior
 
Debt
 
Securities
 
are
 
made
 
to
 
holders
 
of
 
record
 
on
 
the
 
close
 
of
 
business
 
on
 
the
 
Business
 
Day
immediately
 
preceding
 
each
 
interest
 
payment
 
date
 
(or,
 
if
 
the
 
Senior
 
Debt
 
Securities
 
are
 
held
 
in
 
definitive
 
form,
 
the
 
15
th
 
Business
 
Day
 
preceding
each
 
interest
 
payment
 
date).
 
Beneficial
 
interests
 
in
 
the
 
global
 
securities
 
trade
 
in
 
the
 
same-day
 
funds
 
settlement
 
system
 
of
 
The
 
Depository
 
Trust
Company
 
(“
DTC
”),
 
and
 
secondary
 
market
 
trading
 
activity
 
in
 
such
 
interests
 
will
 
therefore
 
settle
 
in
 
same-day
 
funds.
 
A
 
“
Business
 
Day
”
 
means
any
 
weekday
 
other
 
than
 
one
 
on
 
which
 
banking
 
institutions
 
are
 
authorized
 
or
 
obligated
 
by
 
law
 
or
 
executive
 
order
 
to
 
close
 
in
 
London,
 
England
 
or
in
 
the
 
City
 
of
 
New
 
York,
 
United
 
States.
Ranking
 
Our
 
Senior
 
Debt
 
Securities
 
constitute
 
our
 
direct,
 
unconditional,
 
unsecured
 
and
 
unsubordinated
 
obligations
 
ranking
pari
 
passu
 
without
any
 
preference
 
among
 
themselves.
 
In
 
the
 
event
 
of
 
our
 
winding-up
 
or
 
administration,
 
the
 
Senior
 
Debt
 
Securities
 
will
 
rank
pari
 
passu
 
with
 
all
 
our
other
 
outstanding
 
unsecured
 
and
 
unsubordinated
 
obligations,
 
present
 
and
 
future,
 
except
 
such
 
obligations
 
as
 
are
 
preferred
 
by
 
operation
 
of
 
law.
Pursuant
 
to
 
the
 
UK
 
Banks
 
and
 
Building
 
Societies
 
(Priorities
 
on
 
Insolvency)
 
Order
 
2018,
 
the
 
Senior
 
Debt
 
Securities
 
will
 
constitute
 
our
ordinary
 
non-preferential
 
debt
 
and
 
will
 
rank
 
in
 
priority
 
to
 
secondary
 
non-preferential
 
debts
 
and
 
tertiary
 
non-preferential
 
debts.
 
The
 
terms
“ordinary
 
non-preferential
 
debt,”
 
“secondary
 
non
 
preferential
 
debt”
 
and
 
“tertiary
 
non-preferential
 
debt”
 
shall
 
have
 
the
 
meanings
 
given
 
to
 
each
 
of
them
 
in
 
such
 
Order
 
and
 
any
 
other
 
law
 
or
 
regulation
 
applicable
 
to
 
us
 
which
 
is
 
amended
 
by
 
such
 
Order,
 
as
 
each
 
may
 
be
 
amended
 
or
 
replaced
from
 
time
 
to
 
time.
No
 
Set-off
Subject
 
to
 
applicable
 
law,
 
the
 
Trustee
 
and
 
holders
 
of
 
the
 
Senior
 
Debt
 
Securities
 
by
 
their
 
acceptance
 
thereof
 
will
 
be
 
deemed
 
to
 
have
waived
 
any
 
right
 
of
 
set-off
 
or
 
counterclaim
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities
 
or
 
the
 
Indenture
 
that
 
they
 
might
 
otherwise
 
have
 
against
 
us.
Redemption
We
 
may,
 
in
 
the
 
circumstances
 
set
 
out
 
below,
 
redeem
 
the
 
Senior
 
Debt
 
Securities
 
prior
 
to
 
their
 
specified
 
maturity
 
date.
 
Holders
 
of
 
the
Senior
 
Debt
 
Securities
 
have
 
no
 
right
 
to
 
require
 
us
 
to
 
redeem
 
the
 
Senior
 
Debt
 
Securities.
 
The
 
Senior
 
Debt
 
Securities
 
to
 
be
 
redeemed
 
will
 
also
stop
 
bearing
 
interest
 
on
 
the
 
relevant
 
redemption
 
date.
 
We
 
will
 
give
 
prior
 
notice
 
of
 
any
 
proposed
 
redemption
 
to
 
holders
 
of
 
Senior
 
Debt
 
Securities
via
 
DTC,
 
or,
 
if
 
the
 
Senior
 
Debt
 
Securities
 
are
 
held
 
in
 
definitive
 
form,
 
to
 
the
 
holders
 
at
 
their
 
addresses
 
shown
 
on
 
the
 
register
 
for
 
such
 
Senior
 
Debt
Securities.
 
The
 
notice
 
period
 
required
 
for
 
any
 
proposed
 
redemption
 
is
 
set
 
out
 
in
 
the
 
table
 
above.
Tax
 
Redemption
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
3
We
 
have
 
the
 
right
 
to
 
redeem
 
the
 
Senior
 
Debt
 
Securities,
 
in
 
whole
 
but
 
not
 
in
 
part,
 
at
 
a
 
redemption
 
price
 
equal
 
to
 
100%
 
of
 
their
 
principal
amount
 
together
 
with
 
any
 
accrued
 
but
 
unpaid
 
interest,
 
if
 
any,
 
upon
 
the
 
occurrence
 
of
 
certain
 
events
 
related
 
to
 
taxation
 
as
 
described
 
below.
 
If,
 
as
 
a
 
result
 
of
 
a
 
change
 
in,
 
or
 
amendment
 
to,
 
the
 
tax
 
laws
 
or
 
regulations
 
of
 
the
 
United
 
Kingdom
 
(or
 
any
 
political
 
subdivision
 
or
authority
 
thereof
 
or
 
therein
 
that
 
has
 
the
 
power
 
to
 
tax)
 
(a
 
“
Taxing
 
Jurisdiction
”),
 
including
 
any
 
treaty
 
to
 
which
 
the
 
relevant
 
Taxing
 
Jurisdiction
 
is
a
 
party,
 
or
 
a
 
change
 
in
 
an
 
official
 
application
 
of
 
those
 
tax
 
laws
 
or
 
regulations,
 
including
 
a
 
decision
 
of
 
any
 
court
 
or
 
tribunal,
 
which
 
becomes
effective
 
on
 
or
 
after
 
the
 
date
 
on
 
which
 
the
 
Senior
 
Debt
 
Securities
 
are
 
issued
 
(or,
 
in
 
the
 
case
 
of
 
additional
 
Senior
 
Debt
 
Securities,
 
the
 
date
 
on
which
 
the
 
original
 
Senior
 
Debt
 
Securities
 
are
 
issued),
 
we:
 
(i)
 
will
 
or
 
would
 
be
 
required
 
to
 
pay
 
holders
 
any
 
additional
 
amounts
 
(as
 
described
below
 
under
 
“
Payment
 
of
 
Debt
 
Security
 
Additional
 
Amounts
”);
 
or
 
(ii)
 
would
 
not
 
be
 
entitled
 
to
 
claim
 
a
 
deduction
 
in
 
respect
 
of
 
any
 
payments
 
in
computing
 
our
 
taxation
 
liabilities
 
or
 
the
 
amount
 
of
 
the
 
deduction
 
would
 
be
 
materially
 
reduced;
 
or
 
(iii)
 
are
 
unable
 
to
 
have
 
losses
 
or
 
deductions
 
set
against
 
the
 
profits
 
or
 
gains,
 
or
 
profits
 
or
 
gains
 
offset
 
by
 
the
 
losses
 
or
 
deductions,
 
of
 
companies
 
with
 
which
 
we
 
are
 
or
 
would
 
otherwise
 
be
 
so
grouped
 
for
 
applicable
 
United
 
Kingdom
 
tax
 
purposes
 
(each
 
such
 
change
 
in
 
law
 
or
 
regulation
 
or
 
the
 
official
 
application
 
thereof,
 
a
 
“
Tax
 
Event
”),
we
 
may
 
redeem
 
the
 
Senior
 
Debt
 
Securities.
 
In
 
addition,
 
we
 
may
 
also,
 
at
 
our
 
option,
 
redeem
 
the
 
Senior
 
Debt
 
Securities,
 
in
 
whole
 
but
 
not
 
in
 
part,
 
if
 
we
 
are
 
required
 
to
 
issue
 
definitive
certificated
 
notes
 
in
 
the
 
events
 
specified
 
under
 
the
 
relevant
 
prospectus
 
relating
 
to
 
the
 
termination
 
of
 
a
 
global
 
security
 
and,
 
as
 
a
 
result,
 
we
become
 
obligated
 
to
 
pay
 
holders
 
any
 
additional
 
amounts
 
(as
 
described
 
below
 
under
 
“
Payment
 
of
 
Debt
 
Security
 
Additional
 
Amounts
”).
Optional
 
Redemption
We
 
have
 
the
 
right
 
to
 
redeem
 
the
 
Senior
 
Debt
 
Securities
 
(as
 
specified
 
in
 
the
 
table
 
above),
 
at
 
our
 
option
 
in
 
whole
 
or
 
in
 
part,
 
the
 
then
outstanding
 
amount
 
of
 
on
 
the
 
Par
 
Redemption
 
Date
 
(as
 
specified
 
in
 
the
 
table
 
above),
 
at
 
an
 
amount
 
equal
 
to
 
100%
 
of
 
their
 
principal
 
amount
together
 
with
 
accrued
 
but
 
unpaid
 
interest,
 
if
 
any.
Payment
 
of
 
Debt
 
Security
 
Additional
 
Amounts
We
 
will
 
pay
 
any
 
amounts
 
to
 
be
 
paid
 
by
 
us
 
on
 
the
 
Senior
 
Debt
 
Securities
 
without
 
deduction
 
or
 
withholding
 
for,
 
or
 
on
 
account
 
of,
 
any
 
and
all
 
present
 
or
 
future
 
income,
 
stamp
 
and
 
other
 
taxes,
 
levies,
 
imposts,
 
duties,
 
charges,
 
fees,
 
deductions
 
or
 
withholdings
 
(“
Taxes
”)
 
now
 
or
hereafter
 
imposed,
 
levied,
 
collected,
 
withheld
 
or
 
assessed
 
by
 
or
 
on
 
behalf
 
of
 
a
 
Taxing
 
Jurisdiction,
 
unless
 
the
 
deduction
 
or
 
withholding
 
is
required
 
by
 
law.
 
If
 
at
 
any
 
time
 
a
 
Taxing
 
Jurisdiction
 
requires
 
us
 
to
 
deduct
 
or
 
withhold
 
Taxes,
 
we
 
will
 
pay
 
the
 
additional
 
amounts
 
of,
 
or
 
in
 
respect
of,
 
the
 
principal
 
of,
 
any
 
premium,
 
if
 
any,
 
and
 
any
 
interest
 
on,
 
the
 
Senior
 
Debt
 
Securities
 
(“
Debt
 
Security
 
Additional
 
Amounts
”)
 
that
 
are
necessary
 
so
 
that
 
the
 
net
 
amounts
 
paid
 
to
 
the
 
holders,
 
after
 
the
 
deduction
 
or
 
withholding,
 
shall
 
equal
 
the
 
amounts
 
which
 
would
 
have
 
been
payable
 
had
 
no
 
such
 
deduction
 
or
 
withholding
 
been
 
required.
 
However,
 
certain
 
exceptions
 
are
 
set
 
forth
 
in
 
the
 
relevant
 
prospectus
 
and/or
prospectus
 
supplement.
The
 
Indenture
 
provides
 
that
 
we
 
will
 
not
 
pay
 
Debt
 
Security
 
Additional
 
Amounts
 
for
 
Taxes
 
that
 
are
 
payable
 
because:
 
(i)
 
the
 
holder
 
or
 
the
 
beneficial
 
owner
 
of
 
the
 
Senior
 
Debt
 
Securities
 
is
 
a
 
domiciliary,
 
national
 
or
 
resident
 
of,
 
or
 
engages
 
in
 
business
 
or
maintains
 
a
 
permanent
 
establishment
 
or
 
is
 
physically
 
present
 
in,
 
a
 
Taxing
 
Jurisdiction
 
requiring
 
that
 
deduction
 
or
 
withholding,
 
or
 
otherwise
 
has
some
 
connection
 
with
 
the
 
Taxing
 
Jurisdiction
 
other
 
than
 
the
 
holding
 
or
 
ownership
 
of
 
the
 
Senior
 
Debt
 
Security,
 
or
 
the
 
collection
 
of
 
any
 
payment
of,
 
or
 
in
 
respect
 
of,
 
the
 
principal
 
of,
 
any
 
premium
 
or
 
any
 
interest
 
on,
 
the
 
Senior
 
Debt
 
Securities;
(ii)
 
except
 
in
 
the
 
case
 
of
 
our
 
winding-up
 
in
 
England,
 
the
 
Senior
 
Debt
 
Security
 
is
 
presented
 
for
 
payment
 
in
 
the
 
United
 
Kingdom;
(iii)
 
the
 
Senior
 
Debt
 
Security
 
is
 
presented
 
for
 
payment
 
more
 
than
 
30
 
days
 
after
 
the
 
date
 
payment
 
became
 
due
 
or
 
was
 
provided
 
for,
whichever
 
is
 
later,
 
except
 
to
 
the
 
extent
 
that
 
the
 
holder
 
would
 
have
 
been
 
entitled
 
to
 
the
 
Debt
 
Security
 
Additional
 
Amounts
 
on
 
presenting
 
the
Senior
 
Debt
 
Security
 
for
 
payment
 
at
 
the
 
close
 
of
 
such
 
30-day
 
period;
(iv)
 
the
 
holder
 
or
 
the
 
beneficial
 
owner
 
of
 
the
 
Senior
 
Debt
 
Securities
 
or
 
the
 
beneficial
 
owner
 
of
 
any
 
payment
 
of
 
(or
 
in
 
respect
 
of)
 
principal
of,
 
premium,
 
if
 
any,
 
or
 
any
 
interest
 
on
 
Senior
 
Debt
 
Securities
 
failed
 
to
 
make
 
any
 
necessary
 
claim
 
or
 
to
 
comply
 
with
 
any
 
certification,
 
identification
or
 
other
 
requirements
 
concerning
 
the
 
nationality,
 
residence,
 
identity
 
or
 
connection
 
with
 
the
 
Taxing
 
Jurisdiction
 
of
 
such
 
holder
 
or
 
beneficial
owner,
 
if
 
such
 
claim
 
or
 
compliance
 
is
 
required
 
by
 
statute,
 
treaty,
 
regulation
 
or
 
administrative
 
practice
 
of
 
the
 
Taxing
 
Jurisdiction
 
as
 
a
 
condition
 
to
relief
 
or
 
exemption
 
from
 
such
 
Taxes;
 
or
(v)
 
if
 
the
 
Taxes
 
would
 
not
 
have
 
been
 
imposed
 
or
 
would
 
have
 
been
 
excluded
 
under
 
one
 
of
 
the
 
preceding
 
points
 
if
 
the
 
beneficial
 
owner
 
of,
or
 
person
 
ultimately
 
entitled
 
to
 
obtain
 
an
 
interest
 
in,
 
the
 
Senior
 
Debt
 
Securities
 
had
 
been
 
the
 
holder
 
of
 
the
 
Senior
 
Debt
 
Securities.
Modification
 
and
 
Waiver
We
 
and
 
the
 
Trustee
 
may
 
make
 
certain
 
modifications
 
and
 
amendments
 
to
 
the
 
indenture
 
applicable
 
to
 
the
 
Senior
 
Debt
 
Securities
without
 
the
 
consent
 
of
 
the
 
holders
 
of
 
the
 
Senior
 
Debt
 
Securities.
 
We
 
may
 
make
 
other
 
modifications
 
and
 
amendments
 
with
 
the
 
consent
 
of
 
the
holder(s)
 
of
 
not
 
less
 
than
 
a
 
majority
 
in
 
aggregate
 
principal
 
amount
 
of
 
the
 
Senior
 
Debt
 
Securities
 
outstanding
 
under
 
the
 
Indenture
 
that
 
are
affected
 
by
 
the
 
modification
 
or
 
amendment.
 
However,
 
we
 
may
 
not
 
make
 
any
 
modification
 
or
 
amendment
 
without
 
the
 
consent
 
of
 
the
 
holder
 
of
each
 
affected
 
Senior
 
Debt
 
Security
 
that
 
would:
●
 
change
 
the
 
terms
 
of
 
any
 
Senior
 
Debt
 
Security
 
to
 
change
 
the
 
stated
 
maturity
 
date
 
of
 
its
 
principal
 
amount;
●
 
change
 
the
 
principal
 
amount
 
of,
 
or
 
any
 
premium,
 
or
 
rate
 
of
 
interest,
 
with
 
respect
 
to
 
any
 
Senior
 
Debt
 
Security;
●
 
reduce
 
the
 
amount
 
of
 
principal
 
on
 
a
 
discount
 
Senior
 
Debt
 
Security
 
that
 
would
 
be
 
due
 
and
 
payable
 
upon
 
an
 
acceleration
 
of
 
the
maturity
 
date
 
of
 
Senior
 
Debt
 
Securities;
●
 
change
 
our
 
obligation,
 
or
 
any
 
successor’s,
 
to
 
pay
 
Debt
 
Security
 
Additional
 
Amounts;
●
 
change
 
the
 
places
 
at
 
which
 
payments
 
are
 
payable
 
or
 
the
 
currency
 
of
 
payment;
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
4
●
 
impair
 
the
 
right
 
to
 
sue
 
for
 
the
 
enforcement
 
of
 
any
 
payment
 
due
 
and
 
payable;
●
 
reduce
 
the
 
percentage
 
in
 
aggregate
 
principal
 
amount
 
of
 
outstanding
 
Senior
 
Debt
 
Securities
 
necessary
 
to
 
modify
 
or
 
amend
 
the
Indenture
 
or
 
to
 
waive
 
compliance
 
with
 
certain
 
provisions
 
of
 
the
 
Indenture
 
and
 
any
 
past
 
event
 
of
 
default
 
or
 
enforcement
 
event
(in
 
each
 
case,
 
as
 
defined
 
in
 
the
 
Indenture);
●
 
change
 
our
 
obligation
 
to
 
maintain
 
an
 
office
 
or
 
agency
 
in
 
the
 
place
 
and
 
for
 
the
 
purposes
 
specified
 
in
 
the
 
Indenture;
●
 
modify
 
the
 
subordination
 
provisions,
 
if
 
any,
 
or
 
the
 
terms
 
and
 
conditions
 
of
 
our
 
obligations
 
in
 
respect
 
of
 
the
 
due
 
and
 
punctual
payment
 
of
 
the
 
amounts
 
due
 
and
 
payable
 
on
 
the
 
Senior
 
Debt
 
Securities,
 
in
 
either
 
case
 
in
 
a
 
manner
 
adverse
 
to
 
the
 
holders;
 
or
●
 
modify
 
the
 
foregoing
 
requirements
 
or
 
the
 
provisions
 
of
 
the
 
Indenture
 
relating
 
to
 
the
 
waiver
 
of
 
any
 
past
 
event
 
of
 
default
 
or
enforcement
 
event
 
(in
 
each
 
case,
 
as
 
defined
 
in
 
the
 
Indenture)
 
or
 
covenants,
 
except
 
as
 
otherwise
 
specified.
Events
 
of
 
Default
Each
 
of
 
the
 
following
 
is
 
an
 
“
Event
 
of
 
Default
”:
 
●
 
Failure
 
to
 
pay
 
any
 
principal
 
or
 
interest
 
on
 
the
 
Senior
 
Debt
 
Securities
 
within
 
14
 
days
 
from
 
the
 
due
 
date
 
for
 
payment
 
and
 
such
failure
 
to
 
pay
 
persists
 
for
 
a
 
further
 
14
 
days
 
following
 
written
 
notice
 
from
 
the
 
Trustee
 
or
 
from
 
holders
 
of
 
25%
 
in
 
principal
 
amount
of
 
the
 
Senior
 
Debt
 
Securities
 
requiring
 
us
 
to
 
make
 
payment,
 
unless
 
such
 
payment
 
was
 
withheld
 
in
 
order
 
to
 
comply
 
with
 
a
 
law,
regulation
 
or
 
order
 
of
 
any
 
court
 
of
 
competent
 
jurisdiction;
●
 
Breach
 
of
 
any
 
covenant
 
or
 
warranty
 
of
 
the
 
Indenture
 
(other
 
than
 
payment,
 
as
 
stated
 
above)
 
and
 
that
 
breach
 
is
 
not
 
remedied
within
 
21
 
days
 
following
 
written
 
notice
 
from
 
the
 
Trustee
 
or
 
from
 
holders
 
of
 
at
 
least
 
25%
 
in
 
principal
 
amount
 
of
 
the
 
Senior
 
Debt
Securities
 
requiring
 
us
 
to
 
remedy
 
the
 
breach;
 
or
●
 
Either
 
an
 
English
 
court
 
of
 
competent
 
jurisdiction
 
issues
 
an
 
order
 
which
 
is
 
not
 
successfully
 
appealed
 
within
 
30
 
days,
 
or
 
an
effective
 
shareholders’
 
resolution
 
is
 
validly
 
adopted,
 
for
 
our
 
winding-up
 
(other
 
than
 
under
 
or
 
in
 
connection
 
with
 
a
 
scheme
 
of
reconstruction,
 
merger
 
or
 
amalgamation
 
not
 
involving
 
bankruptcy
 
or
 
insolvency).
If
 
an
 
Event
 
of
 
Default
 
occurs
 
and
 
is
 
continuing,
 
the
 
Trustee
 
or
 
the
 
holders
 
of
 
at
 
least
 
25%
 
in
 
outstanding
 
principal
 
amount
 
of
 
the
 
Senior
Debt
 
Securities
 
may
 
declare
 
such
 
Senior
 
Debt
 
Securities
 
to
 
be
 
due
 
and
 
repayable
 
immediately
 
(and
 
such
 
Senior
 
Debt
 
Securities
 
shall
 
thereby
become
 
due
 
and
 
repayable)
 
at
 
their
 
outstanding
 
principal
 
amount
 
(or
 
at
 
such
 
other
 
repayment
 
amount
 
as
 
may
 
be
 
specified
 
in
 
or
 
determined
 
in
accordance
 
with
 
the
 
Indenture)
 
together
 
with
 
accrued
 
interest,
 
if
 
any.
 
The
 
Trustee
 
may
 
at
 
its
 
discretion
 
and
 
without
 
further
 
notice
 
institute
 
such
proceedings
 
as
 
it
 
may
 
think
 
suitable
 
against
 
us
 
to
 
enforce
 
payment.
 
Subject
 
to
 
the
 
provisions
 
included
 
in
 
the
 
Indenture
 
for
 
the
 
indemnification
 
of
the
 
Trustee,
 
the
 
holders
 
of
 
a
 
majority
 
in
 
aggregate
 
principal
 
amount
 
of
 
the
 
outstanding
 
Senior
 
Debt
 
Securities
 
have
 
the
 
right
 
to
 
direct
 
the
 
Trustee
to
 
take
 
enforcement
 
action;
 
provided
 
that
 
such
 
direction
 
does
 
not
 
conflict
 
with
 
any
 
rule
 
of
 
law
 
or
 
the
 
Indenture,
 
and
 
is
 
not
 
unjustly
 
prejudicial
 
to
the
 
holder(s)
 
of
 
the
 
Senior
 
Debt
 
Securities
 
not
 
taking
 
part
 
in
 
the
 
direction,
 
in
 
either
 
case
 
as
 
determined
 
by
 
the
 
Trustee
 
in
 
its
 
sole
 
discretion.
 
The
Trustee
 
may
 
also
 
take
 
any
 
other
 
action,
 
not
 
inconsistent
 
with
 
the
 
direction,
 
that
 
it
 
deems
 
proper.
The
 
holders
 
of
 
a
 
majority
 
of
 
the
 
aggregate
 
principal
 
amount
 
of
 
the
 
outstanding
 
Senior
 
Debt
 
Securities
 
may
 
also
 
waive
 
any
 
past
 
Event
 
of
Default,
 
except
 
any
 
default
 
in
 
respect
 
of
 
either:
●
 
the
 
payment
 
of
 
principal
 
of,
 
or
 
any
 
premium
 
or
 
interest
 
on,
 
the
 
Senior
 
Debt
 
Securities;
 
or
●
 
a
 
covenant
 
or
 
provision
 
of
 
the
 
Indenture
 
which
 
cannot
 
be
 
modified
 
or
 
amended
 
without
 
the
 
consent
 
of
 
each
 
holder
 
of
 
the
Senior
 
Debt
 
Securities.
Subject
 
to
 
exceptions,
 
the
 
Trustee
 
may
 
(but
 
is
 
not
 
obligated
 
to),
 
without
 
the
 
consent
 
of
 
the
 
holders,
 
waive
 
or
 
authorize
 
an
 
Event
 
of
Default
 
if,
 
in
 
the
 
opinion
 
of
 
the
 
Trustee,
 
such
 
waiver
 
or
 
authorization
 
would
 
not
 
be
 
materially
 
prejudicial
 
to
 
the
 
interests
 
of
 
the
 
holders.
The
 
Trustee
 
must
 
give
 
notice
 
to
 
each
 
affected
 
holder
 
within
 
90
 
days
 
of
 
a
 
default
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities,
 
unless
 
the
default
 
has
 
been
 
cured
 
or
 
waived.
 
However,
 
except
 
in
 
the
 
case
 
of
 
a
 
default
 
in
 
the
 
payment
 
of
 
the
 
principal
 
of,
 
or
 
premium,
 
if
 
any,
 
or
 
interest,
 
if
any,
 
on
 
the
 
Senior
 
Debt
 
Securities,
 
the
 
Trustee
 
will
 
be
 
entitled
 
to
 
withhold
 
notice
 
if
 
a
 
trust
 
committee
 
of
 
responsible
 
officers
 
of
 
the
 
Trustee
determine
 
in
 
good
 
faith
 
that
 
withholding
 
of
 
notice
 
is
 
in
 
the
 
interest
 
of
 
the
 
holders.
 
We
 
are
 
required
 
to
 
furnish
 
to
 
the
 
Trustee
 
annually
 
a
 
statement
 
as
 
to
 
our
 
compliance
 
with
 
all
 
conditions
 
and
 
covenants
 
under
 
the
Indenture.
Notwithstanding
 
any
 
contrary
 
provisions,
 
nothing
 
shall
 
impair
 
the
 
right
 
of
 
a
 
holder,
 
absent
 
the
 
holder’s
 
consent,
 
to
 
sue
 
for
 
any
 
payments
due
 
but
 
unpaid
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities.
Exercise
 
of
 
U.K.
 
Bail-in
 
Power
The
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
(which
 
refers
 
to
 
any
 
authority
 
with
 
the
 
ability
 
to
 
exercise
 
a
 
U.K.
 
Bail-in
 
Power)
 
may
 
exercise
 
the
bail-in
 
tool
 
in
 
respect
 
of
 
Barclays,
 
as
 
issuer,
 
and
 
the
 
Senior
 
Debt
 
Securities.
 
Holders
 
of
 
the
 
Senior
 
Debt
 
Securities
 
are
 
bound
 
by
 
the
 
exercise
 
of
any
 
U.K.
 
Bail-in
 
Power
 
(as
 
defined
 
in
 
the
 
prospectus
 
for
 
the
 
Senior
 
Debt
 
Securities)
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority.
 
This
 
is
 
not
 
a
waiver
 
of
 
any
 
rights
 
holders
 
of
 
Senior
 
Debt
 
Securities
 
may
 
have
 
at
 
law
 
if
 
and
 
to
 
the
 
extent
 
that
 
any
 
U.K.
 
Bail-in
 
Power
 
is
 
exercised
 
by
 
the
Relevant
 
U.K.
 
Resolution
 
Authority
 
in
 
breach
 
of
 
laws
 
applicable
 
in
 
England.
Generally,
 
exercise
 
of
 
any
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
may
 
result
 
in
 
(i)
 
the
 
reduction
 
or
 
cancellation
 
of
all,
 
or
 
a
 
portion,
 
of
 
the
 
principal
 
amount
 
of,
 
or
 
interest
 
on,
 
the
 
Senior
 
Debt
 
Securities;
 
(ii)
 
the
 
conversion
 
of
 
all,
 
or
 
a
 
portion
 
of,
 
the
 
principal
amount
 
of,
 
or
 
interest
 
on,
 
the
 
Senior
 
Debt
 
Securities
 
into
 
shares
 
or
 
other
 
securities
 
or
 
other
 
obligations
 
of
 
Barclays
 
or
 
another
 
person
 
(and
 
the
issue
 
to,
 
or
 
conferral
 
on,
 
the
 
holder
 
of
 
the
 
Senior
 
Debt
 
Securities
 
of
 
such
 
shares,
 
securities
 
or
 
obligations);
 
and/or
 
(iii)
 
the
 
amendment
 
or
alteration
 
of
 
the
 
maturity
 
of
 
the
 
Senior
 
Debt
 
Securities,
 
or
 
amendment
 
of
 
the
 
amount
 
of
 
interest
 
due
 
on
 
the
 
Senior
 
Debt
 
Securities,
 
or
 
the
 
dates
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
5
on
 
which
 
interest
 
becomes
 
payable,
 
including
 
by
 
suspending
 
payment
 
for
 
a
 
temporary
 
period;
 
which
 
U.K.
 
Bail-in
 
Power
 
may
 
be
 
exercised,
 
by
means
 
of
 
a
 
variation
 
of
 
the
 
terms
 
of
 
the
 
Senior
 
Debt
 
Securities
 
to
 
give
 
effect
 
to
 
the
 
exercise
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
of
 
such
U.K.
 
Bail-in
 
Power.
No
 
repayment
 
of
 
the
 
principal
 
amount
 
of
 
the
 
Senior
 
Debt
 
Securities
 
or
 
payment
 
of
 
interest
 
on
 
the
 
Senior
 
Debt
 
Securities
 
shall
 
become
due
 
and
 
payable
 
after
 
the
 
exercise
 
of
 
any
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
unless
 
such
 
repayment
 
or
 
payment
would
 
be
 
permitted
 
to
 
be
 
made
 
by
 
Barclays
 
under
 
the
 
laws
 
and
 
regulations
 
of
 
the
 
United
 
Kingdom
 
and
 
the
 
European
 
Union
 
applicable
 
to
Barclays.
The
 
exercise
 
of
 
the
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities
 
shall
 
not
constitute
 
an
 
Event
 
of
 
Default.
 
Upon
 
the
 
exercise
 
of
 
any
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
Relevant
 
U.K.
 
Resolution
 
Authority
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities,
 
(a)
 
the
Trustee
 
shall
 
not
 
be
 
required
 
to
 
take
 
any
 
further
 
directions
 
from
 
holders
 
of
 
the
 
Senior
 
Debt
 
Securities
 
pursuant
 
to
 
the
 
Indenture
 
which
 
authorizes
holders
 
of
 
a
 
majority
 
in
 
aggregate
 
principal
 
amount
 
of
 
the
 
outstanding
 
Senior
 
Debt
 
Securities
 
to
 
direct
 
certain
 
actions
 
relating
 
to
 
the
 
Senior
 
Debt
Securities
 
and
 
(b)
 
the
 
Indenture
 
imposes
 
no
 
duties
 
upon
 
the
 
Trustee
 
whatsoever
 
with
 
respect
 
to
 
the
 
exercise
 
of
 
any
 
U.K.
 
Bail-in
 
Power
 
by
 
the
Relevant
 
U.K.
 
Resolution
 
Authority.
 
Notwithstanding
 
the
 
foregoing,
 
if,
 
following
 
the
 
completion
 
of
 
the
 
exercise
 
of
 
the
 
U.K.
 
Bail-in
 
Power
 
by
 
the
Relevant
 
U.K.
 
Resolution
 
Authority
 
in
 
respect
 
of
 
the
 
Senior
 
Debt
 
Securities,
 
the
 
Senior
 
Debt
 
Securities
 
remain
 
outstanding
 
(for
 
example,
 
if
 
the
exercise
 
of
 
the
 
U.K.
 
Bail-in
 
Power
 
results
 
in
 
only
 
a
 
partial
 
write-down
 
of
 
the
 
principal
 
of
 
the
 
Senior
 
Debt
 
Securities),
 
then
 
the
 
Trustee’s
 
duties
under
 
the
 
Indenture
 
will
 
apply
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities
 
following
 
such
 
completion
 
to
 
the
 
extent
 
agreed
 
by
 
Barclays
 
and
 
the
Trustee,
 
pursuant
 
to
 
a
 
supplemental
 
indenture
 
to
 
the
 
Indenture,
 
or
 
an
 
amendment
 
thereto.
Consolidation,
 
Merger
 
and
 
Sale
 
of
 
Assets;
 
Assumption
We
 
may,
 
without
 
the
 
consent
 
of
 
holders
 
of
 
the
 
outstanding
 
Senior
 
Debt
 
Securities,
 
consolidate,
 
amalgamate
 
with
 
or
 
merge
 
into
 
any
other
 
corporation,
 
or
 
convey
 
or
 
transfer
 
or
 
lease
 
our
 
properties
 
and
 
assets
 
substantially
 
as
 
an
 
entirety
 
to
 
any
 
Person
 
(as
 
defined
 
below),
provided
 
that:
 
●
 
the
 
Person
 
formed
 
by
 
such
 
consolidation
 
or
 
amalgamation,
 
or
 
into
 
which
 
Barclays
 
is
 
merged,
 
or
 
the
 
Person
 
which
 
acquires
 
by
conveyance
 
or
 
transfer,
 
or
 
which
 
leases
 
the
 
properties
 
and
 
assets
 
of
 
Barclays
 
substantially
 
as
 
an
 
entirety
 
expressly
 
assumes
 
by
supplemental
 
indenture
 
all
 
of
 
Barclays’
 
obligations
 
under
 
the
 
outstanding
 
Senior
 
Debt
 
Securities
 
and
 
the
 
Indenture;
 
●
 
immediately
 
after
 
giving
 
effect
 
to
 
such
 
transaction,
 
no
 
Event
 
of
 
Default
 
and
 
no
 
event
 
which,
 
after
 
notice
 
or
 
lapse
 
of
 
time
 
or
 
both,
 
would
become
 
an
 
Event
 
of
 
Default,
 
shall
 
have
 
happened
 
and
 
be
 
continuing;
 
and
 
●
 
we
 
have
 
delivered
 
to
 
the
 
Trustee
 
an
 
officer’s
 
certificate
 
and
 
an
 
opinion
 
of
 
counsel,
 
each
 
stating
 
that
 
such
 
consolidation,
amalgamation,
 
merger,
 
conveyance
 
or
 
transfer
 
and
 
such
 
supplemental
 
indenture
 
comply
 
with
 
the
 
Indenture
 
and
 
that
 
all
 
conditions
precedent
 
relating
 
to
 
such
 
transaction
 
have
 
been
 
complied
 
with.
The
 
successor
 
Person
 
formed
 
by
 
such
 
consolidation
 
or
 
amalgamation
 
or
 
into
 
which
 
Barclays
 
is
 
merged
 
or
 
the
 
Person
 
to
 
which
 
such
conveyance
 
or
 
transfer
 
is
 
made
 
will
 
succeed
 
to
 
and
 
be
 
substituted
 
for,
 
and
 
may
 
exercise
 
every
 
right
 
and
 
power
 
of,
 
Barclays
 
under
 
the
 
Indenture
with
 
the
 
same
 
effect
 
as
 
if
 
such
 
successor
 
Person
 
had
 
been
 
named
 
as
 
the
 
issuer,
 
and
 
thereafter,
 
the
 
predecessor
 
Person
 
shall
 
be
 
relieved
 
of
 
all
obligations
 
and
 
covenants
 
under
 
the
 
Indenture
 
and
 
the
 
Senior
 
Debt
 
Securities.
In
 
this
 
section,
 
“
Person
”
 
means
 
any
 
individual,
 
corporation,
 
partnership,
 
joint
 
venture,
 
association,
 
joint-stock
 
company,
 
trust,
unincorporated
 
organization
 
or
 
government
 
or
 
any
 
agency
 
or
 
political
 
subdivision
 
thereof.
Satisfaction
 
and
 
Discharge
 
When
 
(i)
 
Barclays
 
delivers
 
to
 
the
 
Trustee
 
all
 
outstanding
 
Senior
 
Debt
 
Securities
 
(other
 
than
 
Senior
 
Debt
 
Securities
 
which
 
have
 
been
replaced
 
or
 
paid
 
because
 
they
 
were
 
destroyed,
 
lost
 
or
 
stolen)
 
for
 
cancellation,
 
or
 
(ii)
 
all
 
outstanding
 
Senior
 
Debt
 
Securities
 
have
 
become
 
due
and
 
payable
 
or
 
are
 
by
 
their
 
terms
 
due
 
and
 
payable
 
within
 
one
 
year
 
whether
 
at
 
maturity
 
or
 
are
 
to
 
be
 
called
 
for
 
redemption
 
within
 
one
 
year
 
under
arrangements
 
satisfactory
 
to
 
the
 
Trustee,
 
and
 
in
 
the
 
case
 
of
 
clause
 
(ii)
 
Barclays
 
deposits
 
or
 
causes
 
to
 
be
 
deposited
 
with
 
the
 
Trustee
 
funds
sufficient
 
to
 
pay
 
and
 
discharge
 
all
 
claims
 
with
 
respect
 
to
 
all
 
outstanding
 
Senior
 
Debt
 
Securities,
 
including
 
accrued
 
interest
 
thereon,
 
if
 
any,
 
at
maturity
 
or
 
upon
 
redemption
 
of
 
such
 
Senior
 
Debt
 
Securities,
 
and
 
if
 
in
 
either
 
case,
 
Barclays
 
pays
 
all
 
other
 
sums
 
related
 
to
 
the
 
Senior
 
Debt
Securities
 
payable
 
under
 
the
 
Indenture
 
by
 
Barclays,
 
and
 
Barclays
 
has
 
delivered
 
to
 
the
 
Trustee
 
an
 
officer’s
 
certificate
 
and
 
an
 
opinion
 
of
 
counsel,
each
 
stating
 
that
 
all
 
conditions
 
precedent
 
relating
 
to
 
the
 
satisfaction
 
and
 
discharge
 
of
 
the
 
Indenture
 
have
 
been
 
complied
 
with,
 
then
 
the
 
Indenture
shall
 
(subject
 
to
 
certain
 
surviving
 
provisions)
 
cease
 
to
 
be
 
of
 
further
 
effect
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities,
 
and
 
the
 
Trustee,
 
at
Barclays’
 
expense,
 
shall
 
execute
 
proper
 
instruments
 
acknowledging
 
satisfaction
 
and
 
discharge
 
of
 
the
 
Indenture
 
with
 
respect
 
to
 
Senior
 
Debt
Securities.
 
Defeasance
 
and
 
Discharge
At
 
our
 
option,
 
either
 
(1)
 
we
 
shall
 
be
 
deemed
 
to
 
have
 
been
 
discharged
 
from
 
our
 
obligations
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
 
Securities
 
after
 
the
applicable
 
conditions
 
set
 
forth
 
below
 
have
 
been
 
satisfied,
 
or
 
(2)
 
we
 
shall
 
cease
 
to
 
be
 
under
 
any
 
obligation
 
to
 
comply
 
with
 
any
 
term,
 
provision
 
or
condition
 
set
 
forth
 
for
 
the
 
Senior
 
Debt
 
Securities,
 
at
 
any
 
time
 
after
 
the
 
applicable
 
conditions
 
set
 
forth
 
below
 
have
 
been
 
satisfied:
(a)
 
we
 
shall
 
have
 
deposited
 
or
 
caused
 
to
 
be
 
deposited
 
irrevocably
 
with
 
the
 
Trustee
 
or
 
its
 
agent
 
as
 
trust
 
funds
 
in
 
trust,
specifically
 
pledged
 
as
 
security
 
for,
 
and
 
dedicated
 
solely
 
to,
 
the
 
benefit
 
of
 
the
 
holders
 
of
 
the
 
Senior
 
Debt
 
Securities
 
and
 
the
holders
 
of
 
any
 
coupons
 
appertaining
 
thereto
 
(i)
 
money
 
in
 
an
 
amount,
 
or
 
(ii)
 
U.S.
 
government
 
obligations
 
which
 
through
 
the
payment
 
of
 
interest
 
and
 
principal
 
in
 
respect
 
thereof
 
in
 
accordance
 
with
 
their
 
terms
 
will
 
provide,
 
not
 
later
 
than
 
the
 
due
 
date
 
of
any
 
payment,
 
money
 
in
 
an
 
amount,
 
or
 
(iii)
 
a
 
combination
 
of
 
(i)
 
and
 
(ii),
 
in
 
each
 
case
 
sufficient,
 
in
 
the
 
opinion
 
(with
 
respect
 
to
(ii)
 
and
 
(iii))
 
of
 
a
 
nationally
 
recognized
 
firm
 
of
 
independent
 
public
 
accountants
 
expressed
 
in
 
a
 
written
 
certification
 
thereof
delivered
 
to
 
the
 
Trustee,
 
to
 
pay
 
and
 
discharge,
 
and
 
which
 
shall
 
be
 
applied
 
by
 
the
 
Trustee
 
(or
 
any
 
such
 
other
 
qualifying
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
6
trustee)
 
to
 
pay
 
and
 
discharge,
 
the
 
principal
 
of
 
(and
 
premium,
 
if
 
any)
 
and
 
interest
 
on,
 
the
 
outstanding
 
Senior
 
Debt
 
Securities
and
 
any
 
coupons
 
appertaining
 
thereto;
(b)
 
no
 
event
 
which
 
is,
 
or
 
after
 
notice
 
or
 
lapse
 
of
 
time
 
or
 
both
 
would
 
become,
 
an
 
Event
 
of
 
Default
 
with
 
respect
 
to
 
the
 
Senior
 
Debt
Securities
 
shall
 
have
 
occurred
 
and
 
be
 
continuing
 
at
 
the
 
time
 
of
 
such
 
deposit;
(c)
 
we
 
must
 
deliver
 
to
 
the
 
Trustee
 
an
 
opinion
 
of
 
counsel
 
to
 
the
 
effect
 
that
 
holders
 
of
 
the
 
Senior
 
Debt
 
Securities
 
will
 
not
recognize
 
income,
 
gain
 
or
 
loss
 
for
 
U.S.
 
federal
 
income
 
tax
 
purposes
 
as
 
a
 
result
 
of
 
such
 
exercise
 
of
 
option
 
and
 
will
 
be
subject
 
to
 
U.S.
 
federal
 
income
 
tax
 
on
 
the
 
same
 
amount
 
and
 
in
 
the
 
same
 
manner
 
and
 
at
 
the
 
same
 
times
 
as
 
would
 
have
 
been
the
 
case
 
if
 
such
 
option
 
had
 
not
 
been
 
exercised,
 
and,
 
in
 
the
 
case
 
of
 
such
 
Senior
 
Debt
 
Securities
 
being
 
discharged,
 
such
opinion
 
shall
 
be
 
accompanied
 
by
 
a
 
private
 
letter
 
ruling
 
to
 
that
 
effect
 
received
 
from
 
the
 
United
 
States
 
Internal
 
Revenue
Service
 
or
 
a
 
revenue
 
ruling
 
pertaining
 
to
 
a
 
comparable
 
form
 
of
 
transaction
 
to
 
that
 
effect
 
published
 
by
 
the
 
United
 
States
Internal
 
Revenue
 
Service;
 
and
(d)
 
we
 
shall
 
have
 
delivered
 
to
 
the
 
Trustee
 
an
 
officer’s
 
certificate
 
and
 
an
 
opinion
 
of
 
counsel,
 
each
 
stating
 
that
 
all
 
conditions
precedent
 
have
 
been
 
complied
 
with,
 
and
 
an
 
opinion
 
of
 
counsel
 
to
 
the
 
effect
 
that
 
the
 
exercise
 
of
 
the
 
option
 
set
 
out
 
under
 
this
section
 
would
 
not
 
cause
 
such
 
Senior
 
Debt
 
Securities
 
to
 
be
 
delisted.
 
The
 
Trustee
 
and
 
Paying
 
Agent
The
 
Bank
 
of
 
New
 
York
 
Mellon,
 
London
 
Branch,
 
One
 
Canada
 
Square,
 
London
 
E14
 
5AL,
 
United
 
Kingdom,
 
acts
 
as
 
the
 
Trustee
 
under
 
the
Indenture
 
and
 
initial
 
principal
 
paying
 
agent
 
for
 
the
 
Senior
 
Debt
 
Securities.
Governing
 
Law
The
 
Senior
 
Debt
 
Securities
 
and
 
the
 
Indenture
 
are
 
governed
 
by
 
and
 
construed
 
in
 
accordance
 
with
 
the
 
laws
 
of
 
the
 
State
 
of
 
New
 
York.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
7
B.
 
Description
 
of
 
Exchange-Traded
 
Notes
The
 
following
 
description
 
of
 
our
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
a
 
summary
 
and
 
does
 
not
 
purport
 
to
 
be
 
complete.
 
It
 
is
 
subject
 
to
and
 
qualified
 
in
 
its
 
entirety
 
by
 
reference
 
to
 
the
 
Indenture,
 
which
 
is
 
incorporated
 
by
 
reference
 
as
 
an
 
exhibit
 
to
 
the
 
Annual
 
Report
 
on
 
Form
 
20-F
 
of
which
 
this
 
Exhibit
 
[2.2]
 
is
 
a
 
part.
We
 
encourage
 
you
 
to
 
read
 
the
 
Indenture
 
for
 
additional
 
information.
The
 
ETNs
 
are
 
part
 
of
 
a
 
series
 
of
 
debt
 
securities
 
entitled
 
“Global
 
Medium-Term
 
Notes,
 
Series
 
A”
 
(the
 
“
medium-term
 
notes
”)
 
that
 
we
may
 
issue
 
under
 
the
 
Indenture
 
from
 
time
 
to
 
time.
 
The
 
ETNs
 
constitute
 
our
 
unsecured
 
and
 
unsubordinated
 
obligations
 
ranking
pari
 
passu
,
without
 
any
 
preference
 
among
 
themselves,
 
with
 
all
 
our
 
other
 
outstanding
 
unsecured
 
and
 
unsubordinated
 
obligations,
 
present
 
and
 
future,
 
except
those
 
obligations
 
as
 
are
 
preferred
 
by
 
operation
 
of
 
law.
The
 
ETNs
 
are
 
not
 
deposit
 
liabilities
 
of
 
Barclays
 
Bank
 
PLC
 
and
 
are
 
not
 
covered
 
by
 
the
 
U.K.
 
Financial
 
Services
 
Compensation
 
Scheme
 
or
insured
 
by
 
the
 
FDIC
 
or
 
any
 
other
 
governmental
 
agency
 
or
 
deposit
 
insurance
 
agency
 
of
 
the
 
United
 
States,
 
the
 
United
 
Kingdom
 
or
 
any
 
other
jurisdiction.
The
 
Indenture
 
does
 
not
 
limit
 
the
 
amount
 
of
 
debt
 
securities
 
that
 
we
 
may
 
issue.
 
We
 
may,
 
without
 
holders’
 
consent,
 
create
 
and
 
issue
additional
 
securities
 
having
 
the
 
same
 
terms
 
and
 
conditions
 
as
 
a
 
series
 
of
 
ETNs.
 
If
 
there
 
is
 
substantial
 
demand
 
a
 
series
 
of
 
ETNs,
 
we
 
may
 
issue
additional
 
ETNs
 
in
 
that
 
series
 
frequently.
 
We
 
may
 
consolidate
 
the
 
additional
 
securities
 
to
 
form
 
a
 
single
 
class
 
with
 
the
 
outstanding
 
ETNs
 
of
 
any
series.
 
However,
 
we
 
are
 
under
 
no
 
obligation
 
to
 
create
 
or
 
sell
 
additional
 
ETNs
 
at
 
any
 
time,
 
and
 
if
 
we
 
do
 
create
 
or
 
sell
 
additional
 
ETNs,
 
we
 
may
limit
 
such
 
sales
 
and
 
stop
 
selling
 
additional
 
ETNs
 
at
 
any
 
time.
 
We
 
also
 
reserve
 
the
 
right
 
to
 
cease
 
or
 
suspend
 
sales
 
of
 
ETNs
 
from
 
inventory
 
held
by
 
our
 
affiliate
 
Barclays
 
Capital
 
Inc.
 
at
 
any
 
time.
 
If
 
we
 
limit,
 
restrict
 
or
 
stop
 
sales
 
of
 
ETNs,
 
or
 
if
 
we
 
subsequently
 
resume
 
sales
 
of
 
ETNs,
 
the
liquidity
 
and
 
trading
 
price
 
of
 
the
 
relevant
 
ETNs
 
in
 
the
 
secondary
 
market
 
could
 
be
 
materially
 
and
 
adversely
 
affected.
For
 
the
 
purpose
 
of
 
determining
 
whether
 
the
 
holders
 
of
 
our
 
medium-term
 
notes,
 
of
 
which
 
the
 
ETNs
 
are
 
a
 
part,
 
are
 
entitled
 
to
 
take
 
any
action
 
under
 
the
 
Indenture,
 
we
 
will
 
treat
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
 
outstanding
 
as
 
their
 
principal
 
amount.
 
Although
 
the
 
terms
 
of
 
the
 
ETNs
may
 
differ
 
from
 
those
 
of
 
the
 
other
 
medium-term
 
notes,
 
holders
 
of
 
specified
 
percentages
 
in
 
principal
 
amount
 
of
 
all
 
medium
 
-term
 
notes,
 
together
in
 
some
 
cases
 
with
 
other
 
series
 
of
 
our
 
debt
 
securities,
 
will
 
be
 
able
 
to
 
take
 
action
 
affecting
 
all
 
the
 
medium-term
 
notes,
 
including
 
the
 
ETNs.
 
This
action
 
may
 
involve
 
changing
 
some
 
of
 
the
 
terms
 
that
 
apply
 
to
 
the
 
medium-term
 
notes,
 
accelerating
 
the
 
maturity
 
of
 
the
 
medium-term
 
notes
 
after
 
a
default
 
or
 
waiving
 
some
 
of
 
our
 
obligations
 
under
 
the
 
Indenture.
 
We
 
discuss
 
these
 
matters
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Modification
 
and
Waiver”
 
and
 
“—Events
 
of
 
Default;
 
Limitations
 
on
 
Suits”
 
below.
Unless
 
otherwise
 
specified,
 
references
 
to
 
“holders”
 
in
 
this
 
section
 
mean
 
those
 
who
 
own
 
the
 
ETNs
 
registered
 
in
 
their
 
own
 
names,
 
on
 
the
books
 
that
 
we
 
or
 
the
 
Trustee,
 
or
 
any
 
successor
 
Trustee,
 
as
 
applicable,
 
maintain
 
for
 
this
 
purpose,
 
and
 
not
 
those
 
who
 
own
 
beneficial
 
interests
 
in
the
 
ETNs
 
registered
 
in
 
street
 
name
 
or
 
in
 
the
 
ETNs
 
issued
 
in
 
book-entry
 
form
 
through
 
DTC
 
or
 
another
 
depositary.
Description
 
of
 
iPath®
 
Bloomberg
 
Commodity
 
Index
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Bloomberg
 
Lead
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes
 
and
iPath®
 
Bloomberg
 
Cocoa
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
S&P
 
GSCI
 
®
 
Total
 
Return
 
Index
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
US
 
Treasury
 
5-year
 
Bull
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
US
 
Treasury
 
5-year
 
Bear
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
Pure
 
Beta
 
Broad
 
Commodity
 
Exchange-Traded
 
Notes
 
Description
 
of
 
iPath®
 
Pure
 
Beta
 
Crude
 
Oil
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
S&P
 
500
 
Dynamic
 
VIX
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
S&P
 
MLP
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
Series
 
B
 
Bloomberg
 
Agriculture
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
iPath®
 
Series
 
B
 
Bloomberg
 
Aluminum
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Coffee
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Copper
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Cotton
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Energy
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Grains
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Industrial
 
Metals
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Livestock
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Nickel
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Platinum
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Precious
 
Metals
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Softs
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes,
 
iPath®
 
Series
 
B
 
Bloomberg
 
Sugar
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes
 
and
 
iPath®
 
Series
 
B
 
Bloomberg
 
Tin
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes
 
Description
 
of
 
iPath®
 
Series
 
B
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
ReturnSM
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
Series
 
B
 
S&P
 
500®
 
VIX
 
Short-Term
 
FuturesTM
 
Exchange-Traded
 
Notes
 
and
 
iPath®
 
Series
 
B
 
S&P
 
500®
 
VIX
 
Mid-Term
 
FuturesTM
 
Exchange-Traded
 
Notes
Description
 
of
 
Barclays
 
ETN+
 
Shiller
 
CAPETM
 
Exchange-Traded
 
Notes
Description
 
of
 
Barclays
 
ETN+
 
Select
 
MLP
 
Exchange-Traded
 
Notes
Description
 
of
 
Barclays
 
Women
 
in
 
Leadership
 
Exchange-Traded
 
Notes
Description
 
of
 
Barclays
 
Return
 
on
 
Disability
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
Series
 
B
 
Global
 
Carbon
 
Exchange-Traded
 
Notes
Description
 
of
 
iPath®
 
Silver
 
Exchange-Traded
 
Notes
Description
 
of
 
Pacer®
 
iPath®
 
Gold
 
Exchange-Traded
 
Notes
General
 
Terms
 
of
 
the
 
ETNs
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
8
Material
 
U.S.
 
Federal
 
Income
 
Tax
 
Considerations
Description
 
of
 
iPath
®
 
Bloomberg
 
Commodity
 
Index
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Bloomberg
 
Lead
 
Subindex
 
Total
Return
SM
 
Exchange-Traded
 
Notes
 
and
 
iPath
®
 
Bloomberg
 
Cocoa
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Bloomberg
 
Commodity
 
Index
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Bloomberg
 
Lead
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
and
 
iPath
®
 
Bloomberg
 
Cocoa
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes”
 
section
 
are
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
on
 
iPath
®
 
Bloomberg
 
Commodity
 
Index
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
(“
Commodity
 
Index
 
ETNs
”)
 
is
 
linked
 
to
 
the
performance
 
of
 
the
 
Bloomberg
 
Commodity
 
Index
 
Total
 
Return
SM
 
(the
 
“
Commodity
Index
”
 
or
 
the
 
“
BCOM
Index
”).
 
The
 
return
 
on
 
each
 
of
 
iPath
®
Bloomberg
 
Lead
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
(“
Lead
 
ETNs
”)
 
and
 
iPath
®
 
Bloomberg
 
Cocoa
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(“
Cocoa
 
ETNs,
”
 
together
 
with
 
the
 
Commodity
 
Index
 
ETNs
 
and
 
the
 
Lead
 
ETNs,
 
the
 
“
ETNs
”)
 
are
 
linked
 
to
 
the
performance
 
of
 
the
 
Bloomberg
 
Lead
 
Subindex
 
Total
 
Return
SM
 
and
 
the
 
Bloomberg
 
Cocoa
 
Subindex
 
Total
 
Return
SM
,
 
respectively
 
(the
 
“
Sub-
Indices
,”
 
and
 
together
 
with
 
the
 
Commodity
 
Index,
 
the
 
“
Indices
”).
 
The
 
Commodity
 
Index
 
is
 
designed
 
to
 
be
 
a
 
benchmark
 
for
 
commodities
 
as
 
an
asset
 
class,
 
and
 
the
 
Sub-Indices
 
are
 
each
 
designed
 
to
 
be
 
benchmarks
 
for
 
specific
 
types
 
of
 
commodities.
 
Each
 
Index
 
is
 
composed
 
of
 
one
 
or
more
 
futures
 
contracts
 
on
 
physical
 
commodities
 
(the
 
“
index
components
”)
 
and
 
is
 
intended
 
to
 
reflect
 
the
 
returns
 
that
 
are
 
potentially
 
available
through
 
an
 
unleveraged
 
investment
 
in
 
the
 
futures
 
contract
 
or
 
contracts
 
on
 
the
 
physical
 
commodity
 
or
 
commodities
 
comprising
 
the
 
relevant
 
Index
plus
 
the
 
rate
 
of
 
interest
 
that
 
could
 
be
 
earned
 
on
 
cash
 
collateral
 
invested
 
in
 
specified
 
Treasury
 
Bills.
 
The
 
Indices
 
are
 
the
 
exclusive
 
property
 
of
UBS
 
Securities
 
LLC
 
(collectively
 
with
 
its
 
affiliates,
 
“
UBS
”)
 
and
 
its
 
licensor.
 
On
 
July
 
1,
 
2014,
 
UBS
 
entered
 
into
 
a
 
commodity
 
index
 
license
agreement
 
with
 
Bloomberg
 
Finance
 
L.P.,
 
whereby
 
UBS
 
has
 
engaged
 
Bloomberg’s
 
services
 
for
 
calculation,
 
publication,
 
administration
 
and
marketing
 
of
 
the
 
Bloomberg
 
Commodity
 
Indexes
SM
.
 
Each
 
Index
 
is
 
now
 
calculated,
 
administered
 
and
 
published
 
by
 
Bloomberg
 
Index
 
Services
Limited
 
(“
BISL
”
 
or
 
the
 
“
Index
 
Administrator
”
 
and,
 
collectively
 
with
 
its
 
affiliates,
 
“
Bloomberg
”
 
and,
 
together
 
with
 
UBS,
 
the
 
“
Index
 
Sponsors
”).
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
 
stock
 
exchange
 
under
 
the
 
ticker
 
symbols
 
“DJP,”
 
“LD”
 
and
 
“NIB,”
 
respectively.
Inception,
 
Issuance,
 
and
 
Maturity
The
 
Commodity
 
Index
 
ETNs
 
were
 
first
 
sold
 
on
 
June
 
6,
 
2006,
 
were
 
first
 
issued
 
on
 
June
 
9,
 
2006,
 
and
 
are
 
due
 
on
 
June
 
12,
 
2036.
 
The
Cocoa
 
ETNs
 
and
 
the
 
Lead
 
ETNs
 
were
 
each
 
first
 
sold
 
on
 
June
 
24,
 
2008,
 
were
 
each
 
first
 
issued
 
on
 
June
 
27,
 
2008,
 
and
 
are
 
each
 
due
 
on
 
June
 
24,
2038.
We
 
refer
 
to
 
June
 
6,
 
2006
 
and
 
June
 
24,
 
2008,
 
respectively,
 
as
 
the
 
“
inception
date
,”
 
June
 
9,
 
2006
 
and
 
June
 
27,
 
2008,
 
respectively,
 
as
the
 
“
issue
date
”
 
and
 
June
 
12,
 
2036
 
and
 
June
 
24,
 
2038,
 
respectively,
 
as
 
the
 
“
maturity
date
.”
If
 
the
 
maturity
 
date
 
for
 
a
 
series
 
of
 
ETNs
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
business
 
day
 
before
 
this
 
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
valuation
 
date.
 
The
 
calculation
 
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
 
event
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
Announcement
 
Date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
a
 
series
 
of
 
ETNs
 
undergoes
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
such
 
series
 
of
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
9
th
 
business
 
day
 
after
 
the
 
Announcement
 
Date.
 
Any
 
adjustment
 
of
 
the
 
principal
 
amount
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
 
decimal
places.
 
The
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
of
 
such
 
series
 
(commonly
referred
 
to
 
as
 
“
partials
”)
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
be
 
on
 
the
 
9
th
 
business
 
day
 
after
 
the
 
Announcement
 
Date.
 
Any
 
adjustment
 
of
 
principal
 
amount
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
following
 
the
 
record
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
9
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
of
 
such
 
series
 
on
 
the
 
record
 
date
 
which
 
is
 
not
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
of
 
such
 
series
 
of
 
ETNs
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
of
such
 
series
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
 
Announcement
 
Date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
principal
 
amount
 
of
 
the
 
reverse
 
split-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
Announcement
 
Date
times
 
the
 
index
 
factor
 
on
 
the
applicable
 
business
 
day
minus
 
the
 
investor
 
fee
 
on
 
the
 
applicable
 
business
 
day.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
 
Pa
 
yment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
that
 
is
 
linked
 
to
 
percentage
 
change
 
in
the
 
value
 
of
 
the
 
Index
 
between
 
the
 
inception
 
date
 
and
 
the
 
final
 
valuation
 
date.
 
The
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
for
 
the
 
ETNs
 
will
 
be
an
 
amount
 
equal
 
to
 
(1)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(2)
 
the
 
applicable
 
index
 
factor
 
on
 
the
 
final
 
valuation
 
date
minus
(3)
 
the
 
applicable
investor
 
fee
 
on
 
the
 
final
 
valuation
 
date.
For
 
any
 
series
 
of
 
ETNs,
 
the
 
index
 
factor
 
for
 
the
 
Index
 
underlying
 
the
 
ETNs
 
on
 
the
 
final
 
valuation
 
date
 
will
 
be
 
equal
 
to
 
the
 
final
 
index
 
level
divided
 
by
the
 
initial
 
index
 
level.
 
The
 
initial
 
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
the
 
ETNs
 
on
 
the
 
inception
 
date
 
and
 
the
 
final
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
the
 
ETNs
 
on
 
the
 
final
 
valuation
 
date.
 
Investor
 
Fee
The
 
investor
 
fee
 
for
 
a
 
series
 
of
 
ETNs
 
on
 
the
 
final
 
valuation
 
date
 
is
 
equal
 
to
 
(1)
 
(a)
 
0.75%
 
per
 
year
 
(for
 
the
 
period
 
from
 
the
 
inception
 
date
to
 
and
 
including
 
April
 
30,
 
2015)
 
and
 
(b)
 
0.70%
 
per
 
year
 
(for
 
the
 
period
 
beginning
 
the
 
day
 
after
 
April
 
30,
 
2015
 
until
 
the
 
redemption
 
date
 
or
 
the
maturity
 
date)
times
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(3)
 
the
 
applicable
 
index
 
factor,
 
calculated
 
on
 
a
 
daily
 
basis
 
in
 
the
 
following
manner:
 
The
 
accrued
 
investor
 
fee
 
on
 
the
 
inception
 
date
 
of
 
the
 
ETNs
 
was
 
equal
 
to
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
and
 
including
April
 
30,
 
2015,
 
the
 
accrued
 
investor
 
fee
 
increased
 
by
 
an
 
amount
 
equal
 
to
 
(1)
 
0.75%
 
per
 
year
times
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(3)
 
the
 
applicable
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
a
 
trading,
 
the
 
index
 
factor
 
on
 
the
 
immediately
 
preceding
 
trading
 
day)
divided
 
by
(4)
 
365.
 
For
 
the
 
period
 
beginning
 
on,
 
but
 
not
 
including
 
April
 
30,
 
2015
 
and
 
ending
 
on,
 
and
 
including
 
the
 
redemption
 
date,
 
or
 
the
 
maturity
 
date,
 
the
accrued
 
investor
 
fee
 
increases
 
by
 
an
 
amount
 
equal
 
to
 
(1)
 
0.70%
 
per
 
year
times
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(3)
 
the
 
applicable
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
a
 
trading
 
day,
 
the
 
index
 
factor
 
on
 
the
 
immediately
 
preceding
 
trading
 
day)
divided
 
by
 
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
reduces
 
the
 
amount
 
of
 
return
 
to
 
holders
 
at
 
maturity
 
or
 
upon
 
early
 
redemption,
 
the
 
value
 
of
 
the
 
Index
 
underlying
the
 
ETNs
 
must
 
increase
 
significantly
 
in
 
order
 
for
 
holders
 
to
 
receive
 
at
 
least
 
the
 
principal
 
amount
 
of
 
their
 
investment
 
at
 
maturity
 
or
 
upon
 
early
redemption.
 
If
 
the
 
value
 
of
 
the
 
Index
 
underlying
 
the
 
ETNs
 
decreases
 
or
 
does
 
not
 
increase
 
sufficiently,
 
holders
 
will
 
receive
 
less
 
than
 
the
 
principal
amount
 
of
 
their
 
investment
 
at
 
maturity
 
or
 
upon
 
early
 
redemption.
 
Payment
 
Upon
 
Holder
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
redeem
 
their
 
ETNs
 
on
 
any
 
holder
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
30,000
 
ETNs
 
of
 
the
 
same
 
series
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
particular
 
holder
 
redemption
 
date,
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
on
 
such
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
daily
 
redemption
 
value,
 
which
 
is
 
(1)
 
the
 
principal
 
amount
of
 
the
 
ETNs
times
(2)
 
the
 
applicable
 
index
 
factor
 
on
 
the
 
applicable
 
valuation
 
date
minus
(3)
 
the
 
applicable
 
investor
 
fee
 
on
 
the
 
applicable
valuation
 
date.
 
Holders
 
must
 
redeem
 
at
 
least
 
30,000
 
ETNs
 
of
 
the
 
same
 
series
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
on
 
any
 
holder
 
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
 
time
 
in
 
our
 
sole
 
discretion
 
reduce,
 
in
 
part
 
or
 
in
 
whole,
 
the
 
minimum
 
redemption
 
amount
 
of
30,000
 
ETNs.
 
Any
 
such
 
reduction
 
will
 
be
 
applied
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
relevant
 
ETNs
 
at
 
the
 
time
 
the
 
reduction
 
becomes
effective.
 
The
 
index
 
factor
 
for
 
a
 
series
 
of
 
ETNs
 
on
 
the
 
relevant
 
valuation
 
date
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
such
 
ETNs
 
on
 
that
 
day
divided
 
by
 
the
 
initial
 
index
 
level.
 
The
 
initial
 
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
the
 
ETNs
 
on
 
the
 
relevant
 
inception
 
date.
The
 
investor
 
fee
 
is
 
calculated
 
as
 
described
 
in
 
“—
 
Investor
 
Fee.”
In
 
the
 
event
 
that
 
payment
 
upon
 
holder
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
holder
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Issuer
 
Redemption
Prior
 
to
 
maturity,
 
we
 
may,
 
at
 
our
 
sole
 
discretion,
 
choose
 
to
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
on
 
any
 
issuer
 
redemption
 
date
during
 
the
 
term
 
of
 
the
 
ETNs.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
 
redeem
 
to
 
the
 
holders
 
of
 
the
 
ETNs
not
 
less
 
than
 
10
 
calendar
 
days
 
prior
 
to
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
the
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
If
 
we
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
on
 
that
 
date
 
in
 
an
 
amount
 
equal
 
to
 
(1)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(2)
 
the
applicable
 
index
 
factor
 
for
 
that
 
series
 
of
 
ETNs
 
on
 
the
 
applicable
 
valuation
 
date
minus
(3)
 
the
 
investor
 
fee
 
for
 
that
 
series
 
of
 
ETNs
 
on
 
the
applicable
 
valuation
 
date.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
10
The
 
index
 
factor
 
for
 
a
 
series
 
of
 
ETNs
 
on
 
the
 
relevant
 
valuation
 
date
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
such
 
ETNs
 
on
 
that
 
day
divided
 
by
 
the
 
initial
 
index
 
level.
 
The
 
initial
 
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
underlying
 
the
 
ETNs
 
on
 
the
 
relevant
 
inception
 
date.
The
 
investor
 
fee
 
is
 
calculated
 
as
 
described
 
in
 
“—
 
Investor
 
Fee.”
In
 
the
 
event
 
that
 
payment
 
upon
 
issuer
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
issuer
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Valuation
 
Date
In
 
the
 
case
 
of
 
the
 
Commodity
 
Index
 
ETNs,
 
a
 
valuation
 
date
 
is
 
each
 
business
 
day
 
from
 
June
 
15,
 
2006
 
to
 
June
 
5,
 
2036,
 
inclusive
 
(subject
to
 
the
 
occurrence
 
of
 
a
 
market
 
disruption
 
event),
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
trading
days.
 
We
 
refer
 
to
 
Thursday,
 
June
 
5,
 
2036,
 
as
 
the
 
“
final
 
valuation
 
date
”
 
for
 
the
 
Commodity
 
Index
 
ETNs.
In
 
the
 
case
 
of
 
the
 
Cocoa
 
ETNs
 
and
 
the
 
Lead
 
ETNs,
 
a
 
valuation
 
date
 
is
 
each
 
business
 
day
 
from
 
June
 
25,
 
2008
 
to
 
June
 
17,
 
2038,
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
 
disruption
 
event),
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
exceed
 
five
 
trading
 
days.
 
We
 
refer
 
to
 
June
 
17,
 
2038,
 
as
 
the
 
“
final
 
valuation
 
date
”
 
for
 
these
 
series
 
of
 
ETNs.
Redemption
 
Date
A
 
holder
 
redemption
 
date
 
is
 
the
 
third
 
business
 
day
 
following
 
each
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
 
date),
 
where
 
the
 
final
redemption
 
date
 
for
 
each
 
series
 
of
 
ETNs
 
will
 
be
 
the
 
third
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
date
 
for
 
that
 
series
 
of
 
ETNs.
 
An
 
issuer
 
redemption
 
date
 
is
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
holder
 
redemption
 
date.
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
with
 
whom
 
they
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption
 
to
 
us
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
Issuer
 
Redemption
 
Procedures
 
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
any
 
series
 
of
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
issuer
 
redemption
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
any
 
series
 
of
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
DTC
 
and
 
the
 
Trustee
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
Market
 
Disruption
 
Event
As
 
set
 
forth
 
under
 
“—
 
Payment
 
at
 
Maturity,”
 
“—
 
Payment
 
Upon
 
Holder
 
Redemption”
 
and
 
“—
 
Payment
 
Upon
 
Issuer
 
Redemption”
 
above,
the
 
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
relevant
 
Index
 
on
 
each
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date.
 
As
 
described
above,
 
a
 
valuation
 
date
 
for
 
any
 
series
 
of
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
value
 
of
 
the
 
relevant
 
Index
 
may
 
be
postponed
 
if
 
the
 
calculation
 
agent
 
determines
 
that,
 
on
 
a
 
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
index
 
component.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
shall
 
be
 
determined
 
on
 
the
scheduled
 
valuation
 
date
 
and
 
the
 
value
 
of
 
the
 
affected
 
index
 
component
 
shall
 
be
 
determined
 
using
 
the
 
closing
 
value
 
of
 
the
 
affected
 
index
component
 
on
 
the
 
first
 
trading
 
day
 
after
 
that
 
day
 
on
 
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
a
valuation
 
date
 
for
 
a
 
series
 
of
 
ETNs
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
discretion
 
of
 
the
 
value
 
of
 
the
 
relevant
 
Index
 
for
 
such
 
day.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
in
 
the
 
trading
 
of
 
any
 
index
 
component
 
which
 
results
 
in
 
a
 
failure
 
by
 
the
 
trading
 
facility
on
 
which
 
the
 
relevant
 
contract
 
is
 
traded
 
to
 
report
 
a
 
daily
 
contract
 
reference
 
price
 
(the
 
price
 
of
 
the
 
relevant
 
contract
 
that
 
is
 
used
as
 
a
 
reference
 
or
 
benchmark
 
by
 
market
 
participants);
the
 
daily
 
contract
 
reference
 
price
 
for
 
any
 
index
 
component
 
is
 
a
 
“limit
 
price”,
 
which
 
means
 
that
 
the
 
daily
 
contract
 
reference
 
price
 
for
such
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
daily
 
contract
 
reference
 
price
 
by
 
the
 
maximum
 
amount
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
failure
 
by
 
the
 
Index
 
Sponsors
 
to
 
publish
 
the
 
closing
 
value
 
of
 
the
 
relevant
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
 
price
source
 
to
 
announce
 
or
 
publish
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
one
 
or
 
more
 
index
 
components;
 
or
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
11
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
in
 
its
 
sole
 
discretion
 
that
 
the
 
event
 
materially
 
interferes
 
with
 
our
 
ability
 
or
 
the
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
material
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
ETNs
 
that
 
we
 
or
 
our
 
affiliates
have
 
effected
 
or
 
may
 
effect.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
a
 
limitation
 
on
 
the
 
hours
 
or
 
numbers
 
of
 
days
 
of
 
trading
 
on
 
a
 
trading
 
facility
 
on
 
which
 
any
 
index
 
component
 
is
 
traded,
 
but
 
only
 
if
 
the
limitation
 
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
a
 
series
 
of
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
respect
 
of
 
the
 
principal
 
of
 
that
 
series
 
of
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
an
 
Index
If
 
the
 
Index
 
Sponsors
 
discontinue
 
publication
 
of
 
an
 
Index
 
and
 
they
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
value
 
of
 
the
 
relevant
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
m
 
aturity
 
or
 
upon
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
an
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
an
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
that
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
an
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
relevant
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
an
 
Index,
 
the
 
index
 
components
 
of
 
an
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
an
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsors
 
under
 
their
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
that
 
Index
 
or
 
method
 
of
 
calculating
 
that
 
Index
 
as
 
it
 
believes
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
value
 
of
 
an
 
Index
 
and
 
the
 
amount
 
payable
 
at
maturity
 
or
 
upon
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
an
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Business
 
Day
When
 
we
 
refer
 
to
 
a
 
business
 
day
 
with
 
respect
 
to
 
a
 
series
 
of
 
ETNs,
 
we
 
mean
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
London
 
or
 
New
 
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
to
 
close.
Description
 
of
 
iPath
®
 
S&P
 
GSCI
®
 
Total
 
Return
 
Index
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
S&P
 
GSCI
®
 
Total
 
Return
 
Index
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
to
 
this
 
section.
General
The
 
return
 
on
 
the
 
iPath
®
 
S&P
 
GSCI
®
 
Total
 
Return
 
Index
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
S&P
GSCI
®
Total
 
Return
 
Index
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
composed
 
of
 
one
 
or
 
more
 
futures
 
contracts
 
on
 
physical
 
commodities
 
(the
 
“
index
components
”)
 
and
 
reflects
 
the
 
excess
 
returns
 
that
 
are
 
potentially
 
available
 
through
 
an
 
unleveraged
 
investment
 
in
 
the
 
futures
 
contracts
comprising
 
the
 
S&P
 
GSCI
®
Commodity
 
Index
 
(the
 
“
S&P
 
GSCI
”),
plus
 
the
 
Treasury
 
Bill
 
rate
 
of
 
interest
 
that
 
could
 
be
 
earned
 
on
 
funds
 
committed
to
 
the
 
trading
 
of
 
the
 
underlying
 
futures
 
contracts.
 
The
 
S&P
 
GSCI
is
 
an
 
index
 
on
 
a
 
production-weighted
 
basket
 
of
 
futures
 
contracts
 
on
 
physical
commodities
 
traded
 
on
 
trading
 
facilities
 
in
 
major
 
industrialized
 
countries.
 
S&P
 
Dow
 
Jones
 
Indices
 
LLC
 
(“
SPDJI
”
 
or
 
the
 
“
Index
 
Sponsor
”)
 
is
responsible
 
for
 
calculating,
 
publishing
 
and
 
maintaining
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
The
 
New
 
York
 
Stock
 
Exchange
 
under
 
the
 
ticker
symbol
 
“GSP.”
Inception,
 
Issuance,
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
June
 
6,
 
2006
 
(the
 
“
inception
date
”),
 
were
 
first
 
issued
 
on
 
June
 
9,
 
2006
 
(the
 
“
issue
date
”)
 
and
 
are
 
due
 
on
June
 
12,
 
2036
 
(the
 
“
maturity
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
12
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
Announcement
 
Date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
 
specifying
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
Announcement
 
Date.
 
Any
 
adjustment
 
of
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
Announcement
 
Date.
 
Any
 
adjustment
 
of
 
principal
 
amount
 
of
 
the
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
the
 
ETNs,
 
holders
 
who
 
own
 
a
 
number
 
of
 
the
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
the
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
such
 
partial
 
ETNs
 
on
 
the
 
17
th
business
 
day
 
following
 
the
 
Announcement
 
Date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
principal
 
amount
 
of
 
the
 
reverse
 
split-
adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
Announcement
 
Date
times
 
the
 
index
 
factor
 
on
 
the
 
applicable
 
business
 
day
minus
 
the
investor
 
fee
 
on
 
the
 
applicable
 
business
 
day.
 
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
that
 
is
 
linked
 
to
 
percentage
 
change
 
in
the
 
value
 
of
 
the
 
Index
 
between
 
the
 
inception
 
date
 
and
 
the
 
final
 
valuation
 
date.
 
The
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
for
 
the
 
ETNs
 
will
 
be
an
 
amount
 
equal
 
to
 
(1)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(2)
 
the
 
index
 
factor
 
on
 
the
 
final
 
valuation
 
date
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
the
final
 
valuation
 
date.
The
 
index
 
factor
 
for
 
the
 
ETNs
 
on
 
the
 
final
 
valuation
 
date
 
will
 
be
 
equal
 
to
 
the
 
final
 
index
 
level
divided
 
by
 
the
 
initial
 
index
 
level.
 
The
 
initial
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
the
 
inception
 
date
 
and
 
the
 
final
 
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
the
 
final
 
valuation
date.
Investor
 
Fee
The
 
investor
 
fee
 
for
 
the
 
ETNs
 
on
 
the
 
final
 
valuation
 
date
 
is
 
equal
 
to
 
(1)
 
(a)
 
0.75%
 
per
 
year
 
(for
 
the
 
period
 
from
 
the
 
inception
 
date
 
to
 
and
including
 
April
 
30,
 
2015)
 
and
 
(b)
 
0.70%
 
per
 
year
 
(for
 
the
 
period
 
beginning
 
the
 
day
 
after
 
April
 
30,
 
2015
 
until
 
the
 
redemption
 
date
 
or
 
the
 
maturity
date)
times
 
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
 
(3)
 
the
 
applicable
 
index
 
factor,
 
calculated
 
on
 
a
 
daily
 
basis
 
in
 
the
 
following
 
manner:
 
The
accrued
 
investor
 
fee
 
on
 
the
 
inception
 
date
 
was
 
equal
 
to
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
and
 
including
 
April
 
30,
 
2015,
 
the
 
accrued
investor
 
fee
 
increased
 
by
 
an
 
amount
 
equal
 
to
 
(1)
 
0.75%
 
per
 
year
times
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
 
(3)
 
the
 
applicable
 
index
 
factor
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
a
 
trading
 
day,
 
the
 
index
 
factor
 
on
 
the
 
immediately
 
preceding
 
trading
 
day)
divided
 
by
(4)
 
365.
 
For
 
the
 
period
beginning
 
on,
 
but
 
not
 
including
 
April
 
30,
 
2015
 
and
 
ending
 
on,
 
and
 
including
 
the
 
redemption
 
date,
 
or
 
the
 
maturity
 
date,
 
the
 
accrued
 
investor
 
fee
increases
 
by
 
an
 
amount
 
equal
 
to
 
(1)
 
0.70%
 
per
 
year
times
(2)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(3)
 
the
 
applicable
 
index
 
factor
 
on
 
that
 
day
(or,
 
if
 
such
 
day
 
is
 
not
 
a
 
trading
 
day,
 
the
 
index
 
factor
 
on
 
the
 
immediately
 
preceding
 
trading
 
day)
divided
 
by
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
reduces
 
the
 
amount
 
of
 
return
 
to
 
holders
 
at
 
maturity
 
or
 
upon
 
early
 
redemption,
 
the
 
value
 
of
 
the
 
Index
 
must
increase
 
significantly
 
in
 
order
 
for
 
holders
 
to
 
receive
 
at
 
least
 
the
 
principal
 
amount
 
of
 
their
 
investment
 
at
 
maturity
 
or
 
upon
 
early
 
redemption.
 
If
 
the
value
 
of
 
the
 
Index
 
decreases
 
or
 
does
 
not
 
increase
 
sufficiently,
 
holders
 
will
 
receive
 
less
 
than
 
the
 
principal
 
amount
 
of
 
their
 
investment
 
at
 
maturity
or
 
upon
 
early
 
redemption.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
13
Payment
 
Upon
 
Holder
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
redeem
 
their
 
ETNs
 
on
 
any
 
holder
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
30,000
 
ETNs
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
particular
 
holder
 
redemption
 
date,
 
they
 
will
 
receive
 
a
 
cash
payment
 
in
 
U.S.
 
dollars
 
on
 
that
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
daily
 
redemption
 
value,
 
which
 
is
 
(1)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
 
(2)
the
 
applicable
 
index
 
factor
 
on
 
the
 
applicable
 
valuation
 
date
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
the
 
applicable
 
valuation
 
date.
 
Holders
 
must
 
redeem
 
at
least
 
30,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
holder
 
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
 
time
 
in
our
 
sole
 
discretion
 
reduce,
 
in
 
part
 
or
 
in
 
whole,
 
the
 
minimum
 
redemption
 
amount
 
of
 
30,000
 
ETNs.
 
Any
 
such
 
reduction
 
will
 
be
 
applied
 
on
 
a
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
relevant
 
ETNs
 
at
 
the
 
time
 
the
 
reduction
 
becomes
 
effective.
 
The
 
index
 
factor
 
for
 
the
 
ETNs
 
on
 
the
 
relevant
 
valuation
 
date
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
that
 
day
divided
 
by
the
 
initial
 
index
 
level.
The
 
initial
 
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
the
 
inception
 
date.
 
The
 
investor
 
fee
 
is
 
calculated
 
as
 
described
 
in
 
“—
 
Investor
 
Fee.”
In
 
the
 
event
 
that
 
payment
 
upon
 
holder
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
holder
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Issuer
 
Redemption
Prior
 
to
 
maturity,
 
we
 
may,
 
at
 
our
 
sole
 
discretion,
 
choose
 
to
 
redeem
 
the
 
ETNs
 
(
 
in
 
whole
 
but
 
not
 
in
 
part)
 
on
 
any
 
issuer
 
redemption
 
date
during
 
the
 
term
 
of
 
the
 
ETNs.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
 
redeem
 
to
 
the
 
holders
 
of
 
the
 
ETNs
not
 
less
 
than
 
10
 
calendar
 
days
 
prior
 
to
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
the
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
If
 
we
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
on
 
that
 
date
 
in
 
an
 
amount
 
equal
 
to
 
(1)
 
the
 
principal
 
amount
 
of
 
the
 
ETNs
times
(2)
 
the
applicable
 
index
 
factor
 
on
 
the
 
applicable
 
valuation
 
date
minus
(3)
 
the
 
investor
 
fee
 
on
 
the
 
applicable
 
valuation
 
date.
The
 
index
 
factor
 
on
 
the
 
relevant
 
valuation
 
date
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
that
 
day
divided
 
by
 
the
 
initial
 
index
 
level.
 
The
 
initial
index
 
level
 
is
 
the
 
closing
 
value
 
of
 
the
 
Index
 
on
 
the
 
inception
 
date.
The
 
investor
 
fee
 
is
 
calculated
 
as
 
described
 
in
 
“—
 
Investor
 
Fee.”
In
 
the
 
event
 
that
 
payment
 
upon
 
issuer
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
issuer
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Valuation
 
Date
A
 
valuation
 
date
 
is
 
each
 
business
 
day
 
from
 
June
 
15,
 
2006
 
to
 
June
 
5,
 
2036,
 
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
 
disruption
event),
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
trading
 
days
 
We
 
refer
 
to
 
Thursday,
 
June
 
5,
 
2036,
as
 
the
 
“
final
 
valuation
 
date
”.
 
Redemption
 
Date
A
 
holder
 
redemption
 
date
 
is
 
the
 
third
 
business
 
day
 
following
 
each
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
 
date),
 
where
 
the
 
final
redemption
 
date
 
for
 
the
 
ETNs
 
will
 
be
 
the
 
third
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date.
An
 
issuer
 
redemption
 
date
 
is
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
 
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
holder
 
redemption
 
date.
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
with
 
whom
 
they
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption
 
to
 
us
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
Issuer
 
Redemption
 
Procedures
 
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
issuer
redemption
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
 
redeem
 
to
 
DTC
and
 
the
 
Trustee
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
the
 
final
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
 
disruption
 
event),
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
issuer
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
14
Market
 
Disruption
 
Event
As
 
set
 
forth
 
under
 
“—
 
Payment
 
at
 
Maturity,”
 
“—
 
Payment
 
Upon
 
Holder
 
Redemption”
 
and
 
“—
 
Payment
 
Upon
 
Issuer
 
Redemption”
 
above,
the
 
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
each
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date.
 
As
 
described
 
above,
 
a
valuation
 
date
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
postponed
 
if
 
the
 
calculation
 
agent
 
determines
that,
 
on
 
a
 
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
 
index
 
component.
 
If
 
such
 
a
 
postponement
occurs,
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
shall
 
be
 
determined
 
on
 
the
 
scheduled
 
valuation
 
date
 
and
 
the
 
value
 
of
the
 
affected
 
index
 
component
 
shall
 
be
 
determined
 
using
 
the
 
closing
 
value
 
of
 
the
 
affected
 
index
 
component
 
on
 
the
 
first
 
trading
 
day
 
after
 
that
 
day
on
 
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
days.
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date,
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
discretion
 
of
 
the
 
value
 
of
 
the
 
Index
 
for
 
such
 
day.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
in
 
the
 
trading
 
of
 
any
 
index
 
component
 
which
 
results
 
in
 
a
 
failure
 
by
 
the
 
Trading
 
Facility
on
 
which
 
the
 
relevant
 
contract
 
is
 
traded
 
to
 
report
 
a
 
daily
 
contract
 
reference
 
price
 
(the
 
price
 
of
 
the
 
relevant
 
contract
 
that
 
is
 
used
as
 
a
 
reference
 
or
 
benchmark
 
by
 
market
 
participants);
the
 
daily
 
contract
 
reference
 
price
 
for
 
any
 
index
 
component
 
is
 
a
 
“limit
 
price”,
 
which
 
means
 
that
 
the
 
daily
 
contract
 
reference
 
price
 
for
such
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
daily
 
contract
 
reference
 
price
 
by
 
the
 
maximum
 
amount
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
Trading
 
Facility;
failure
 
by
 
the
 
Index
 
Sponsor
 
to
 
publish
 
the
 
closing
 
value
 
of
 
the
 
Index
 
or
 
of
 
the
 
applicable
 
Trading
 
Facility
 
or
 
other
 
price
 
source
 
to
announce
 
or
 
publish
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
one
 
or
 
more
 
index
 
components;
 
or
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
in
 
its
 
sole
 
discretion
 
that
 
the
 
event
 
materially
 
interferes
 
with
 
our
 
ability
 
or
 
the
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
material
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
ETNs
 
that
 
we
 
or
 
our
 
affiliates
have
 
effected
 
or
 
may
 
effect.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
a
 
limitation
 
on
 
the
 
hours
 
or
 
numbers
 
of
 
days
 
of
 
trading
 
on
 
a
 
Trading
 
Facility
 
on
 
which
 
any
 
index
 
component
 
is
 
traded,
 
but
 
only
 
if
 
the
limitation
 
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
a
 
decision
 
by
 
a
 
Trading
 
Facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
Index
 
Sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
it
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
redemption
 
by
 
reference
 
to
 
such
 
successor
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
that
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
the
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index,
 
the
 
index
 
components
 
of
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
that
 
Index
 
or
 
method
 
of
 
calculating
 
that
 
Index
 
as
 
it
 
believes
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
value
 
of
 
the
 
Index
 
and
 
the
 
amount
 
payable
at
 
maturity
 
or
 
upon
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Business
 
Day
When
 
we
 
refer
 
to
 
a
 
business
 
day,
 
we
 
m
 
ean
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
institutions
 
in
 
London
 
or
 
New
 
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
 
to
 
close.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
15
Description
 
of
 
iPath
®
 
US
 
Treasury
 
5-
 
year
 
Bull
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
US
 
Treasury
 
5-year
 
Bull
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
US
 
Treasury
 
5-year
 
Bull
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
 
5Y
US
 
Treasury
 
Futures
 
Targeted
 
Exposure
 
Index™
 
(the
 
“
Index
”).
 
The
 
Index
 
employs
 
a
 
strategy
 
that
 
seeks
 
to
 
capture
 
returns
 
that
 
are
 
potentially
available
 
from
 
an
 
increase
 
or
 
decrease,
 
as
 
applicable,
 
in
 
the
 
yields
 
available
 
to
 
investors
 
purchasing
 
5-year
 
U.S.
 
Treasury
 
notes
 
through
 
a
notional
 
rolling
 
investment
 
in
 
5-year
 
U.S.
 
Treasury
 
note
 
futures
 
contracts
 
(“
5-year
 
Treasury
 
futures
 
contracts
”).
 
Specifically,
 
the
 
level
 
of
 
the
Index
 
is
 
expected
 
to
 
increase
 
in
 
response
 
to
 
a
 
decrease
 
in
 
5-year
 
U.S.
 
Treasury
 
note
 
yields
 
and
 
to
 
decrease
 
in
 
response
 
to
 
an
 
increase
 
in
 
5-
year
 
U.S.
 
Treasury
 
note
 
yields.
 
The
 
Index
 
was
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
 
licensing
 
rights
relating
 
to
 
the
 
Index
 
(the
 
“
index
 
owner
”).
 
The
 
Index
 
is
 
administered
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
 
“
index
 
sponsor
”),
 
a
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
index
 
sponsor
 
has
 
appointed
 
a
 
third-party
 
index
 
calculation
 
agent
 
(the
“
index
 
calculation
 
agent
”),
 
currently
 
Bloomberg
 
Index
 
Services
 
Limited
 
(formerly
 
known
 
as
 
Barclays
 
Risk
 
Analytics
 
and
 
Index
 
Solutions
Limited),
 
to
 
calculate
 
and
 
maintain
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
 
symbol
 
“DFVL.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
July
 
11,
 
2011
 
(the
 
“
inception
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
July
 
14,
 
2011
 
(the
 
“
issue
date
”),
 
and
will
 
be
 
due
 
on
 
July
 
12,
 
2021
 
(the
 
“
maturity
date
”).
 
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
Should
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
any
 
business
 
day
 
be
 
above
 
$100.00,
 
we
 
may,
 
but
 
are
 
not
 
obligated
 
to,
 
initiate
 
a
 
2
 
for
 
1
 
split
of
 
the
 
ETNs.
 
Should
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
any
 
business
 
day
 
be
 
below
 
$25.00,
 
we
 
may,
 
but
 
are
 
not
 
obligated
 
to,
 
initiate
 
a
 
1
 
for
 
2
reverse
 
split
 
of
 
the
 
ETNs.
 
If
 
the
 
closing
 
indicative
 
note
 
value
 
is
 
greater
 
than
 
$100.00
 
or
 
below
 
$25.00
 
on
 
any
 
business
 
day,
 
and
 
we
 
decide
 
to
initiate
 
a
 
split
 
or
 
reverse
 
split,
 
as
 
applicable,
 
such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
 
“
announcement
 
date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
 
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.The
 
“
record
 
date
”
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
the
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
 
manner
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
adjustment
 
of
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
are
 
not
 
evenly
 
divisible
 
by
 
2
 
will
 
receive
 
the
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
2,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17th
 
business
 
day
 
following
 
the
 
record
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
percentage
 
of
 
the
 
closing
 
indicative
 
note
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
note
 
value
on
 
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
note
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
inception
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
redemption,
 
the
 
closing
 
indicative
 
note
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
day
plus
 
(2)
 
the
 
daily
 
index
 
performance
 
amount
plus
(3)
 
the
 
daily
 
interest
minus
 
(4)
 
the
 
daily
 
investor
 
fee;
provided
that
 
if
 
such
 
calculation
results
 
in
 
a
 
negative
 
value,
 
the
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
$0.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
note
value
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
index
 
performance
 
amount”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
and
 
on
 
any
 
calendar
 
day
 
that
 
is
 
not
 
an
 
index
business
 
day
 
will
 
equal
 
$0.
 
On
 
any
 
other
 
index
 
business
 
day,
 
the
 
daily
 
index
 
performance
 
amount
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
product
 
of
 
(a)
the
 
index
 
multiplier
times
 
(b)
 
the
 
difference
 
of
 
(i)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
minus
 
(ii)
 
the
 
closing
 
level
 
of
 
the
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day
minus
 
(2)
 
the
 
index
 
rolling
 
cost
 
on
 
such
 
index
 
business
 
day.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
16
The
 
“
index
 
multiplier
”
 
is
 
$0.10.
The
 
“
index
 
rolling
 
cost”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
roll
 
day
 
will
 
equal
 
$0.
 
On
 
any
 
roll
 
day,
 
the
 
index
 
rolling
 
cost
 
for
each
 
ETN
 
will
 
equal
 
$0.005.
 
Roll
 
days
 
occur
 
over
 
three
 
consecutive
 
index
 
business
 
days,
 
commencing
 
three
 
index
 
business
 
days
 
before
 
the
last
 
index
 
business
 
day
 
in
 
each
 
of
 
the
 
months
 
of
 
February,
 
May,
 
August
 
and
 
November
 
in
 
any
 
given
 
year.
 
The
 
net
 
effect
 
of
 
the
 
index
 
rolling
 
cost
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
$0.06
 
per
 
year,
 
or
 
0.12%
 
of
 
the
 
principal
 
amount
 
of
 
each
 
ETN
 
per
 
year.
 
The
 
“index
 
rolling
cost”
 
seeks
 
to
 
represent
 
and
 
approximate
 
a
 
prorated
 
daily
 
amount
 
of
 
costs
 
that
 
holders
 
of
 
a
 
“long”
 
position
 
in
 
relation
 
to
 
5-year
 
Treasury
 
futures
contracts
 
might
 
expect
 
to
 
incur
 
as
 
part
 
of
 
the
 
roll
 
process
 
during
 
each
 
quarterly
 
roll
 
period.
The
 
“
daily
 
interest
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$0.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
redemption,
the
 
daily
 
interest
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
T-Bill
 
rate
divided
 
by
 
(3)
 
360.
 
The
 
“daily
 
interest”
 
seeks
 
to
 
represent
 
the
 
amount
 
of
 
interest
 
that
 
holders
 
of
 
a
 
“long”
 
position
 
in
 
relation
 
to
 
5-year
 
Treasury
futures
 
contracts
 
might
 
receive
 
if,
 
on
 
any
 
calendar
 
day,
 
they
 
were
 
to
 
invest
 
the
 
value
 
of
 
the
 
ETNs
 
in
 
an
 
interest-bearing
 
bank
 
account
 
while
 
their
payment
 
obligations
 
on
 
the
 
relevant
 
long
 
positions
 
in
 
the
 
Treasury
 
futures
 
contracts
 
were
 
pending.
 
The
 
“
T-Bill
 
rate
”
 
will
 
equal
 
the
 
most
 
recent
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
effective
 
on
 
the
 
immediately
 
preceding
business
 
day
 
in
 
New
 
York
 
City.
 
The
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
is
 
generally
 
announced
 
by
 
the
 
U.S.
 
Treasury
 
on
 
each
Monday;
 
on
 
any
 
Monday
 
that
 
is
 
not
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
the
 
rate
 
prevailing
 
on
 
the
 
immediately
 
preceding
 
business
 
day
 
in
 
New
York
 
City
 
will
 
apply.
 
The
 
most
 
recent
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
is
 
currently
 
published
 
by
 
the
 
U.S.
 
Treasury
 
on
http://www.treasurydirect.gov
 
and
 
is
 
also
 
currently
 
available
 
on
 
Bloomberg
 
under
 
the
 
ticker
 
symbol
 
“USB4WIR”.
 
The
 
T-Bill
 
rate
 
is
 
expressed
 
as
a
 
percentage.
 
Information
 
contained
 
on
 
the
 
U.S.
 
Treasury
 
website
 
is
 
not
 
incorporated
 
by
 
reference
 
in,
 
and
 
should
 
not
 
be
 
considered
 
a
 
part
 
of,
this
 
section.
 
We
 
make
 
no
 
representation
 
or
 
warranty
 
as
 
to
 
the
 
accuracy
 
or
 
completeness
 
of
 
information
 
contained
 
on
 
such
 
website.
The
 
“
daily
 
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$0.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
daily
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
(2)
 
the
 
fee
 
rate
divided
 
by
 
(3)
 
365.
 
Because
 
the
 
daily
 
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
a
 
daily
basis,
 
the
 
net
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.75%
 
per
 
year.
 
Because
 
the
net
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
will
 
increase
 
or
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
The
 
“
fee
 
rate
”
 
for
 
the
 
ETNs
 
is
 
0.75%
 
per
 
year.
The
 
“
intraday
 
indicative
 
note
 
value
”
 
for
 
the
 
ETNs
 
on
 
any
 
trading
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
preceding
 
calendar
 
day
plus
 
(2)
 
the
 
then
 
current
 
intraday
 
index
 
performance
 
amount;
provided
that
 
if
 
such
 
calculation
 
results
 
in
 
a
 
negative
value,
 
the
 
intraday
 
indicative
 
note
 
value
 
will
 
be
 
$0.
 
The
 
intraday
 
indicative
 
note
 
value
 
will
 
be
 
published
 
by
 
Thompson
 
Reuters
 
(Markets)
 
LLC
every
 
15
 
seconds
 
on
 
each
 
trading
 
day
 
under
 
the
 
ticker
 
symbol
 
“DFVL.IV”.
 
As
 
the
 
intraday
 
indicative
 
note
 
value
 
is
 
calculated
 
using
 
the
 
closing
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day,
 
the
 
intraday
 
indicative
 
note
 
value
 
published
 
at
 
any
 
time
 
during
 
a
 
given
 
trading
day
 
will
 
not
 
reflect
 
the
 
daily
 
interest
 
or
 
the
 
daily
 
investor
 
fee
 
that
 
may
 
have
 
accrued
 
over
 
the
 
course
 
of
 
such
 
trading
 
day.
The
 
“
intraday
 
index
 
performance
 
amount
”
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
index
 
multiplier
times
 
(2)
 
the
 
difference
 
of
 
(a)
the
 
most
 
recently
 
published
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
minus
 
(b)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
index
 
business
 
day.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Chicago
 
Board
 
of
 
Trade
 
(the
 
“
CBOT
”)
 
is
 
open
 
for
 
business.
A
 
“
business
 
day
”
 
is
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
 
York
City
 
or
 
London
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
 
to
 
close.
A
 
“
trading
 
day
”
 
for
 
the
 
ETNs
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
an
 
index
 
business
 
day,
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX
 
and
(3)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
is
 
each
 
trading
 
day
 
from
 
July
 
11,
 
2011
 
to
 
July
 
2,
 
2021,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
11,
 
2011.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
2,
 
2021.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
continuing
 
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Market
 
Disruption
 
Events
A
 
valuation
 
date
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
levels
 
may
 
be
 
postponed
 
if
 
the
 
calculation
 
agent
 
determines
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
17
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index;
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
 
markets;
any
 
event
 
that
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
market
 
participants
 
to
 
(1)
 
effect
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index,
 
or
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
markets;
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
Treasury
 
futures
 
contracts
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
the
 
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
fails
 
to
 
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session;
 
or
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
event
 
interferes
 
with
 
our
 
ability
 
or
 
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
unwind
 
all
 
or
 
a
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
securities
 
that
 
we
 
or
 
our
 
affiliates
 
have
 
effected
 
or
 
may
 
effect;
and,
 
in
 
any
 
of
 
these
 
events,
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
event
 
was
 
material.
“Scheduled
 
trading
 
day”
 
means
 
any
 
day
 
on
 
which
 
(a)
 
the
 
value
 
of
 
the
 
Index
 
is
 
published
 
and
 
(b)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
markets
 
on
 
which
 
the
 
Treasury
 
futures
 
contracts
 
are
 
traded,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
Treasury
 
futures
 
contract
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index,
 
if
 
available,
 
in
 
the
 
primary
 
market
 
for
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
those
 
contracts,
 
or
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
those
 
contracts,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
in
 
the
 
primary
 
market
 
for
those
 
contracts.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
scheduled
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
scheduled
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
scheduled
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
 
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
scheduled
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
Payment
 
Upon
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
redeem
 
their
 
ETNs
 
on
 
any
 
early
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
20,000
 
ETNs
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
an
 
early
 
redemption
 
date,
 
they
 
will
 
receive
 
a
 
cash
 
payment
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
such
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
related
 
valuation
 
date.
 
The
 
early
 
redemption
 
feature
 
is
intended
 
to
 
induce
 
arbitrageurs
 
to
 
counteract
 
any
 
trading
 
of
 
the
 
ETNs
 
at
 
a
 
discount
 
to
 
their
 
closing
 
indicative
 
note
 
value,
 
though
 
there
 
can
 
be
 
no
assurance
 
that
 
arbitrageurs
 
will
 
employ
 
the
 
redemption
 
feature
 
in
 
this
 
manner.
Notwithstanding
 
the
 
foregoing,
 
beginning
 
after
 
the
 
close
 
of
 
trading
 
on
 
September
 
4,
 
2018,
 
we
 
have
 
waived
 
the
 
minimum
 
redemption
amount
 
so
 
that
 
holders
 
may
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
with
 
no
 
minimum
 
amount.
 
Our
 
waiver
 
of
 
the
minimum
 
redemption
 
amount
 
will
 
be
 
available
 
to
 
any
 
and
 
all
 
holders
 
of
 
the
 
ETNs
 
on
 
such
 
early
 
redemption
 
dates
 
and
 
will
 
remain
 
in
 
effect
 
until
we
 
announce
 
otherwise.
 
We
 
may,
 
at
 
any
 
time
 
and
 
in
 
our
 
sole
 
discretion,
 
make
 
further
 
modifications
 
to
 
the
 
minimum
 
redemption
 
amount,
including,
 
among
 
others,
 
to
 
reinstate
 
the
 
min
 
imum
 
redemption
 
amount
 
of
 
20,000
 
ETNs
 
for
 
all
 
redemption
 
dates
 
after
 
such
 
further
 
modification.
Any
 
such
 
modification
 
will
 
be
 
applied
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
ETNs
 
at
 
the
 
time
 
such
 
modification
 
becomes
 
effective.
Effective
 
as
 
of
 
August
 
31,
 
2017,
 
an
 
“
early
 
redemption
 
date
”
 
for
 
the
 
ETNs
 
is
 
the
 
second
 
business
 
day
 
following
 
each
 
valuation
 
date
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
early
 
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
early
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
18
Early
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
early
 
redemption
 
date.
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
redemption
 
to
 
us
 
via
 
facsimile
 
or
 
e-mail
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
date.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
 
agent
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
that
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
that
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
possible
 
replicate
 
that
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Description
 
of
 
iPath
®
 
US
 
Treasury
 
5-
 
year
 
Bear
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
US
 
Treasury
 
5-year
 
Bear
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
US
 
Treasury
 
5-year
 
Bear
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
 
5Y
US
 
Treasury
 
Futures
 
Targeted
 
Exposure
 
Index™
 
(the
 
“
Index
”).
 
The
 
Index
 
employs
 
a
 
strategy
 
that
 
seeks
 
to
 
capture
 
returns
 
that
 
are
 
potentially
available
 
from
 
an
 
increase
 
or
 
decrease,
 
as
 
applicable,
 
in
 
the
 
yields
 
available
 
to
 
investors
 
purchasing
 
5-year
 
U.S.
 
Treasury
 
notes
 
through
 
a
notional
 
rolling
 
investment
 
in
 
5-year
 
U.S.
 
Treasury
 
note
 
futures
 
contracts
 
(“
5-year
 
Treasury
 
futures
 
contracts
”).
 
Specifically,
 
the
 
level
 
of
 
the
Index
 
is
 
expected
 
to
 
increase
 
in
 
response
 
to
 
a
 
decrease
 
in
 
5-year
 
U.S.
 
Treasury
 
note
 
yields
 
and
 
to
 
decrease
 
in
 
response
 
to
 
an
 
increase
 
in
 
5-
year
 
U.S.
 
Treasury
 
note
 
yields.
 
The
 
Index
 
was
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
 
licensing
 
rights
relating
 
to
 
the
 
Index
 
(the
 
“
index
 
owner
”).
 
The
 
Index
 
is
 
administered
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
 
“
index
 
sponsor
”),
 
a
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
index
 
sponsor
 
has
 
appointed
 
a
 
third-party
 
index
 
calculation
 
agent
 
(the
“
index
 
calculation
 
agent
”),
 
currently
 
Bloomberg
 
Index
 
Services
 
Limited
 
(formerly
 
known
 
as
 
Barclays
 
Risk
 
Analytics
 
and
 
Index
 
Solutions
Limited),
 
to
 
calculate
 
and
 
maintain
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
 
symbol
“DFVS.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
July
 
11,
 
2011
 
(the
 
“
inception
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
July
 
14,
 
2011
 
(the
 
“
issue
date
”),
 
and
 
will
 
be
due
 
on
 
July
 
12,
 
2021
 
(the
 
“
maturity
date
”).
 
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
19
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
Should
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
any
 
business
 
day
 
be
 
above
 
$100.00,
 
we
 
may,
 
but
 
are
 
not
 
obligated
 
to,
 
initiate
 
a
 
2
 
for
 
1
 
split
of
 
the
 
ETNs.
 
Should
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
any
 
business
 
day
 
be
 
below
 
$25.00,
 
we
 
may,
 
but
 
are
 
not
 
obligated
 
to,
 
initiate
 
a
 
1
 
for
 
2
reverse
 
split
 
of
 
the
 
ETNs.
 
If
 
the
 
closing
 
indicative
 
note
 
value
 
is
 
greater
 
than
 
$100.00
 
or
 
below
 
$25.00
 
on
 
any
 
business
 
day,
 
and
 
we
 
decide
 
to
initiate
 
a
 
split
 
or
 
reverse
 
split,
 
as
 
applicable,
 
such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
 
“
announcement
 
date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
 
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
“
record
 
date
”
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
the
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
 
manner
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
adjustment
 
of
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
are
 
not
 
evenly
 
divisible
 
by
 
2
 
will
 
receive
 
the
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
2,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
 
record
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
percentage
 
of
 
the
 
closing
 
indicative
 
note
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
note
 
value
on
 
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
note
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
inception
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
redemption,
 
the
 
closing
 
indicative
 
note
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
day
plus
 
(2)
 
the
 
daily
 
index
 
performance
 
amount
plus
(3)
 
the
 
daily
 
interest
minus
 
(4)
 
the
 
daily
 
investor
 
fee;
provided
that
 
if
 
such
 
calculation
results
 
in
 
a
 
negative
 
value,
 
the
 
closing
 
indicative
 
note
 
value
 
will
 
be
 
$0.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
note
value
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
index
 
performance
 
amount”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
and
 
on
 
any
 
calendar
 
day
 
that
 
is
 
not
 
an
 
index
business
 
day
 
will
 
equal
 
$0.
 
On
 
any
 
other
 
index
 
business
 
day,
 
the
 
daily
 
index
 
performance
 
amount
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
product
 
of
 
(a)
the
 
index
 
multiplier
times
 
(b)
 
the
 
difference
 
of
 
(i)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
minus
 
(ii)
 
the
 
closing
 
level
 
of
 
the
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day
minus
 
(2)
 
the
 
index
 
rolling
 
cost
 
on
 
such
 
index
 
business
 
day.
The
 
“
index
 
multiplier
”
 
is
 
–$0.10.
 
The
 
index
 
multiplier
 
is
 
set
 
as
 
a
 
negative
 
value
 
in
 
order
 
for
 
the
 
ETNs
 
to
 
generate
 
a
 
positive
 
return
 
in
response
 
to
 
a
 
decrease
 
in
 
the
 
Index
 
level
 
and
 
to
 
generate
 
a
 
negative
 
return
 
in
 
response
 
to
 
an
 
increase
 
in
 
the
 
Index
 
level,
 
as
 
applicable.
The
 
“
index
 
rolling
 
cost”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
roll
 
day
 
will
 
equal
 
$0.
 
On
 
any
 
roll
 
day,
 
the
 
index
 
rolling
 
cost
 
for
each
 
ETN
 
will
 
equal
 
$0.005.
 
Roll
 
days
 
occur
 
over
 
three
 
consecutive
 
index
 
business
 
days,
 
commencing
 
three
 
index
 
business
 
days
 
before
 
the
last
 
index
 
business
 
day
 
in
 
each
 
of
 
the
 
months
 
of
 
February,
 
May,
 
August
 
and
 
November
 
in
 
any
 
given
 
year.
 
The
 
net
 
effect
 
of
 
the
 
index
 
rolling
 
cost
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
$0.06
 
per
 
year,
 
or
 
0.12%
 
of
 
the
 
principal
 
amount
 
of
 
each
 
ETN
 
per
 
year.
 
The
 
“index
 
rolling
cost”
 
seeks
 
to
 
represent
 
and
 
approximate
 
a
 
prorated
 
daily
 
amount
 
of
 
costs
 
that
 
holders
 
of
 
a
 
“long”
 
position
 
in
 
relation
 
to
 
5-year
 
Treasury
 
futures
contracts
 
might
 
expect
 
to
 
incur
 
as
 
part
 
of
 
the
 
roll
 
process
 
during
 
each
 
quarterly
 
roll
 
period.
The
 
“
daily
 
interest
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$0.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
redemption,
the
 
daily
 
interest
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
T-Bill
 
rate
divided
 
by
 
(3)
 
360.
 
The
 
“daily
 
interest”
 
seeks
 
to
 
represent
 
the
 
amount
 
of
 
interest
 
that
 
holders
 
of
 
a
 
“long”
 
position
 
in
 
relation
 
to
 
5-year
 
Treasury
futures
 
contracts
 
might
 
receive
 
if,
 
on
 
any
 
calendar
 
day,
 
they
 
were
 
to
 
invest
 
the
 
value
 
of
 
the
 
ETNs
 
in
 
an
 
interest-bearing
 
bank
 
account
 
while
 
their
payment
 
obligations
 
on
 
the
 
relevant
 
long
 
positions
 
in
 
the
 
Treasury
 
futures
 
contracts
 
were
 
pending.
 
The
 
“
T-Bill
 
rate
”
 
will
 
equal
 
the
 
most
 
recent
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
effective
 
on
 
the
 
immediately
 
preceding
business
 
day
 
in
 
New
 
York
 
City.
 
The
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
is
 
generally
 
announced
 
by
 
the
 
U.S.
 
Treasury
 
on
 
each
Monday;
 
on
 
any
 
Monday
 
that
 
is
 
not
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
the
 
rate
 
prevailing
 
on
 
the
 
immediately
 
preceding
 
business
 
day
 
in
 
New
York
 
City
 
will
 
apply.
 
The
 
most
 
recent
 
weekly
 
investment
 
rate
 
for
 
28-day
 
U.S.
 
Treasury
 
bills
 
is
 
currently
 
published
 
by
 
the
 
U.S.
 
Tre
 
asury
 
on
http://www.treasurydirect.gov
 
and
 
is
 
also
 
currently
 
available
 
on
 
Bloomberg
 
under
 
the
 
ticker
 
symbol
 
“USB4WIR”.
 
The
 
T-Bill
 
rate
 
is
 
expressed
 
as
a
 
percentage.
 
Information
 
contained
 
on
 
the
 
U.S.
 
Treasury
 
website
 
is
 
not
 
incorporated
 
by
 
reference
 
in,
 
and
 
should
 
not
 
be
 
considered
 
a
 
part
 
of,
this
 
section.
 
We
 
make
 
no
 
representation
 
or
 
warranty
 
as
 
to
 
the
 
accuracy
 
or
 
completeness
 
of
 
information
 
contained
 
on
 
such
 
website.
The
 
“
daily
 
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$0.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
daily
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
(2)
 
the
 
fee
 
rate
divided
 
by
 
(3)
 
365.
 
Because
 
the
 
daily
 
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
a
 
daily
basis,
 
the
 
net
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.75%
 
per
 
year.
 
Because
 
the
net
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
daily
 
investor
 
fee
 
will
 
increase
 
or
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
The
 
“
fee
 
rate
”
 
for
 
the
 
ETNs
 
is
 
0.75%
 
per
 
year.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
20
The
 
“
intraday
 
indicative
 
note
 
value
”
 
for
 
the
 
ETNs
 
on
 
any
 
trading
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
immediately
preceding
 
calendar
 
day
plus
 
(2)
 
the
 
then
 
current
 
intraday
 
index
 
performance
 
amount;
provided
that
 
if
 
such
 
calculation
 
results
 
in
 
a
 
negative
value,
 
the
 
intraday
 
indicative
 
note
 
value
 
will
 
be
 
$0.
 
The
 
intraday
 
indicative
 
note
 
value
 
will
 
be
 
published
 
by
 
Thompson
 
Reuters
 
(Markets)
 
LLC
every
 
15
 
seconds
 
on
 
each
 
trading
 
day
 
under
 
the
 
ticker
 
symbol
 
“DFVS.IV”.
 
As
 
the
 
intraday
 
indicative
 
note
 
value
 
is
 
calculated
 
using
 
the
 
closing
indicative
 
note
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day,
 
the
 
intraday
 
indicative
 
note
 
value
 
published
 
at
 
any
 
time
 
during
 
a
 
given
 
trading
day
 
will
 
not
 
reflect
 
the
 
daily
 
interest
 
or
 
the
 
daily
 
investor
 
fee
 
that
 
may
 
have
 
accrued
 
over
 
the
 
course
 
of
 
such
 
trading
 
day.
The
 
“
intraday
 
index
 
performance
 
amount
”
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
index
 
multiplier
times
 
(2)
 
the
 
difference
 
of
 
(a)
the
 
most
 
recently
 
published
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
minus
 
(b)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
index
 
business
 
day.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Chicago
 
Board
 
of
 
Trade
 
(the
 
“
CBOT
”)
 
is
 
open
 
for
 
business.
A
 
“
business
 
day
”
 
is
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
 
York
City
 
or
 
London
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
 
to
 
close.
A
 
“
trading
 
day
”
 
for
 
the
 
ETNs
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
an
 
index
 
business
 
day,
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX
 
and
(3)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
is
 
each
 
trading
 
day
 
from
 
July
 
11,
 
2011
 
to
 
July
 
2,
 
2021,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
11,
 
2011.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
2,
 
2021.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
continuing
 
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Market
 
Disruption
 
Events
A
 
valuation
 
date
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
levels
 
may
 
be
 
postponed
 
if
 
the
 
calculation
 
agent
 
determines
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index;
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
 
markets;
any
 
event
 
that
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
market
 
participants
 
to
 
(1)
 
effect
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index,
 
or
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
ma
 
rkets;
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
Treasury
 
futures
 
contracts
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
Treasury
 
futures
 
contracts
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
the
 
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
fails
 
to
 
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session;
 
or
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
event
 
interferes
 
with
 
our
 
ability
 
or
 
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
unwind
 
all
 
or
 
a
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
securities
 
that
 
we
 
or
 
our
 
affiliates
 
have
 
effected
 
or
 
may
 
effect;
and,
 
in
 
any
 
of
 
these
 
events,
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
event
 
was
 
material.
“Scheduled
 
trading
 
day”
 
means
 
any
 
day
 
on
 
which
 
(a)
 
the
 
value
 
of
 
the
 
Index
 
is
 
published
 
and
 
(b)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
markets
 
on
 
which
 
the
 
Treasury
 
futures
 
contracts
 
are
 
traded,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
Treasury
 
futures
 
contract
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
21
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index,
 
if
 
available,
 
in
 
the
 
primary
 
market
 
for
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
those
 
contracts,
 
or
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
those
 
contracts,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
in
 
the
 
primary
 
market
 
for
those
 
contracts.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
scheduled
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
scheduled
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
scheduled
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
 
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
scheduled
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
Payment
 
Upon
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
redeem
 
their
 
ETNs
 
on
 
any
 
early
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
20,000
 
ETNs
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
an
 
early
 
redemption
 
date,
 
they
 
will
 
receive
 
a
 
cash
 
payment
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
such
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
note
 
value
 
on
 
the
 
related
 
valuation
 
date.
 
The
 
early
 
redemption
 
feature
 
is
intended
 
to
 
induce
 
arbitrageurs
 
to
 
counteract
 
any
 
trading
 
of
 
the
 
ETNs
 
at
 
a
 
discount
 
to
 
their
 
closing
 
indicative
 
note
 
value,
 
though
 
there
 
can
 
be
 
no
assurance
 
that
 
arbitrageurs
 
will
 
employ
 
the
 
redemption
 
feature
 
in
 
this
 
manner.
Notwithstanding
 
the
 
foregoing,
 
beginning
 
after
 
the
 
close
 
of
 
trading
 
on
 
September
 
4,
 
2018,
 
we
 
have
 
waived
 
the
 
minimum
 
redemption
amount
 
so
 
that
 
holders
 
may
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
with
 
no
 
minimum
 
amount.
 
Our
 
waiver
 
of
 
the
minimum
 
redemption
 
amount
 
will
 
be
 
available
 
to
 
any
 
and
 
all
 
holders
 
of
 
the
 
ETNs
 
on
 
such
 
early
 
redemption
 
dates
 
and
 
will
 
remain
 
in
 
effect
 
until
we
 
announce
 
otherwise.
 
We
 
may,
 
at
 
any
 
time
 
and
 
in
 
our
 
sole
 
discretion,
 
make
 
further
 
modifications
 
to
 
the
 
minimum
 
redemption
 
amount,
including,
 
among
 
others,
 
to
 
reinstate
 
the
 
minimum
 
redemption
 
amount
 
of
 
20,000
 
ETNs
 
for
 
all
 
redemption
 
dates
 
after
 
such
 
further
 
modification.
Any
 
such
 
modification
 
will
 
be
 
applied
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
ETNs
 
at
 
the
 
time
 
such
 
modification
 
becomes
 
effective.
Effective
 
as
 
of
 
August
 
31,
 
2017,
 
an
 
“
early
 
redemption
 
date
”
 
for
 
the
 
ETNs
 
is
 
the
 
second
 
business
 
day
 
following
 
each
 
valuation
 
date
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
early
 
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
early
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
m
 
inimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
early
 
redemption
 
date.
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
redemption
 
to
 
us
 
via
 
facsimile
 
or
 
e-mail
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
date.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
 
agent
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
that
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
that
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
possible
 
replicate
 
that
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
22
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Description
 
of
 
iPath
®
 
Pure
 
Beta
 
Broad
 
Commodity
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Pure
 
Beta
 
Broad
 
Commodity
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
this
 
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
Pure
 
Beta
 
Broad
 
Commodity
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
Commodity
 
Index
 
Pure
 
Beta
 
TR
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
designed
 
to
 
give
 
investors
 
exposure
 
to
 
total
 
returns
 
of
 
the
 
commodities
 
included
 
in
the
 
Barclays
 
Commodity
 
Index
 
Total
 
Return
 
(the
 
“
Reference
 
Index
”),
 
while
 
mitigating
 
the
 
effects
 
of
 
certain
 
distortions
 
in
 
the
 
commodity
 
markets
on
 
such
 
returns
 
through
 
the
 
application
 
of
 
the
 
Barclays
 
Pure
 
Beta
 
Series
 
2
 
Methodology.
 
The
 
Index
 
is
 
comprised
 
of
 
a
 
basket
 
of
 
exchange-
traded
 
futures
 
contracts
 
for
 
the
 
same
 
commodities
 
that
 
are
 
included
 
in
 
the
 
Reference
 
Index,
 
as
 
adjusted
 
from
 
time
 
to
 
time.
 
However,
 
unlike
 
the
Reference
 
Index,
 
which
 
rolls
 
its
 
exposure
 
to
 
the
 
futures
 
contracts
 
on
 
a
 
monthly
 
basis
 
in
 
accordance
 
with
 
a
 
pre-determined
 
roll
 
schedule,
 
the
Index
 
may
 
roll
 
into
 
one
 
of
 
a
 
number
 
of
 
futures
 
contracts
 
with
 
varying
 
expiration
 
dates,
 
as
 
selected
 
using
 
the
 
Barclays
 
Pure
 
Beta
 
Series
 
2
Methodology.
 
The
 
Index
 
and
 
the
 
Reference
 
Index
 
were
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
licensing
 
rights
 
relating
 
to
 
the
 
Index
 
and
 
Reference
 
Index.
 
The
 
Index
 
and
 
Reference
 
Index
 
are
 
administered,
 
calculated
 
and
 
published
 
by
Barclays
 
Index
 
Administration
 
(the
 
“
Index
 
Sponsor
”),
 
a
 
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
ETNs
 
are
traded
 
on
 
The
 
NYSE
 
Arca
 
exchange
 
under
 
the
 
ticker
 
symbol
 
“BCM.”
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
Payment
 
at
 
Maturity
If
 
holders
 
or
 
we
 
have
 
not
 
previously
 
redeemed
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
per
 
ETN
 
in
 
an
amount
 
equal
 
to
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
final
 
valuation
 
date
 
for
 
their
 
ETNs.
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
April
 
20,
 
2011
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
was
 
first
 
issued
 
on
 
April
 
26,
 
2011
 
(the
 
“
issue
 
date
”)
,
 
and
will
 
be
 
due
 
on
 
April
 
18,
 
2041
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
 
We
 
describe
 
market
 
disruption
 
events
 
under
 
“—
 
Market
 
Disruption
 
Event”
 
below.
 
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
ETNs
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
redeem
 
their
 
ETNs
 
on
 
a
 
particular
 
redemption
 
date,
 
they
 
will
 
receive
 
a
 
cash
 
payment
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
that
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
Holders
 
must
redeem
 
at
 
least
 
50,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
time
 
in
 
our
 
sole
 
discretion
 
reduce,
 
in
 
part
 
or
 
in
 
whole,
 
the
 
minimum
 
redemption
 
amount
 
of
 
50,000
 
ETNs.
 
Any
 
such
 
reduction
 
will
 
be
 
applied
 
on
 
a
consistent
 
basis
 
for
 
all
 
holders
 
of
 
ETNs
 
at
 
the
 
time
 
the
 
reduction
 
becomes
 
effective.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
The
 
“
closing
 
indicative
 
value
”
 
per
 
ETN
 
for
 
the
 
ETNs
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner:
 
The
 
closing
indicative
 
value
 
on
 
the
 
inception
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
23
per
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
 
calendar
 
day
minus
 
(4)
 
the
 
applicable
 
futures
execution
 
cost
 
on
 
such
 
calendar
 
day.
The
 
“
daily
 
index
 
factor
”
 
for
 
the
 
ETNs
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
underlying
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
per
 
ETN
 
is
 
calculated
 
in
 
the
 
following
 
manner:
The
 
investor
 
fee
 
per
 
ETN
 
on
 
the
 
inception
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
and
 
including
 
August
 
31,
 
2016,
 
the
investor
 
fee
 
per
 
ETN
 
was
 
equal
 
to
 
(1)
 
0.75%
times
 
(2)
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
(3)
 
the
 
applicable
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
For
 
the
 
period
 
beginning
on,
 
but
 
excluding,
 
August
 
31,
 
2016
 
and
 
ending
 
on,
 
and
 
including,
 
the
 
redemption
 
date
 
or
 
the
 
maturity
 
date,
 
the
 
investor
 
fee
 
per
 
ETN
 
on
 
any
calendar
 
day
 
will
 
be
 
equal
 
to
 
(1)
 
0.60%
times
 
(2)
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(3)
 
the
applicable
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
is
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
the
 
rate
 
of
 
0.75%
 
per
 
year
 
for
 
the
 
period
 
from
 
the
 
inception
 
date
 
to,
 
and
 
including,
 
August
 
31,
 
2016
 
or
 
0.60%
 
per
 
year
 
for
 
the
 
period
 
beginning
after
 
August
 
31,
 
2016.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
applicable.
The
 
“
futures
 
execution
 
cost
”
 
is
 
designed
 
to
 
approximate
 
the
 
estimated
 
costs
 
of
 
maintaining
 
a
 
rolling
 
position
 
in
 
the
 
futures
 
contracts
underlying
 
the
 
Index.
 
The
 
futures
 
execution
 
cost
 
per
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner:
 
The
 
futures
execution
 
cost
 
for
 
the
 
ETNs
 
on
 
the
 
inception
 
date
 
will
 
equal
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption
 
of
 
the
ETNs,
 
the
 
futures
 
execution
 
cost
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.10%
times
 
(2)
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
preceding
 
calendar
 
day
time
s
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
365.
 
The
 
net
 
effect
 
of
 
the
 
futures
 
execution
 
cost
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
0.10%
 
per
 
year.
 
Because
 
the
 
net
 
effect
of
 
the
 
futures
 
execution
 
cost
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
futures
 
execution
 
cost
 
will
 
increase
 
or
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
An
 
“
index
 
business
 
day
”
 
for
 
the
 
Index
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated,
 
as
 
determined
 
by
 
the
 
NYSE
 
Euronext
 
Holiday
 
&
 
Hours
schedule,
 
as
 
published
 
on
 
http://www.nyse.com/about/newsevents/1176373643795.html
 
or
 
any
 
successor
 
website
 
thereto.
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
 
April
 
20,
 
2011
 
to
 
April
 
15,
 
2041,
 
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event),
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
We
 
refer
 
to
 
April
 
15,
2041
 
as
 
the
 
“
final
 
valuation
 
date
”.
Redemption
 
Date
 
for
 
Holder
 
Redemption
In
 
the
 
case
 
of
 
holder
 
redemption,
 
a
 
redemption
 
date
 
is
 
the
 
third
 
business
 
day
 
following
 
a
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
final
 
redemption
 
date
 
will
 
be
 
the
 
third
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date.
Redemption
 
Date
 
for
 
Issuer
 
Redemption
In
 
the
 
case
 
of
 
issuer
 
redemption,
 
a
 
redemption
 
date
 
is
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Trading
 
Day
A
 
trading
 
day
 
is
 
a
 
day
 
on
 
which
 
(i)
 
the
 
value
 
of
 
the
 
Index
 
to
 
which
 
the
 
ETNs
 
are
 
linked
 
is
 
published
 
by
 
the
 
Index
 
Sponsor,
 
(ii)
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca
 
and
 
(iii)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
markets
 
on
 
which
 
the
 
futures
 
contracts
 
underlying
 
the
 
Index
are
 
traded,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
Early
 
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
with
 
whom
 
they
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
 
redemption
 
to
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
24
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
fifth
 
trading
 
day
 
prior
 
to
 
the
 
redemption
 
date
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Market
 
Disruption
 
Event
As
 
set
 
forth
 
under
 
“—
 
Payment
 
at
 
Maturity”
 
and
 
“—
 
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption”
 
above,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
each
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date.
 
As
 
described
 
above,
 
a
 
valuation
date
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
postponed
 
if
 
the
 
calculation
 
agent
 
determines
 
that,
 
on
 
a
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
 
index
 
component.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
value
 
of
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
shall
 
be
 
determined
 
on
 
the
 
scheduled
 
valuation
 
date,
 
and
 
the
 
value
 
of
the
 
affected
 
index
 
component
 
shall
 
be
 
determined
 
using
 
the
 
closing
 
value
 
of
 
the
 
affected
 
index
 
component
 
on
 
the
 
first
 
trading
 
day
 
after
 
that
 
day
on
 
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
days.
 
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
discretion
 
of
 
the
 
value
 
of
 
the
 
Index
 
for
 
such
 
day.
 
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
 
●
 
•
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
in
 
the
 
trading
 
of
 
any
 
index
 
component
 
which
 
results
 
in
 
a
 
failure
 
by
 
the
 
trading
facility
 
on
 
which
 
the
 
relevant
 
contract
 
is
 
traded
 
to
 
report
 
a
 
daily
 
contract
 
reference
 
price
 
(the
 
price
 
of
 
the
 
relevant
 
contract
 
that
is
 
used
 
as
 
a
 
reference
 
or
 
benchmark
 
by
 
market
 
participants);
 
●
 
•
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
any
 
index
 
component
 
is
 
a
 
“
limit
 
price
”,
 
which
 
means
 
that
 
the
 
daily
 
contract
 
reference
price
 
for
 
such
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
daily
 
contract
 
reference
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
●
 
•
 
failure
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
 
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
an
index
 
component;
 
or
 
●
 
•
 
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
in
 
its
 
sole
 
discretion
 
that
 
the
 
event
 
materially
 
interferes
 
with
 
our
 
ability
 
or
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
material
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
ETNs
 
that
 
we
 
or
 
our
 
affiliates
have
 
effected
 
or
 
may
 
effect.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
 
●
 
•
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
numbers
 
of
 
days
 
of
 
trading
 
on
 
a
 
trading
 
facility
 
on
 
which
 
any
 
index
 
component
 
is
 
traded,
 
but
 
only
if
 
the
 
limitation
 
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
 
●
 
•
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
 
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
Index
 
Sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
it
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
 
successor
index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
the
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
Index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index,
 
the
 
index
 
components
 
of
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
 
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
value
 
of
 
the
 
Index
 
and
 
the
 
amount
 
payable
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
25
Business
 
Day
When
 
we
 
refer
 
to
 
a
 
business
 
day,
 
we
 
mean
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
institutions
 
in
 
London
 
or
 
New
 
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
 
to
 
close.
When
 
we
 
refer
 
to
 
an
 
index
 
business
 
day
 
with
 
respect
 
to
 
the
 
ETNs,
 
we
 
mean
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
and
 
(2)
the
 
CBOE
 
is
 
open.
Description
 
of
 
iPath
®
 
Pure
 
Beta
 
Crude
 
Oil
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Pure
 
Beta
 
Crude
 
Oil
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
Pure
 
Beta
 
Crude
 
Oil
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
 
WTI
Crude
 
Oil
 
Pure
 
Beta
 
TR
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
designed
 
to
 
give
 
investors
 
exposure
 
to
 
total
 
returns
 
of
 
the
 
commodities
 
included
 
in
 
the
Barclays
 
Single
 
Commodity
 
Total
 
Return
 
Index
 
(the
 
“
Reference
 
Index
”),
 
while
 
mitigating
 
the
 
effects
 
of
 
certain
 
distortions
 
in
 
the
 
commodity
markets
 
on
 
such
 
returns
 
through
 
the
 
application
 
of
 
the
 
Barclays
 
Pure
 
Beta
 
Series
 
2
 
Methodology.
 
The
 
Index
 
is
 
comprised
 
of
 
exchange-traded
futures
 
contracts
 
for
 
WTI
 
crude
 
oil
 
that
 
are
 
included
 
in
 
the
 
Reference
 
Index,
 
as
 
adjusted
 
from
 
time
 
to
 
time.
 
However,
 
unlike
 
the
 
Reference
 
Index,
which
 
rolls
 
its
 
exposure
 
to
 
the
 
futures
 
contracts
 
on
 
a
 
monthly
 
basis
 
in
 
accordance
 
with
 
a
 
pre-determined
 
roll
 
schedule,
 
the
 
Index
 
may
 
roll
 
into
one
 
of
 
a
 
number
 
of
 
futures
 
contracts
 
with
 
varying
 
expiration
 
dates,
 
as
 
selected
 
using
 
the
 
Barclays
 
Pure
 
Beta
 
Series
 
2
 
Methodology.
 
The
 
Index
and
 
the
 
Reference
 
Index
 
were
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
 
licensing
 
rights
 
relating
 
to
 
the
Index
 
and
 
Reference
 
Index.
 
The
 
Index
 
and
 
Reference
 
Index
 
are
 
administered,
 
calculated
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
“
Index
 
Sponsor
”),
 
a
 
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
 
exchange
under
 
the
 
ticker
 
symbol
 
“OIL.”
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
Payment
 
at
 
Maturity
If
 
holders
 
or
 
we
 
have
 
not
 
previously
 
redeemed
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
at
 
maturity
 
per
 
ETN
 
in
 
an
amount
 
equal
 
to
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
final
 
valuation
 
date
 
for
 
their
 
ETNs.
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
April
 
20,
 
2011
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
was
 
first
 
issued
 
on
April
 
26,
 
2011
 
(the
 
“
issue
 
date
”)
,
 
and
will
 
be
 
due
 
on
 
April
 
18,
 
2041
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
 
We
 
describe
 
market
 
disruption
 
events
 
under
 
“—
 
Market
 
Disruption
 
Event”
 
below.
 
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
Prior
 
to
 
maturity,
 
holders
 
may,
 
subject
 
to
 
certain
 
restrictions,
 
choose
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
ETNs
 
for
 
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer)
 
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
redeem
 
their
 
ETNs
 
on
 
a
 
particular
 
redemption
 
date,
 
they
 
will
 
receive
 
a
 
cash
 
payment
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
that
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
Holders
 
must
redeem
 
at
 
least
 
50,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
time
 
in
 
our
 
sole
 
discretion
 
reduce,
 
in
 
part
 
or
 
in
 
whole,
 
the
 
minimum
 
redemption
 
amount
 
of
 
50,000
 
ETNs.
 
Any
 
such
 
reduction
 
will
 
be
 
applied
 
on
 
a
consistent
 
basis
 
for
 
all
 
holders
 
of
 
ETNs
 
at
 
the
 
time
 
the
 
reduction
 
becomes
 
effective.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
26
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
The
 
“
closing
 
indicative
 
value
”
 
per
 
ETN
 
for
 
the
 
ETNs
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner:
 
The
 
closing
indicative
 
value
 
on
 
the
 
inception
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
per
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
 
calendar
 
day
minus
 
(4)
 
the
 
applicable
 
futures
execution
 
cost
 
on
 
such
 
calendar
 
day.
The
 
“
daily
 
index
 
factor
”
 
for
 
the
 
ETNs
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
underlying
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
per
 
ETN
 
on
 
the
 
inception
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption
 
of
 
the
relevant
 
series
 
of
 
ETNs,
 
the
 
investor
 
fee
 
per
 
ETN
 
for
 
each
 
series
 
of
 
ETNs
 
was
 
equal
 
to
 
(1)
 
0.75%
times
 
(2)
 
the
 
applicable
 
closing
 
indicative
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(3)
 
the
 
applicable
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
0.75%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
 
Because
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
The
 
“
futures
 
execution
 
cost
”
 
is
 
designed
 
to
 
approximate
 
the
 
estimated
 
costs
 
of
 
maintaining
 
a
 
rolling
 
position
 
in
 
the
 
futures
 
contracts
underlying
 
the
 
Index.
 
The
 
futures
 
execution
 
cost
 
per
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner:
 
The
 
futures
execution
 
cost
 
for
 
the
 
ETNs
 
on
 
the
 
inception
 
date
 
will
 
equal
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption
 
of
 
the
ETNs,
 
the
 
futures
 
execution
 
cost
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.10%
times
 
(2)
 
the
 
applicable
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
preceding
 
calendar
 
day
time
s
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
365.
 
The
 
net
 
effect
 
of
 
the
 
futures
 
execution
 
cost
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
0.10%
 
per
 
year.
 
Because
 
the
 
net
 
effect
of
 
the
 
futures
 
execution
 
cost
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
futures
 
execution
 
cost
 
will
 
increase
 
or
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
An
 
“
index
 
business
 
day
”
 
for
 
the
 
Index
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated,
 
as
 
determined
 
by
 
the
 
NYSE
 
Euronext
 
Holiday
 
&
 
Hours
schedule,
 
as
 
published
 
on
 
http://www.nyse.com/about/newsevents/1176373643795.html
 
or
 
any
 
successor
 
website
 
thereto.
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
April
 
20,
 
2011
 
to
April
 
15,
 
2041,
 
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event),
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
We
 
refer
 
to
 
April
 
15,
2041
 
as
 
the
 
“
final
 
valuation
 
date
”.
Redemption
 
Date
 
for
 
Holder
 
Redemption
In
 
the
 
case
 
of
 
holder
 
redemption,
 
a
 
redemption
 
date
 
is
 
the
 
third
 
business
 
day
 
following
 
a
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
date).
 
The
 
final
 
redemption
 
date
 
will
 
be
 
the
 
third
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date.
Redemption
 
Date
 
for
 
Issuer
 
Redemption
In
 
the
 
case
 
of
 
issuer
 
redemption,
 
a
 
redemption
 
date
 
is
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Trading
 
Day
A
 
trading
 
day
 
is
 
a
 
day
 
on
 
which
 
(i)
 
the
 
value
 
of
 
the
 
Index
 
to
 
which
 
the
 
ETNs
 
are
 
linked
 
is
 
published
 
by
 
the
 
Index
 
Sponsor,
 
(ii)
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca
 
and
 
(iii)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
markets
 
on
 
which
 
the
 
futures
 
contracts
 
underlying
 
the
 
Index
are
 
traded,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
Early
 
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
with
 
whom
 
they
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
 
redemption
 
to
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
fifth
 
trading
 
day
 
prior
 
to
 
the
 
redemption
 
date
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
27
Market
 
Disruption
 
Event
As
 
set
 
forth
 
under
 
“—
 
Payment
 
at
 
Maturity”
 
and
 
“—
 
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption”
 
above,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
each
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date.
 
As
 
described
 
above,
 
a
 
valuation
date
 
ma
 
y
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
postponed
 
if
 
the
 
calculation
 
agent
 
determines
 
that,
 
on
 
a
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
 
index
 
component.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
value
 
of
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
shall
 
be
 
determined
 
on
 
the
 
scheduled
 
valuation
 
date,
 
and
 
the
 
value
 
of
the
 
affected
 
index
 
component
 
shall
 
be
 
determined
 
using
 
the
 
closing
 
value
 
of
 
the
 
affected
 
index
 
component
 
on
 
the
 
first
 
trading
 
day
 
after
 
that
 
day
on
 
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
days.
 
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
discretion
 
of
 
the
 
value
 
of
 
the
 
Index
 
for
 
such
 
day.
 
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
 
●
 
•
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
in
 
the
 
trading
 
of
 
any
 
index
 
component
 
which
 
results
 
in
 
a
 
failure
 
by
 
the
 
trading
facility
 
on
 
which
 
the
 
relevant
 
contract
 
is
 
traded
 
to
 
report
 
a
 
daily
 
contract
 
reference
 
price
 
(the
 
price
 
of
 
the
 
relevant
 
contract
 
that
is
 
used
 
as
 
a
 
reference
 
or
 
benchmark
 
by
 
market
 
participants);
 
●
 
•
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
any
 
index
 
component
 
is
 
a
 
“
limit
 
price
”,
 
which
 
means
 
that
 
the
 
daily
 
contract
 
reference
price
 
for
 
such
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
daily
 
contract
 
reference
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
●
 
•
 
failure
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
 
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
an
index
 
component;
 
or
 
●
 
•
 
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
in
 
its
 
sole
 
discretion
 
that
 
the
 
event
 
materially
 
interferes
 
with
 
our
 
ability
 
or
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
material
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
ETNs
 
that
 
we
 
or
 
our
 
affiliates
have
 
effected
 
or
 
may
 
effect.
 
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
 
●
 
•
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
numbers
 
of
 
days
 
of
 
trading
 
on
 
a
 
trading
 
facility
 
on
 
which
 
any
 
index
 
component
 
is
 
traded,
 
but
 
only
if
 
the
 
limitation
 
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
 
●
 
•
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
 
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
Index
 
Sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
it
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
 
successor
index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
the
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
Index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index,
 
the
 
index
 
components
 
of
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
 
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
value
 
of
 
the
 
Index
 
and
 
the
 
amount
 
payable
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
the
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Business
 
Day
When
 
we
 
refer
 
to
 
a
 
business
 
day,
 
we
 
mean
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
institutions
 
in
 
London
 
or
 
New
 
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation
 
or
 
executive
 
order
 
to
 
close.
When
 
we
 
refer
 
to
 
an
 
index
 
business
 
day
 
with
 
respect
 
to
 
the
 
ETNs,
 
we
 
mean
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
and
 
(2)
the
 
CBOE
 
is
 
open.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
28
Description
 
of
 
iPath
®
 
S&P
 
500
 
Dynamic
 
VIX
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
S&P
 
500
 
Dynamic
 
VIX
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
S&P
 
500
 
Dynamic
 
VIX
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
S&P
 
500
®
Dynamic
 
VIX
 
Futures™
 
Total
 
Return
 
Index
 
(the
 
“
Index
”).
 
The
 
Index
 
seeks
 
to
 
provide
 
investors
 
with
 
exposure
 
to
 
forward
 
implied
 
volatility
 
by
reflecting
 
the
 
outcomes
 
of
 
holding
 
long
 
and
 
at
 
times
 
long
 
and
 
short
 
positions
 
in
 
futures
 
contracts
 
on
 
the
 
CBOE
 
Volatility
 
Index
®
 
(the
 
“
VIX
Index
”).
 
The
 
“
VXV
 
Index
”
 
is
 
calculated
 
in
 
a
 
manner
 
similar
 
to
 
the
 
VIX
 
Index,
 
except
 
that
 
it
 
is
 
designed
 
to
 
be
 
a
 
measure
 
of
 
93-day
 
implied
volatility
 
of
 
the
 
S&P
 
Options
 
(as
 
defined
 
below)
 
rather
 
than
 
30-day
 
implied
 
volatility.
 
The
 
Index
 
aims
 
to
 
react
 
positively
 
to
 
overall
 
increases
 
in
market
 
volatility
 
by
 
allocating
 
dynamically
 
between
 
two
 
components:
 
a
 
short-term
 
volatility
 
component
 
and
 
a
 
mid
 
-term
 
volatility
 
component.
 
The
Index
 
monitors
 
the
 
slope,
 
or
 
“steepness”,
 
of
 
the
 
implied
 
volatility
 
curve
 
on
 
a
 
daily
 
basis
 
in
 
order
 
to
 
gauge
 
market
 
expectations
 
regarding
 
future
volatility
 
and
 
determines
 
allocations
 
in
 
futures
 
contracts
 
on
 
the
 
VIX
 
Index
 
according
 
to
 
the
 
slope
 
of
 
the
 
implied
 
volatility
 
curve.
 
The
 
short-term
volatility
 
component
 
of
 
the
 
Index
 
is
 
represented
 
by
 
the
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures™
 
Index
 
Excess
 
Return
 
(the
 
“
Short-Term
 
VIX
 
Index
”).
The
 
mid
 
-term
 
volatility
 
component
 
of
 
the
 
Index
 
is
 
represented
 
by
 
the
 
S&P
 
500
®
 
VIX
 
Mid-Term
 
Futures™
 
Index
 
Excess
 
Return
 
(the
 
“
Mid-Term
VIX
 
Index
”).
 
The
 
Short-Term
 
VIX
 
Index
 
seeks
 
to
 
model
 
the
 
excess
 
return
 
from
 
a
 
daily
 
rolling
 
long
 
position
 
in
 
the
 
first
 
and
 
second
 
month
 
VIX
Index
 
futures
 
contracts,
 
and
 
the
 
Mid-Term
 
VIX
 
Index
 
seeks
 
to
 
model
 
the
 
excess
 
return
 
from
 
a
 
daily
 
rolling
 
long
 
position
 
in
 
the
 
fourth,
 
fifth,
 
sixth
and
 
seventh
 
month
 
VIX
 
Index
 
futures
 
contracts.
 
We
 
refer
 
herein
 
to
 
(i)
 
the
 
Short-Term
 
VIX
 
Index
 
and
 
(ii)
 
the
 
Mid-Term
 
VIX
 
Index
 
collectively
 
as
the
 
“
Constituent
 
Indices
.”
 
The
 
Index
 
is
 
calculated,
 
maintained
 
and
 
published
 
by
 
S&P
 
Dow
 
Jones
 
Indices
 
LLC
 
(“
S&P
 
Dow
 
Jones
 
Indices
”
 
or
the
 
“
index
 
sponsor
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
 
symbol
 
“XVZ.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
August
 
17,
 
2011
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
August
 
22,
 
2011
 
(the
 
“
issue
 
date
”),
and
 
are
 
due
 
on
 
August
 
18,
 
2021
 
(the
 
“
maturity
 
date
”).
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.00.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
the
 
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
following
 
the
 
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split-adjusted
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
the
 
ETNs
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner.
 
The
 
closing
indicative
 
value
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$50.00.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
29
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
 
calendar
 
day.
If
 
the
 
ETNs
 
undergo
 
any
 
splits
 
or
 
reverse
 
splits,
 
the
 
closing
 
indicative
 
value
 
will
 
similarly
 
be
 
adjusted
 
accordingly.
 
The
 
“
daily
 
index
 
factor
”
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
divided
 
by
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.95%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
subtracted
 
at
 
the
 
rate
 
of
 
0.95%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
An
 
“
index
 
business
 
day
”
 
is
 
any
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City
 
and
 
(2)
 
the
 
CBOE
 
is
 
open.
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
 
August
 
17,
 
2011
 
to
 
August
 
11,
 
2021
 
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event)
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
business
 
days.
 
In
 
that
 
event,
 
the
valuation
 
date
 
will
 
be
 
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
is
 
not
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
any
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
business
 
days.
 
We
 
refer
 
to
 
August
 
17,
 
2011
 
as
the
 
“
initial
 
valuation
 
date
”
 
and
 
August
 
11,
 
2021
 
as
 
the
 
“
final
 
valuation
 
date
”.
A
 
“
trading
 
day
”
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX
 
and
 
(3)
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
stated
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
this
 
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
calculation
 
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
neither
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
New
 
York
 
City
 
or
 
London,
 
as
 
applicable,
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
ETNs.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
 
ETNs,
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
 
the
applicable
 
valuation
 
date
 
minus
 
the
 
redemption
 
charge.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
trading
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
a
 
valuation
 
date
 
(other
 
than
 
the
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
of
 
the
 
ETNs
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption
 
to
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
30
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
trading
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
fifth
 
trading
 
day
 
prior
 
to
 
the
 
redemption
 
date
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Market
 
Disruption
 
and
 
Force
 
Majeure
 
Events
 
Relating
 
to
 
the
 
ETNs
If
 
the
 
Index
 
is
 
not
 
published
 
on
 
an
 
index
 
business
 
day,
 
or
 
if
 
a
 
market
 
disruption
 
event
 
or
 
a
 
force
 
majeure
 
event
 
(each
 
as
 
defined
 
below)
has
 
occurred
 
or
 
is
 
occurring,
 
and
 
such
 
event
 
affects
 
the
 
Index,
 
any
 
futures
 
contract
 
underlying
 
the
 
Index
 
and/or
 
the
 
ability
 
to
 
hedge
 
the
 
Index,
the
 
calculation
 
agent
 
may
 
(but
 
is
 
not
 
required
 
to)
 
make
 
determinations
 
and/or
 
adjustments
 
to
 
the
 
affected
 
Index
 
or
 
method
 
of
 
calculating
 
the
affected
 
Index.
 
The
 
determination
 
of
 
the
 
value
 
of
 
an
 
ETN
 
on
 
a
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date,
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
or
 
force
 
majeure
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
on
 
such
 
valuation
 
date.
 
In
 
no
 
event,
however,
 
will
 
a
 
valuation
 
date
 
for
 
the
 
ETNs
 
be
 
postponed
 
by
 
more
 
than
 
five
 
business
 
days.
 
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
business
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
 
discretion
 
of
 
the
 
value
 
of
 
the
 
Index
 
for
such
 
day.
 
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
The
 
occurrence
 
or
 
existence
 
of
 
any
 
of
 
the
 
following,
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion,
 
will
 
constitute
 
a
“
market
disruption
event
”:
●
 
the
 
index
 
sponsor
 
does
 
not
 
publish
 
the
 
level
 
of
 
the
 
Index
 
on
 
any
 
index
 
business
 
day,
 
or
 
the
 
Index
 
is
 
otherwise
 
not
 
available;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
of
 
equity
 
securities
 
then
 
constituting
 
20%
 
or
 
more
 
of
 
the
 
level
 
of
 
the
S&P
 
500
®
 
Index
 
on
 
the
 
relevant
 
exchanges
 
(as
 
defined
 
below)
 
for
 
such
 
securities
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
(one
hour
 
on
 
any
 
day
 
that
 
is
 
an
 
“index
 
roll
 
date”
 
for
 
purposes
 
of
 
calculation
 
of
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
or
 
any
 
relevant
successor
 
index)
 
during,
 
or
 
during
 
the
 
one
 
hour
 
period
 
preceding
 
the
 
close
 
of,
 
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
exchange;
●
 
a
 
breakdown
 
or
 
failure
 
in
 
the
 
price
 
and
 
trade
 
reporting
 
systems
 
of
 
any
 
relevant
 
exchange
 
for
 
the
 
S&P
 
500
®
 
Index
 
as
 
a
 
result
 
of
which
 
the
 
reported
 
trading
 
prices
 
for
 
equity
 
securities
 
then
 
constituting
 
20%
 
or
 
more
 
of
 
the
 
level
 
of
 
the
 
S&P
 
500
®
 
Index
 
are
materially
 
inaccurate
 
(i)
 
during
 
the
 
one
 
hour
 
preceding
 
the
 
close
 
of
 
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
 
exchange
 
or
(ii)
 
during
 
any
 
one
 
hour
 
period
 
of
 
trading
 
on
 
such
 
relevant
 
exchange
 
on
 
any
 
day
 
that
 
is
 
an
 
“index
 
roll
 
date”
 
for
 
purpose
 
of
calculating
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
or
 
the
 
relevant
 
successor
 
index;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
on
 
any
 
relevant
 
exchange
 
for
 
the
 
VIX
 
Index
 
or
 
the
 
VXV
 
Index
 
(or
 
any
relevant
 
successor
 
index)
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
(one
 
hour
 
on
 
any
 
day
 
that
 
is
 
an
 
“index
 
roll
 
date”
 
for
 
purposes
 
of
calculation
 
of
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
or
 
the
 
relevant
 
successor
 
index)
 
during,
 
or
 
during
 
the
 
one
 
hour
 
period
 
preceding
the
 
close
 
of,
 
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
 
exchange;
●
 
a
 
breakdown
 
or
 
failure
 
in
 
the
 
price
 
and
 
trade
 
reporting
 
systems
 
of
 
the
 
relevant
 
exchange
 
for
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
(or
the
 
relevant
 
successor
 
index)
 
as
 
a
 
result
 
of
 
which
 
the
 
reported
 
trading
 
prices
 
for
 
options
 
on
 
the
 
S&P
 
500
®
 
Index
 
(“
SPX
Options
”)
 
or
 
futures
 
on
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
(or
 
futures
 
on
 
any
 
relevant
 
successor
 
index)
 
during
 
the
 
one
 
hour
 
period
preceding,
 
and
 
including,
 
the
 
scheduled
 
time
 
at
 
which
 
the
 
value
 
of
 
SPX
 
Options
 
is
 
calculated
 
for
 
purposes
 
of
 
the
 
VIX
 
Index,
the
 
VXV
 
Index
 
(or
 
any
 
relevant
 
successor
 
index)
 
are
 
materially
 
inaccurate;
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
SPX
 
Options
 
or
 
futures
 
on
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
(or
 
futures
 
on
 
any
relevant
 
successor
 
index);
●
 
on
 
any
 
index
 
business
 
day,
 
the
 
occurrence
 
or
 
existence
 
of
 
a
 
lack
 
of,
 
or
 
a
 
material
 
decline
 
in,
 
the
 
liquidity
 
in
 
the
 
market
 
for
trading
 
in
 
any
 
futures
 
contract
 
underlying
 
the
 
Index;
 
●
 
any
 
event
 
or
 
any
 
condition
 
(including
 
without
 
limitation
 
any
 
event
 
or
 
condition
 
that
 
occurs
 
as
 
a
 
result
 
of
 
the
 
enactment,
promulgation,
 
execution,
 
ratification,
 
interpretation
 
or
 
application
 
of,
 
or
 
any
 
change
 
in
 
or
 
amendment
 
to,
 
any
 
law,
 
rule
 
or
regulation
 
by
 
an
 
applicable
 
governmental
 
authority)
 
that
 
results
 
in
 
an
 
illiquid
 
market
 
for
 
trading
 
in
 
any
 
futures
 
contract
underlying
 
the
 
Index;
 
and
 
●
 
the
 
declaration
 
or
 
continuance
 
of
 
a
 
general
 
moratorium
 
in
 
respect
 
of
 
banking
 
activities
 
in
 
any
 
relevant
 
city.
A
 
“
force
majeure
event
”
 
includes
 
any
 
event
 
or
 
circumstance
 
(including,
 
without
 
limitation,
 
a
 
systems
 
failure,
 
natural
 
or
 
man-made
disaster,
 
act
 
of
 
God,
 
armed
 
conflict,
 
act
 
of
 
terrorism,
 
riot
 
or
 
labor
 
disruption
 
or
 
any
 
similar
 
intervening
 
circumstance)
 
that
 
the
 
calculation
 
agent
determines
 
to
 
be
 
beyond
 
the
 
calculation
 
agent’s
 
reasonable
 
control
 
and
 
to
 
materially
 
affect
 
the
 
Index
 
or
 
a
 
Constituent
 
Index,
 
any
 
futures
contract
 
underlying
 
the
 
Index
 
or
 
Constituent
 
Index,
 
or
 
the
 
calculation
 
of
 
the
 
VIX
 
Index
 
or
 
VXV
 
Index.
For
 
purposes
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
has
 
occurred:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
will
 
not
 
constitute
 
a
 
market
 
disruption
 
event
 
if
 
it
 
results
 
from
 
an
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
exchange
 
for
 
the
 
S&P
 
500
®
 
Index,
 
the
 
VIX
 
Index,
 
the
 
VXV
Index
 
(or
 
any
 
relevant
 
successor
 
index);
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
31
●
 
limitations
 
pursuant
 
to
 
the
 
rules
 
of
 
any
 
relevant
 
exchange
 
similar
 
to
 
NYSE
 
Rule
 
80B
 
(or
 
any
 
applicable
 
rule
 
or
 
regulation
enacted
 
or
 
promulgated
 
by
 
any
 
other
 
self-regulatory
 
organization
 
or
 
any
 
government
 
agency
 
of
 
scope
 
similar
 
to
 
NYSE
 
Rule
80B
 
as
 
determined
 
by
 
the
 
index
 
sponsor)
 
on
 
trading
 
during
 
significant
 
market
 
fluctuations
 
will
 
constitute
 
a
 
suspension,
absence
 
or
 
material
 
limitation
 
of
 
trading;
●
 
a
 
suspension
 
of
 
trading
 
in
 
an
 
SPX
 
Option
 
or
 
a
 
futures
 
contract
 
on
 
the
 
VIX
 
Index
 
or
 
the
 
VXV
 
Index
 
(or
 
futures
 
contract
 
on
 
any
relevant
 
successor
 
index)
 
by
 
the
 
relevant
 
exchange
 
for
 
the
 
VIX
 
Index
 
or
 
the
 
VXV
 
Index
 
(or
 
the
 
relevant
 
successor
 
index)
 
by
reason
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
such
 
relevant
 
exchange,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
such
 
options,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
such
 
options
will,
 
in
 
each
 
such
 
case,
 
constitute
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
on
 
such
 
relevant
 
exchange;
 
and
●
 
a
 
“suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading”
 
on
 
any
 
relevant
 
exchange
 
will
 
not
 
include
 
any
 
time
 
when
 
such
relevant
 
exchange
 
is
 
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
“
Relevant
 
exchange
”
 
means,
 
with
 
respect
 
to
 
the
 
S&P
 
500
®
 
Index,
 
the
 
primary
 
exchange
 
or
 
market
 
of
 
trading
 
for
 
any
 
equity
 
security
 
(or
any
 
combination
 
thereof)
 
then
 
included
 
in
 
the
 
S&P
 
500
®
 
Index
 
or,
 
with
 
respect
 
to
 
the
 
VIX
 
Index,
 
the
 
VXV
 
Index
 
or
 
any
 
relevant
 
successor
 
index,
the
 
primary
 
exchange
 
or
 
market
 
for
 
SPX
 
Options
 
or
 
futures
 
on
 
the
 
VIX
 
Index
 
or
 
the
 
VXV
 
Index,
 
respectively,
 
(or
 
futures
 
on
 
the
 
relevant
successor
 
index).
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
and
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
CBOE.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
an
 
Index
 
and
 
they
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
level
 
of
 
the
 
relevant
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
an
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
an
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
level
 
of
 
the
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
an
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
relevant
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
an
 
Index,
 
the
 
index
 
components
 
of
 
an
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
an
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
appropriate
 
to
 
ensure
 
that
 
the
 
level
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
level
 
of
 
an
 
Index
 
and
 
the
 
amount
 
payable
 
at
maturity
 
or
 
upon
 
early
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
an
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Business
 
Day
When
 
we
 
refer
 
to
 
a
 
business
 
day
 
with
 
respect
 
to
 
a
 
series
 
of
 
ETNs,
 
unless
 
otherwise
 
specified
 
we
 
mean
 
a
 
Monday,
 
Tuesday,
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
 
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
regulation
 
or
 
executive
 
order
 
to
 
close.
 
When
 
we
 
refer
 
to
 
an
 
index
 
business
 
day
 
with
 
respect
 
to
 
a
 
series
 
of
 
ETNs,
 
we
 
mean
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
and
 
(2)
 
the
 
CBOE
 
is
 
open.
Description
 
of
 
iPath
®
 
S&P
 
MLP
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
S&P
 
MLP
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
S&P
 
MLP
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
S&P
 
MLP
 
Index
 
(the
“
Index
”).
 
The
 
Index
 
is
 
designed
 
to
 
provide
 
exposure
 
to
 
leading
 
partnerships
 
that
 
trade
 
on
 
major
 
U.S.
 
exchanges
 
and
 
are
 
classified
 
in
 
the
 
GICS
®
Energy
 
Sector
 
and
 
GICS
®
 
Gas
 
Utilities
 
Industry
 
according
 
to
 
the
 
Global
 
Industry
 
Classification
 
Standard
®
 
(“
GICS
”).
 
It
 
includes
 
both
 
master
limited
 
partnerships
 
(“
MLPs
”)
 
and
 
publicly
 
traded
 
limited
 
liability
 
companies
 
which
 
have
 
a
 
similar
 
legal
 
structure
 
to
 
MLPs
 
and
 
share
 
the
 
same
 
tax
benefits
 
as
 
MLPs
 
(collectively,
 
the
 
“
Index
 
Constituents
”).
 
The
 
Index
 
is
 
calculated,
 
maintained
 
and
 
published
 
by
 
S&P
 
Dow
 
Jones
 
Indices
 
LLC
(“
S&P
 
Dow
 
Jones
 
Indices
”
 
or
 
the
 
“
Index
 
Sponsor
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
symbol
 
“IMLP.”
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
32
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
January
 
3,
 
2013
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
January
 
8,
 
2013
 
(the
 
“
issue
 
date
”)
and
 
will
 
be
 
due
 
on
 
December
 
15,
 
2042
 
(the
 
“
maturity
 
date
”).
Coupon
If
 
holders
 
or
 
we
 
have
 
not
 
previously
 
redeemed
 
the
 
ETNs,
 
for
 
each
 
ETN
 
that
 
held
 
on
 
the
 
applicable
 
coupon
 
record
 
date,
 
holders
 
will
receive
 
an
 
interest
 
payment
 
in
 
cash
 
per
 
ETN
 
on
 
each
 
coupon
 
payment
 
date
 
in
 
U.S.
 
dollars
 
equal
 
to
 
the
 
coupon
 
amount,
 
if
 
any,
 
on
 
the
 
applicable
coupon
 
valuation
 
date.
The
 
“
coupon
 
amount
”
 
on
 
any
 
coupon
 
valuation
 
date
 
will
 
equal
 
the
 
greater
 
of
 
(i)
 
zero
 
and
 
(ii)(1)
 
the
 
accrued
 
dividend
 
on
 
such
 
coupon
valuation
 
date
minus
 
(2)
 
the
 
accrued
 
investor
 
fee
 
on
 
such
 
coupon
 
valuation
 
date.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$25.00.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value,
 
VWAP
 
factor,
 
accrued
 
dividend,
 
and
 
accrued
 
investor
 
fee
 
will
 
be
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value,
 
VWAP
 
factor,
 
accrued
 
dividend,
 
and
 
accrued
 
investor
 
fee
 
will
 
be
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
per
 
ETN
 
at
 
maturity
 
in
 
U.S.
 
dollars
 
equal
 
to
 
the
 
closing
 
indicative
value
 
on
 
the
 
applicable
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
until
 
the
 
final
 
valuation
 
date
 
or
 
applicable
 
valuation
 
date
 
(in
 
the
case
 
of
 
early
 
redemption)
 
will
 
equal
 
(1)
 
the
 
ETN
 
current
 
value
 
on
 
such
 
calendar
 
day
plus
(2)
 
the
 
accrued
 
dividend
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
accrued
 
investor
 
fee
 
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
accordingly.
 
The
 
“
ETN
 
current
 
value
”
 
for
 
each
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
ETN
 
current
 
value
 
on
 
the
 
initial
valuation
 
date
 
was
 
$25.00.
 
On
 
any
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
ETN
 
current
 
value
 
will
 
equal
 
(1)
 
the
 
closing
VWAP
 
level
 
on
 
that
 
day
 
(or
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day,
 
if
 
such
 
calendar
 
day
 
is
 
not
 
an
 
index
 
business
 
day)
divided
 
by
 
(2)
the
 
VWAP
 
factor.
The
 
“
initial
 
VWAP
 
level
”
 
is
 
2,144.96,
 
which
 
is
 
equal
 
to
 
the
 
VWAP
 
level
 
at
 
the
 
close
 
of
 
trading
 
on
 
the
 
initial
 
valuation
 
date,
 
as
determined
 
by
 
the
 
VWAP
 
calculation
 
agent.
The
 
“
closing
 
VWAP
 
level
”
 
is
 
equal
 
to
 
(i)
 
the
 
VWAP
 
level
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
any
 
index
 
business
 
day,
 
for
 
purposes
 
of
 
holder
redemption,
 
or
 
(ii)
 
the
 
arithmetic
 
mean
 
of
 
the
 
VWAP
 
levels
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
each
 
index
 
business
 
day
 
during
 
the
 
final
 
measurement
period
 
or
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
for
 
purposes
 
of
 
the
 
payment
 
at
 
maturity
 
or
 
upon
 
issuer
 
redemption,
 
respectively,
 
in
 
each
case
 
as
 
determined
 
by
 
the
 
VWAP
 
calculation
 
agent.
“
VWAP
 
level
”
 
means,
 
on
 
any
 
index
 
business
 
day,
 
as
 
calculated
 
by
 
the
 
VWAP
 
calculation
 
agent,
 
(1)
 
the
 
sum
 
of
 
the
 
products
 
of
 
(i)
 
the
VWAP
 
of
 
each
 
Index
 
Constituent
 
as
 
of
 
such
 
date
 
and
 
(ii)
 
the
 
published
 
unit
 
weighting
 
of
 
that
 
Index
 
Constituent
 
as
 
of
 
such
 
date,
 
divided
 
by
 
(2)
the
 
index
 
divisor
 
as
 
of
 
such
 
date.
 
The
 
VWAP
 
level
 
is
 
reported
 
on
 
Bloomberg
 
page
 
“SPMLPVW
 
<Index>”.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
33
“
VWAP
”
 
means,
 
with
 
respect
 
to
 
each
 
Index
 
Constituent,
 
on
 
any
 
index
 
business
 
day,
 
the
 
consolidated
 
volume-weighted
 
average
 
price
 
of
one
 
unit
 
of
 
such
 
Index
 
Constituent
 
as
 
determined
 
by
 
the
 
VWAP
 
calculation
 
agent
 
based
 
on
 
all
 
trades
 
in
 
such
 
Index
 
Constituent
 
reported
 
in
 
the
consolidated
 
tape
 
system
 
during
 
the
 
regular
 
trading
 
session.
The
 
“
index
 
divisor
”,
 
as
 
of
 
any
 
index
 
business
 
day,
 
is
 
the
 
divisor
 
used
 
by
 
the
 
Index
 
Sponsor
 
to
 
calculate
 
the
 
level
 
of
 
the
 
index,
 
as
described
 
under
 
the
 
Index
 
methodology.
The
 
“
VWAP
 
factor
”
 
is
 
85.7984,
 
which
 
is
 
equal
 
to
 
(1)
 
the
 
initial
 
VWAP
 
level
divided
 
by
 
(2)
 
the
 
principal
 
amount
 
per
 
ETN.
 
If
 
the
 
ETNs
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
VWAP
 
factor
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
accrued
 
dividend
”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
accrued
 
dividend
 
on
 
the
 
initial
 
valuation
date
 
was
 
zero.
 
The
 
accrued
 
dividend
 
on
 
any
 
subsequent
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
accrued
 
dividend
 
as
 
of
 
the
 
immediately
 
preceding
calendar
 
day
plus
 
(2)
 
the
 
dollar
 
dividend
 
value
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
on
 
such
 
calendar
 
day.
 
If
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
accrued
 
dividend
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
dollar
 
dividend
 
value
”
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
index
 
dividend
 
on
 
such
 
calendar
 
day
divided
 
by
 
(2)
 
the
 
VWAP
 
factor.
The
 
“
index
 
dividend
”
 
on
 
any
 
calendar
 
day
 
represents
 
the
 
aggregate
 
cash
 
value
 
of
 
distributions
 
that
 
a
 
hypothetical
 
person
 
holding
 
Index
Constituents
 
in
 
proportion
 
to
 
the
 
weights
 
of
 
the
 
Index
 
Constituents
 
would
 
have
 
been
 
entitled
 
to
 
receive
 
with
 
respect
 
to
 
any
 
Index
 
Constituent
 
for
those
 
cash
 
distributions
 
whose
 
“ex-dividend
 
date”
 
occurs
 
on
 
such
 
calendar
 
day.
 
The
 
index
 
dividend
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
sum
of
 
the
 
products
 
of
 
(i)
 
the
 
cash
 
value
 
of
 
distributions
 
that
 
a
 
hypothetical
 
holder
 
of
 
each
 
Index
 
Constituent
 
on
 
such
 
calendar
 
day
 
would
 
have
 
been
entitled
 
to
 
receive
 
in
 
respect
 
of
 
that
 
Index
 
Constituent
 
for
 
those
 
cash
 
distributions
 
whose
 
“ex-dividend
 
date”
 
occurs
 
on
 
such
 
calendar
 
day
 
and
 
(ii)
the
 
published
 
unit
 
weighting
 
of
 
that
 
Index
 
Constituent
 
as
 
of
 
such
 
date,
divided
 
by
 
(2)
 
the
 
index
 
divisor
 
as
 
of
 
such
 
date.
On
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
coupon
 
ex-date,
 
the
 
“
coupon
 
adjustment
 
dividend
 
amount
”
 
will
 
equal
 
zero.
 
On
 
any
 
calendar
 
day
that
 
is
 
a
 
coupon
 
ex-date,
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
will
 
equal
 
the
 
accrued
 
dividend
 
on
 
the
 
coupon
 
valuation
 
date
 
immediately
preceding
 
such
 
coupon
 
ex-date.
 
The
 
effect
 
of
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
as
 
of
 
each
 
coupon
 
ex-date
 
is
 
to
 
reduce
 
the
 
accrued
dividend
 
(and,
 
therefore,
 
the
 
closing
 
indicative
 
value)
 
by
 
the
 
amount
 
of
 
the
 
index
 
dividends
 
reflected
 
in
 
any
 
coupon
 
amount
 
that
 
holders
 
will
 
be
entitled
 
to
 
receive
 
on
 
the
 
immediately
 
following
 
coupon
 
payment
 
date.
The
 
“
accrued
 
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
accrued
 
investor
 
fee
 
on
 
the
 
initial
valuation
 
date
 
was
 
zero.
 
The
 
accrued
 
dividend
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
accrued
 
investor
 
fee
 
as
 
of
 
the
 
immediately
 
preceding
calendar
 
day
plus
 
(2)
 
the
 
daily
 
fee
 
value
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
coupon
 
adjustment
 
fee
 
amount
 
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
accrued
 
investor
 
fee
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
fee
 
value
”
 
on
 
any
 
calendar
 
day
 
is
 
equal
 
to
 
the
 
product
 
of
 
(1)
 
the
 
closing
 
VWAP
 
level
 
on
 
such
 
calendar
 
day
divided
 
by
 
the
VWAP
 
factor
 
and
 
(2)
 
0.80%
divided
 
by
 
365.
 
Because
 
the
 
daily
 
fee
 
value
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
basis,
 
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.80%
 
per
 
year.
On
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
coupon
 
ex-date,
 
the
 
“
coupon
 
adjustment
 
fee
 
amount
”
 
will
 
equal
 
zero.
 
On
 
any
 
calendar
 
day
 
that
 
is
 
a
coupon
 
ex-date,
 
the
 
coupon
 
adjustment
 
fee
 
amount
 
will
 
equal
 
(i)
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
on
 
such
 
coupon
 
ex-date,
 
if
 
the
 
coupon
amount
 
in
 
respect
 
of
 
such
 
coupon-ex
 
date
 
is
 
zero
 
or
 
(ii)
 
the
 
accrued
 
investor
 
fee
 
on
 
the
 
coupon
 
valuation
 
date
 
immediately
 
preceding
 
such
coupon
 
ex-date,
 
if
 
the
 
coupon
 
amount
 
in
 
respect
 
of
 
such
 
coupon-ex
 
date
 
is
 
greater
 
than
 
zero.
 
The
 
effect
 
of
 
the
 
coupon
 
adjustment
 
fee
 
amount
as
 
of
 
each
 
coupon
 
ex-date
 
is
 
to
 
reduce
 
the
 
accrued
 
investor
 
fee
 
by
 
the
 
portion
 
of
 
the
 
accrued
 
investor
 
fee
 
that
 
was
 
offset
 
against
 
accrued
dividends
 
in
 
calculating
 
any
 
coupon
 
amount
 
that
 
holders
 
will
 
be
 
entitled
 
to
 
receive
 
on
 
the
 
immediately
 
following
 
coupon
 
payment
 
date.
 
If
 
the
coupon
 
amount
 
in
 
respect
 
of
 
any
 
coupon
 
valuation
 
date
 
is
 
zero,
 
which
 
means
 
that
 
the
 
accrued
 
investor
 
fee
 
as
 
of
 
that
 
coupon
 
valuation
 
date
 
is
equal
 
to
 
or
 
greater
 
than
 
the
 
accrued
 
dividend
 
as
 
of
 
that
 
coupon
 
valuation
 
date,
 
the
 
accrued
 
investor
 
fee
 
will
 
be
 
reduced
 
by
 
the
 
accrued
 
dividend
and
 
the
 
remaining
 
accrued
 
investor
 
fee
 
will
 
effectively
 
be
 
carried
 
forward
 
to
 
be
 
offset
 
against
 
subsequent
 
accrued
 
dividends.
The
 
“
redemption
 
charge
”
 
is
 
a
 
one-time
 
charge
 
imposed
 
upon
 
holder
 
redemption
 
and
 
is
 
equal
 
to
 
0.125%
times
 
the
 
closing
 
indicative
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
The
 
redemption
 
charge
 
is
 
intended
 
to
 
allow
 
us
 
to
 
recoup
 
the
 
brokerage
 
and
 
other
 
transaction
 
costs
 
that
we
 
will
 
incur
 
in
 
connection
 
with
 
redeeming
 
the
 
ETNs.
 
The
 
proceeds
 
we
 
receive
 
from
 
the
 
redemption
 
charge
 
may
 
be
 
more
 
or
 
less
 
than
 
such
costs.
An
 
“
index
 
business
 
day
”
 
means
 
any
 
day
 
on
 
which
 
the
 
Index
 
Sponsor
 
publishes
 
a
 
level
 
for
 
the
 
Index.
Valuation
 
Date
 
and
 
Dates
 
Relating
 
to
 
Coupon
 
Payments
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
 
January
 
3,
 
2013
 
to
 
December
 
2,
 
2042
 
inclusive
 
(or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
next
 
succeeding
 
trading
 
day),
 
unless
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
that
 
day
 
in
respect
 
of
 
the
 
Index.
 
In
 
that
 
event,
 
the
 
valuation
 
date
 
will
 
be
 
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
any
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
business
 
days.
 
We
 
refer
 
to
 
January
 
3,
 
2013
 
as
 
the
 
“
initial
 
valuation
 
date
”
 
and
 
December
 
2,
 
2042
 
as
 
the
 
“
final
 
valuation
 
date
”.
A
 
“
trading
 
day
”
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City
 
and
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX,
 
in
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
coupon
 
valuation
 
date
”
 
means
 
the
 
15
th
 
of
 
February,
 
May,
 
August
 
and
 
November
 
of
 
each
 
calendar
 
year
 
during
 
the
 
term
 
of
 
the
 
ETNs
or
 
if
 
such
 
date
 
is
 
not
 
an
 
index
 
business
 
day,
 
then
 
the
 
first
 
index
 
business
 
day
 
following
 
such
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event).
 
The
 
first
 
coupon
 
valuation
 
date
 
was
 
on
 
February
 
15,
 
2013.
A
 
“
coupon
 
ex-date
”
 
means
 
the
 
seventh
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event).
 
The
 
first
 
coupon
 
ex-date
 
was
 
on
 
February
 
27,
 
2013.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
34
A
 
“
coupon
 
record
 
date
”
 
means
 
the
 
ninth
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event).
 
The
 
first
 
coupon
 
record
 
date
 
was
 
on
 
March
 
1,
 
2013.
A
 
“
coupon
 
payment
 
date
”
 
means
 
the
 
15
th
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event).
 
The
 
first
 
coupon
 
payment
 
date
 
was
 
on
 
March
 
11,
 
2013.
A
“market
 
disruption
 
event”
 
means
 
any
 
of
 
the
 
following
 
with
 
respect
 
to
 
the
 
Index,
 
(i)
 
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index;
 
(ii)
 
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
 
markets;
 
(iii)
 
any
 
event
 
that
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
ability
 
of
 
market
 
participants
 
to
 
(x)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
the
 
Index,
 
or
 
(y)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
 
markets;
(iv)
 
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
Index
 
Constituents
 
constituting
 
20%
 
or
more,
 
by
 
weight,
 
of
 
the
 
Index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
 
that
 
market
 
(without
 
regard
 
to
 
after
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
 
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(x)
 
the
 
actual
 
closing
 
time
 
for
 
the
 
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
day
 
for
 
such
 
primary
 
market
 
and
 
(y)
 
the
 
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
close
 
of
 
trading
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
 
(v)
 
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(x)
 
the
 
primary
 
markets
 
for
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
or
 
(y)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
 
fails
 
to
 
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session;
 
(vi)
 
if
 
the
 
Index
 
Sponsor
 
does
 
not
 
publish
the
 
level
 
of
 
the
 
Index
 
on
 
an
 
index
 
business
 
day
 
or
 
the
 
Index
 
is
 
otherwise
 
not
 
available;
 
or
 
(vii)
 
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
determines
 
that
 
the
 
event
 
interferes
 
with
 
our
 
ability
 
or
 
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
ETNs
 
that
 
we
 
or
 
our
 
affiliates
 
have
 
effected
 
or
 
may
 
effect;
 
and,
 
in
 
any
 
of
 
these
 
events,
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
event
 
was
material.
 
For
 
purposes
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
has
 
occurred,
 
the
 
following
 
event
 
will
 
not
 
be
 
a
 
market
 
disruption
 
event:
(a)
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
Index
 
Constituent
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
 
results
 
from
 
an
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
 
(b)
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
options
 
contracts
 
relating
 
to
 
the
 
Index.
 
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
relevant
 
exchange
 
or
 
market
 
is
 
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
 
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
or
 
options
 
contracts
 
related
 
to
 
the
 
Index,
 
if
 
available,
 
in
 
the
 
primary
 
market
 
for
 
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
 
(A)
 
a
 
price
 
change
exceeding
 
limits
 
set
 
by
 
that
 
market,
 
(B)
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
those
 
contracts,
 
or
 
(C)
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
those
 
contracts,
 
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
in
 
the
 
primary
market
 
for
 
those
 
contracts.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
last
 
day
 
of
 
the
 
final
measurement
 
period
 
does
 
not
 
qualify
 
as
 
a
 
business
 
day,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
last
 
day
 
of
 
the
 
final
measurement
 
period.
 
The
 
calculation
 
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—if
 
a
 
market
 
disruption
 
event
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
or
 
London,
 
as
 
applicable,
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date
 
minus
 
the
 
redemption
 
charge.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
trading
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date
 
(which
 
will
 
reflect
 
the
 
applicable
 
closing
 
VWAP
 
level
 
calculated
 
by
 
reference
 
to
 
the
arithmetic
 
mean
 
of
 
the
 
VWAP
 
levels
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
each
 
of
 
the
 
five
 
index
 
business
 
days
 
from
 
and
 
including
 
such
 
valuation
 
date).
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
any
 
valuation
 
date
 
(other
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
of
 
the
 
ETNs
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
after
 
the
 
last
 
day
 
of
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
which
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
20
th
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
35
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption,
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
trading
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
20
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
 
disruption
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
after
 
the
 
last
 
day
 
of
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
but
 
in
 
no
 
event
prior
 
to
 
the
 
20
th
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
Index
 
Sponsor
 
discontinues
 
publication
 
of
 
or
 
otherwise
 
fails
 
to
 
publish
 
the
 
Index,
 
or
 
the
 
Index
 
Sponsor
 
does
 
not
 
make
 
the
 
Index
Constituents,
 
their
 
unit
 
weighting
 
and/or
 
the
 
index
 
divisor
 
available
 
to
 
the
 
VWAP
 
calculation
 
agent,
 
and
 
the
 
Index
 
Sponsor
 
or
 
another
 
entity
publishes
 
a
 
successor
 
or
 
substitute
 
index
 
that
 
the
 
calculation
 
agent
 
determines
 
to
 
be
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
for
 
which
 
the
Index
 
Constituents,
 
their
 
unit
 
weighting,
 
and/or
 
the
 
index
 
divisor
 
are
 
available
 
to
 
the
 
VWAP
 
calculation
 
agent
 
(such
 
index
 
being
 
referred
 
to
herein
 
as
 
a
 
“
successor
 
index
”),
 
then
 
the
 
VWAP
 
level
 
for
 
such
 
successor
 
index
 
will
 
be
 
determined
 
by
 
the
 
VWAP
 
calculation
 
agent
 
by
 
reference
to
 
the
 
sum
 
of
 
the
 
products
 
of
 
the
 
VWAPs
 
of
 
the
 
constituents
 
underlying
 
such
 
successor
 
index
 
and
 
each
 
such
 
constituent’s
 
respective
 
weighting
within
 
the
 
successor
 
index
 
(which
 
sum
 
will
 
be
 
adjusted
 
by
 
any
 
index
 
divisor
 
used
 
by
 
such
 
successor
 
index)
 
on
 
the
 
dates
 
and
 
at
 
the
 
times
 
as
 
of
which
 
the
 
VWAP
 
levels
 
for
 
such
 
successor
 
index
 
are
 
to
 
be
 
determined.
If
 
the
 
Index
 
Sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
or
 
does
 
not
 
make
 
the
 
Index
 
Constituents,
 
their
 
unit
 
weightings
 
and/or
 
index
divisor
 
available
 
to
 
the
 
VWAP
 
calculation
 
agent
 
prior
 
to,
 
and
 
such
 
discontinuation
 
or
 
unavailability
 
is
 
continuing
 
on
 
any
 
index
 
business
 
day
during
 
the
 
final
 
measurement
 
period
 
or
 
issuer
 
redemption
 
measurement
 
period,
 
or
 
on
 
a
 
valuation
 
date,
 
as
 
applicable,
 
or
 
any
 
other
 
relevant
 
date
on
 
which
 
the
 
VWAP
 
level
 
is
 
to
 
be
 
determined
 
and
 
the
 
calculation
 
agent
 
determines
 
that
 
no
 
successor
 
index
 
is
 
available
 
at
 
such
 
time,
 
or
 
the
calculation
 
agent
 
has
 
previously
 
selected
 
a
 
successor
 
index
 
and
 
publication
 
of
 
such
 
successor
 
index
 
is
 
discontinued
 
prior
 
to,
 
and
 
such
discontinuation
 
is
 
continuing
 
on
 
any
 
index
 
business
 
day
 
during
 
the
 
final
 
measurement
 
period
 
or
 
issuer
 
redemption
 
measurement
 
period,
 
or
 
on
any
 
valuation
 
date,
 
as
 
applicable,
 
or
 
any
 
other
 
relevant
 
date
 
on
 
which
 
the
 
VWAP
 
level
 
is
 
to
 
be
 
determined,
 
then
 
the
 
VWAP
 
calculation
 
agent
 
will
determine
 
the
 
relevant
 
VWAP
 
levels
 
using
 
the
 
VWAP
 
and
 
published
 
unit
 
weighting
 
of
 
each
 
Index
 
Constituent
 
included
 
in
 
the
 
Index
 
or
 
successor
index,
 
as
 
applicable,
 
immediately
 
prior
 
to
 
such
 
discontinuation
 
or
 
unavailability,
 
as
 
adjusted
 
for
 
certain
 
corporate
 
actions
 
as
 
described
 
under
“The
 
Index—Index
 
Rebalancings.”
Notwithstanding
 
these
 
alternative
 
arrangements,
 
discontinuation
 
of
 
the
 
publication
 
of
 
the
 
Index
 
or
 
successor
 
index,
 
as
 
applicable,
 
may
adversely
 
affect
 
the
 
value
 
of
 
the
 
ETNs.
If
 
at
 
any
 
time
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
or
 
a
 
successor
 
index,
 
or
 
the
 
value
 
thereof,
 
is
 
changed
 
in
 
a
 
material
 
respect,
 
or
 
if
 
the
Index
 
or
 
a
 
successor
 
index
 
is
 
in
 
any
 
other
 
way
 
modified
 
so
 
that
 
the
 
VWAP
 
level
 
of
 
the
 
Index
 
or
 
such
 
successor
 
index
 
does
 
not,
 
in
 
the
 
opinion
 
of
the
 
VWAP
 
calculation
 
agent,
 
fairly
 
represent
 
the
 
VWAP
 
level
 
of
 
the
 
Index
 
or
 
such
 
successor
 
index
 
had
 
such
 
changes
 
or
 
modifications
 
not
 
been
made,
 
then
 
the
 
VWAP
 
calculation
 
agent
 
will
 
make
 
such
 
calculations
 
and
 
adjustments
 
as,
 
in
 
the
 
good
 
faith
 
judgment
 
of
 
the
 
VWAP
 
calculation
agent,
 
may
 
be
 
necessary
 
in
 
order
 
to
 
arrive
 
at
 
a
 
VWAP
 
level
 
of
 
an
 
index
 
comparable
 
to
 
the
 
Index
 
or
 
such
 
successor
 
index,
 
as
 
the
 
case
 
may
 
be,
as
 
if
 
such
 
changes
 
or
 
modifications
 
had
 
not
 
been
 
made,
 
and
 
the
 
VWAP
 
calculation
 
agent
 
will
 
calculate
 
the
 
VWAP
 
levels
 
for
 
the
 
Index
 
or
 
such
successor
 
index
 
with
 
reference
 
to
 
the
 
Index
 
or
 
such
 
successor
 
index,
 
as
 
adjusted.
 
Accordingly,
 
if
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
or
 
a
successor
 
index
 
is
 
modified
 
so
 
that
 
the
 
level
 
of
 
the
 
Index
 
or
 
such
 
successor
 
index
 
is
 
a
 
fraction
 
of
 
what
 
it
 
would
 
have
 
been
 
if
 
there
 
had
 
been
 
no
such
 
modification
 
(e.g.,
 
due
 
to
 
a
 
split
 
in
 
the
 
Index),
 
which,
 
in
 
turn,
 
causes
 
the
 
VWAP
 
level
 
of
 
the
 
Index
 
or
 
such
 
successor
 
index
 
to
 
be
 
a
 
fraction
of
 
what
 
it
 
would
 
have
 
been
 
if
 
there
 
had
 
been
 
no
 
such
 
mo
 
dification,
 
then
 
the
 
VWAP
 
calculation
 
agent
 
will
 
make
 
such
 
calculations
 
and
adjustments
 
in
 
order
 
to
 
arrive
 
at
 
a
 
VWAP
 
level
 
for
 
the
 
Index
 
or
 
such
 
successor
 
index
 
as
 
if
 
it
 
had
 
not
 
been
 
modified
 
(e.g.,
 
as
 
if
 
such
 
split
 
had
 
not
occurred).
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
36
Description
 
of
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Agriculture
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
iPath
®
 
Series
 
B
 
Bloomberg
 
Aluminum
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Coffee
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Copper
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Cotton
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Energy
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Grains
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Industrial
 
Metals
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Livestock
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Nickel
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Platinum
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Precious
 
Metals
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Softs
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Sugar
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
and
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Tin
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
each
 
of
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Agriculture
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
Bloomberg
 
Aluminum
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Coffee
 
Subindex
 
Total
 
Return
SM
 
Exchange-
Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Copper
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Cotton
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Energy
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
Series
 
B
 
Bloomberg
 
Grains
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Industrial
 
Metals
 
Subindex
 
Total
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Livestock
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
Bloomberg
 
Nickel
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Platinum
 
Subindex
 
Total
 
Return
SM
 
Exchange-
Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Precious
 
Metals
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Softs
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes,
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Sugar
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
and
iPath
®
 
Series
 
B
 
Bloomberg
 
Tin
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
(together,
 
the
 
“
ETNs
”)
 
is
 
linked
 
to
 
a
 
sub-index
 
of
 
the
Bloomberg
 
Commodity
 
Index
 
Total
 
Return
SM
 
(the
 
“
Commodity
 
Index
”
 
or
 
the
 
“
BCOM
 
Index
”)
 
(the
 
“
Sub-Indices
”,
 
and
 
together
 
with
 
the
Commodity
 
Index,
 
the
 
“
Indices
”).
 
Each
 
Index
 
is
 
composed
 
of
 
one
 
or
 
more
 
futures
 
contracts
 
on
 
the
 
relevant
 
commodity
 
or
 
commodities
 
(the
“
index
 
components
”)
 
and
 
is
 
intended
 
to
 
reflect
 
the
 
returns
 
that
 
are
 
potentially
 
available
 
through
 
an
 
unleveraged
 
investment
 
in
 
the
 
futures
contract
 
or
 
contracts
 
on
 
the
 
physical
 
commodity
 
or
 
commodities
 
comprising
 
the
 
relevant
 
Index
 
plus
 
the
 
Treasury
 
Bill
 
rate
 
of
 
interest
 
that
 
could
be
 
earned
 
on
 
funds
 
committed
 
to
 
the
 
trading
 
of
 
the
 
underlying
 
futures
 
contracts.
 
The
 
Indices
 
are
 
the
 
exclusive
 
property
 
of
 
UBS
 
Securities
 
LLC
(collectively
 
with
 
its
 
affiliates,
 
“
UBS
”)
 
and
 
its
 
licensor.
 
On
 
July
 
1,
 
2014,
 
UBS
 
entered
 
into
 
a
 
commodity
 
index
 
license
 
agreement
 
with
 
Bloomberg
Finance
 
L.P.,
 
whereby
 
UBS
 
has
 
engaged
 
Bloomberg’s
 
services
 
for
 
calculation,
 
publication,
 
administration
 
and
 
marketing
 
of
 
the
 
Bloomberg
Commodity
 
Indexes
SM
.
 
Each
 
Index
 
is
 
now
 
calculated,
 
administered
 
and
 
published
 
by
 
Bloomberg
 
Index
 
Services
 
Limited
 
(“
BISL
”
 
or
 
the
 
“
Index
Administrator
”
 
and,
 
collectively
 
with
 
its
 
affiliates,
 
“
Bloomberg
”
 
and,
 
together
 
with
 
UBS,
 
the
 
“
Index
 
Sponsors
”).
We
 
have
 
listed
 
each
 
series
 
of
 
ETNs
 
on
 
the
 
NYSE
 
Arca
 
stock
 
exchange
 
(“
NYSE
Arca
”).
 
The
 
ticker
 
symbols
 
for
 
the
 
respective
 
ETNs
 
are
as
 
follows:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
37
ETN
Ticker
Symbol
iPath
®
 
Series
 
B
 
Bloomberg
 
Agriculture
 
Subindex
 
Total
 
Return
SM
 
ETN
 
JJA
iPath
®
 
Series
 
B
 
Bloomberg
 
Aluminum
 
Subindex
 
Total
 
Return
SM
ETN
 
JJU
iPath
®
 
Series
 
B
 
Bloomberg
 
Coffee
 
Subindex
 
Total
 
Return
SM
ETN
 
JO
iPath
®
 
Series
 
B
 
Bloomberg
 
Copper
 
Subindex
 
Total
 
Return
SM
ETN
 
JJC
iPath
®
 
Series
 
B
 
Bloomberg
 
Cotton
 
Subindex
 
Total
 
Return
SM
ETN
 
BAL
iPath
®
 
Series
 
B
 
Bloomberg
 
Energy
 
Subindex
 
Total
 
Return
SM
ETN
JJE
iPath
®
 
Series
 
B
 
Bloomberg
 
Grains
 
Subindex
 
Total
 
Return
SM
ETN
 
JJG
iPath
®
 
Series
 
B
 
Bloomberg
 
Industrial
 
Metals
 
Subindex
 
Total
 
Return
SM
ETN
 
JJM
iPath
®
 
Series
 
B
 
Bloomberg
 
Livestock
 
Subindex
 
Total
 
Return
SM
ETN
 
COW
iPath
®
 
Series
 
B
 
Bloomberg
 
Nickel
 
Subindex
 
Total
 
Return
SM
ETN
 
JJN
iPath
®
 
Series
 
B
 
Bloomberg
 
Platinum
 
Subindex
 
Total
 
Return
SM
ETN
 
PGM
iPath
®
 
Series
 
B
 
Bloomberg
 
Precious
 
Metals
 
Subindex
 
Total
 
Return
SM
ETN
 
JJP
iPath
®
 
Series
 
B
 
Bloomberg
 
Softs
 
Subindex
 
Total
 
Return
SM
ETN
 
JJS
iPath
®
 
Series
 
B
 
Bloomberg
 
Sugar
 
Subindex
 
Total
 
Return
SM
ETN
SGG
iPath
®
 
Series
 
B
 
Bloomberg
 
Tin
 
Subindex
 
Total
 
Return
SM
 
ETN
JJT
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
January
 
17,
 
2018
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
January
 
19,
 
2018
 
(the
 
“
issue
date
”)
 
and
 
will
 
be
 
due
 
on
 
January
 
23,
 
2048
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
for
 
a
 
series
 
of
 
ETNs
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
final
valuation
 
date
 
is
 
postponed,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
 
We
 
describe
 
market
disruption
 
events
 
under
 
“—Market
 
Disruption
 
Event”
 
below.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
of
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“announcement
 
date”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
a
 
series
 
of
 
ETNs
 
undergoes
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
such
 
series
 
of
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
9
th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
 
decimal
places.
 
The
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
of
 
such
 
series
 
(commonly
referred
 
to
 
as
 
“
partials
”)
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
be
 
on
 
the
 
9
th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
following
 
the
 
record
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
38
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
of
 
such
 
series
 
on
 
the
 
record
 
date
 
which
 
is
 
not
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
of
 
such
 
series
 
of
 
ETNs
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
of
such
 
series
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
 
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
series
 
of
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
will
 
equal
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
series
 
of
 
ETN
 
will
 
equal
 
(1)
 
the
 
daily
 
index
 
factor
 
for
 
such
 
series
 
of
 
ETN
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
 
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
for
 
such
 
series
 
of
 
ETN
 
on
 
the
immediately
 
preceding
 
calendar
 
day
 
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
 
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
Index
 
Sponsors.
 
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
series
 
of
 
ETNs
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
to
 
which
 
those
ETNs
 
are
 
linked
 
on
 
such
 
index
 
business
 
day
 
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
to
 
which
 
those
 
ETNs
 
are
 
linked
 
on
 
the
 
immediately
preceding
 
index
 
business
 
day.
 
The
 
“
investor
 
fee
”
 
for
 
each
 
series
 
of
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
will
 
equal
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
early
 
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
series
 
of
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.45%
 
times
 
(2)
 
the
 
daily
 
index
 
factor
 
for
 
such
 
series
 
of
 
ETN
 
on
 
that
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
 
times
 
(3)
 
the
 
closing
 
indicative
 
value
 
for
 
such
 
ETN
 
on
 
the
 
immediately
 
preceding
 
calendar
day
 
divided
 
by
 
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.45%
 
per
 
year.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesda
 
y,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
(i)
 
that
 
is
 
an
 
index
 
business
 
day,
 
(ii)
 
on
 
which
 
trading
 
is
 
generally
 
conducted
 
on
 
NYSE
Arca
 
and
 
(iii)
 
on
 
which
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
markets
 
on
 
which
 
the
 
futures
 
contracts
 
underlying
 
the
 
relevant
 
Index
 
are
 
traded,
 
in
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
January
 
17,
 
2018
 
to
 
January
 
17,
 
2048,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
January
 
17,
 
2018.
 
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
January
 
17,
 
2048.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
 
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date,
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
ETNs
 
of
 
the
 
same
 
series
 
for
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
to
 
time,
 
in
 
our
 
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
ETNs.
 
If
 
holders
 
choose
 
to
redeem
 
their
 
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
indicative
 
value
 
applicable
 
to
 
such
 
ETN
 
on
 
the
 
applicable
 
valuation
 
date.
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
applicable
 
to
 
such
 
ETN
 
on
 
the
 
applicable
 
valuation
 
date.
Redemption
 
Date
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
the
 
second
 
business
 
day
 
following
 
each
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
 
date).
The
 
final
 
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
39
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
redemption,
 
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
valuation
 
date
 
specified
in
 
their
 
notice
 
of
 
redemption.
 
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
In
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Market
 
Disruption
 
Event
As
 
set
 
forth
 
under
 
“—Payment
 
at
 
Maturity,”
 
“—
 
Payment
 
Upon
 
Holder
 
Redemption”
 
and
 
“—Issuer
 
Redemption
 
Procedures”
 
above,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
level
 
of
 
the
 
relevant
 
Index
 
on
 
each
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date.
 
As
 
described
 
above,
 
a
valuation
 
date
 
for
 
any
 
series
 
of
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
level
 
of
 
the
 
relevant
 
Index
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that,
 
on
 
a
 
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
 
index
component.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
value
 
of
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
shall
 
be
 
determined
on
 
the
 
scheduled
 
valuation
 
date
 
and
 
the
 
value
 
of
 
the
 
affected
 
index
 
component
 
shall
 
be
 
determined
 
using
 
the
 
closing
 
value
 
of
 
the
 
affected
 
index
component
 
on
 
the
 
first
 
trading
 
day
 
after
 
that
 
day
 
on
 
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
a
valuation
 
date
 
for
 
a
 
series
 
of
 
ETNs
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
 
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
discretion
 
of
 
the
 
level
 
of
 
the
 
relevant
 
Index
 
for
 
such
 
day.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
●
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
in
 
the
 
trading
 
of
 
any
 
index
 
component
 
which
 
results
 
in
 
a
 
failure
 
by
 
the
 
trading
facility
 
on
 
which
 
the
 
relevant
 
contract
 
is
 
traded
 
to
 
report
 
a
 
daily
 
contract
 
reference
 
price
 
(the
 
price
 
of
 
the
 
relevant
 
contract
 
that
is
 
used
 
as
 
a
 
reference
 
or
 
benchmark
 
by
 
market
 
participants);
●
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
any
 
index
 
component
 
is
 
a
 
“limit
 
price”,
 
which
 
means
 
that
 
the
 
daily
 
contract
 
reference
price
 
for
 
such
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
daily
 
contract
 
reference
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
●
 
failure
 
by
 
the
 
Index
 
Sponsors
 
to
 
publish
 
the
 
closing
 
value
 
of
 
the
 
relevant
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
daily
 
contract
 
reference
 
price
 
for
 
one
 
or
 
more
 
index
 
components;
 
or
 
●
 
any
 
other
 
event,
 
if
 
the
 
calculation
 
agent
 
determines
 
in
 
its
 
sole
 
discretion
 
that
 
the
 
event
 
materially
 
interferes
 
with
 
our
 
ability
 
or
the
 
ability
 
of
 
any
 
of
 
our
 
affiliates
 
to
 
unwind
 
all
 
or
 
a
 
material
 
portion
 
of
 
a
 
hedge
 
with
 
respect
 
to
 
the
 
ETNs
 
that
 
we
 
or
 
our
 
affiliates
have
 
effected
 
or
 
may
 
effect.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
numbers
 
of
 
days
 
of
 
trading
 
on
 
a
 
trading
 
facility
 
on
 
which
 
any
 
index
 
component
 
is
 
traded,
 
but
 
only
 
if
the
 
limitation
 
results
 
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
 
●
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
an
 
Index
If
 
the
 
Index
 
Sponsors
 
discontinue
 
publication
 
of
 
an
 
Index
 
and
 
they
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
40
level
 
of
 
the
 
relevant
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
an
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
an
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
level
 
of
 
that
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
an
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
relevant
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
an
 
Index,
 
the
 
index
 
components
 
of
 
an
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
an
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsors
 
under
 
their
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
that
 
Index
 
or
 
method
 
of
 
calculating
 
that
 
Index
 
as
 
it
 
believes
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
level
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
level
 
of
 
an
 
Index
 
and
 
the
 
amount
 
payable
 
at
maturity
 
or
 
upon
 
early
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
an
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
 
Description
 
of
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes”
 
section
 
are
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
Return
SM
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
performance
 
of
 
the
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
Return
SM
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
a
 
sub-index
 
of
 
the
 
Bloomberg
 
Commodity
 
Index
Total
 
Return
SM
 
(the
 
“
Commodity
Index
”
 
or
 
the
 
“
BCOM
 
Index
”).
 
The
 
Index
 
is
 
composed
 
of
 
one
 
or
 
more
 
futures
 
contracts
 
on
 
commodity
 
of
natural
 
gas
 
(the
 
“
index
 
components
”)
 
and
 
is
 
intended
 
to
 
reflect
 
the
 
returns
 
that
 
are
 
potentially
 
available
 
through
 
(1)
 
an
 
unleveraged
 
investment
in
 
those
 
contracts
 
plus
 
(2)
 
the
 
rate
 
of
 
interest
 
that
 
could
 
be
 
earned
 
on
 
cash
 
collateral
 
invested
 
in
 
specified
 
Treasury
 
Bills.
 
The
 
BCOM
 
Index
 
is
 
an
index
 
on
 
a
 
basket
 
of
 
futures
 
contracts
 
on
 
physical
 
commodities
 
and
 
is
 
designed
 
to
 
be
 
a
 
benchmark
 
for
 
commodities
 
as
 
an
 
asset
 
class.
 
The
Index
 
is
 
the
 
exclusive
 
property
 
of
 
UBS
 
Securities
 
LLC
 
(collectively
 
with
 
its
 
affiliates,
 
“
UBS
”)
 
and
 
its
 
licensor.
 
On
 
July
 
1,
 
2014,
 
UBS
 
entered
 
into
 
a
commodity
 
index
 
license
 
agreement
 
with
 
Bloomberg
 
Finance
 
L.P.,
 
whereby
 
UBS
 
has
 
engaged
 
Bloomberg’s
 
services
 
for
 
calculation,
 
publication,
administration
 
and
 
marketing
 
of
 
the
 
Bloomberg
 
Commodity
 
Indexes
SM
.
 
The
 
Index
 
is
 
now
 
calculated,
 
administered
 
and
 
published
 
by
 
Bloomberg
Index
 
Services
 
Limited
 
(“
BISL
”
 
or
 
the
 
“
Index
Administrator
”
 
and,
 
collectively
 
with
 
its
 
affiliates,
 
“
Bloomberg
”
 
and,
 
together
 
with
 
UBS,
 
the
 
“
Index
Sponsors
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
 
exchange
 
under
 
the
 
ticker
 
symbol
 
“GAZ.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
March
 
8,
 
2017
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
March
 
13,
 
2017
 
(the
 
“
issue
 
date
”)
and
 
will
 
be
 
due
 
on
 
March
 
5,
 
2037
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
final
 
valuation
 
date
 
is
postponed,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
The
 
calculation
 
agent
 
may
 
postpone
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
41
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
any
 
splits
 
or
 
reverse
 
splits,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
Index
 
Sponsors.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.45%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
accumulates
 
over
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.45%
 
per
 
year.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
March
 
8,
 
2017
 
to
 
March
 
2,
 
2037,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
succeeding
 
trading
 
day.
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
March
 
8,
 
2017.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
March
 
2,
 
2037.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
ETNs.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
the
 
third
 
business
 
day
 
following
 
each
 
valuation
 
date
 
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
final
 
redemption
 
date
 
will
 
be
 
the
 
third
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
42
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
redemption
 
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
In
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Market
 
Disruption
 
Event
Each
 
valuation
 
date
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
level
 
of
 
the
 
Index
 
may
 
be
 
postponed
 
if
 
that
 
valuation
 
date
 
is
not
 
a
 
trading
 
day
 
or
 
if
 
the
 
calculation
 
agent
 
determines
 
that,
 
on
 
that
 
valuation
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
respect
 
of
 
the
 
Index.
 
Any
 
commodity
 
or
 
commodity
 
futures
 
contract
 
constituting
 
part
 
of
 
the
 
Index
 
is
 
referred
 
to
 
as
 
an
 
“index
 
component”
 
for
purposes
 
of
 
this
 
section.
 
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
:
●
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
of
 
the
 
trading
 
day
 
in
 
any
 
index
 
component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
Index;
●
 
the
 
settlement
 
price
 
for
 
any
 
index
 
component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index
 
is
 
a
 
“limit
 
price,”
 
which
 
means
 
that
 
the
settlement
 
price
 
for
 
that
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
settlement
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
or
●
 
failure
 
by
 
the
 
Index
 
Sponsor
 
to
 
announce
 
or
 
publish
 
the
 
closing
 
level
 
of
 
the
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
settlement
 
price
 
or
 
closing
 
level
 
for
 
one
 
or
 
more
 
index
 
components.
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
●
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
index
 
component.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
is
 
not
 
a
 
trading
 
day
 
for
 
any
 
index
component
 
or
 
on
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
any
 
index
component,
 
that
 
valuation
 
date
 
will
 
be
 
postponed
 
to
 
the
 
earlier
 
of
 
(i)
 
the
 
fifth
 
trading
 
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date
 
and
 
(ii)
 
the
earliest
 
date
 
that
 
the
 
level,
 
value
 
or
 
price
 
of
 
each
 
index
 
component
 
that
 
is
 
affected
 
by
 
a
 
market
 
disruption
 
event
 
or
 
by
 
the
 
non-trading
 
day
 
can
 
be
determined.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
level,
 
value
 
or
 
price
 
of
 
the
 
index
 
components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
or
 
non-
trading
 
day
 
will
 
be
 
determined
 
on
 
the
 
scheduled
 
valuation
 
date
 
and
 
the
 
level,
 
value
 
or
 
price
 
of
 
any
 
affected
 
index
 
component
 
will
 
be
 
determined
using
 
the
 
settlement
 
level,
 
value
 
or
 
price
 
of
 
that
 
affected
 
index
 
component
 
on
 
the
 
first
 
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
on
which
 
no
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
for
 
that
 
affected
 
index
 
component.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
in
 
respect
 
of
any
 
index
 
component
 
on
 
the
 
fifth
 
trading
 
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date,
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
level,
 
value
 
or
price
 
for
 
the
 
affected
 
index
 
component
 
in
 
good
 
faith
 
and
 
in
 
a
 
commercially
 
reasonable
 
manner.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
Index
 
Sponsors
 
discontinue
 
publication
 
of
 
the
 
Index
 
and
 
they
 
or
 
any
 
other
 
person
 
or
 
entity
 
publish
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
level
 
of
 
the
 
Index
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
 
successor
 
index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
level
 
of
 
the
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
43
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
the
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
Index.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index,
 
the
 
index
 
components
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
any
 
time
 
in
 
any
 
respect
 
—
 
including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
 
and
 
whether
the
 
change
 
is
 
made
 
by
 
the
 
Index
 
Sponsors
 
under
 
their
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
 
publication
 
of
 
a
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason
 
—
 
then
 
the
 
calculation
 
agent
 
will
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
that
 
the
 
level
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
 
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Description
 
of
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
TM
 
Exchange-Traded
 
Notes
 
and
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Mid-
Term
 
Futures
TM
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
TM
 
Exchange-Traded
 
Notes
 
and
 
iPath
®
 
Series
 
B
 
S&P
500
®
 
VIX
 
Mid-Term
 
Futures
TM
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
TM
 
Exchange-Traded
 
Notes
 
(“
VXX
ETN
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
the
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
 
Index
 
TR
 
and
 
the
 
return
 
of
 
the
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Mid-Term
 
Futures
TM
 
Exchange-Traded
Notes
 
(“
VXZ
ETN
,”
 
together
 
with
 
the
 
VXX
 
ETN,
 
the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
S&P
 
500
®
 
VIX
 
Mid-Term
 
Futures
 
Index
 
TR
(each,
 
an
 
“
Index
”
 
and
 
collectively,
 
the
 
“
Indices
”).
 
The
 
Indices
 
are
 
designed
 
to
 
provide
 
investors
 
with
 
exposure
 
to
 
one
 
or
 
more
 
maturities
 
of
futures
 
contracts
 
(the
 
“
index
components
”)
 
on
 
the
 
CBOE
 
Volatility
 
Index
 
®
 
(the
 
“
VIX
Index
”
 
or
 
“
VIX
”).
 
The
 
Indices
 
were
 
created
 
by
 
S&P
 
Dow
Jones
 
Indices
 
LLC
 
(“
S&P
 
Dow
 
Jones
 
Indices
”
 
or
 
the
 
“
index
 
sponsor
”).
 
The
 
index
 
sponsor
 
calculates
 
the
 
level
 
of
 
the
 
relevant
 
Index
 
daily
 
when
the
 
Chicago
 
Board
 
Options
 
Exchange,
 
Incorporated
 
(the
 
“
CBOE
”)
 
is
 
open
 
(excluding
 
holidays
 
and
 
weekends)
 
and
 
publishes
 
it
 
as
 
soon
 
as
practicable
 
thereafter.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
under
 
the
 
ticker
 
symbols
 
“VXX”
 
and
 
“VXZ,”
 
respectively.
Inception,
 
Issuance
 
and
 
Maturity
Each
 
series
 
of
 
ETNs
 
were
 
first
 
sold
 
on
 
January
 
17,
 
2018
 
(the
 
“
inception
 
date
”).
 
Each
 
series
 
of
 
ETNs
 
were
 
first
 
issued
 
on
 
January
 
19,
2018
 
(the
 
“
issue
 
date
”)
 
and
 
each
 
will
 
be
 
due
 
on
 
January
 
23,
 
2048
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
for
 
a
 
series
 
of
 
ETNs
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
final
valuation
 
date
 
is
 
postponed,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
 
In
 
the
 
event
 
that
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$27.193879
 
for
 
the
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
TM
 
ETNs
 
and
 
$16.855272
 
for
the
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Mid-Term
 
Futures
TM
.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
a
 
series
 
of
 
ETNs
 
undergoes
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
such
 
series
 
of
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
9th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
 
decimal
places.
 
The
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
of
 
such
 
series
 
(commonly
referred
 
to
 
as
 
“partials”)
 
in
 
a
 
commercially
 
reasonable
 
ma
 
nner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
be
 
on
 
the
 
9th
 
business
 
day
 
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
of
 
such
 
series
 
of
 
ETNs
 
will
 
be
 
rounded
 
to
 
8
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
such
 
series
 
of
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
following
 
the
 
record
 
date.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
44
In
 
the
 
case
 
of
 
a
 
reverse
 
split
 
of
 
a
 
series
 
of
 
ETNs,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
of
 
such
 
series
 
on
 
the
 
record
 
date
 
which
 
is
 
not
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
of
 
such
 
series
 
of
 
ETNs
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
of
such
 
series
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
 
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
the
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Short-Term
 
Futures
TM
 
ETNs
 
on
 
the
 
initial
 
valuation
 
date
 
was
equal
 
to
 
$27.193879,
 
and
 
the
 
closing
 
indicative
 
value
 
for
 
the
 
iPath
®
 
Series
 
B
 
S&P
 
500
®
 
VIX
 
Mid-Term
 
Futures
TM
 
ETNs
 
on
 
the
 
initial
 
valuation
date
 
was
 
equal
 
to
 
$16.855272.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption
 
of
 
the
 
relevant
 
series
 
of
 
ETNs,
 
the
 
closing
indicative
 
value
 
for
 
each
 
series
 
of
 
ETNs
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
for
 
that
 
series
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
for
 
that
 
series
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
similarly
 
be
 
adjusted
 
accordingly.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
index
 
sponsor.
 
The
 
“
daily
 
index
 
factor
”
 
for
 
a
 
series
 
of
 
ETNs
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
for
 
that
 
series
 
on
such
 
index
 
business
 
day
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
for
 
that
 
series
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
series
 
of
 
ETNs
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
maturity
 
or
 
early
 
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
series
 
of
 
ETNs
 
will
 
be
 
equal
 
to
 
(1)
 
0.89%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
for
 
that
series
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
for
 
that
 
series
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
 
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
0.89%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
A
 
“
trading
 
day
”
 
for
 
a
 
series
 
of
 
ETNs
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York,
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
CBOE
 
BZX
 
Exchange
 
and
 
(3)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
January
 
17,
 
2018
 
to
 
January
 
17,
 
2048,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
We
 
refer
 
to
 
January
 
17,
 
2018
 
as
 
the
 
“
initial
valuation
 
date
”
 
and
 
January
 
17,
 
2048
 
as
 
the
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date,
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
25,000
 
ETNs
 
of
 
the
 
same
 
series
 
for
redemption,
 
or
 
their
 
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
to
 
engage
 
in
 
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
to
 
time,
 
in
 
our
 
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
ETNs.
 
If
 
holders
 
choose
 
to
redeem
 
their
 
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
indicative
 
value
 
applicable
 
to
 
such
 
ETN
 
on
 
the
 
applicable
 
valuation
 
date
 
minus
 
the
 
redemption
 
charge.
The
 
“
redemption
 
charge
”
 
is
 
a
 
one-time
 
charge
 
imposed
 
upon
 
holder
 
redemption
 
and
 
is
 
equal
 
to
 
0.05%
times
 
the
 
closing
 
indicative
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
The
 
redemption
 
charge
 
is
 
intended
 
to
 
allow
 
us
 
to
 
recoup
 
the
 
brokerage
 
and
 
other
 
transaction
 
costs
 
that
we
 
will
 
incur
 
in
 
connection
 
with
 
redeeming
 
the
 
ETNs.
 
The
 
proceeds
 
we
 
receive
 
from
 
the
 
redemption
 
charge
 
may
 
be
 
more
 
or
 
less
 
than
 
such
costs.
We
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
 
date
 
until
 
and
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
 
closing
indicative
 
value
 
applicable
 
to
 
such
 
ETN
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
a
 
holder
 
redemption,
 
the
 
second
 
business
 
day
 
following
 
the
 
applicable
 
valuation
 
date
 
(which
 
must
 
be
 
earlier
than
 
the
 
final
 
valuation
 
date)
 
specified
 
in
 
their
 
notice
 
of
 
redemption.
 
Accordingly,
 
the
 
final
 
redemption
 
date
 
will
 
be
 
the
 
second
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
45
●
 
in
 
the
 
case
 
of
 
an
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
we
 
specify
 
in
 
an
 
issuer
 
redemption
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
redemption
 
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date
specified
 
in
 
their
 
notice
 
of
 
redemption.
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
election
 
to
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
 
be
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
In
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Market
 
Disruption
 
Event
If
 
an
 
Index
 
is
 
not
 
published
 
on
 
an
 
index
 
business
 
day,
 
or
 
if
 
a
 
market
 
disruption
 
event
 
or
 
a
 
force
 
majeure
 
event
 
(each
 
as
 
defined
 
below)
has
 
occurred
 
or
 
is
 
occurring,
 
and
 
such
 
event
 
affects
 
any
 
Index,
 
any
 
futures
 
contract
 
underlying
 
any
 
Index
 
and/or
 
the
 
ability
 
to
 
hedge
 
any
 
Index,
the
 
calculation
 
agent
 
may
 
(but
 
is
 
not
 
required
 
to)
 
make
 
determinations
 
and/or
 
adjustments
 
to
 
the
 
affected
 
Index
 
or
 
method
 
of
 
calculating
 
the
affected
 
Index.
 
The
 
determination
 
of
 
the
 
value
 
of
 
an
 
ETN
 
on
 
a
 
valuation
 
date,
 
including
 
the
 
final
 
valuation
 
date,
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
or
 
force
 
majeure
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
on
 
such
 
valuation
 
date.
 
In
 
no
 
event,
however,
 
will
 
a
 
valuation
 
date
 
for
 
any
 
series
 
of
 
ETNs
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
a
 
valuation
 
date
 
is
 
postponed
 
until
 
the
 
fifth
trading
 
day
 
following
 
the
 
scheduled
 
valuation
 
date
 
but
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
such
 
day,
 
that
 
day
 
will
 
nevertheless
be
 
the
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
will
 
make
 
a
 
good
 
faith
 
estimate
 
in
 
its
 
sole
 
discretion
 
of
 
the
 
value
 
of
 
the
 
relevant
 
Index
 
for
 
such
day.
 
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
The
 
occurrence
 
or
 
existence
 
of
 
any
 
of
 
the
 
following,
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion,
 
will
 
constitute
 
a
“
market
 
disruption
 
event
”:
●
 
the
 
index
 
sponsor
 
does
 
not
 
publish
 
the
 
level
 
of
 
an
 
Index
 
on
 
any
 
index
 
business
 
day;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
of
 
equity
 
securities
 
then
 
constituting
 
20%
 
or
 
more
 
of
 
the
 
level
 
of
 
the
S&P
 
500
®
 
Index
 
on
 
the
 
relevant
 
exchanges
 
(as
 
defined
 
below)
 
for
 
such
 
securities
 
for
 
more
 
than
 
one
 
hour
 
of
 
trading
 
during,
 
or
during
 
the
 
one
 
hour
 
period
 
preceding
 
the
 
close
 
of,
 
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
 
exchange;
●
 
a
 
breakdown
 
or
 
failure
 
in
 
the
 
price
 
and
 
trade
 
reporting
 
systems
 
of
 
any
 
relevant
 
exchange
 
for
 
the
 
S&P
 
500
®
 
Index
 
as
 
a
 
result
 
of
which
 
the
 
reported
 
trading
 
prices
 
for
 
equity
 
securities
 
then
 
constituting
 
20%
 
or
 
more
 
of
 
the
 
level
 
of
 
the
 
S&P
 
500
®
 
Index
 
are
materially
 
inaccurate
 
(i)
 
during
 
the
 
one
 
hour
 
preceding
 
the
 
close
 
of
 
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
 
exchange
 
or
(ii)
 
during
 
any
 
one
 
hour
 
period
 
of
 
trading
 
on
 
such
 
relevant
 
exchange;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
on
 
any
 
relevant
 
exchange
 
for
 
the
 
futures
 
contracts
 
on
 
the
 
VIX
 
Index
 
(or
any
 
relevant
 
successor
 
index)
 
for
 
more
 
than
 
one
 
hour
 
of
 
trading
 
during,
 
or
 
during
 
the
 
one
 
hour
 
period
 
preceding
 
the
 
close
 
of,
the
 
principal
 
trading
 
session
 
on
 
such
 
relevant
 
exchange;
●
 
a
 
breakdown
 
or
 
failure
 
in
 
the
 
price
 
and
 
trade
 
reporting
 
systems
 
of
 
the
 
relevant
 
exchange
 
for
 
the
 
futures
 
contracts
 
on
 
the
 
VIX
Index
 
(or
 
the
 
relevant
 
successor
 
index)
 
as
 
a
 
result
 
of
 
which
 
the
 
reported
 
trading
 
prices
 
for
 
options
 
on
 
the
 
S&P
 
500
®
 
Index
(“
SPX
Options
”)
 
or
 
futures
 
contracts
 
on
 
the
 
VIX
 
Index
 
(or
 
futures
 
contracts
 
on
 
the
 
relevant
 
successor
 
index)
 
during
 
the
 
one
hour
 
period
 
preceding,
 
and
 
including,
 
the
 
scheduled
 
time
 
at
 
which
 
the
 
value
 
of
 
SPX
 
Options
 
is
 
calculated
 
for
 
purposes
 
of
 
the
VIX
 
Index
 
(or
 
the
 
relevant
 
successor
 
index)
 
are
 
materially
 
inaccurate;
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
SPX
 
Options
 
or
 
futures
 
contracts
 
on
 
the
 
VIX
 
Index
 
(or
 
futures
 
contracts
 
on
the
 
relevant
 
successor
 
index);
●
 
on
 
any
 
index
 
business
 
day,
 
the
 
occurrence
 
or
 
existence
 
of
 
a
 
lack
 
of,
 
or
 
a
 
material
 
decline
 
in,
 
the
 
liquidity
 
in
 
the
 
market
 
for
trading
 
in
 
any
 
futures
 
contract
 
underlying
 
an
 
Index;
 
●
 
any
 
event
 
or
 
any
 
condition
 
(including
 
without
 
limitation
 
any
 
event
 
or
 
condition
 
that
 
occurs
 
as
 
a
 
result
 
of
 
the
 
enactment,
promulgation,
 
execution,
 
ratification,
 
interpretation
 
or
 
application
 
of,
 
or
 
any
 
change
 
in
 
or
 
amendment
 
to,
 
any
 
law,
 
rule
 
or
regulation
 
by
 
an
 
applicable
 
governmental
 
authority)
 
that
 
results
 
in
 
an
 
illiquid
 
market
 
for
 
trading
 
in
 
any
 
futures
 
contract
underlying
 
an
 
Index;
 
and
 
●
 
the
 
declaration
 
or
 
continuance
 
of
 
a
 
general
 
moratorium
 
in
 
respect
 
of
 
banking
 
activities
 
in
 
any
 
relevant
 
city.
A
 
force
 
majeure
 
event
 
includes
 
any
 
event
 
or
 
circumstance
 
(including,
 
without
 
limitation,
 
a
 
systems
 
failure,
 
natural
 
or
 
man-made
 
disaster,
act
 
of
 
God,
 
armed
 
conflict,
 
act
 
of
 
terrorism,
 
riot
 
or
 
labor
 
disruption
 
or
 
any
 
similar
 
intervening
 
circumstance)
 
that
 
the
 
calculation
 
agent
 
determines
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
46
to
 
be
 
beyond
 
the
 
calculation
 
agent’s
 
reasonable
 
control
 
and
 
to
 
materially
 
affect
 
any
 
Index,
 
any
 
futures
 
contract
 
underlying
 
any
 
Index,
 
or
 
the
calculation
 
of
 
the
 
VIX
 
Index.
For
 
purposes
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
has
 
occurred:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
will
 
not
 
constitute
 
a
 
market
 
disruption
 
event
 
if
 
it
 
results
 
from
 
an
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
exchange
 
for
 
the
 
S&P
 
500
®
 
Index
 
or
 
the
 
VIX
 
Index
 
(or
 
the
relevant
 
successor
 
index);
●
 
limitations
 
pursuant
 
to
 
the
 
rules
 
of
 
any
 
relevant
 
exchange
 
similar
 
to
 
NYSE
 
Rule
 
80B
 
(or
 
any
 
applicable
 
rule
 
or
 
regulation
enacted
 
or
 
promulgated
 
by
 
any
 
other
 
self-regulatory
 
organization
 
or
 
any
 
government
 
agency
 
of
 
scope
 
similar
 
to
 
NYSE
 
Rule
80B
 
as
 
determined
 
by
 
the
 
index
 
sponsor)
 
on
 
trading
 
during
 
significant
 
market
 
fluctuations
 
will
 
constitute
 
a
 
suspension,
absence
 
or
 
material
 
limitation
 
of
 
trading;
●
 
a
 
suspension
 
of
 
trading
 
in
 
an
 
SPX
 
Option
 
or
 
a
 
futures
 
contract
 
on
 
the
 
VIX
 
Index
 
(or
 
futures
 
contract
 
on
 
the
 
relevant
 
successor
index)
 
by
 
the
 
relevant
 
exchange
 
for
 
the
 
VIX
 
Index
 
(or
 
the
 
relevant
 
successor
 
index)
 
by
 
reason
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
such
 
relevant
 
exchange,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
such
 
options,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
such
 
options
will,
 
in
 
each
 
such
 
case,
 
constitute
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
on
 
such
 
relevant
 
exchange;
 
and
●
 
a
 
“suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading”
 
on
 
any
 
relevant
 
exchange
 
will
 
not
 
include
 
any
 
time
 
when
 
such
relevant
 
exchange
 
is
 
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
“
Relevant
 
exchange
”
 
means,
 
with
 
respect
 
to
 
the
 
S&P
 
500
®
 
Index,
 
the
 
primary
 
exchange
 
or
 
market
 
of
 
trading
 
for
 
any
 
equity
 
security
 
(or
any
 
combination
 
thereof)
 
then
 
included
 
in
 
the
 
S&P
 
500
®
 
Index
 
or,
 
with
 
respect
 
to
 
the
 
VIX
 
Index
 
or
 
any
 
relevant
 
successor
 
index,
 
the
 
primary
exchange
 
or
 
market
 
for
 
SPX
 
Options
 
or
 
futures
 
contracts
 
on
 
the
 
VIX
 
Index
 
(or
 
futures
 
contracts
 
on
 
the
 
relevant
 
successor
 
index).
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
an
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
an
 
Index
 
and
 
they
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
 
the
 
calculation
agent
 
determines
 
is
 
comparable
 
to
 
the
 
discontinued
 
Index
 
and
 
approves
 
as
 
a
 
successor
 
index,
 
then
 
the
 
calculation
 
agent
 
will
 
determine
 
the
level
 
of
 
the
 
relevant
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
 
redemption
 
by
 
reference
 
to
 
such
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
an
 
Index
 
is
 
discontinued
 
and
 
that
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
closing
 
level
 
of
 
an
 
Index
 
is
 
not
 
available
 
because
 
of
 
a
 
market
 
disruption
 
event
 
or
 
for
 
any
 
other
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
level
 
of
 
that
Index
 
is
 
required
 
to
 
be
 
determined,
 
or
 
if
 
for
 
any
 
other
 
reason
 
an
 
Index
 
is
 
not
 
available
 
to
 
us
 
or
 
the
 
calculation
 
agent
 
on
 
the
 
relevant
 
date,
 
the
calculation
 
agent
 
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
reasonably
 
possible
 
replicate
 
the
 
relevant
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
an
 
Index,
 
the
 
index
 
components
 
of
 
an
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
an
 
Index
 
has
 
been
changed
 
at
 
any
 
time
 
in
 
any
 
respect—including
 
any
 
addition,
 
deletion
 
or
 
substitution
 
and
 
any
 
reweighting
 
or
 
rebalancing
 
of
 
index
 
components,
and
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
is
 
due
 
to
 
events
 
affecting
 
one
 
or
 
more
 
of
 
the
 
index
 
components,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason—then
 
the
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
 
adjustments
 
to
 
that
 
Index
 
or
 
method
 
of
 
calculating
 
that
 
Index
 
as
 
it
 
believes
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
level
 
of
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
with
 
respect
 
to
 
the
 
level
 
of
 
an
 
Index
 
and
 
the
 
amount
 
payable
 
at
maturity
 
or
 
upon
 
early
 
redemption
 
or
 
otherwise
 
relating
 
to
 
the
 
value
 
of
 
an
 
Index
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Description
 
of
 
Barclays
 
ETN+
 
Shiller
 
CAPE
TM
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
Barclays
 
ETN+
 
Shiller
 
CAPE
TM
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
Barclays
 
ETN+
 
Shiller
 
CAPE
TM
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Shiller
Barclays
 
CAPE
TM
 
US
 
Core
 
Sector
 
Index
 
(the
 
“
Index
”).
 
The
 
Index
 
incorporates
 
the
 
CAPE
 
(Cyclically
 
Adjusted
 
Price
 
Earnings)
 
ratio
 
to
 
assess
equity
 
market
 
valuations
 
of
 
10
 
sectors
 
(the
 
“Sector
 
Universe”)
 
on
 
a
 
monthly
 
basis
 
and
 
to
 
identify
 
the
 
relatively
 
undervalued
 
sectors
 
represented
in
 
the
 
S&P
 
500
®
 
Index
 
(the
 
“
S&P
 
500
”).
 
The
 
S&P
 
500
®
 
is
 
intended
 
to
 
provide
 
an
 
indication
 
of
 
the
 
pattern
 
of
 
stock
 
price
 
movement
 
in
 
the
 
U.S.
equities
 
market.
 
The
 
Index
 
then
 
selects
 
the
 
top
 
four
 
undervalued
 
sectors
 
that
 
possess
 
relatively
 
stronger
 
price
 
momentum
 
over
 
the
 
past
 
twelve
months
 
and
 
allocates
 
an
 
equally
 
weighted
 
notional
 
long
 
position
 
in
 
the
 
total
 
return
 
version
 
of
 
the
 
S&P
 
Select
 
Sector
 
Indices
 
(each,
 
a
 
“
Sector
Index
”
 
and
 
collectively,
 
the
 
“
Sector
 
Indices
”)
 
corresponding
 
to
 
the
 
selected
 
sectors.
 
Each
 
Sector
 
Index
 
is
 
comprised
 
of
 
equity
 
securities
 
of
 
all
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
47
companies
 
included
 
in
 
the
 
S&P
 
500
®
 
that
 
are
 
classified
 
as
 
members
 
of
 
the
 
relevant
 
sectors
 
represented
 
by
 
such
 
Sector
 
Index
 
generally
according
 
to
 
the
 
Global
 
Industry
 
Classification
 
Standard
 
(“
GICS
”).
 
We
 
refer
 
herein
 
to
 
the
 
Sector
 
Indices
 
represented
 
in
 
the
 
Index
 
at
 
any
 
given
time
 
collectively
 
as
 
the
 
“
Index
 
Constituents
”.
 
The
 
Index
 
Constituents
 
are
 
calculated,
 
maintained
 
and
 
published
 
by
 
S&P
 
Dow
 
Jones
 
Indices
 
LLC
(“
S&P
 
Dow
 
Jones
 
Indices
”
 
or
 
the
 
“
sector
 
index
 
sponsor
”).
 
The
 
Index
 
was
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
intellectual
 
property
 
and
 
licensing
 
rights
 
relating
 
to
 
the
 
Index.
 
The
 
Index
 
is
 
administered
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
“
index
 
sponsor
”),
 
a
 
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
index
 
sponsor
 
has
 
appointed
 
a
 
third-party
 
index
calculation
 
agent
 
(the
 
“
index
 
calculation
 
agent
”),
 
currently
 
Bloomberg
 
Index
 
Services
 
Limited
 
(formerly
 
known
 
as
 
Barclays
 
Risk
 
Analytics
 
and
Index
 
Solutions
 
Limited),
 
to
 
calculate
 
and
 
maintain
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
 
stock
 
exchange
 
under
 
the
 
ticker
 
symbol
“CAPE.”
Inception,
 
Issuance
 
and
 
Ma
 
turity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
October
 
10,
 
2012
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
October
 
15,
 
2012
 
(the
 
“
issue
date
”),
 
and
 
will
 
be
 
due
 
on
 
October
 
12,
 
2022
 
(the
 
“
maturity
 
date
”).
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.00.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
Holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
 
receive
 
the
 
same
 
treatment
 
as
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
 
will
 
have
 
the
 
right
 
to
 
compensate
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
Our
 
current
 
intention
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
 
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
 
14
th
 
business
 
day
 
following
 
the
 
announcement
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
in
 
the
 
following
 
manner.
 
The
 
closing
indicative
 
value
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$50.00.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
closing
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
 
calendar
 
day.
The
 
“
daily
 
index
 
factor
”
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
 
day
divided
 
by
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.45%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
subtracted
 
at
 
the
 
rate
 
of
 
0.45%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
which
 
is
 
a
 
New
 
York
 
Stock
 
Exchange
 
trading
 
day
 
and
 
a
 
NASDAQ
 
Exchange
 
trading
 
day.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
48
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
 
October
 
10,
 
2012
 
to
 
October
 
4,
 
2022
 
inclusive
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event)
 
or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
 
succeeding
 
trading
 
day,
 
not
 
to
 
exceed
 
five
 
business
 
days.
 
In
 
that
 
event,
 
the
valuation
 
date
 
will
 
be
 
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
is
 
not
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
any
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
We
 
refer
 
to
 
October
 
10,
 
2012
 
as
the
 
“
initial
 
valuation
 
date
”
 
and
 
October
 
4,
 
2022
 
as
 
the
 
“
final
 
valuation
 
date
”.
A
 
“
trading
 
day
”
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City,
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
NYSE
 
Arca
 
and
 
(3)
trading
 
is
 
generally
 
conducted
 
on
 
the
 
markets
 
on
 
which
 
the
 
equity
 
securities
 
underlying
 
the
 
Index
 
Constituents
 
are
 
traded,
 
in
 
each
 
case
 
as
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
fifth
 
business
 
day
 
before
 
this
day
 
does
 
not
 
qualify
 
as
 
a
 
valuation
 
date,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date.
 
The
 
calculation
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date,
 
provided,
 
however,
 
that
 
the
 
final
 
valuation
 
date
 
will
 
in
 
no
 
event
 
be
 
postponed
 
by
 
more
 
than
 
five
trading
 
days.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
neither
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
New
 
York
 
City
 
or
 
London,
 
as
 
applicable,
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
25,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
trading
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
a
 
valuation
 
date
 
(other
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
of
 
the
 
ETNs
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption,
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
trading
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
fifth
 
trading
 
day
 
prior
 
to
 
the
 
redemption
 
date
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
m
 
arket
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
 
notice,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
49
Postponement
 
of
 
Valuation
 
Dates
Valuation
 
dates
 
with
 
respect
 
to
 
the
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
level
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
 
Any
 
of
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
the
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
in
 
their
 
respective
 
primary
 
markets,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
any
 
event
 
that
 
materially
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
market
 
participants
 
to
(1)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
their
 
respective
 
primary
 
markets,
 
or
 
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
to
 
the
 
Index
 
on
 
their
 
respective
 
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
index
 
constituents
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
 
or
●
 
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
 
fails
 
to
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session.
For
 
purposes
 
of
 
the
 
ETNs,
 
“
scheduled
 
trading
 
day
”
 
as
 
used
 
therein
 
shall
 
mean
 
trading
 
day
 
as
 
defined
 
above
 
under
 
“Payment
 
at
Maturity”.
 
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
index
 
constituent
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
 
results
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
or
 
any
 
index
 
constituent,
 
if
 
available,
in
 
the
 
primary
 
market
 
for
 
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
such
 
index
 
component
 
in
 
its
 
primary
 
market
 
or
 
in
 
futures
 
or
 
options
contracts
 
related
 
to
 
the
 
Index
 
or
 
that
 
index
 
constituent
 
in
 
the
 
primary
 
market
 
for
 
those
 
contracts.
For
 
the
 
purpose
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
with
 
respect
 
to
 
the
 
Index
 
exists
 
at
 
any
 
time,
 
if
 
trading
 
in
 
an
 
index
constituent
 
is
 
materially
 
suspended
 
or
 
limited
 
at
 
that
 
time,
 
then
 
the
 
relevant
 
percentage
 
contribution
 
of
 
that
 
index
 
constituent
 
to
 
the
 
level
 
of
 
the
Index
 
shall
 
be
 
based
 
on
 
a
 
comparison
 
of
 
(x)
 
the
 
portion
 
of
 
the
 
level
 
of
 
the
 
Index
 
attributable
 
to
 
that
 
index
 
constituent
 
relative
 
to
 
(y)
 
the
 
overall
level
 
of
 
the
 
Index,
 
in
 
each
 
case
 
immediately
 
before
 
that
 
suspension
 
or
 
limitation.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
 
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index,
 
and
 
Barclays
 
Bank
 
PLC
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
the
 
calculation
 
agent
 
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
redemption
 
by
 
reference
 
to
 
such
 
successor
 
index.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
50
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
the
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
 
agent
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
 
possible
replicate
 
the
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
 
Description
 
of
 
Barclays
 
ETN+
 
Select
 
MLP
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
Barclays
 
ETN+
 
Select
 
MLP
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
Barclays
 
ETN+
 
Select
 
MLP
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
CIBC
 
Atlas
Select
 
MLP
 
Index
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
designed
 
to
 
provide
 
exposure
 
to
 
a
 
basket
 
of
 
midstream
 
U.S.
 
and
 
Canadian
 
master
 
limited
partnerships,
 
limited
 
liability
 
companies
 
and
 
corporations
 
(collectively,
 
the
 
“
Index
 
Constituents
”)
 
that
 
trade
 
on
 
major
 
U.S.
 
exchanges,
 
are
classified
 
in
 
the
 
GICS
®
 
Energy
 
Sector
 
or
 
GICS
®
 
Gas
 
Utilities
 
Industry
 
according
 
to
 
the
 
Global
 
Industry
 
Classification
 
Standard
®
 
(“
GICS
”)
 
and
meet
 
certain
 
eligibility
 
criteria.
 
The
 
Index
 
Constituents
 
are
 
selected
 
for
 
inclusion
 
in
 
the
 
Index
 
using
 
the
 
CIBC
 
Select
 
Master
 
Limited
 
Partnership
Strategy
 
(the
“Strategy
”)
 
developed
 
by
 
CIBC
 
Private
 
Wealth
 
Advisers,
 
Inc.
 
(formerly,
 
“Stein
 
Roe
 
Investment
 
Counsel
 
Inc.
 
d/b/a
 
CIBC
 
Private
Wealth
 
Management”)
 
(the
 
“
Index
 
Selection
 
Agent
”).
 
The
 
Strategy
 
dynamically
 
selects
 
a
 
basket
 
of
 
up
 
to
 
100
 
Index
 
Constituents
 
based
 
on
certain
 
eligibility
 
criteria
 
including
 
their
 
long-term
 
credit
 
rating,
 
the
 
portion
 
of
 
their
 
cash
 
flow
 
driven
 
by
 
mid-stream
 
operations
 
and
 
their
 
size
 
as
measured
 
by
 
free-float
 
market
 
capitalization
 
and
 
average
 
daily
 
trading
 
value.
 
The
 
Index
 
Selection
 
Agent
 
provides
 
the
 
Index
 
Constituents
selected
 
by
 
the
 
Strategy
 
to
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
 
licensing
 
rights
 
relating
 
to
 
the
 
Index.
 
The
Index
 
is
 
administered
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
 
“
Index
 
Sponsor
”),
 
a
 
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
Barclays
 
Bank
 
PLC.
 
Prior
 
to
 
June
 
25,
 
2018,
 
the
 
Index
 
was
 
called
 
the
 
Atlantic
 
Trust
 
Select
 
MLP
 
Index.
 
The
 
Index
 
Sponsor
 
has
 
appointed
 
a
 
third-
party
 
index
 
calculation
 
agent
 
(the
 
“
Index
 
Calculation
 
Agent
”),
 
currently
 
Bloomberg
 
Index
 
Services
 
Limited
 
(formerly
 
known
 
as
 
Barclays
 
Risk
Analytics
 
and
 
Index
 
Solutions
 
Limited),
 
to
 
calculate
 
and
 
maintain
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
BZX
”)
under
 
the
 
ticker
 
symbol
 
“ATMP.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
March
 
12,
 
2013
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
March
 
15,
 
2013
 
(the
 
“
issue
 
date
”)
and
 
will
 
be
 
due
 
on
 
March
 
18,
 
2043
 
(the
 
“
maturity
 
date
”).
Coupon
If
 
holders
 
or
 
we
 
have
 
not
 
previously
 
redeemed
 
the
 
ETNs,
 
for
 
each
 
ETN
 
that
 
held
 
on
 
the
 
applicable
 
coupon
 
record
 
date,
 
holders
 
will
receive
 
an
 
interest
 
payment
 
in
 
cash
 
per
 
ETN
 
on
 
each
 
coupon
 
payment
 
date
 
in
 
U.S.
 
dollars
 
equal
 
to
 
the
 
coupon
 
amount,
 
if
 
any,
 
on
 
the
 
applicable
coupon
 
valuation
 
date.
The
 
“
coupon
 
amount
”
 
on
 
any
 
coupon
 
valuation
 
date
 
will
 
equal
 
the
 
greater
 
of
 
(i)
 
zero
 
and
 
(ii)(1)
 
the
 
accrued
 
dividend
 
on
 
such
 
coupon
valuation
 
date
minus
 
(2)
 
the
 
accrued
 
investor
 
fee
 
on
 
such
 
coupon
 
valuation
 
date.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$25.00.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“announcement
 
date”,
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
ninth
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value,
 
VWAP
 
factor,
 
accrued
 
dividend,
 
and
 
accrued
 
investor
 
fee
 
will
 
be
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
ninth
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value,
 
VWAP
 
factor,
 
accrued
 
dividend,
 
and
 
accrued
 
investor
 
fee
 
will
 
be
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
51
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
 
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
per
 
ETN
 
at
 
maturity
 
in
 
U.S.
 
dollars
 
equal
 
to
 
the
 
closing
 
indicative
value
 
on
 
the
 
applicable
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
until
 
the
 
final
 
valuation
 
date
 
or
 
applicable
 
valuation
 
date
 
(in
 
the
case
 
of
 
early
 
redemption)
 
will
 
equal
 
(1)
 
the
 
ETN
 
current
 
value
 
on
 
such
 
calendar
 
day
plus
(2)
 
the
 
accrued
 
dividend
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
accrued
 
investor
 
fee
 
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
accordingly.
 
The
 
“
ETN
 
current
 
value
”
 
for
 
each
 
ETN
 
on
 
any
 
given
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
ETN
 
current
 
value
 
on
 
the
 
initial
valuation
 
date
 
was
 
$25.00.
 
On
 
any
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
 
redemption,
 
the
 
ETN
 
current
 
value
 
will
 
equal
 
(1)
 
the
 
closing
VWAP
 
level
 
on
 
that
 
day
 
(or
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day,
 
if
 
such
 
calendar
 
day
 
is
 
not
 
an
 
index
 
business
 
day)
divided
 
by
 
(2)
the
 
VWAP
 
factor.
The
 
“
initial
 
VWAP
 
level
”
 
is
 
122.48,
 
which
 
is
 
equal
 
to
 
the
 
VWAP
 
level
 
at
 
the
 
close
 
of
 
trading
 
on
 
the
 
initial
 
valuation
 
date,
 
as
 
determined
by
 
the
 
VWAP
 
calculation
 
agent.
The
 
“
closing
 
VWAP
 
level
”
 
is
 
equal
 
to
 
(i)
 
the
 
VWAP
 
level
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
any
 
index
 
business
 
day,
 
for
 
purposes
 
of
 
holder
redemption,
 
or
 
(ii)
 
the
 
arithmetic
 
mean
 
of
 
the
 
VWAP
 
levels
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
each
 
index
 
business
 
day
 
during
 
the
 
final
 
measurement
period
 
or
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
for
 
purposes
 
of
 
the
 
payment
 
at
 
maturity
 
or
 
upon
 
issuer
 
redemption,
 
respectively,
 
in
 
each
case
 
as
 
determined
 
by
 
the
 
VWAP
 
calculation
 
agent.
“
VWAP
 
level
”
 
means,
 
on
 
any
 
index
 
business
 
day,
 
as
 
calculated
 
by
 
the
 
VWAP
 
calculation
 
agent,
 
the
 
sum
 
of
 
the
 
products
 
of
 
(i)
 
the
VWAP
 
of
 
each
 
Index
 
Constituent
 
as
 
of
 
such
 
date
 
and
 
(ii)
 
the
 
number
 
of
 
units
 
of
 
that
 
Index
 
Constituent
 
as
 
of
 
such
 
date
 
published
 
by
 
the
 
Index
Sponsor.
 
The
 
VWAP
 
level
 
is
 
reported
 
on
 
Bloomberg
 
page
 
“BXVWATMP
 
<Index>“.
“
VWAP
”
 
means,
 
with
 
respect
 
to
 
each
 
Index
 
Constituent,
 
on
 
any
 
index
 
business
 
day,
 
the
 
consolidated
 
volume-weighted
 
average
 
price
 
of
one
 
unit
 
of
 
such
 
Index
 
Constituent
 
as
 
determined
 
by
 
the
 
VWAP
 
calculation
 
agent
 
based
 
on
 
all
 
trades
 
in
 
such
 
Index
 
Constituent
 
reported
 
in
 
the
consolidated
 
tape
 
system
 
during
 
the
 
regular
 
trading
 
session.
The
 
“
VWAP
 
factor
”
 
is
 
4.89920,
 
which
 
is
 
equal
 
to
 
(1)
 
the
 
initial
 
VWAP
 
level
divided
 
by
 
(2)
 
the
 
principal
 
amount
 
per
 
ETN.
 
If
 
the
 
ETNs
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
VWAP
 
factor
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
accrued
 
dividend
”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
accrued
 
dividend
 
on
 
the
 
initial
 
valuation
date
 
was
 
zero.
 
The
 
accrued
 
dividend
 
on
 
any
 
subsequent
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
accrued
 
dividend
 
as
 
of
 
the
 
immediately
 
preceding
calendar
 
day
plus
 
(2)
 
the
 
dollar
 
dividend
 
value
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
on
 
such
 
calendar
 
day.
 
If
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
accrued
 
dividend
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
dollar
 
dividend
 
value
”
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
index
 
dividend
 
on
 
such
 
calendar
 
day
divided
 
by
 
(2)
 
the
 
VWAP
 
factor.
The
 
“
index
 
dividend
”
 
on
 
any
 
calendar
 
day
 
represents
 
the
 
aggregate
 
cash
 
value
 
of
 
distributions,
 
net
 
of
 
applicable
 
dividend
 
withholding
tax,
 
that
 
a
 
hypothetical
 
person
 
holding
 
Index
 
Constituents
 
in
 
proportion
 
to
 
the
 
weights
 
of
 
the
 
Index
 
Constituents
 
would
 
have
 
been
 
entitled
 
to
receive
 
with
 
respect
 
to
 
any
 
Index
 
Constituent
 
for
 
those
 
cash
 
distributions
 
whose
 
“ex-dividend
 
date”
 
occurs
 
on
 
such
 
calendar
 
day.
 
The
 
index
dividend
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
the
 
sum
 
of
 
the
 
products
 
of
 
(i)
 
the
 
cash
 
value
 
of
 
distributions,
 
net
 
of
 
applicable
 
dividend
 
withholding
 
tax,
that
 
a
 
hypothetical
 
holder
 
of
 
one
 
share
 
or
 
unit
 
of
 
each
 
Index
 
Constituent
 
on
 
such
 
calendar
 
day
 
would
 
have
 
been
 
entitled
 
to
 
receive
 
in
 
respect
 
of
that
 
Index
 
Constituent
 
for
 
those
 
cash
 
distributions
 
whose
 
“ex-dividend
 
date”
 
occurs
 
on
 
such
 
calendar
 
day
 
and
 
(ii)
 
the
 
number
 
of
 
units
 
of
 
that
Index
 
Constituent
 
included
 
in
 
the
 
Index
 
as
 
of
 
such
 
date.
 
A
 
dividend
 
withholding
 
tax
 
is
 
a
 
tax
 
applied
 
to
 
dividends
 
or
 
distributions
 
that
 
would
 
be
received
 
by
 
a
 
holder
 
of
 
an
 
Index
 
Constituent.
 
The
 
applicable
 
rate
 
of
 
the
 
dividend
 
withholding
 
tax
 
for
 
purposes
 
of
 
calculating
 
the
 
index
 
dividend
 
at
any
 
given
 
time
 
is
 
determined
 
by
 
the
 
Index
 
Sponsor
 
in
 
its
 
discretion,
 
based
 
on
 
the
 
rate
 
generally
 
applicable
 
in
 
respect
 
of
 
an
 
Index
 
Constituent
given
 
its
 
jurisdiction
 
of
 
organization.
 
As
 
of
 
the
 
date
 
of
 
this
 
Exhibit
 
[2.2],
 
the
 
applicable
 
dividend
 
withholding
 
tax
 
would
 
reduce
 
the
 
cash
 
value
 
of
distributions
 
in
 
respect
 
of
 
any
 
Index
 
Constituent
 
organized
 
under
 
the
 
laws
 
of
 
Canada
 
or
 
any
 
province
 
or
 
territory
 
of
 
Canada
 
by
 
15%
 
for
 
purposes
of
 
calculating
 
the
 
index
 
dividend.
On
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
coupon
 
ex-date,
 
the
 
“
coupon
 
adjustment
 
dividend
 
amount
”
 
will
 
equal
 
zero.
 
On
 
any
 
calendar
 
day
that
 
is
 
a
 
coupon
 
ex-date,
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
will
 
equal
 
the
 
accrued
 
dividend
 
on
 
the
 
coupon
 
valuation
 
date
 
immediately
preceding
 
such
 
coupon
 
ex-date.
 
The
 
effect
 
of
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
as
 
of
 
each
 
coupon
 
ex-date
 
is
 
to
 
reduce
 
the
 
accrued
dividend
 
(and,
 
therefore,
 
the
 
closing
 
indicative
 
value)
 
by
 
the
 
amount
 
of
 
the
 
index
 
dividends
 
reflected
 
in
 
any
 
coupon
 
amount
 
that
 
holders
 
will
 
be
entitled
 
to
 
receive
 
on
 
the
 
immediately
 
following
 
coupon
 
payment
 
date.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
52
The
 
“
accrued
 
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
any
 
calendar
 
day
 
will
 
be
 
calculated
 
as
 
follows:
 
The
 
accrued
 
investor
 
fee
 
on
 
the
 
initial
valuation
 
date
 
was
 
zero.
 
The
 
accrued
 
dividend
 
on
 
any
 
calendar
 
day
 
will
 
equal
 
(1)
 
the
 
accrued
 
investor
 
fee
 
as
 
of
 
the
 
immediately
 
preceding
calendar
 
day
plus
 
(2)
 
the
 
daily
 
fee
 
value
 
on
 
such
 
calendar
 
day
minus
(3)
 
the
 
coupon
 
adjustment
 
fee
 
amount
 
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
accrued
 
investor
 
fee
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
fee
 
value
”
 
on
 
any
 
calendar
 
day
 
is
 
equal
 
to
 
the
 
product
 
of
 
(1)
 
the
 
closing
 
VWAP
 
level
 
on
 
such
 
calendar
 
day
divided
 
by
 
the
VWAP
 
factor
 
and
 
(2)
 
0.95%
divided
 
by
 
365.
 
Because
 
the
 
daily
 
fee
 
value
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
basis,
 
the
 
net
 
effect
 
of
 
the
 
fee
 
accumulates
 
over
 
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.95%
 
per
 
year.
On
 
any
 
calendar
 
day
 
that
 
is
 
not
 
a
 
coupon
 
ex-date,
 
the
 
“
coupon
 
adjustment
 
fee
 
amount
”
 
will
 
equal
 
zero.
 
On
 
any
 
calendar
 
day
 
that
 
is
 
a
coupon
 
ex-date,
 
the
 
coupon
 
adjustment
 
fee
 
amount
 
will
 
equal
 
(i)
 
the
 
coupon
 
adjustment
 
dividend
 
amount
 
on
 
such
 
coupon
 
ex-date,
 
if
 
the
 
coupon
amount
 
in
 
respect
 
of
 
such
 
coupon-ex
 
date
 
is
 
zero
 
or
 
(ii)
 
the
 
accrued
 
investor
 
fee
 
on
 
the
 
coupon
 
valuation
 
date
 
immediately
 
preceding
 
such
coupon
 
ex-date,
 
if
 
the
 
coupon
 
amount
 
in
 
respect
 
of
 
such
 
coupon-ex
 
date
 
is
 
greater
 
than
 
zero.
 
The
 
effect
 
of
 
the
 
coupon
 
adjustment
 
fee
 
amount
as
 
of
 
each
 
coupon
 
ex-date
 
is
 
to
 
reduce
 
the
 
accrued
 
investor
 
fee
 
by
 
the
 
portion
 
of
 
the
 
accrued
 
investor
 
fee
 
that
 
was
 
offset
 
against
 
accrued
dividends
 
in
 
calculating
 
any
 
coupon
 
amount
 
that
 
holders
 
will
 
be
 
entitled
 
to
 
receive
 
on
 
the
 
immediately
 
following
 
coupon
 
payment
 
date.
 
If
 
the
coupon
 
amount
 
in
 
respect
 
of
 
any
 
coupon
 
valuation
 
date
 
is
 
zero,
 
which
 
means
 
that
 
the
 
accrued
 
investor
 
fee
 
as
 
of
 
that
 
coupon
 
valuation
 
date
 
is
equal
 
to
 
or
 
greater
 
than
 
the
 
accrued
 
dividend
 
as
 
of
 
that
 
coupon
 
valuation
 
date,
 
the
 
accrued
 
investor
 
fee
 
will
 
be
 
reduced
 
by
 
the
 
accrued
 
dividend
and
 
the
 
remaining
 
accrued
 
investor
 
fee
 
will
 
effectively
 
be
 
carried
 
forward
 
to
 
be
 
offset
 
against
 
subsequent
 
accrued
 
dividends.
The
 
“
redemption
 
charge
”
 
is
 
a
 
one-time
 
charge
 
imposed
 
upon
 
holder
 
redemption
 
and
 
is
 
equal
 
to
 
0.125%
times
 
the
 
closing
 
indicative
value
 
on
 
the
 
applicable
 
valuation
 
date.
 
The
 
redemption
 
charge
 
is
 
intended
 
to
 
allow
 
us
 
to
 
recoup
 
the
 
brokerage
 
and
 
other
 
transaction
 
costs
 
that
we
 
will
 
incur
 
in
 
connection
 
with
 
redeeming
 
the
 
ETNs.
 
The
 
proceeds
 
we
 
receive
 
from
 
the
 
redemption
 
charge
 
may
 
be
 
more
 
or
 
less
 
than
 
such
costs.
An
 
“
index
 
business
 
day
”
 
means
 
any
 
day
 
which
 
is
 
a
 
New
 
York
 
Stock
 
Exchange
 
business
 
day.
Valuation
 
Date
 
and
 
Dates
 
Relating
 
to
 
Coupon
 
Payments
A
 
“
valuation
 
date
”
 
is
 
each
 
business
 
day
 
from
 
March
 
12,
 
2013
 
to
 
March
 
5,
 
2043
 
inclusive
 
(or,
 
if
 
such
 
date
 
is
 
not
 
a
 
trading
 
day,
 
the
 
next
succeeding
 
trading
 
day),
 
unless
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
that
 
day
 
in
 
respect
 
of
the
 
Index.
 
In
 
that
 
event,
 
the
 
valuation
 
date
 
will
 
be
 
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
 
no
 
event,
 
however,
 
will
 
any
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
business
days.
 
We
 
refer
 
to
 
March
 
12,
 
2013
 
as
 
the
 
“
initial
 
valuation
 
date
”
 
and
 
March
 
5,
 
2043
 
as
 
the
 
“
final
 
valuation
 
date
”.
A
 
“
trading
 
day
”
 
is
 
a
 
day
 
on
 
which
 
(1)
 
it
 
is
 
a
 
business
 
day
 
in
 
New
 
York
 
City
 
and
 
(2)
 
trading
 
is
 
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX,
 
in
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
coupon
 
valuation
 
date
”
 
means
 
the
 
15th
 
of
 
February,
 
May,
 
August
 
and
 
November
 
of
 
each
 
calendar
 
year
 
during
 
the
 
term
 
of
 
the
 
ETNs
or
 
if
 
such
 
date
 
is
 
not
 
an
 
index
 
business
 
day,
 
then
 
the
 
first
 
index
 
business
 
day
 
following
 
such
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event).
 
The
 
first
 
coupon
 
valuation
 
date
 
was
 
on
 
May
 
15,
 
2013.
A
 
“
coupon
 
ex-date
”
 
means
 
the
 
eighth
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
 
market
disruption
 
event).
 
Effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
coupon
 
ex-date
 
changed
 
from
 
the
 
seventh
 
index
 
business
 
day
 
to
 
the
 
eighth
 
index
business
 
day.
 
The
 
first
 
coupon
 
ex-date
 
was
 
on
 
May
 
24,
 
2013.
A
 
“
coupon
 
record
 
date
”
 
means
 
the
 
ninth
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event).
 
The
 
first
 
coupon
 
record
 
date
 
was
 
on
 
May
 
29,
 
2013.
A
 
“
coupon
 
payment
 
date
”
 
means
 
the
 
15
th
 
index
 
business
 
day
 
following
 
each
 
coupon
 
valuation
 
date
 
(subject
 
to
 
the
 
occurrence
 
of
 
a
market
 
disruption
 
event).
 
The
 
first
 
coupon
 
payment
 
date
 
was
 
on
 
June
 
6,
 
2013.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
last
 
day
 
of
 
the
 
final
measurement
 
period
 
does
 
not
 
qualify
 
as
 
a
 
business
 
day,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
last
 
day
 
of
 
the
 
final
measurement
 
period.
 
The
 
calculation
 
agent
 
may
 
postpone
 
the
 
final
 
valuation
 
date
 
—
 
and
 
therefore
 
the
 
maturity
 
date
 
—
 
if
 
a
 
market
 
disruption
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
 
otherwise
 
be
 
the
 
final
 
valuation
 
date.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
or
 
London,
 
as
 
applicable,
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
50,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date
 
minus
 
the
 
redemption
 
charge.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
53
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
trading
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date
 
(which
 
will
 
reflect
 
the
 
applicable
 
closing
 
VWAP
 
level
 
calculated
 
by
 
reference
 
to
 
the
arithmetic
 
mean
 
of
 
the
 
VWAP
 
levels
 
as
 
of
 
the
 
close
 
of
 
trading
 
on
 
each
 
of
 
the
 
five
 
index
 
business
 
days
 
from
 
and
 
including
 
such
 
valuation
 
date).
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
any
 
valuation
 
date
 
(other
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
of
 
the
 
ETNs
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
after
 
the
 
last
 
day
 
of
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
which
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
20
th
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption,
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
trading
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
20
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
specified
 
by
 
us
 
in
 
such
 
notice.
 
In
 
this
 
scenario,
the
 
final
 
valuation
 
date
 
will
 
be
 
deemed
 
to
 
be
 
the
 
date
 
specified
 
by
 
us
 
in
 
the
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
 
disruption
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
after
 
the
 
last
 
day
 
of
 
the
 
issuer
 
redemption
 
measurement
 
period,
 
but
 
in
 
no
 
event
prior
 
to
 
the
 
20th
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
we
 
will
 
pay
 
the
 
default
 
amount
 
in
 
respect
 
of
the
 
principal
 
of
 
the
 
ETNs
 
at
 
maturity.
 
We
 
describe
 
the
 
default
 
amount
 
below
 
under
 
“General
 
Terms
 
of
 
the
 
ETNs—Default
 
Amount”.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index,
 
and
 
Barclays
 
Bank
 
PLC
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
the
 
calculation
 
agent
 
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
redemption
 
by
 
reference
 
to
 
such
 
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
the
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
 
agent
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
 
possible
replicate
 
the
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Postponement
 
of
 
Valuation
 
Dates
Valuation
 
dates
 
with
 
respect
 
to
 
the
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
level
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
 
Any
 
of
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
the
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
in
 
their
 
respective
 
primary
 
markets,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
54
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
any
 
event
 
that
 
materially
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
market
 
participants
 
to
(1)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
their
 
respective
 
primary
 
markets,
 
or
 
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
to
 
the
 
Index
 
on
 
their
 
respective
 
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
index
 
constituents
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
 
or
●
 
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
 
fails
 
to
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session.
For
 
purposes
 
of
 
the
 
ETNs,
 
“
scheduled
 
trading
 
day
”
 
as
 
used
 
therein
 
shall
 
mean
 
trading
 
day
 
as
 
defined
 
above
 
under
 
“Payment
 
at
Maturity”.
 
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
index
 
constituent
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
 
results
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
or
 
any
 
index
 
constituent,
 
if
 
available,
in
 
the
 
primary
 
market
 
for
 
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
such
 
index
 
component
 
in
 
its
 
primary
 
market
 
or
 
in
 
futures
 
or
 
options
contracts
 
related
 
to
 
the
 
Index
 
or
 
that
 
index
 
constituent
 
in
 
the
 
primary
 
market
 
for
 
those
 
contracts.
For
 
the
 
purpose
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
with
 
respect
 
to
 
the
 
Index
 
exists
 
at
 
any
 
time,
 
if
 
trading
 
in
 
an
 
index
constituent
 
is
 
materially
 
suspended
 
or
 
limited
 
at
 
that
 
time,
 
then
 
the
 
relevant
 
percentage
 
contribution
 
of
 
that
 
index
 
constituent
 
to
 
the
 
level
 
of
 
the
Index
 
shall
 
be
 
based
 
on
 
a
 
comparison
 
of
 
(x)
 
the
 
portion
 
of
 
the
 
level
 
of
 
the
 
Index
 
attributable
 
to
 
that
 
index
 
constituent
 
relative
 
to
 
(y)
 
the
 
overall
level
 
of
 
the
 
Index,
 
in
 
each
 
case
 
immediately
 
before
 
that
 
suspension
 
or
 
limitation.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
 
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
Description
 
of
 
Barclays
 
Women
 
in
 
Leadership
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
Barclays
 
Women
 
in
 
Leadership
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
Barclays
 
Women
 
in
 
Leadership
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
Women
 
in
 
Leadership
 
Total
 
Return
 
USD
 
Index
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
designed
 
to
 
provide
 
investors
 
with
 
exposure
 
to
 
U.S.-based
 
companies
that
 
satisfy
 
one
 
or
 
both
 
of
 
the
 
gender
 
diversity
 
criteria
 
of
 
having
 
a
 
female
 
chief
 
executive
 
officer
 
or
 
having
 
at
 
least
 
25%
 
female
 
members
 
on
 
the
board
 
of
 
directors.
 
The
 
universe
 
of
 
stocks
 
from
 
which
 
the
 
Index
 
selects
 
eligible
 
stocks
 
for
 
inclusion
 
consists
 
of
 
stocks
 
of
 
all
 
U.S.-based
 
issuers
listed
 
on
 
New
 
York
 
Stock
 
Exchange
 
or
 
The
 
Nasdaq
 
Stock
 
Market.
 
The
 
stocks
 
included
 
in
 
the
 
Index
 
also
 
have
 
to
 
satisfy
 
certain
 
market
capitalization,
 
liquidity
 
and
 
other
 
selection
 
criteria
 
and
 
concentration
 
limits.
 
In
 
some
 
circumstances,
 
the
 
Index
 
may
 
also
 
track,
 
in
 
part,
 
the
performance
 
of
 
a
 
cash
 
index.
 
See
 
“The
 
Index”
 
below
 
for
 
more
 
information.
 
The
 
Index
 
was
 
created
 
by
 
Barclays
 
Bank
 
PLC,
 
which
 
is
 
the
 
owner
 
of
the
 
intellectual
 
property
 
and
 
licensing
 
rights
 
relating
 
to
 
the
 
Index.
 
The
 
Index
 
is
 
administered
 
and
 
published
 
by
 
Barclays
 
Index
 
Administration
 
(the
“
index
 
sponsor
”),
 
a
 
distinct
 
function
 
within
 
the
 
Investment
 
Bank
 
of
 
Barclays
 
Bank
 
PLC.
 
The
 
index
 
sponsor
 
has
 
appointed
 
a
 
third-party
 
index
calculation
 
agent
 
(the
 
“
index
 
calculation
 
agent
”),
 
currently
 
Bloomberg
 
Index
 
Services
 
Limited
 
(formerly
 
known
 
as
 
Barclays
 
Risk
 
Analytics
 
and
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
55
Index
 
Solutions
 
Limited),
 
to
 
calculate
 
and
 
maintain
 
the
 
Index.
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
symbol
 
“WIL.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
July
 
9,
 
2014
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
July
 
14,
 
2014
(the
 
“
inception
 
date
”)
and
 
will
 
be
 
due
 
on
 
July
 
15,
 
2024
(the
 
“
inception
 
date
”).
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
any
 
splits
 
or
 
reverse
 
splits,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
is
 
the
 
New
 
York
 
Stock
 
Exchange
 
and
 
the
 
NASDAQ
 
Stock
 
Market
 
are
 
both
 
open
 
for
 
trading.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.45%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
accumulates
 
over
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.45%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
 
Because
 
the
 
net
 
effect
 
of
 
the
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
July
 
9,
 
2014
to
 
July
 
8,
 
2024,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
 
occurrence
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
56
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
9,
 
2014.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
July
 
8,
 
2024.
Postponement
 
of
 
Valuation
 
Dates
Valuation
 
dates
 
with
 
respect
 
to
 
the
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
level
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
 
Any
 
of
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
the
 
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
in
 
their
 
respective
 
primary
 
markets,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
a
 
suspension,
 
absence
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
any
 
event
 
that
 
materially
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
market
 
participants
 
to
(1)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
their
 
respective
 
primary
 
markets,
 
or
 
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
to
 
the
 
Index
 
on
 
their
 
respective
 
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
Index
 
Constituents
 
constituting
 
20%
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
Index
 
Constituents
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
 
or
●
 
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
Index
 
Constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
 
fails
 
to
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session.
For
 
purposes
 
of
 
the
 
ETNs,
 
“
scheduled
 
trading
 
day
”
 
as
 
used
 
therein
 
shall
 
mean
 
trading
 
day.
 
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
Index
 
Constituent
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
 
results
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
or
 
any
 
Index
 
Constituent,
 
if
 
available,
in
 
the
 
primary
 
market
 
for
 
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
the
 
Index
 
Constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
the
 
Index
 
Constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
such
 
index
 
component
 
in
 
its
 
primary
 
market
 
or
 
in
 
futures
 
or
 
options
contracts
 
related
 
to
 
the
 
Index
 
or
 
that
 
Index
 
Constituent
 
in
 
the
 
primary
 
market
 
for
 
those
 
contracts.
For
 
the
 
purpose
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
with
 
respect
 
to
 
the
 
Index
 
exists
 
at
 
any
 
time,
 
if
 
trading
 
in
 
an
 
Index
Constituent
 
is
 
materially
 
suspended
 
or
 
limited
 
at
 
that
 
time,
 
then
 
the
 
relevant
 
percentage
 
contribution
 
of
 
that
 
Index
 
Constituent
 
to
 
the
 
level
 
of
 
the
Index
 
shall
 
be
 
based
 
on
 
a
 
comparison
 
of
 
(x)
 
the
 
portion
 
of
 
the
 
level
 
of
 
the
 
Index
 
attributable
 
to
 
that
 
Index
 
Constituent
 
relative
 
to
 
(y)
 
the
 
overall
level
 
of
 
the
 
Index,
 
in
 
each
 
case
 
immediately
 
before
 
that
 
suspension
 
or
 
limitation.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
 
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
57
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
final
 
valuation
 
date
 
is
postponed,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
The
 
calculation
 
agent
 
may
 
postpone
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
25,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
ETNs.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
each
 
valuation
 
date
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption,
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
In
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
Barclays
 
Bank
 
PLC
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
the
 
calculation
 
agent
 
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
redemption
 
by
 
reference
 
to
 
such
 
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
the
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
 
agent
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
 
possible
replicate
 
the
 
Index.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
58
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
adjustments
 
to
 
the
 
Index
 
or
 
method
 
of
 
calculating
 
the
 
Index
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
value
 
of
 
the
 
Index
 
used
 
to
determine
 
the
 
amount
 
payable
 
on
 
the
 
maturity
 
date
 
or
 
upon
 
early
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
 
Description
 
of
 
Barclays
 
Return
 
on
 
Disability
 
Exchange-Traded
 
Note
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
Barclays
 
Return
 
on
 
Disability
 
Exchange-Traded
 
Note”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
Barclays
 
Return
 
on
 
Disability
 
Exchange-Traded
 
Note
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Return
 
on
Disability
 
US
 
LargeCap
 
ETN
 
Total
 
Return
 
USD
 
Index
 
(the
 
“
RoD
Index
”
 
or
 
the
 
“
Index
”).
 
The
 
Index
 
notionally
 
tracks
 
the
 
returns
 
that
 
may
 
be
available
 
from
 
investing
 
in
 
a
 
Basket
 
comprised
 
of
 
stocks
 
of
 
up
 
to
 
100
 
companies
 
that,
 
according
 
to
 
the
 
RoD
 
Ranking,
 
are
 
considered
 
the
 
top
ranked
 
firms
 
in
 
the
 
disability
 
market
 
with
 
respect
 
to
 
creation
 
of
 
shareholder
 
value
 
and
 
which
 
meet
 
other
 
eligibility
 
requirements.
 
The
 
phrase
“disability
 
market”
 
refers
 
to
 
the
 
1.3
 
billion
 
people
 
globally
 
who
 
face
 
challenges
 
across
 
three
 
general
 
areas
 
—
 
dexterity,
 
cognition
 
or
 
sensory
abilities
 
—
 
as
 
well
 
as
 
their
 
friends
 
and
 
family.
 
The
 
RoD
 
Ranking
 
is
 
based
 
on
 
the
 
premise
 
that
 
companies
 
which
 
utilize
 
certain
 
best
 
practices
 
with
respect
 
to
 
employees
 
with
 
disabilities,
 
customers
 
with
 
disabilities
 
and
 
productivity
 
processes
 
that
 
leverage
 
the
 
unique
 
approaches
 
to
 
problem
solving
 
from
 
people
 
with
 
disabilities
 
will
 
create
 
shareholder
 
value
 
and
 
cause
 
their
 
stocks
 
to
 
rise.
 
The
 
Index
 
was
 
created
 
by
 
Donovan
 
Group
 
LLC
(the
 
“
index
 
sponsor
”)
,
 
which
 
is
 
the
 
owner
 
of
 
the
 
intellectual
 
property
 
and
 
licensing
 
rights
 
relating
 
to
 
the
 
Index.
 
The
 
Index
 
is
 
calculated
 
by
 
ICE
Data
 
Services,
 
LLC
 
(the
 
“
index
 
calculation
 
agent
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
CBOE
 
BZX
 
Exchange
 
(“
CBOE
 
BZX
”)
 
under
 
the
 
ticker
 
symbol
“RODI.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
September
 
10,
 
2014
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
September
 
15,
 
2014
(the
 
“
issue
date
”)
 
and
 
will
 
be
 
due
 
on
 
September
 
17,
 
2024
(the
 
“
maturity
 
date
”).
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9
th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
59
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
 
calendar
 
day
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
minus
 
(3)
 
the
 
investor
 
fee
 
on
 
such
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
any
 
splits
 
or
 
reverse
 
splits,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
An
 
““
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
is
 
the
 
New
 
York
 
Stock
 
Exchange
 
and
 
the
 
NASDAQ
 
Stock
 
Market
 
are
 
both
 
open
 
for
 
trading.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
 
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.45%
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
accumulates
 
over
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.45%
 
per
 
year,
 
which
 
we
 
refer
 
to
 
as
 
the
 
“
investor
 
fee
 
rate
”.
 
Because
 
the
 
net
 
effect
 
of
 
the
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
 
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
 
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
the
 
CBOE
 
BZX,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
September
 
10,
 
2014
to
 
September
 
10,
 
2024,
 
inclusive,
 
subject
 
to
 
postponement
 
due
to
 
the
 
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
trading
 
days.
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
September
 
10,
 
2014.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
September
 
10,
 
2024.
Postponement
 
of
 
Valuation
 
Dates
Valuation
 
dates
 
with
 
respect
 
to
 
the
 
ETNs
 
may
 
be
 
postponed
 
and
 
thus
 
the
 
determination
 
of
 
the
 
Index
 
level
 
may
 
be
 
postponed
 
if
 
the
calculation
 
agent
 
determines
 
that,
 
on
 
the
 
respective
 
date,
 
a
 
market
 
disruption
 
event
 
has
 
occurred
 
or
 
is
 
continuing
 
in
 
respect
 
of
 
the
 
Index.
 
Any
 
of
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index:
●
 
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
the
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
their
 
respective
 
primary
 
markets,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
 
preceding
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
 
regular
 
trading
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
a
 
suspension,
 
absence
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
on
 
their
 
respective
 
markets
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
 
trading
 
or
 
during
 
the
 
one-half
 
hour
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
 
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
any
 
event
 
that
 
disrupts
 
or
 
impairs,
 
as
 
determined
 
by
 
the
 
calculation
 
agent,
 
the
 
ability
 
of
 
ma
 
rket
 
participants
 
to
 
(1)
 
effect
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
respective
 
primary
 
markets,
 
or
 
(2)
 
effect
 
transactions
 
in,
 
or
 
obtain
 
market
 
values
 
for,
 
futures
 
or
 
options
 
contracts
 
relating
 
to
the
 
Index
 
on
 
their
 
respective
 
markets
 
or
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
any
 
index
 
constituents
 
constituting
 
20%
 
or
more,
 
by
 
weight,
 
of
 
the
 
Index
 
in
 
their
 
respective
 
primary
 
markets
 
for
 
those
 
contracts,
 
in
 
each
 
case
 
for
 
more
 
than
 
two
 
hours
 
of
trading
 
or
 
during
 
the
 
one-half
 
hour
 
period
 
preceding
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market
 
or,
 
if
 
the
 
relevant
valuation
 
time
 
is
 
not
 
the
 
close
 
of
 
the
 
regular
 
trading
 
session
 
in
 
such
 
market,
 
the
 
relevant
 
valuation
 
time;
●
 
the
 
closure
 
on
 
any
 
day
 
of
 
the
 
primary
 
market
 
for
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index
 
or
 
index
 
constituents
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
 
index
 
on
 
a
 
scheduled
 
trading
 
day
 
prior
 
to
 
the
 
scheduled
 
weekday
 
closing
 
time
 
of
that
 
market
 
(without
 
regard
 
to
 
after
 
hours
 
or
 
any
 
other
 
trading
 
outside
 
of
 
the
 
regular
 
trading
 
session
 
hours)
 
unless
 
such
 
earlier
closing
 
time
 
is
 
announced
 
by
 
the
 
primary
 
market
 
at
 
least
 
one
 
hour
 
prior
 
to
 
the
 
earlier
 
of
 
(1)
 
the
 
actual
 
closing
 
time
 
for
 
the
regular
 
trading
 
session
 
on
 
such
 
primary
 
market
 
on
 
such
 
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market
 
and
 
(2)
 
the
submission
 
deadline
 
for
 
orders
 
to
 
be
 
entered
 
into
 
the
 
relevant
 
exchange
 
system
 
for
 
execution
 
at
 
the
 
close
 
of
 
trading
 
on
 
such
scheduled
 
trading
 
day
 
for
 
such
 
primary
 
market;
 
or
●
 
any
 
scheduled
 
trading
 
day
 
on
 
which
 
(1)
 
the
 
primary
 
markets
 
for
 
index
 
constituents
 
constituting
 
20%
 
or
 
more,
 
by
 
weight,
 
of
 
the
Index
 
or
 
(2)
 
the
 
exchanges
 
or
 
quotation
 
systems,
 
if
 
any,
 
on
 
which
 
futures
 
or
 
options
 
contracts
 
on
 
the
 
Index
 
are
 
traded,
 
fails
 
to
open
 
for
 
trading
 
during
 
its
 
regular
 
trading
 
session.
For
 
purposes
 
of
 
the
 
ETNs,
 
“
scheduled
 
trading
 
day
”
 
as
 
used
 
therein
 
shall
 
mean
 
trading
 
day
 
as
 
defined
 
above
 
under
 
“Payment
 
at
Maturity”.
 
The
 
following
 
events
 
will
 
not
 
be
 
market
 
disruption
 
events:
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
60
●
 
a
 
limitation
 
on
 
the
 
hours
 
or
 
number
 
of
 
days
 
of
 
trading
 
on
 
which
 
any
 
index
 
constituent
 
is
 
traded,
 
but
 
only
 
if
 
the
 
limitation
 
results
from
 
an
 
announced
 
change
 
in
 
the
 
regular
 
business
 
hours
 
of
 
the
 
relevant
 
market;
 
or
●
 
a
 
decision
 
to
 
permanently
 
discontinue
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
relating
 
to
 
the
 
Index.
For
 
this
 
purpose,
 
an
 
“absence
 
of
 
trading”
 
on
 
an
 
exchange
 
or
 
market
 
will
 
not
 
include
 
any
 
time
 
when
 
the
 
relevant
 
exchange
 
or
 
market
 
is
itself
 
closed
 
for
 
trading
 
under
 
ordinary
 
circumstances.
In
 
contrast,
 
a
 
suspension
 
or
 
limitation
 
of
 
trading
 
in
 
futures
 
or
 
options
 
contracts
 
related
 
to
 
the
 
Index
 
or
 
any
 
index
 
constituent,
 
if
 
available,
in
 
the
 
primary
 
market
 
for
 
those
 
contracts,
 
by
 
reason
 
of
 
any
 
of:
●
 
a
 
price
 
change
 
exceeding
 
limits
 
set
 
by
 
that
 
market,
●
 
an
 
imbalance
 
of
 
orders
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
 
or
●
 
a
 
disparity
 
in
 
bid
 
and
 
ask
 
quotes
 
relating
 
to
 
the
 
index
 
constituent
 
or
 
those
 
contracts,
 
as
 
applicable,
will
 
constitute
 
a
 
suspension
 
or
 
material
 
limitation
 
of
 
trading
 
in
 
such
 
index
 
component
 
in
 
its
 
primary
 
market
 
or
 
in
 
futures
 
or
 
options
contracts
 
related
 
to
 
the
 
Index
 
or
 
that
 
index
 
constituent
 
in
 
the
 
primary
 
market
 
for
 
those
 
contracts.
For
 
the
 
purpose
 
of
 
determining
 
whether
 
a
 
market
 
disruption
 
event
 
with
 
respect
 
to
 
the
 
Index
 
exists
 
at
 
any
 
time,
 
if
 
trading
 
in
 
an
 
index
constituent
 
is
 
materially
 
suspended
 
or
 
limited
 
at
 
that
 
time,
 
then
 
the
 
relevant
 
percentage
 
contribution
 
of
 
that
 
index
 
constituent
 
to
 
the
 
level
 
of
 
the
Index
 
shall
 
be
 
based
 
on
 
a
 
comparison
 
of
 
(x)
 
the
 
portion
 
of
 
the
 
level
 
of
 
the
 
Index
 
attributable
 
to
 
that
 
index
 
constituent
 
relative
 
to
 
(y)
 
the
 
overall
level
 
of
 
the
 
Index,
 
in
 
each
 
case
 
immediately
 
before
 
that
 
suspension
 
or
 
limitation.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
any
 
valuation
 
date,
 
the
 
valuation
 
date
 
will
 
be
the
 
first
 
following
 
trading
 
day
 
on
 
which
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
does
 
not
 
occur
 
and
 
is
 
not
 
continuing.
 
In
no
 
event,
 
however,
 
will
 
the
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
the
 
fifth
 
trading
 
day,
 
the
 
calculation
 
agent
 
will
 
make
 
an
 
estimate
 
of
 
the
 
closing
 
level
 
for
 
the
 
Index
 
that
would
 
have
 
prevailed
 
on
 
that
 
fifth
 
trading
 
day
 
in
 
the
 
absence
 
of
 
the
 
market
 
disruption
 
event.
Maturity
 
Date
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
final
 
valuation
 
date
 
is
postponed,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
 
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
The
 
calculation
 
agent
 
may
 
postpone
the
 
final
 
valuation
 
date—and
 
therefore
 
the
 
maturity
 
date—of
 
the
 
ETNs
 
if
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
on
 
a
 
day
 
that
 
would
otherwise
 
be
 
the
 
final
 
valuation
 
date
 
or
 
if
 
the
 
level
 
of
 
the
 
Index
 
is
 
not
 
available
 
or
 
cannot
 
be
 
calculated.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Issuer
 
Redemption
Up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
 
the
 
final
 
valuation
 
date
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
the
 
ETNs,
 
provided
 
that
 
they
 
present
 
at
 
least
 
25,000
 
of
 
the
 
ETNs
 
for
 
redemption
 
or
 
their
broker
 
or
 
other
 
financial
 
intermediary
 
(such
 
as
 
a
 
bank
 
or
 
other
 
financial
 
institution
 
not
 
required
 
to
 
register
 
as
 
a
 
broker-dealer
 
to
 
engage
 
in
securities
 
transactions)
 
bundles
 
their
 
ETNs
 
for
 
redemption
 
with
 
those
 
of
 
other
 
investors
 
to
 
reach
 
this
 
minimum.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
 
of
 
the
 
ETNs.
 
If
 
holders
 
choose
 
to
 
redeem
 
their
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
for
 
each
 
ETN
 
on
 
the
 
applicable
 
redemption
 
date
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
applicable
 
valuation
 
date.
 
Prior
 
to
 
maturity,
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
on
 
or
 
after
 
the
 
inception
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value
 
on
 
the
 
applicable
 
valuation
 
date.
A
 
“
redemption
 
date
”
 
is:
●
 
in
 
the
 
case
 
of
 
holder
 
redemption,
 
effective
 
as
 
of
 
August
 
31,
 
2017,
 
the
 
second
 
business
 
day
 
following
 
each
 
valuation
 
date
(other
 
than
 
the
 
final
 
valuation
 
date).
 
The
 
final
 
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
 
date;
 
and
●
 
in
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
 
the
 
issuer
 
redemption
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
prior
 
to
 
the
 
tenth
 
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
In
 
the
 
event
 
that
 
payment
 
upon
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
Holders
 
may,
 
subject
 
to
 
the
 
minimum
 
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
 
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
redemption,
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
61
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
after
 
inception
 
date
 
until
 
and
 
including
 
maturity.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
 
such
 
election
 
to
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
In
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
 
of
 
a
 
market
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
prior
 
to
 
the
 
tenth
calendar
 
day
 
following
 
the
 
date
 
on
 
which
 
we
 
deliver
 
such
 
notice.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
the
 
Index
 
and
 
Barclays
 
Bank
 
PLC
 
or
 
any
 
other
 
person
 
or
 
entity
 
publishes
 
an
 
index
 
that
the
 
calculation
 
agent
 
determines
 
is
 
comparable
 
to
 
the
 
Index
 
and
 
the
 
calculation
 
agent
 
approves
 
such
 
index
 
as
 
a
 
successor
 
index,
 
then
 
the
calculation
 
agent
 
will
 
determine
 
the
 
value
 
of
 
the
 
Index
 
on
 
the
 
applicable
 
valuation
 
date
 
and
 
the
 
amount
 
payable
 
at
 
maturity
 
or
 
upon
 
early
redemption
 
by
 
reference
 
to
 
such
 
successor
 
index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
publication
 
of
 
the
 
Index
 
is
 
discontinued
 
and
 
there
 
is
 
no
 
successor
 
index,
 
or
 
that
 
the
 
closing
value
 
of
 
the
 
Index
 
is
 
not
 
available
 
for
 
any
 
reason,
 
on
 
the
 
date
 
on
 
which
 
the
 
value
 
of
 
the
 
Index
 
is
 
required
 
to
 
be
 
determined,
 
the
 
calculation
 
agent
will
 
determine
 
the
 
amount
 
payable
 
by
 
a
 
computation
 
methodology
 
that
 
the
 
calculation
 
agent
 
determines
 
will
 
as
 
closely
 
as
 
reasonably
 
possible
replicate
 
the
 
Index.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
the
 
Index
 
or
 
the
 
method
 
of
 
calculating
 
the
 
Index
 
has
 
been
 
changed
 
at
 
any
 
time
 
in
 
any
 
respect,
including
 
whether
 
the
 
change
 
is
 
made
 
by
 
the
 
index
 
sponsor
 
under
 
its
 
existing
 
policies
 
or
 
following
 
a
 
modification
 
of
 
those
 
policies,
 
is
 
due
 
to
 
the
publication
 
of
 
a
 
successor
 
index,
 
or
 
is
 
due
 
to
 
any
 
other
 
reason,
 
then
 
the
 
calculation
 
agent
 
will
 
be
 
permitted
 
(but
 
not
 
required)
 
to
 
make
 
such
adjustments
 
to
 
the
 
Index
 
level
 
for
 
the
 
ETNs
 
as
 
it
 
believes
 
are
 
appropriate
 
to
 
ensure
 
that
 
the
 
Index
 
used
 
to
 
determine
 
the
 
amount
 
payable
 
on
 
the
maturity
 
date
 
or
 
upon
 
early
 
redemption
 
is
 
equitable.
All
 
determinations
 
and
 
adjustments
 
to
 
be
 
made
 
by
 
the
 
calculation
 
agent
 
may
 
be
 
made
 
in
 
the
 
calculation
 
agent’s
 
sole
 
discretion.
Description
 
of
 
iPath
®
 
Series
 
B
 
Global
 
Carbon
 
Exchange-Tr
 
aded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Series
 
B
 
Global
 
Carbon
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
Series
 
B
 
Global
 
Carbon
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
Global
 
Carbon
 
II
 
TR
 
USD
 
Index
 
(the
 
“
Index
”).
 
The
 
objective
 
of
 
the
 
Index
 
is
 
to
 
provide
 
exposure
 
to
 
the
 
price
 
of
 
carbon
 
as
 
measured
 
by
 
the
 
return
of
 
futures
 
contracts
 
on
 
carbon
 
emissions
 
credits
 
from
 
two
 
of
 
the
 
world’s
 
major
 
emissions-related
 
mechanisms
 
(the
 
“
mechanisms
”
 
and
 
each
 
a
“
mechanism
”).
 
The
 
mechanisms
 
currently
 
included
 
in
 
the
 
Index
 
are
 
the
 
European
 
Union
 
Emission
 
Trading
 
Scheme
 
(“
EU
 
ETS
”)
 
and
 
the
 
Kyoto
Protocol’s
 
Clean
 
Development
 
Mechanism
 
(the
 
“
CDM
”).
 
The
 
Index
 
is
 
composed
 
of
 
allocations
 
in
 
futures
 
contracts
 
on
 
a
 
carbon
 
emissions
 
credit
from
 
each
 
mechanism
 
included
 
in
 
the
 
Index
 
(each
 
such
 
contract,
 
an
 
“
Index
 
Component
”).
 
The
 
Index
 
Components
 
currently
 
included
 
in
 
the
Index
 
are
 
futures
 
contracts
 
that
 
trade
 
on
 
the
 
ICE.
 
The
 
allocations
 
of
 
the
 
Index
 
to
 
the
 
Index
 
Components
 
are
 
adjusted
 
on
 
an
 
annual
 
basis
 
(each
allocation,
 
expressed
 
as
 
a
 
percentage
 
of
 
the
 
aggregate
 
allocations
 
of
 
the
 
Index
 
in
 
any
 
period,
 
being
 
referred
 
to
 
herein
 
as
 
a
 
“
weight
”).
 
We
 
refer
to
 
this
 
process
 
herein
 
as
 
“
rebalancing
”
 
or
 
“
reweighting
.”
 
While
 
the
 
weights
 
may
 
fluctuate
 
over
 
time,
 
since
 
the
 
inception
 
of
 
the
 
Index,
 
the
 
weight
assigned
 
to
 
futures
 
contracts
 
associated
 
with
 
the
 
EU
 
ETS
 
has
 
been
 
greater
 
than
 
99.9%,
 
and
 
the
 
weight
 
assigned
 
to
 
futures
 
contracts
associated
 
with
 
the
 
CDM
 
has
 
been
 
less
 
than
 
0.1%.
 
Accordingly,
 
the
 
Index
 
is
 
heavily
 
weighted
 
toward
 
futures
 
contracts
 
on
 
carbon
 
emission
credits
 
in
 
the
 
European
 
Union.
 
The
 
Index
 
is
 
maintained
 
and
 
calculated
 
by
 
Barclays
 
Bank
 
PLC
 
(in
 
such
 
capacity,
 
the
 
“
index
 
sponsor
”).
 
The
closing
 
level
 
of
 
the
 
Index
 
will
 
be
 
calculated
 
on
 
each
 
index
 
business
 
day
 
and
 
is
 
reported
 
by
 
Bloomberg
 
L.P.
 
or
 
a
 
successor
 
via
 
the
 
facilities
 
of
 
the
Consolidated
 
Tape
 
Association
 
under
 
the
 
ticker
 
symbol
 
“
BXIIGC2T
.”
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
 
exchange
 
under
 
the
 
ticker
 
symbol
“GRN.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
September
 
9,
 
2019
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
September
 
11,
 
2019
 
(the
 
“
issue
date
”)
 
and
 
will
 
be
 
due
 
on
 
September
 
8,
 
2049
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
calculation
 
agent
 
postpones
 
the
final
 
valuation
 
date
 
upon
 
the
 
occurrence
 
or
 
continuance
 
of
 
a
 
market
 
disruption
 
event,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
62
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$50.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
$50.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
 
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
 
minus
 
(3)
 
the
 
investor
 
fee
on
 
such
 
calendar
 
day.
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
 
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
The
 
“
investor
 
fee
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
zero.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
 
maturity
 
or
 
early
redemption,
 
the
 
investor
 
fee
 
for
 
each
 
ETN
 
will
 
be
 
equal
 
to
 
(1)
 
0.75%
 
times
 
(2)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
 
times
 
(3)
 
the
 
daily
 
index
 
factor
 
on
 
that
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one)
 
divided
 
by
 
(4)
 
365.
 
Because
 
the
investor
 
fee
 
is
 
calculated
 
and
 
subtracted
 
from
 
the
 
closing
 
indicative
 
value
 
on
 
a
 
daily
 
basis,
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
accumulates
 
over
time
 
and
 
is
 
subtracted
 
at
 
the
 
rate
 
of
 
approximately
 
0.75%
 
per
 
year.
 
Because
 
the
 
net
 
effect
 
of
 
the
 
investor
 
fee
 
is
 
a
 
fixed
 
percentage
 
of
 
the
 
value
of
 
each
 
ETN,
 
the
 
aggregate
 
effect
 
of
 
the
 
investor
 
fee
 
will
 
increase
 
or
 
decrease
 
in
 
a
 
manner
 
directly
 
proportional
 
to
 
the
 
value
 
of
 
each
 
ETN
 
and
the
 
amount
 
of
 
ETNs
 
that
 
are
 
held,
 
as
 
applicable.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
September
 
9,
 
2019
 
to
 
September
 
2,
 
2019,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
the
 
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
scheduled
 
trading
 
days.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
index
 
sponsor.
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
September
 
9,
 
2019.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
September
 
2,
 
2019.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
the
 
final
 
valuation
 
date,
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
63
the
 
ETNs.
 
If
 
holders
 
redeem
 
their
 
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
such
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value.
 
Holders
 
must
 
redeem
 
at
 
least
 
5,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
 
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
of
 
ETNs.
Prior
 
to
 
maturity
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
from
 
and
 
including
 
the
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
To
 
exercise
 
our
 
right
 
to
 
redeem,
 
we
 
must
 
deliver
 
notice
 
to
 
the
 
holders
 
of
 
the
 
ETNs
 
not
 
less
 
than
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
the
 
corresponding
 
redemption
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
valuation
 
date
specified
 
in
 
such
 
notice.
A
 
“
redemption
 
date
”
 
is:
 
●
 
In
 
the
 
case
 
of
 
holder
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
second
 
business
 
day
 
following
 
the
 
applicable
 
valuation
 
date
(which
 
must
 
be
 
earlier
 
than
 
the
 
final
 
valuation
 
date)
 
specified
 
in
 
the
 
relevant
 
notice
 
of
 
holder
 
redemption.
 
Accordingly,
 
the
 
final
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
date.
●
 
In
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
later
 
than
 
the
 
maturity
 
date.
●
 
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
holders
 
may,
 
subject
 
to
 
the
 
minimum
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
 
redemption
 
to
 
us
 
via
 
facsimile
 
or
 
email
 
by
 
no
 
later
than
 
4:00
 
p.m.,
 
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
from
 
and
 
including
 
the
 
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
such
 
election
 
to
 
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
the
 
ETNs.
 
In
 
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
of
 
a
 
market
 
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
later
 
than
the
 
maturity
 
date.
Market
 
Disruption
 
Event
Any
 
commodity
 
or
 
commodity
 
futures
 
contract
 
constituting
 
part
 
of
 
the
 
Index
 
is
 
referred
 
to
 
as
 
an
 
“Index
 
Component”
 
for
 
purposes
 
of
 
this
section.
 
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index
 
and
 
any
 
affected
 
Index
 
Component,
 
in
 
each
 
case
 
as
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion:
●
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
of
 
trading
 
in
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index;
●
 
the
 
settlement
 
price
 
for
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index
 
is
 
a
 
“limit
 
price,”
 
which
 
means
 
that
 
the
settlement
 
price
 
for
 
that
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
settlement
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
or
●
 
failure
 
by
 
the
 
index
 
sponsor
 
to
 
announce
 
or
 
publish
 
the
 
closing
 
level
 
of
 
the
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
settlement
 
price
 
or
 
closing
 
level
 
for
 
one
 
or
 
more
 
Index
 
Components.
The
 
following
 
event
 
will
 
not
 
be
 
a
 
market
 
disruption
 
event:
●
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
Index
 
Component.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
is
 
not
 
a
 
scheduled
 
trading
 
day
 
for
 
any
Index
 
Component
 
or
 
on
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
any
 
Index
 
Component,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
postpone
 
that
 
valuation
 
date
 
to
 
the
 
earlier
 
of
 
(i)
 
the
 
fifth
 
scheduled
 
trading
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date
 
and
 
(ii)
 
the
 
earliest
 
date
 
that
 
the
 
level,
 
value
 
or
 
price
 
of
 
each
 
Index
 
Component
 
that
 
is
 
affected
by
 
a
 
market
 
disruption
 
event
 
or
 
by
 
the
 
non-scheduled-trading
 
day
 
can
 
be
 
determined.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
level,
 
value
 
or
 
price
 
of
the
 
Index
 
Components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
or
 
non-scheduled-trading
 
day
 
will
 
be
 
determined
 
on
 
the
 
originally
 
scheduled
valuation
 
date
 
and
 
the
 
level,
 
value
 
or
 
price
 
of
 
any
 
affect
 
ed
 
Index
 
Component
 
will
 
be
 
determined
 
using
 
the
 
settlement
 
level,
 
value
 
or
 
price
 
of
 
that
affected
 
Index
 
Component
 
on
 
the
 
first
 
scheduled
 
trading
 
day
 
following
 
the
 
originally
 
scheduled
 
valuation
 
date
 
on
 
which
 
no
 
market
 
disruption
event
 
occurs
 
or
 
is
 
continuing
 
for
 
that
 
affected
 
Index
 
Component.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
64
scheduled
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
 
any
 
Index
Component
 
on
 
the
 
fifth
 
scheduled
 
trading
 
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date,
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
level,
 
value
or
 
price
 
for
 
the
 
affected
 
Index
 
Component
 
in
 
good
 
faith
 
and
 
in
 
a
 
commercially
 
reasonable
 
manner.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
or
 
otherwise
 
fails
 
to
 
publish
 
the
 
Index
 
and
 
the
 
index
 
sponsor
 
or
 
another
 
entity
 
publishes
a
 
successor
 
or
 
substitute
 
index
 
that
 
the
 
calculation
 
agent
 
determines
 
to
 
be
 
comparable
 
to
 
the
 
discontinued
 
Index
 
(the
 
Index
 
being
 
referred
 
to
herein
 
as
 
a
 
“successor
 
index”),
 
then
 
the
 
level
 
of
 
the
 
Index
 
will
 
be
 
determined
 
by
 
reference
 
to
 
the
 
index
 
level
 
of
 
that
 
successor
 
index
 
on
 
any
subsequent
 
date
 
as
 
of
 
which
 
the
 
Index
 
level
 
is
 
to
 
be
 
determined.
 
If
 
a
 
successor
 
index
 
is
 
selected
 
by
 
the
 
calculation
 
agent,
 
the
 
successor
 
index
will
 
be
 
used
 
as
 
a
 
substitute
 
for
 
the
 
Index
 
for
 
all
 
purposes,
 
and
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
adjust
 
any
 
variable,
 
including
 
but
not
 
limited
 
to,
 
if
 
applicable,
 
any
 
level
 
(including
 
but
 
not
 
limited
 
to
 
the
 
intraday
 
index
 
level,
 
closing
 
index
 
level,
 
any
 
level
 
derived
 
from
 
the
 
intraday
index
 
level
 
or
 
closing
 
index
 
level
 
or
 
any
 
other
 
relevant
 
level
 
on
 
any
 
valuation
 
date)
 
or
 
any
 
combination
 
thereof
 
or
 
any
 
other
 
variable.
 
The
calculation
 
agent
 
will
 
make
 
any
 
such
 
adjustment
 
with
 
a
 
view
 
to
 
offsetting,
 
to
 
the
 
extent
 
practical,
 
any
 
difference
 
in
 
the
 
relative
 
levels
 
of
 
the
original
 
Index
 
and
 
the
 
successor
 
index
 
at
 
the
 
time
 
the
 
original
 
Index
 
is
 
replaced
 
by
 
the
 
successor
 
index.
If
 
(1)
 
the
 
Index
 
is
 
discontinued
 
or
 
(2)
 
the
 
index
 
sponsor
 
fails
 
to
 
publish
 
the
 
Index,
 
in
 
either
 
case,
 
prior
 
to
 
(and
 
that
 
discontinuance
 
is
continuing
 
on)
 
a
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
determines
 
that
 
no
 
successor
 
index
 
is
 
available
 
at
 
that
 
time,
 
then
 
the
 
calculation
 
agent
will
 
determine
 
the
 
value
 
to
 
be
 
used
 
for
 
the
 
level
 
of
 
the
 
Index.
 
The
 
value
 
to
 
be
 
used
 
for
 
the
 
index
 
level
 
will
 
be
 
computed
 
by
 
the
 
calculation
 
agent
in
 
the
 
same
 
general
 
manner
 
previously
 
used
 
by
 
the
 
index
 
sponsor
 
and
 
will
 
reflect
 
the
 
performance
 
of
 
the
 
Index
 
through
 
the
 
trading
 
day
 
on
 
which
the
 
Index
 
was
 
last
 
in
 
effect
 
preceding
 
the
 
date
 
of
 
discontinuance.
 
If
 
at
 
any
 
time,
 
there
 
is:
●
 
a
 
material
 
change
 
in
 
the
 
formula
 
for
 
or
 
the
 
method
 
of
 
calculating
 
the
 
level
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
●
 
a
 
material
 
change
 
in
 
the
 
content,
 
composition
 
or
 
constitution
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
 
or
●
 
a
 
change
 
or
 
modification
 
to
 
the
 
Index
 
or
 
any
 
successor
 
index
 
such
 
that
 
the
 
Index
 
or
 
successor
 
index
 
does
 
not,
 
in
 
the
 
opinion
of
 
the
 
calculation
 
agent,
 
fairly
 
represent
 
the
 
value
 
of
 
the
 
Index
 
or
 
successor
 
index
 
had
 
those
 
changes
 
or
 
modifications
 
not
been
 
made,
then,
 
for
 
purposes
 
of
 
calculating
 
the
 
closing
 
level
 
or
 
intraday
 
level
 
of
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
any
 
payments
 
on
 
the
 
ETNs
 
or
making
 
any
 
other
 
determinations
 
as
 
of
 
or
 
after
 
that
 
time,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
make
 
such
 
calculations
 
and
 
adjustments
as
 
the
 
calculation
 
agent
 
determines
 
may
 
be
 
necessary
 
in
 
order
 
to
 
arrive
 
at
 
a
 
closing
 
level
 
or
 
intraday
 
level
 
for
 
the
 
Index
 
or
 
that
 
successor
 
index
comparable
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
the
 
case
 
may
 
be,
 
as
 
if
 
those
 
changes
 
or
 
modifications
 
had
 
not
 
been
 
made,
 
and
 
calculate
any
 
payments
 
on
 
the
 
ETNs
 
with
 
reference
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
adjusted.
 
The
 
calculation
 
agent
 
will
 
make
 
all
 
determinations
 
with
 
respect
 
to
 
adjustments,
 
including
 
any
 
determination
 
as
 
to
 
whether
 
an
 
event
 
that
may
 
require
 
an
 
adjustment
 
has
 
occurred,
 
as
 
to
 
the
 
nature
 
of
 
the
 
adjustment
 
and
 
how
 
it
 
will
 
be
 
made.
Description
 
of
 
iPath
®
 
Silver
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Silver
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
the
 
iPath
®
 
Silver
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
 
Silver
 
3
 
Month
 
Index
Total
 
Return
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
calculated
 
on
 
a
 
total
 
return
 
basis
 
and
 
is
 
intended
 
to
 
reflect
 
(1)
 
the
 
performance
 
of
 
a
 
rolling
 
position
 
in
specified
 
silver
 
futures
 
contracts
 
that
 
will
 
become
 
the
 
first
 
liquid
 
nearby
 
futures
 
contracts
 
three
 
months
 
in
 
the
 
future
 
in
 
accordance
 
with
 
a
specified
 
schedule
 
and
 
(2)
 
the
 
return
 
that
 
corresponds
 
to
 
the
 
weekly
 
announced
 
interest
 
rate
 
for
 
specified
 
3-month
 
U.S.
 
Treasury
 
bills.
 
The
Index
 
is
 
maintained
 
and
 
calculated
 
by
 
Barclays
 
Bank
 
PLC
 
(in
 
such
 
capacity,
 
the
 
“
index
 
sponsor
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
exchange
 
under
 
the
 
ticker
 
symbol
 
“SBUG.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
October
 
7,
 
2019
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
October
 
9,
 
2019
 
(the
 
“
issue
 
date
”)
and
 
will
 
be
 
due
 
on
 
October
 
6,
 
2049
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
calculation
 
agent
 
postpones
 
the
final
 
valuation
 
date
 
upon
 
the
 
occurrence
 
or
 
continuance
 
of
 
a
 
market
 
disruption
 
event,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
maturity
 
date,
 
penalty
 
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
respect
 
to
 
that
 
deferred
 
payment.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
65
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$25.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
$25.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
 
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one).
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
October
 
7,
 
2019
 
to
 
October
 
1,
 
2049,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
scheduled
 
trading
 
days.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
index
 
sponsor.
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
October
 
7,
 
2019.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
October
 
1,
 
2049.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
the
 
final
 
valuation
 
date,
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
the
 
ETNs.
 
If
 
holders
 
redeem
 
their
 
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
such
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value.
 
Holders
 
must
 
redeem
 
at
 
least
 
5,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
 
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
of
 
ETNs.
Prior
 
to
 
maturity
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
from
 
and
 
including
 
the
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
To
 
exercise
 
our
 
right
 
to
 
redeem,
 
we
 
must
 
deliver
 
notice
 
to
 
the
 
holders
 
of
 
the
 
ETNs
 
not
 
less
 
than
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
66
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
the
 
corresponding
 
redemption
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
valuation
 
date
specified
 
in
 
such
 
notice.
A
 
“
redemption
date
”
 
is:
 
●
 
In
 
the
 
case
 
of
 
holder
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
second
 
business
 
day
 
following
 
the
 
applicable
 
valuation
 
date
(which
 
must
 
be
 
earlier
 
than
 
the
 
final
 
valuation
 
date)
 
specified
 
in
 
the
 
relevant
 
notice
 
of
 
holder
 
redemption.
 
Accordingly,
 
the
 
final
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
date.
●
 
In
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
later
 
than
 
the
 
maturity
 
date.
●
 
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
holders
 
may,
 
subject
 
to
 
the
 
minimum
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
 
redemption
 
to
 
us
 
via
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
 
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
from
 
and
 
including
 
the
 
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
such
 
election
 
to
 
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
the
 
ETNs.
 
In
 
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
of
 
a
 
market
 
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
later
 
than
the
 
maturity
 
date.
Market
 
Disruption
 
Event
Any
 
commodity
 
or
 
commodity
 
futures
 
contract
 
constituting
 
part
 
of
 
the
 
Index
 
is
 
referred
 
to
 
as
 
an
 
“Index
 
Component”
 
for
 
purposes
 
of
 
this
section.
 
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index
 
and
 
any
 
affected
 
Index
 
Component,
 
in
 
each
 
case
 
as
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion:
●
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
of
 
trading
 
in
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index;
●
 
the
 
settlement
 
price
 
for
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index
 
is
 
a
 
“limit
 
price,”
 
which
 
means
 
that
 
the
settlement
 
price
 
for
 
that
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
settlement
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
or
●
 
failure
 
by
 
the
 
index
 
sponsor
 
to
 
announce
 
or
 
publish
 
the
 
closing
 
level
 
of
 
the
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
settlement
 
price
 
or
 
closing
 
level
 
for
 
one
 
or
 
more
 
Index
 
Components.
The
 
following
 
event
 
will
 
not
 
be
 
a
 
market
 
disruption
 
event:
●
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
Index
 
Component.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
is
 
not
 
a
 
scheduled
 
trading
 
day
 
for
 
any
Index
 
Component
 
or
 
on
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
any
 
Index
 
Component,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
postpone
 
that
 
valuation
 
date
 
to
 
the
 
earlier
 
of
 
(i)
 
the
 
fifth
 
scheduled
 
trading
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date
 
and
 
(ii)
 
the
 
earliest
 
date
 
that
 
the
 
level,
 
value
 
or
 
price
 
of
 
each
 
Index
 
Component
 
that
 
is
 
affected
by
 
a
 
market
 
disruption
 
event
 
or
 
by
 
the
 
non-scheduled-trading
 
day
 
can
 
be
 
determined.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
level,
 
value
 
or
 
price
 
of
the
 
Index
 
Components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
or
 
non-scheduled-trading
 
day
 
will
 
be
 
determined
 
on
 
the
 
originally
 
scheduled
valuation
 
date
 
and
 
the
 
level,
 
value
 
or
 
price
 
of
 
any
 
affected
 
Index
 
Component
 
will
 
be
 
determined
 
using
 
the
 
settlement
 
level,
 
value
 
or
 
price
 
of
 
that
affected
 
Index
 
Component
 
on
 
the
 
first
 
scheduled
 
trading
 
day
 
following
 
the
 
originally
 
scheduled
 
valuation
 
date
 
on
 
which
 
no
 
market
 
disruption
event
 
occurs
 
or
 
is
 
continuing
 
for
 
that
 
affected
 
Index
 
Component.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
scheduled
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
 
any
 
Index
Component
 
on
 
the
 
fifth
 
scheduled
 
trading
 
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date,
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
level,
 
value
or
 
price
 
for
 
the
 
affected
 
Index
 
Component
 
in
 
good
 
faith
 
and
 
in
 
a
 
commercially
 
reasonable
 
manner.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
67
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
or
 
otherwise
 
fails
 
to
 
publish
 
the
 
Index
 
and
 
the
 
index
 
sponsor
 
or
 
another
 
entity
 
publishes
a
 
successor
 
or
 
substitute
 
index
 
that
 
the
 
calculation
 
agent
 
determines
 
to
 
be
 
comparable
 
to
 
the
 
discontinued
 
Index
 
(the
 
Index
 
being
 
referred
 
to
herein
 
as
 
a
 
“successor
 
index”),
 
then
 
the
 
level
 
of
 
the
 
Index
 
will
 
be
 
determined
 
by
 
reference
 
to
 
the
 
index
 
level
 
of
 
that
 
successor
 
index
 
on
 
any
subsequent
 
date
 
as
 
of
 
which
 
the
 
Index
 
level
 
is
 
to
 
be
 
determined.
 
If
 
a
 
successor
 
index
 
is
 
selected
 
by
 
the
 
calculation
 
agent,
 
the
 
successor
 
index
will
 
be
 
used
 
as
 
a
 
substitute
 
for
 
the
 
Index
 
for
 
all
 
purposes,
 
and
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
adjust
 
any
 
variable,
 
including
 
but
not
 
limited
 
to,
 
if
 
applicable,
 
any
 
level
 
(including
 
but
 
not
 
limited
 
to
 
the
 
intraday
 
index
 
level,
 
closing
 
index
 
level,
 
any
 
level
 
derived
 
from
 
the
 
intraday
index
 
level
 
or
 
closing
 
index
 
level
 
or
 
any
 
other
 
relevant
 
level
 
on
 
any
 
valuation
 
date)
 
or
 
any
 
combination
 
thereof
 
or
 
any
 
other
 
variable.
 
The
calculation
 
agent
 
will
 
make
 
any
 
such
 
adjustment
 
with
 
a
 
view
 
to
 
offsetting,
 
to
 
the
 
extent
 
practical,
 
any
 
difference
 
in
 
the
 
relative
 
levels
 
of
 
the
original
 
Index
 
and
 
the
 
successor
 
index
 
at
 
the
 
time
 
the
 
original
 
Index
 
is
 
replaced
 
by
 
the
 
successor
 
index.
If
 
(1)
 
the
 
Index
 
is
 
discontinued
 
or
 
(2)
 
the
 
index
 
sponsor
 
fails
 
to
 
publish
 
the
 
Index,
 
in
 
either
 
case,
 
prior
 
to
 
(and
 
that
 
discontinuance
 
is
continuing
 
on)
 
a
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
determines
 
that
 
no
 
successor
 
index
 
is
 
available
 
at
 
that
 
time,
 
then
 
the
 
calculation
 
agent
will
 
determine
 
the
 
value
 
to
 
be
 
used
 
for
 
the
 
level
 
of
 
the
 
Index.
 
The
 
value
 
to
 
be
 
used
 
for
 
the
 
index
 
level
 
will
 
be
 
computed
 
by
 
the
 
calculation
 
agent
in
 
the
 
same
 
general
 
manner
 
previously
 
used
 
by
 
the
 
index
 
sponsor
 
and
 
will
 
reflect
 
the
 
performance
 
of
 
the
 
Index
 
through
 
the
 
trading
 
day
 
on
 
which
the
 
Index
 
was
 
last
 
in
 
effect
 
preceding
 
the
 
date
 
of
 
discontinuance.
 
If
 
at
 
any
 
time,
 
there
 
is:
●
 
a
 
material
 
change
 
in
 
the
 
formula
 
for
 
or
 
the
 
method
 
of
 
calculating
 
the
 
level
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
●
 
a
 
material
 
change
 
in
 
the
 
content,
 
composition
 
or
 
constitution
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
 
or
●
 
a
 
change
 
or
 
modification
 
to
 
the
 
Index
 
or
 
any
 
successor
 
index
 
such
 
that
 
the
 
Index
 
or
 
successor
 
index
 
does
 
not,
 
in
 
the
 
opinion
of
 
the
 
calculation
 
agent,
 
fairly
 
represent
 
the
 
level
 
of
 
the
 
Index
 
or
 
successor
 
index
 
had
 
those
 
changes
 
or
 
modifications
 
not
been
 
made,
then,
 
for
 
purposes
 
of
 
calculating
 
the
 
closing
 
level
 
or
 
intraday
 
level
 
of
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
any
 
payments
 
on
 
the
 
ETNs
 
or
making
 
any
 
other
 
determinations
 
as
 
of
 
or
 
after
 
that
 
time,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
make
 
such
 
calculations
 
and
 
adjustments
as
 
the
 
calculation
 
agent
 
determines
 
may
 
be
 
necessary
 
in
 
order
 
to
 
arrive
 
at
 
a
 
closing
 
level
 
or
 
intraday
 
level
 
for
 
the
 
Index
 
or
 
that
 
successor
 
index
comparable
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
the
 
case
 
may
 
be,
 
as
 
if
 
those
 
changes
 
or
 
modifications
 
had
 
not
 
been
 
made,
 
and
 
calculate
any
 
payments
 
on
 
the
 
ETNs
 
with
 
reference
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
adjusted.
 
The
 
calculation
 
agent
 
will
 
make
 
all
 
determinations
 
with
 
respect
 
to
 
adjustments,
 
including
 
any
 
determination
 
as
 
to
 
whether
 
an
 
event
 
that
may
 
require
 
an
 
adjustment
 
has
 
occurred,
 
as
 
to
 
the
 
nature
 
of
 
the
 
adjustment
 
and
 
how
 
it
 
will
 
be
 
made.
Description
 
of
 
Pacer
®
 
iPath
®
 
Gold
 
Exchange-Traded
 
Notes
Terms
 
defined
 
within
 
this
 
“Description
 
of
 
iPath
®
 
Gold
 
Exchange-Traded
 
Notes”
 
section
 
are
 
defined
 
only
 
with
 
respect
 
to
 
this
 
section.
General
The
 
return
 
of
 
the
 
Pacer
®
 
iPath
®
 
Gold
 
Exchange-Traded
 
Notes
 
(the
 
“
ETNs
”)
 
is
 
linked
 
to
 
the
 
performance
 
of
 
the
 
Barclays
 
Gold
 
3
 
Month
Index
 
Total
 
Return
 
(the
 
“
Index
”).
 
The
 
Index
 
is
 
calculated
 
on
 
a
 
total
 
return
 
basis
 
and
 
is
 
intended
 
to
 
reflect
 
(1)
 
the
 
performance
 
of
 
a
 
rolling
 
position
in
 
specified
 
gold
 
futures
 
contracts
 
that
 
will
 
become
 
the
 
first
 
liquid
 
nearby
 
futures
 
contracts
 
three
 
months
 
in
 
the
 
future
 
in
 
accordance
 
with
 
a
specified
 
schedule
 
and
 
(2)
 
the
 
return
 
that
 
corresponds
 
to
 
the
 
weekly
 
announced
 
interest
 
rate
 
for
 
specified
 
3-month
 
U.S.
 
Treasury
 
bills.
 
The
Index
 
is
 
maintained
 
and
 
calculated
 
by
 
Barclays
 
Bank
 
PLC
 
(in
 
such
 
capacity,
 
the
 
“
index
 
sponsor
”).
 
The
 
ETNs
 
are
 
traded
 
on
 
the
 
NYSE
 
Arca
exchange
 
under
 
the
 
ticker
 
symbol
 
“GBUG.”
Inception,
 
Issuance
 
and
 
Maturity
The
 
ETNs
 
were
 
first
 
sold
 
on
 
October
 
7,
 
2019
 
(the
 
“
inception
 
date
”).
 
The
 
ETNs
 
were
 
first
 
issued
 
on
 
October
 
9,
 
2019
 
(the
 
“
issue
 
date
”)
and
 
will
 
be
 
due
 
on
 
October
 
6,
 
2049
 
(the
 
“
maturity
 
date
”).
If
 
the
 
maturity
 
date
 
is
 
not
 
a
 
business
 
day,
 
the
 
maturity
 
date
 
will
 
be
 
the
 
next
 
following
 
business
 
day.
 
If
 
the
 
calculation
 
agent
 
postpones
 
the
final
 
valuation
 
date
 
upon
 
the
 
occurrence
 
or
 
continuance
 
of
 
a
 
market
 
disruption
 
event,
 
then
 
the
 
maturity
 
date
 
will
 
be
 
the
 
fifth
 
business
 
day
following
 
the
 
final
 
valuation
 
date,
 
as
 
postponed.
 
In
 
the
 
event
 
that
 
payment
 
at
 
maturity
 
is
 
deferred
 
beyond
 
the
 
stated
 
m
 
aturity
 
date,
 
penalty
interest
 
will
 
not
 
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Coupon
We
 
will
 
not
 
pay
 
holders
 
interest
 
during
 
the
 
term
 
of
 
the
 
ETNs.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
68
Denomination
The
 
ETNs
 
are
 
in
 
denominations
 
of
 
$25.
 
We
 
reserve
 
the
 
right
 
to
 
initiate
 
a
 
split
 
or
 
reverse
 
split
 
of
 
the
 
ETNs
 
in
 
our
 
sole
 
discretion.
Split
 
or
 
Reverse
 
Split
 
of
 
the
 
ETNs
On
 
any
 
business
 
day
 
we
 
may
 
elect
 
to
 
initiate
 
a
 
split
 
of
 
the
 
ETNs
 
or
 
a
 
reverse
 
split
 
of
 
the
 
ETNs.
 
Such
 
date
 
shall
 
be
 
deemed
 
to
 
be
 
the
“
announcement
 
date
,”
 
and
 
we
 
will
 
issue
 
a
 
notice
 
to
 
holders
 
of
 
the
 
relevant
 
ETNs
 
and
 
a
 
press
 
release
 
announcing
 
the
 
split
 
or
 
reverse
 
split,
specifying
 
the
 
effective
 
date
 
of
 
the
 
split
 
or
 
reverse
 
split
 
and
 
the
 
split
 
or
 
reverse
 
split
 
ratio.
If
 
the
 
ETNs
 
undergo
 
a
 
split,
 
we
 
will
 
adjust
 
the
 
terms
 
of
 
the
 
ETNs
 
accordingly.
 
The
 
record
 
date
 
for
 
the
 
split
 
will
 
be
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
split
 
will
 
become
 
effective
 
at
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
we
 
reserve
 
the
 
right
 
to
 
address
 
odd
 
numbers
 
of
 
ETNs
 
(commonly
 
referred
 
to
 
as
 
“partials”)
 
in
 
a
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
 
sole
 
discretion.
 
The
 
record
 
date
 
for
 
the
 
reverse
 
split
 
will
 
be
 
on
 
the
 
9th
 
business
 
day
after
 
the
 
announcement
 
date.
 
Any
 
adjustment
 
of
 
closing
 
indicative
 
value
 
will
 
be
 
rounded
 
to
 
8
 
decimal
 
places.
 
The
 
reverse
 
split
 
will
 
become
effective
 
at
 
the
 
opening
 
of
 
trading
 
of
 
the
 
ETNs
 
on
 
the
 
business
 
day
 
immediately
 
following
 
the
 
record
 
date.
 
In
 
the
 
case
 
of
 
a
 
reverse
 
split,
 
holders
 
who
 
own
 
a
 
number
 
of
 
ETNs
 
on
 
the
 
record
 
date
 
which
 
is
 
not
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio
 
will
receive
 
the
 
same
 
treatment
 
as
 
all
 
other
 
holders
 
for
 
the
 
maximum
 
number
 
of
 
ETNs
 
they
 
hold
 
which
 
is
 
evenly
 
divisible
 
by
 
the
 
split
 
ratio,
 
and
 
we
will
 
have
 
the
 
right
 
to
 
compensate
 
holders
 
for
 
their
 
remaining
 
or
 
“partial”
 
ETNs
 
in
 
a
 
commercially
 
reasonable
 
manner
 
determined
 
by
 
us
 
in
 
our
sole
 
discretion.
 
Our
 
current
 
intention
 
is
 
to
 
provide
 
holders
 
with
 
a
 
cash
 
payment
 
for
 
their
 
partials
 
on
 
the
 
17
th
 
business
 
day
 
following
 
the
announcement
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
appropriate
 
percentage
 
of
 
the
 
closing
 
indicative
 
value
 
of
 
the
 
reverse
 
split
 
-adjusted
 
ETNs
 
on
 
the
14
th
 
business
 
day
 
following
 
the
 
announcement
 
date.
 
In
 
the
 
event
 
of
 
a
 
reverse
 
split,
 
the
 
redemption
 
amount
 
will
 
be
 
adjusted
 
accordingly
 
by
 
the
 
Issuer,
 
in
 
its
 
sole
 
discretion
 
and
 
in
 
a
commercially
 
reasonable
 
manner,
 
to
 
take
 
into
 
account
 
the
 
reverse
 
split.
Payment
 
at
 
Maturity
If
 
holders
 
hold
 
their
 
ETNs
 
to
 
maturity,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
the
 
final
 
valuation
 
date.
The
 
“
closing
 
indicative
 
value
”
 
for
 
each
 
ETN
 
on
 
the
 
initial
 
valuation
 
date
 
was
 
equal
 
to
 
$25.
 
On
 
each
 
subsequent
 
calendar
 
day
 
until
maturity
 
or
 
early
 
redemption,
 
the
 
closing
 
indicative
 
value
 
for
 
each
 
ETN
 
will
 
equal
 
(1)
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
immediately
 
preceding
calendar
 
day
 
times
 
(2)
 
the
 
daily
 
index
 
factor
 
on
 
such
 
calendar
 
day
 
(or,
 
if
 
such
 
day
 
is
 
not
 
an
 
index
 
business
 
day,
 
one).
 
If
 
the
 
ETNs
 
undergo
 
a
 
split
or
 
reverse
 
split,
 
the
 
closing
 
indicative
 
value
 
will
 
be
 
adjusted
 
accordingly.
The
 
“
daily
 
index
 
factor
”
 
for
 
each
 
ETN
 
on
 
any
 
index
 
business
 
day
 
will
 
equal
 
(1)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
such
 
index
 
business
day
divided
by
 
(2)
 
the
 
closing
 
level
 
of
 
the
 
Index
 
on
 
the
 
immediately
 
preceding
 
index
 
business
 
day.
A
 
“
business
 
day
”
 
means
 
a
 
Monday,
 
Tuesday,
 
Wednesday,
 
Thursday
 
or
 
Friday
 
that
 
is
 
not
 
a
 
day
 
on
 
which
 
banking
 
institutions
 
in
 
New
York
 
City
 
generally
 
are
 
authorized
 
or
 
obligated
 
by
 
law,
 
regulation,
 
or
 
executive
 
order
 
to
 
close.
 
A
 
“
trading
 
day
”
 
with
 
respect
 
to
 
the
 
ETNs
 
is
 
a
 
day
 
that
 
is
 
an
 
index
 
business
 
day
 
and
 
a
 
business
 
day
 
and
 
a
 
day
 
on
 
which
 
trading
 
is
generally
 
conducted
 
on
 
NYSE
 
Arca,
 
in
 
each
 
case
 
as
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion.
A
 
“
valuation
 
date
”
 
means
 
each
 
trading
 
day
 
from
 
October
 
7,
 
2019
 
to
 
October
 
1,
 
2049,
 
inclusive,
 
subject
 
to
 
postponement
 
due
 
to
 
the
occurrence
 
of
 
a
 
market
 
disruption
 
event,
 
such
 
postponement
 
not
 
to
 
exceed
 
five
 
scheduled
 
trading
 
days.
An
 
“
index
 
business
 
day
”
 
is
 
a
 
day
 
on
 
which
 
the
 
Index
 
is
 
calculated
 
and
 
published
 
by
 
the
 
index
 
sponsor.
The
 
“
initial
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
October
 
7,
 
2019.
The
 
“
final
 
valuation
 
date
”
 
for
 
the
 
ETNs
 
is
 
October
 
1,
 
2049.
Payment
 
Upon
 
Holder
 
Redemption
 
and
 
Upon
 
Issuer
 
Redemption
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
up
 
to
 
the
 
valuation
 
date
 
immediately
 
preceding
the
 
final
 
valuation
 
date,
 
and
 
subject
 
to
 
certain
 
restrictions,
 
holders
 
may
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date
 
during
 
the
 
term
 
of
the
 
ETNs.
 
If
 
holders
 
redeem
 
their
 
ETNs,
 
they
 
will
 
receive
 
a
 
cash
 
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
such
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
closing
 
indicative
 
value.
 
Holders
 
must
 
redeem
 
at
 
least
 
5,000
 
ETNs
 
at
 
one
 
time
 
in
 
order
 
to
 
exercise
 
their
 
right
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
redemption
 
date.
 
We
 
may
 
from
 
time
 
to
 
time,
 
in
 
our
 
sole
 
discretion,
 
reduce
 
this
 
minimum
 
redemption
 
amount
 
on
 
a
 
consistent
 
basis
 
for
 
all
 
holders
of
 
ETNs.
Prior
 
to
 
maturity
 
we
 
may
 
redeem
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
on
 
any
 
business
 
day
 
from
 
and
 
including
 
the
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
To
 
exercise
 
our
 
right
 
to
 
redeem,
 
we
 
must
 
deliver
 
notice
 
to
 
the
 
holders
 
of
 
the
 
ETNs
 
not
 
less
 
than
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
 
the
 
ETNs.
 
If
 
we
 
redeem
 
the
 
ETNs,
 
holders
 
will
 
receive
 
a
 
cash
payment
 
in
 
U.S.
 
dollars
 
per
 
ETN
 
on
 
the
 
corresponding
 
redemption
 
date
 
in
 
an
 
amount
 
equal
 
to
 
the
 
closing
 
indicative
 
value
 
on
 
the
 
valuation
 
date
specified
 
in
 
such
 
notice.
A
 
“
redemption
 
date
”
 
is:
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
69
●
 
In
 
the
 
case
 
of
 
holder
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
second
 
business
 
day
 
following
 
the
 
applicable
 
valuation
 
date
(which
 
must
 
be
 
earlier
 
than
 
the
 
final
 
valuation
 
date)
 
specified
 
in
 
the
 
relevant
 
notice
 
of
 
holder
 
redemption.
 
Accordingly,
 
the
 
final
redemption
 
date
 
will
 
be
 
the
 
second
 
business
 
day
 
following
 
the
 
valuation
 
date
 
that
 
is
 
immediately
 
prior
 
to
 
the
 
final
 
valuation
date.
●
 
In
 
the
 
case
 
of
 
issuer
 
redemption,
 
the
 
redemption
 
date
 
is
 
the
 
fifth
 
business
 
day
 
following
 
the
 
valuation
 
date
 
specified
 
by
 
us
 
in
the
 
issuer
 
redemption
 
notice,
 
which
 
will
 
in
 
no
 
event
 
be
 
later
 
than
 
the
 
maturity
 
date.
●
 
In
 
the
 
event
 
that
 
payment
 
upon
 
early
 
redemption
 
is
 
deferred
 
beyond
 
the
 
original
 
redemption
 
date,
 
penalty
 
interest
 
will
 
not
accrue
 
or
 
be
 
payable
 
with
 
respect
 
to
 
that
 
deferred
 
payment.
Early
 
Redemption
 
Procedures
Holder
 
Redemption
 
Procedures
If
 
we
 
have
 
not
 
delivered
 
notice
 
of
 
our
 
intention
 
to
 
exercise
 
our
 
right
 
to
 
redeem
 
the
 
ETNs,
 
holders
 
may,
 
subject
 
to
 
the
 
minimum
redemption
 
amount
 
described
 
above,
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
any
 
redemption
 
date.
 
To
 
redeem
 
their
 
ETNs,
 
holders
 
must
 
instruct
 
their
broker
 
or
 
other
 
person
 
through
 
whom
 
holders
 
hold
 
their
 
ETNs
 
to
 
deliver
 
a
 
notice
 
of
 
holder
 
redemption
 
to
 
us
 
via
 
email
 
by
 
no
 
later
 
than
 
4:00
 
p.m.,
New
 
York
 
City
 
time,
 
on
 
the
 
business
 
day
 
prior
 
to
 
the
 
applicable
 
valuation
 
date.
If
 
holders
 
elect
 
to
 
redeem
 
their
 
ETNs
 
on
 
a
 
redemption
 
date
 
that
 
is
 
later
 
in
 
time
 
than
 
the
 
redemption
 
date
 
resulting
 
from
 
our
 
subsequent
election
 
to
 
exercise
 
our
 
issuer
 
redemption
 
right,
 
their
 
election
 
to
 
redeem
 
their
 
ETNs
 
will
 
be
 
deemed
 
to
 
be
 
ineffective,
 
and
 
their
 
ETNs
 
will
 
instead
be
 
redeemed
 
on
 
the
 
redemption
 
date
 
pursuant
 
to
 
such
 
issuer
 
redemption.
Issuer
 
Redemption
 
Procedures
We
 
have
 
the
 
right
 
to
 
redeem
 
or
 
“call”
 
the
 
ETNs
 
(in
 
whole
 
but
 
not
 
in
 
part)
 
at
 
our
 
sole
 
discretion
 
without
 
holders’
 
consent
 
on
 
any
 
business
day
 
on
 
or
 
from
 
and
 
including
 
the
 
issue
 
date
 
to
 
and
 
including
 
the
 
maturity
 
date.
 
If
 
we
 
elect
 
to
 
redeem
 
the
 
ETNs,
 
we
 
will
 
deliver
 
written
 
notice
 
of
such
 
election
 
to
 
redeem
 
to
 
the
 
holders
 
of
 
such
 
ETNs
 
not
 
less
 
than
 
ten
 
calendar
 
days
 
prior
 
to
 
the
 
redemption
 
date
 
on
 
which
 
we
 
intend
 
to
 
redeem
the
 
ETNs.
 
In
 
this
 
scenario,
 
the
 
final
 
valuation
 
date
 
will
 
be
 
the
 
date
 
specified
 
by
 
us
 
as
 
such
 
in
 
such
 
notice
 
(subject
 
to
 
postponement
 
in
 
the
 
event
of
 
a
 
market
 
disruption
 
event),
 
and
 
the
 
ETNs
 
will
 
be
 
redeemed
 
on
 
the
 
fifth
 
business
 
day
 
following
 
such
 
valuation
 
date,
 
but
 
in
 
no
 
event
 
later
 
than
the
 
maturity
 
date.
Market
 
Disruption
 
Event
Any
 
commodity
 
or
 
commodity
 
futures
 
contract
 
constituting
 
part
 
of
 
the
 
Index
 
is
 
referred
 
to
 
as
 
an
 
“
Index
 
Component
”
 
for
 
purposes
 
of
 
this
section.
Any
 
of
 
the
 
following
 
will
 
be
 
a
“market
 
disruption
 
event”
 
with
 
respect
 
to
 
the
 
Index
 
and
 
any
 
affected
 
Index
 
Component,
 
in
 
each
 
case
 
as
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion:
●
 
a
 
material
 
limitation,
 
suspension
 
or
 
disruption
 
of
 
trading
 
in
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index;
●
 
the
 
settlement
 
price
 
for
 
any
 
Index
 
Component
 
included
 
directly
 
or
 
indirectly
 
in
 
the
 
Index
 
is
 
a
 
“limit
 
price,”
 
which
 
means
 
that
 
the
settlement
 
price
 
for
 
that
 
contract
 
has
 
increased
 
or
 
decreased
 
from
 
the
 
previous
 
day’s
 
settlement
 
price
 
by
 
the
 
maximum
amount
 
permitted
 
under
 
the
 
applicable
 
rules
 
or
 
procedures
 
of
 
the
 
relevant
 
trading
 
facility;
 
or
●
 
failure
 
by
 
the
 
index
 
sponsor
 
to
 
announce
 
or
 
publish
 
the
 
closing
 
level
 
of
 
the
 
Index
 
or
 
of
 
the
 
applicable
 
trading
 
facility
 
or
 
other
price
 
source
 
to
 
announce
 
or
 
publish
 
the
 
settlement
 
price
 
or
 
closing
 
level
 
for
 
one
 
or
 
more
 
Index
 
Components.
The
 
following
 
event
 
will
 
not
 
be
 
a
 
market
 
disruption
 
event:
●
 
a
 
decision
 
by
 
a
 
trading
 
facility
 
to
 
permanently
 
discontinue
 
trading
 
in
 
any
 
Index
 
Component.
If
 
the
 
calculation
 
agent
 
determines
 
that
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
is
 
not
 
a
 
scheduled
 
trading
 
day
 
for
 
any
Index
 
Component
 
or
 
on
 
any
 
valuation
 
date
 
(including
 
the
 
final
 
valuation
 
date)
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
any
 
Index
 
Component,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
postpone
 
that
 
valuation
 
date
 
to
 
the
 
earlier
 
of
 
(i)
 
the
 
fifth
 
scheduled
 
trading
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date
 
and
 
(ii)
 
the
 
earliest
 
date
 
that
 
the
 
level,
 
value
 
or
 
price
 
of
 
each
 
Index
 
Component
 
that
 
is
 
affected
by
 
a
 
market
 
disruption
 
event
 
or
 
by
 
the
 
non-scheduled-trading
 
day
 
can
 
be
 
determined.
 
If
 
such
 
a
 
postponement
 
occurs,
 
the
 
level,
 
value
 
or
 
price
 
of
the
 
Index
 
Components
 
unaffected
 
by
 
the
 
market
 
disruption
 
event
 
or
 
non-scheduled-trading
 
day
 
will
 
be
 
determined
 
on
 
the
 
originally
 
scheduled
valuation
 
date
 
and
 
the
 
level,
 
value
 
or
 
price
 
of
 
any
 
affected
 
Index
 
Component
 
will
 
be
 
determined
 
using
 
the
 
settlement
 
level,
 
value
 
or
 
price
 
of
 
that
affected
 
Index
 
Component
 
on
 
the
 
first
 
scheduled
 
trading
 
day
 
following
 
the
 
originally
 
scheduled
 
valuation
 
date
 
on
 
which
 
no
 
market
 
disruption
event
 
occurs
 
or
 
is
 
continuing
 
for
 
that
 
affected
 
Index
 
Component.
 
In
 
no
 
event,
 
however,
 
will
 
a
 
valuation
 
date
 
be
 
postponed
 
by
 
more
 
than
 
five
scheduled
 
trading
 
days.
 
If
 
the
 
calculation
 
agent
 
determines
 
that
 
a
 
market
 
disruption
 
event
 
occurs
 
or
 
is
 
continuing
 
with
 
respect
 
to
 
any
 
Index
Component
 
on
 
the
 
fifth
 
scheduled
 
trading
 
day
 
after
 
the
 
originally
 
scheduled
 
valuation
 
date,
 
the
 
calculation
 
agent
 
will
 
determine
 
the
 
level,
 
value
or
 
price
 
for
 
the
 
affected
 
Index
 
Component
 
in
 
good
 
faith
 
and
 
in
 
a
 
commercially
 
reasonable
 
manner.
Default
 
Amount
 
on
 
Acceleration
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
the
 
maturity
 
of
 
the
 
ETNs
 
is
 
accelerated,
 
the
 
amount
 
declared
 
due
 
and
 
payable
upon
 
any
 
acceleration
 
of
 
the
 
ETNs
 
will
 
be
 
determined
 
by
 
the
 
calculation
 
agent
 
and
 
will
 
equal,
 
for
 
each
 
ETN,
 
the
 
closing
 
indicative
 
value
 
on
 
the
date
 
of
 
acceleration.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
70
Discontinuance
 
or
 
Modification
 
of
 
the
 
Index
If
 
the
 
index
 
sponsor
 
discontinues
 
publication
 
of
 
or
 
otherwise
 
fails
 
to
 
publish
 
the
 
Index
 
and
 
the
 
index
 
sponsor
 
or
 
another
 
entity
 
publishes
a
 
successor
 
or
 
substitute
 
index
 
that
 
the
 
calculation
 
agent
 
determines
 
to
 
be
 
comparable
 
to
 
the
 
discontinued
 
Index
 
(the
 
Index
 
being
 
referred
 
to
herein
 
as
 
a
 
“
successor
 
index
”),
 
then
 
the
 
level
 
of
 
the
 
Index
 
will
 
be
 
determined
 
by
 
reference
 
to
 
the
 
index
 
level
 
of
 
that
 
successor
 
index
 
on
 
any
subsequent
 
date
 
as
 
of
 
which
 
the
 
Index
 
level
 
is
 
to
 
be
 
determined.
 
If
 
a
 
successor
 
index
 
is
 
selected
 
by
 
the
 
calculation
 
agent,
 
the
 
successor
 
index
will
 
be
 
used
 
as
 
a
 
substitute
 
for
 
the
 
Index
 
for
 
all
 
purposes,
 
and
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
adjust
 
any
 
variable
 
described
herein,
 
including
 
but
 
not
 
limited
 
to,
 
if
 
applicable,
 
any
 
level
 
(including
 
but
 
not
 
limited
 
to
 
the
 
intraday
 
index
 
level,
 
closing
 
index
 
level,
 
any
 
level
derived
 
from
 
the
 
intraday
 
index
 
level
 
or
 
closing
 
index
 
level
 
or
 
any
 
other
 
relevant
 
level
 
on
 
any
 
valuation
 
date)
 
or
 
any
 
combination
 
thereof
 
or
 
any
other
 
variable
 
described
 
herein.
 
The
 
calculation
 
agent
 
will
 
make
 
any
 
such
 
adjustment
 
with
 
a
 
view
 
to
 
offsetting,
 
to
 
the
 
extent
 
practical,
 
any
difference
 
in
 
the
 
relative
 
levels
 
of
 
the
 
original
 
Index
 
and
 
the
 
successor
 
index
 
at
 
the
 
time
 
the
 
original
 
Index
 
is
 
replaced
 
by
 
the
 
successor
 
index.
If
 
(1)
 
the
 
Index
 
is
 
discontinued
 
or
 
(2)
 
the
 
index
 
sponsor
 
fails
 
to
 
publish
 
the
 
Index,
 
in
 
either
 
case,
 
prior
 
to
 
(and
 
that
 
discontinuance
 
is
continuing
 
on)
 
a
 
valuation
 
date
 
and
 
the
 
calculation
 
agent
 
determines
 
that
 
no
 
successor
 
index
 
is
 
available
 
at
 
that
 
time,
 
then
 
the
 
calculation
 
agent
will
 
determine
 
the
 
value
 
to
 
be
 
used
 
for
 
the
 
level
 
of
 
the
 
Index.
 
The
 
value
 
to
 
be
 
used
 
for
 
the
 
index
 
level
 
will
 
be
 
computed
 
by
 
the
 
calculation
 
agent
in
 
the
 
same
 
general
 
manner
 
previously
 
used
 
by
 
the
 
index
 
sponsor
 
and
 
will
 
reflect
 
the
 
performance
 
of
 
the
 
Index
 
through
 
the
 
trading
 
day
 
on
 
which
the
 
Index
 
was
 
last
 
in
 
effect
 
preceding
 
the
 
date
 
of
 
discontinuance.
If
 
at
 
any
 
time,
 
there
 
is:
●
 
a
 
material
 
change
 
in
 
the
 
formula
 
for
 
or
 
the
 
method
 
of
 
calculating
 
the
 
level
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
●
 
a
 
material
 
change
 
in
 
the
 
content,
 
composition
 
or
 
constitution
 
of
 
the
 
Index
 
or
 
any
 
successor
 
index;
 
or
●
 
a
 
change
 
or
 
modification
 
to
 
the
 
Index
 
or
 
any
 
successor
 
index
 
such
 
that
 
the
 
Index
 
or
 
successor
 
index
 
does
 
not,
 
in
 
the
 
opinion
of
 
the
 
calculation
 
agent,
 
fairly
 
represent
 
the
 
level
 
of
 
the
 
Index
 
or
 
successor
 
index
 
had
 
those
 
changes
 
or
 
modifications
 
not
been
 
made,
then,
 
for
 
purposes
 
of
 
calculating
 
the
 
closing
 
level
 
or
 
intraday
 
level
 
of
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
any
 
payments
 
on
 
the
 
ETNs
 
or
making
 
any
 
other
 
determinations
 
as
 
of
 
or
 
after
 
that
 
time,
 
the
 
calculation
 
agent
 
may
 
in
 
its
 
sole
 
discretion
 
make
 
such
 
calculations
 
and
 
adjustments
as
 
the
 
calculation
 
agent
 
determines
 
may
 
be
 
necessary
 
in
 
order
 
to
 
arrive
 
at
 
a
 
closing
 
level
 
or
 
intraday
 
level
 
for
 
the
 
Index
 
or
 
that
 
successor
 
index
comparable
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
the
 
case
 
may
 
be,
 
as
 
if
 
those
 
changes
 
or
 
modifications
 
had
 
not
 
been
 
made,
 
and
 
calculate
any
 
payments
 
on
 
the
 
ETNs
 
with
 
reference
 
to
 
the
 
Index
 
or
 
that
 
successor
 
index,
 
as
 
adjusted.
 
The
 
calculation
 
agent
 
will
 
make
 
all
 
determinations
 
with
 
respect
 
to
 
adjustments,
 
including
 
any
 
determination
 
as
 
to
 
whether
 
an
 
event
 
that
may
 
require
 
an
 
adjustment
 
has
 
occurred,
 
as
 
to
 
the
 
nature
 
of
 
the
 
adjustment
 
and
 
how
 
it
 
will
 
be
 
made.
General
 
Terms
 
of
 
the
 
ETNs
Our
 
ETNs
 
are
 
the
 
“
debt
 
securities
”
 
issued
 
under
 
the
 
Indenture.
 
Other
 
than
 
“Agreement
 
with
 
Respect
 
to
 
the
 
Exercise
 
of
 
U.K.
 
Bail-in
Power,”
 
which
 
applies
 
to
 
only
 
a
 
subset
 
of
 
our
 
ETNs
 
specified
 
in
 
that
 
section,
 
and
 
“Default
 
Amount,”
 
which
 
applies
 
to
 
a
 
series
 
of
 
ETNs
 
only
 
if
 
so
specified
 
in
 
the
 
relevant
 
description
 
above,
 
the
 
general
 
terms
 
of
 
the
 
debt
 
securities
 
described
 
in
 
this
 
section
 
apply
 
to
 
all
 
of
 
our
 
ETNs.
Agreement
 
with
 
Respect
 
to
 
the
 
Exercise
 
of
 
U.K.
 
Bail-in
 
Power
References
 
to
 
“debt
 
securities”
 
in
 
this
 
section
 
mean
 
each
 
of
 
the
 
following
 
ETNs:
●
 
iPath
®
 
Series
 
B
 
S&P
 
500
 
VIX
 
Short-Term
 
Futures
TM
Exchange-Traded
 
Notes
 
(VXX)
●
 
iPath
®
 
Series
 
B
 
S&P
 
500
 
VIX
 
Mid-Term
 
Futures
TM
Exchange-Traded
 
Notes
 
(VXZ)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Natural
 
Gas
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(GAZ)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Agriculture
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJA)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Aluminum
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJU)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Coffee
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JO)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Copper
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJC)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Cotton
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(BAL)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Energy
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJE)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Grains
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJG)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Industrial
 
Metals
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJM)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Livestock
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(COW)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Nickel
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJN)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Platinum
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(PGM)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Precious
 
Metals
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJP)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Softs
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJS)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Sugar
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(SSG)
●
 
iPath
®
 
Series
 
B
 
Bloomberg
 
Tin
 
Subindex
 
Total
 
Return
SM
Exchange-Traded
 
Notes
 
(JJT)
●
 
iPath
®
 
Series
 
B
 
Carbon
Exchange-Traded
 
Notes
 
(GRN)
●
 
iPath
®
 
Silver
Exchange-Traded
 
Notes
 
(SBUG)
●
 
Pacer
®
 
iPath
®
 
Gold
Exchange-Traded
 
Notes
 
(GBUG)
Notwithstanding
 
any
 
other
 
agreements,
 
arrangements
 
or
 
understandings
 
between
 
Barclays
 
Bank
 
PLC
 
and
 
any
 
holder
 
or
 
beneficial
owner
 
of
 
the
 
debt
 
securities,
 
by
 
acquiring
 
the
 
debt
 
securities,
 
each
 
holder
 
and
 
beneficial
 
owner
 
of
 
the
 
debt
 
securities
 
acknowledges,
 
accepts,
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
71
agrees
 
to
 
be
 
bound
 
by,
 
and
 
consents
 
to
 
the
 
exercise
 
of,
 
any
 
U.K.
 
Bail-in
 
Power
 
(as
 
defined
 
below)
 
by
 
the
 
relevant
 
U.K.
 
resolution
 
authority
 
(as
defined
 
below)
 
that
 
may
 
result
 
in
 
(i)
 
the
 
reduction
 
or
 
cancellation
 
of
 
all,
 
or
 
a
 
portion,
 
of
 
the
 
principal
 
amount
 
of,
 
interest
 
on,
 
or
 
any
 
other
 
amounts
payable
 
on,
 
the
 
debt
 
securities;
 
(ii)
 
the
 
conversion
 
of
 
all,
 
or
 
a
 
portion,
 
of
 
the
 
principal
 
amount
 
of,
 
interest
 
on,
 
or
 
any
 
other
 
amounts
 
payable
 
on,
the
 
debt
 
securities
 
into
 
shares
 
or
 
other
 
securities
 
or
 
other
 
obligations
 
of
 
Barclays
 
Bank
 
PLC
 
or
 
another
 
person
 
(and
 
the
 
issue
 
to,
 
or
 
conferral
 
on,
the
 
holder
 
or
 
beneficial
 
owner
 
of
 
the
 
debt
 
securities
 
such
 
shares,
 
securities
 
or
 
obligations);
 
and/or
 
(iii)
 
the
 
amendment
 
or
 
alteration
 
of
 
the
maturity
 
of
 
the
 
debt
 
securities,
 
or
 
amendment
 
of
 
the
 
amount
 
of
 
interest
 
or
 
any
 
other
 
amounts
 
due
 
on
 
the
 
debt
 
securities,
 
or
 
the
 
dates
 
on
 
which
interest
 
or
 
any
 
other
 
amounts
 
become
 
payable,
 
including
 
by
 
suspending
 
payment
 
for
 
a
 
temporary
 
period;
 
which
 
U.K.
 
Bail-in
 
Power
 
may
 
be
exercised
 
by
 
means
 
of
 
a
 
variation
 
of
 
the
 
terms
 
of
 
the
 
debt
 
securities
 
solely
 
to
 
give
 
effect
 
to
 
the
 
exercise
 
by
 
the
 
relevant
 
U.K.
 
resolution
 
authority
of
 
such
 
U.K.
 
Bail-in
 
Power.
 
Each
 
holder
 
and
 
beneficial
 
owner
 
of
 
the
 
debt
 
securities
 
further
 
acknowledges
 
and
 
agrees
 
that
 
the
 
rights
 
of
 
the
holders
 
or
 
beneficial
 
owners
 
of
 
the
 
debt
 
securities
 
are
 
subject
 
to,
 
and
 
will
 
be
 
varied,
 
if
 
necessary,
 
solely
 
to
 
give
 
effect
 
to,
 
the
 
exercise
 
of
 
any
 
U.K.
Bail-in
 
Power
 
by
 
the
 
relevant
 
U.K.
 
resolution
 
authority.
 
For
 
the
 
avoidance
 
of
 
doubt,
 
this
 
consent
 
and
 
acknowledgment
 
is
 
not
 
a
 
waiver
 
of
 
any
rights
 
holders
 
or
 
beneficial
 
owners
 
of
 
the
 
debt
 
securities
 
may
 
have
 
at
 
law
 
if
 
and
 
to
 
the
 
extent
 
that
 
any
 
U.K.
 
Bail-in
 
Power
 
is
 
exercised
 
by
 
the
relevant
 
U.K.
 
resolution
 
authority
 
in
 
breach
 
of
 
laws
 
applicable
 
in
 
England.
For
 
these
 
purposes,
 
a
 
“
U.K.
 
Bail-in
 
Power
”
 
is
 
any
 
write-down,
 
conversion,
 
transfer,
 
modification
 
and/or
 
suspension
 
power
 
existing
 
from
time
 
to
 
time
 
under
 
any
 
laws,
 
regulations,
 
rules
 
or
 
requirements
 
relating
 
to
 
the
 
resolution
 
of
 
banks,
 
banking
 
group
 
companies,
 
credit
 
institutions
and/or
 
investment
 
firms
 
incorporated
 
in
 
the
 
United
 
Kingdom
 
in
 
effect
 
and
 
applicable
 
in
 
the
 
United
 
Kingdom
 
to
 
Barclays
 
Bank
 
PLC
 
or
 
other
members
 
of
 
the
 
Group
 
(as
 
defined
 
below),
 
including
 
but
 
not
 
limited
 
to
 
any
 
such
 
laws,
 
regulations,
 
rules
 
or
 
requirements
 
that
 
are
 
implemented,
adopted
 
or
 
enacted
 
within
 
the
 
context
 
of
 
any
 
applicable
 
European
 
Union
 
directive
 
or
 
regulation
 
of
 
the
 
European
 
Parliament
 
and
 
of
 
the
 
Council
establishing
 
a
 
framework
 
for
 
the
 
recovery
 
and
 
resolution
 
of
 
credit
 
institutions
 
and
 
investment
 
firms
 
and/or
 
within
 
the
 
context
 
of
 
a
 
U.K.
 
resolution
regime
 
under
 
the
 
U.K.
 
Banking
 
Act
 
2009,
 
as
 
the
 
same
 
has
 
been
 
or
 
may
 
be
 
amended
 
from
 
time
 
to
 
time
 
(whether
 
pursuant
 
to
 
the
 
U.K.
 
Financial
Services
 
(Banking
 
Reform)
 
Act
 
2013
 
(the
 
“
Banking
 
Reform
 
Act
 
2013
”),
 
secondary
 
legislation
 
or
 
otherwise,
 
the
 
“
Banking
 
Act
”),
 
pursuant
 
to
which
 
obligations
 
of
 
a
 
bank,
 
banking
 
group
 
company,
 
credit
 
institution
 
or
 
investment
 
firm
 
or
 
any
 
of
 
its
 
affiliates
 
can
 
be
 
reduced,
 
cancelled,
amended,
 
transferred
 
and/or
 
converted
 
into
 
shares
 
or
 
other
 
securities
 
or
 
obligations
 
of
 
the
 
obligor
 
or
 
any
 
other
 
person
 
(and
 
a
 
reference
 
to
 
the
“
relevant
 
U.K.
 
resolution
 
authority
”
 
is
 
to
 
any
 
authority
 
with
 
the
 
ability
 
to
 
exercise
 
a
 
U.K.
 
Bail-in
 
Power
 
and
 
the
 
“
Group
”
 
refers
 
to
 
Barclays
 
PLC
(or
 
any
 
successor
 
entity)
 
and
 
its
 
consolidated
 
subsidiaries).
No
 
repayment
 
of
 
the
 
principal
 
amount
 
of
 
the
 
debt
 
securities
 
or
 
payment
 
of
 
interest
 
or
 
any
 
other
 
amounts
 
payable
 
on
 
the
 
debt
 
securities
shall
 
become
 
due
 
and
 
payable
 
after
 
the
 
exercise
 
of
 
any
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
relevant
 
U.K.
 
resolution
 
authority
 
unless
 
such
 
repayment
 
or
payment
 
would
 
be
 
permitted
 
to
 
be
 
made
 
by
 
Barclays
 
Bank
 
PLC
 
under
 
the
 
laws
 
and
 
regulations
 
of
 
the
 
United
 
Kingdom
 
and
 
the
 
European
 
Union
applicable
 
to
 
Barclays
 
Bank
 
PLC.
Under
 
the
 
terms
 
of
 
the
 
debt
 
securities,
 
the
 
exercise
 
of
 
the
 
U.K.
 
Bail-in
 
Power
 
by
 
the
 
relevant
 
U.K.
 
resolution
 
authority
 
with
 
respect
 
to
 
the
debt
 
securities
 
will
 
not
 
be
 
a
 
default
 
or
 
an
 
Event
 
of
 
Default.
If
 
any
 
debt
 
securities
 
provide
 
for
 
the
 
delivery
 
of
 
property,
 
any
 
reference
 
to
 
payment
 
by
 
Barclays
 
Bank
 
PLC
 
under
 
the
 
debt
 
securities
 
will
be
 
deemed
 
to
 
include
 
that
 
delivery
 
of
 
property.
For
 
the
 
avoidance
 
of
 
doubt,
 
references
 
to
 
“holder”
 
in
 
this
 
“Agreement
 
with
 
Respect
 
to
 
the
 
Exercise
 
of
 
U.K.
 
Bail-in
 
Power”
 
section
 
include
beneficial
 
owners
 
of
 
the
 
debt
 
securities.
Holders
 
of
 
debt
 
securities
 
that
 
acquire
 
such
 
debt
 
securities
 
in
 
the
 
secondary
 
market
 
shall
 
be
 
deemed
 
to
 
acknowledge,
 
agree
 
to
 
be
bound
 
by
 
and
 
consent
 
to
 
the
 
same
 
provisions
 
described
 
herein
 
to
 
the
 
same
 
extent
 
as
 
the
 
holders
 
of
 
such
 
debt
 
securities
 
that
 
acquire
 
the
 
debt
securities
 
upon
 
their
 
initial
 
issuance,
 
including,
 
without
 
limitation,
 
with
 
respect
 
to
 
the
 
acknowledgment
 
and
 
agreement
 
to
 
be
 
bound
 
by
 
and
consent
 
to
 
the
 
terms
 
of
 
the
 
debt
 
securities,
 
including
 
in
 
relation
 
to
 
the
 
U.K.
 
Bail-in
 
Power.
Default
 
Amount
The
 
default
 
amount
 
for
 
a
 
series
 
of
 
ETNs
 
on
 
any
 
day
 
will
 
be
 
an
 
amount,
 
determined
 
by
 
the
 
calculation
 
agent
 
in
 
its
 
sole
 
discretion,
 
equal
to
 
the
 
cost
 
of
 
having
 
a
 
qualified
 
financial
 
institution,
 
of
 
the
 
kind
 
and
 
selected
 
as
 
described
 
below,
 
expressly
 
assume
 
all
 
our
 
payment
 
and
 
other
obligations
 
with
 
respect
 
to
 
that
 
series
 
of
 
ETNs
 
as
 
of
 
that
 
day
 
and
 
as
 
if
 
no
 
default
 
or
 
acceleration
 
had
 
occurred,
 
or
 
to
 
undertake
 
other
 
obligations
providing
 
substantially
 
equivalent
 
economic
 
value
 
to
 
holders
 
with
 
respect
 
to
 
such
 
ETNs.
 
That
 
cost
 
will
 
equal:
●
 
the
 
lowest
 
amount
 
that
 
a
 
qualified
 
financial
 
institution
 
would
 
charge
 
to
 
effect
 
this
 
assumption
 
or
 
undertaking,
 
plus
 
●
 
the
 
reasonable
 
expenses,
 
including
 
reasonable
 
attorneys’
 
fees,
 
incurred
 
by
 
the
 
holders
 
of
 
such
 
ETNs
 
in
 
preparing
 
any
documentation
 
necessary
 
for
 
this
 
assumption
 
or
 
undertaking.
During
 
the
 
default
 
quotation
 
period
 
for
 
a
 
series
 
of
 
ETNs,
 
which
 
we
 
describe
 
below,
 
the
 
holders
 
of
 
such
 
ETNs
 
and/or
 
we
 
may
 
request
 
a
qualified
 
financial
 
institution
 
to
 
provide
 
a
 
quotation
 
of
 
the
 
amount
 
it
 
would
 
charge
 
to
 
effect
 
this
 
assumption
 
or
 
undertaking.
 
If
 
either
 
party
 
obtains
a
 
quotation,
 
it
 
must
 
notify
 
the
 
other
 
party
 
in
 
writing
 
of
 
the
 
quotation.
 
The
 
amount
 
referred
 
to
 
in
 
the
 
first
 
bullet
 
point
 
above
 
will
 
equal
 
the
 
lowest—
or,
 
if
 
there
 
is
 
only
 
one,
 
the
 
only—quotation
 
obtained,
 
and
 
as
 
to
 
which
 
notice
 
is
 
so
 
given,
 
during
 
the
 
default
 
quotation
 
period.
 
With
 
respect
 
to
 
any
quotation,
 
however,
 
the
 
party
 
not
 
obtaining
 
the
 
quotation
 
may
 
object,
 
on
 
reasonable
 
and
 
significant
 
grounds,
 
to
 
the
 
assumption
 
or
 
undertaking
by
 
the
 
qualified
 
financial
 
institution
 
providing
 
the
 
quotation
 
and
 
notify
 
the
 
other
 
party
 
in
 
writing
 
of
 
those
 
grounds
 
within
 
two
 
business
 
days
 
after
the
 
last
 
day
 
of
 
the
 
default
 
quotation
 
period,
 
in
 
which
 
case
 
that
 
quotation
 
will
 
be
 
disregarded
 
in
 
determining
 
the
 
default
 
amount.
Default
 
Quotation
 
Period
The
 
default
 
quotation
 
period
 
is
 
the
 
period
 
beginning
 
on
 
the
 
day
 
the
 
default
 
amount
 
first
 
becomes
 
due
 
and
 
ending
 
on
 
the
 
third
 
business
day
 
after
 
that
 
day,
 
unless
●
 
no
 
quotation
 
of
 
the
 
kind
 
referred
 
to
 
above
 
is
 
obtained,
 
or
 
●
 
every
 
quotation
 
of
 
that
 
kind
 
obtained
 
is
 
objected
 
to
 
within
 
five
 
business
 
days
 
after
 
the
 
due
 
date
 
as
 
described
 
above.
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
72
If
 
either
 
of
 
these
 
two
 
events
 
occurs,
 
the
 
default
 
quotation
 
period
 
will
 
continue
 
until
 
the
 
third
 
business
 
day
 
after
 
the
 
first
 
business
 
day
 
on
which
 
prompt
 
notice
 
of
 
a
 
quotation
 
is
 
given
 
as
 
described
 
above.
 
If
 
that
 
quotation
 
is
 
objected
 
to
 
as
 
described
 
above
 
within
 
five
 
business
 
days
after
 
that
 
first
 
business
 
day,
 
however,
 
the
 
default
 
quotation
 
period
 
will
 
continue
 
as
 
described
 
in
 
the
 
prior
 
sentence
 
and
 
this
 
sentence.
In
 
any
 
event,
 
if
 
the
 
default
 
quotation
 
period
 
and
 
the
 
subsequent
 
two
 
business
 
day
 
objection
 
period
 
have
 
not
 
ended
 
before
 
the
 
final
valuation
 
date,
 
then
 
the
 
default
 
amount
 
will
 
equal
 
the
 
principal
 
amount
 
of
 
the
 
series
 
of
 
ETNs.
Qualified
 
Financial
 
Institutions
For
 
the
 
purpose
 
of
 
determining
 
the
 
default
 
amount
 
at
 
any
 
time,
 
a
 
qualified
 
financial
 
institution
 
must
 
be
 
a
 
financial
 
institution
 
organized
under
 
the
 
laws
 
of
 
any
 
jurisdiction
 
in
 
the
 
United
 
States
 
of
 
America
 
or
 
Europe,
 
which
 
at
 
that
 
time
 
has
 
outstanding
 
debt
 
obligations
 
with
 
a
 
stated
maturity
 
of
 
one
 
year
 
or
 
less
 
from
 
the
 
date
 
of
 
issue
 
and
 
rated
 
either:
●
 
A-1
 
or
 
higher
 
by
 
Standard
 
&
 
Poor’s
 
Ratings
 
Services
 
or
 
any
 
successor,
 
or
 
any
 
other
 
comparable
 
rating
 
then
 
used
 
by
 
that
rating
 
agency,
 
or
 
●
 
P-1
 
or
 
higher
 
by
 
Moody’s
 
Investors
 
Service
 
or
 
any
 
successor,
 
or
 
any
 
other
 
comparable
 
rating
 
then
 
used
 
by
 
that
 
rating
 
agency.
Modification
 
and
 
Waiver
We
 
and
 
the
 
Trustee
 
may
 
make
 
certain
 
modifications
 
and
 
amendments
 
to
 
the
 
Indenture
 
applicable
 
to
 
each
 
series
 
of
 
debt
 
securities
without
 
the
 
consent
 
of
 
the
 
holders
 
of
 
the
 
debt
 
securities.
 
We
 
may
 
make
 
other
 
modifications
 
and
 
amendments
 
with
 
the
 
consent
 
of
 
the
 
holder(s)
 
of
not
 
less
 
than
 
a
 
majority
 
of
 
the
 
debt
 
securities
 
of
 
the
 
series
 
outstanding
 
under
 
the
 
Indenture
 
that
 
are
 
affected
 
by
 
the
 
modification
 
or
 
amendment.
However,
 
we
 
may
 
not
 
make
 
any
 
modification
 
or
 
amendment
 
without
 
the
 
consent
 
of
 
the
 
holder
 
of
 
each
 
affected
 
debt
 
security
 
that
 
would:
●
 
change
 
the
 
terms
 
of
 
any
 
debt
 
security
 
to
 
change
 
the
 
stated
 
maturity
 
date
 
of
 
its
 
principal
 
amount;
●
 
change
 
the
 
principal
 
amount
 
of,
 
or
 
any
 
premium
 
or
 
rate
 
of
 
interest,
 
with
 
respect
 
to
 
any
 
debt
 
securities;
●
 
reduce
 
the
 
amount
 
of
 
principal
 
on
 
a
 
discount
 
security
 
that
 
would
 
be
 
due
 
and
 
payable
 
upon
 
an
 
acceleration
 
of
 
the
 
maturity
 
date
of
 
any
 
series
 
of
 
debt
 
securities;
●
 
change
 
our
 
obligation,
 
or
 
any
 
successor’s,
 
to
 
pay
 
additional
 
amounts,
 
if
 
any;
●
 
change
 
the
 
places
 
at
 
which
 
payments
 
are
 
payable
 
or
 
the
 
currency
 
of
 
payment;
●
 
impair
 
the
 
right
 
to
 
sue
 
for
 
the
 
enforcement
 
of
 
any
 
payment
 
due
 
and
 
payable,
 
to
 
the
 
extent
 
that
 
such
 
right
 
exists;
●
 
reduce
 
the
 
percentage
 
in
 
aggregate
 
principal
 
amount
 
of
 
outstanding
 
debt
 
securities
 
of
 
the
 
series
 
necessary
 
to
 
modify
 
or
amend
 
the
 
Indenture
 
or
 
to
 
waive
 
compliance
 
with
 
certain
 
provisions
 
of
 
the
 
Indenture
 
and
 
any
 
past
 
Event
 
of
 
Default;
●
 
change
 
our
 
obligation
 
to
 
maintain
 
an
 
office
 
or
 
agency
 
in
 
the
 
place
 
and
 
for
 
the
 
purposes
 
specified
 
in
 
the
 
Indenture;
●
 
modify
 
the
 
terms
 
and
 
conditions
 
of
 
our
 
obligations
 
in
 
respect
 
of
 
the
 
due
 
and
 
punctual
 
payment
 
of
 
the
 
amounts
 
due
 
and
payable
 
on
 
the
 
debt
 
securities
 
in
 
a
 
manner
 
adverse
 
to
 
the
 
holders;
 
or
●
 
modify
 
the
 
foregoing
 
requirements
 
or
 
the
 
provisions
 
of
 
the
 
Indenture
 
relating
 
to
 
the
 
waiver
 
of
 
any
 
past
 
Event
 
of
 
Default
 
or
covenants,
 
except
 
as
 
otherwise
 
specified.
Events
 
of
 
Default;
 
Limitations
 
on
 
Suits
Events
 
of
 
Default
Unless
 
provided
 
otherwise,
 
a
 
“Event
 
of
 
Default”
 
with
 
respect
 
to
 
any
 
series
 
of
 
debt
 
securities
 
shall
 
result
 
if:
●
 
we
 
do
 
not
 
pay
 
any
 
principal
 
or
 
interest
 
on
 
any
 
debt
 
securities
 
of
 
that
 
series
 
within
 
14
 
days
 
from
 
the
 
due
 
date
 
for
 
payment
 
and
the
 
principal
 
or
 
interest
 
has
 
not
 
been
 
duly
 
paid
 
within
 
a
 
further
 
14
 
days
 
following
 
written
 
notice
 
from
 
the
 
Trustee
 
or
 
from
holders
 
of
 
25%
 
in
 
principal
 
amount
 
of
 
the
 
debt
 
securities
 
of
 
that
 
series
 
to
 
us
 
requiring
 
the
 
payment
 
to
 
be
 
made.
 
It
 
shall
 
not,
however,
 
be
 
an
 
Event
 
of
 
Default
 
if
 
during
 
the
 
14
 
days
 
after
 
the
 
notice
 
such
 
sums
 
(“
Withheld
 
Amounts
”)
 
were
 
not
 
paid
 
in
order
 
to
 
comply
 
with
 
a
 
law,
 
regulation
 
or
 
order
 
of
 
any
 
court
 
of
 
competent
 
jurisdiction.
 
Where
 
there
 
is
 
doubt
 
as
 
to
 
the
 
validity
 
or
applicability
 
of
 
any
 
such
 
law,
 
regulation
 
or
 
order,
 
it
 
shall
 
not
 
be
 
an
 
Event
 
of
 
Default
 
if
 
we
 
act
 
on
 
the
 
advice
 
given
 
to
 
us
 
during
the
 
14-day
 
period
 
by
 
independent
 
legal
 
advisers
 
approved
 
by
 
the
 
Trustee;
 
or
●
 
we
 
breach
 
any
 
covenant
 
or
 
warranty
 
of
 
the
 
Indenture
 
(other
 
than
 
as
 
stated
 
above
 
with
 
respect
 
to
 
payments
 
when
 
due)
 
and
that
 
breach
 
has
 
not
 
been
 
remedied
 
within
 
21
 
days
 
of
 
receipt
 
of
 
a
 
written
 
notice
 
from
 
the
 
Trustee
 
certifying
 
that
 
in
 
its
 
opinion
the
 
breach
 
is
 
materially
 
prejudicial
 
to
 
the
 
interests
 
of
 
the
 
holders
 
of
 
the
 
debt
 
securities
 
of
 
that
 
series
 
and
 
requiring
 
the
 
breach
to
 
be
 
remedied
 
or
 
from
 
holders
 
of
 
at
 
least
 
25%
 
in
 
principal
 
amount
 
of
 
the
 
debt
 
securities
 
of
 
that
 
series
 
requiring
 
the
 
breach
 
to
be
 
remedied;
 
or
●
 
either
 
(i)
 
an
 
English
 
court
 
of
 
competent
 
jurisdiction
 
issues
 
an
 
order
 
which
 
is
 
not
 
successfully
 
appealed
 
within
 
30
 
days,
 
or
 
(ii)
 
an
effective
 
shareholders’
 
resolution
 
is
 
validly
 
adopted,
 
for
 
our
 
winding-up
 
(other
 
than
 
under
 
or
 
in
 
connection
 
with
 
a
 
scheme
 
of
reconstruction,
 
merger
 
or
 
amalgamation
 
not
 
involving
 
bankruptcy
 
or
 
insolvency).
If
 
an
 
Event
 
of
 
Default
 
(as
 
defined
 
below)
 
occurs
 
and
 
is
 
continuing,
 
the
 
Trustee
 
or
 
the
 
holders
 
of
 
at
 
least
 
25%
 
in
 
outstanding
 
principal
amount
 
of
 
the
 
debt
 
securities
 
of
 
that
 
series
 
may
 
at
 
their
 
discretion
 
declare
 
the
 
debt
 
securities
 
of
 
that
 
series
 
to
 
be
 
due
 
and
 
repayable
 
immediately
(and
 
the
 
debt
 
securities
 
of
 
that
 
series
 
shall
 
thereby
 
become
 
due
 
and
 
repayable)
 
at
 
their
 
outstanding
 
principal
 
amount
 
(or
 
at
 
such
 
other
repayment
 
amount)
 
together
 
with
 
accrued
 
interest,
 
if
 
any.
 
The
 
Trustee
 
may
 
at
 
its
 
discretion
 
and
 
without
 
further
 
notice
 
institute
 
such
 
proceedings
as
 
it
 
may
 
think
 
suitable
 
against
 
us
 
to
 
enforce
 
payment.
 
Subject
 
to
 
the
 
provisions
 
of
 
the
 
Indenture
 
for
 
the
 
indemnification
 
of
 
the
 
Trustee,
 
the
holders
 
of
 
a
 
majority
 
in
 
aggregate
 
principal
 
amount
 
of
 
the
 
outstanding
 
debt
 
securities
 
of
 
any
 
series
 
shall
 
have
 
the
 
right
 
to
 
direct
 
the
 
time,
 
method
and
 
place
 
of
 
conducting
 
any
 
proceeding
 
in
 
the
 
name
 
of
 
and
 
on
 
the
 
behalf
 
of
 
the
 
Trustee
 
for
 
any
 
remedy
 
available
 
to
 
the
 
Trustee
 
or
 
exercising
any
 
trust
 
or
 
power
 
conferred
 
on
 
the
 
Trustee
 
with
 
respect
 
to
 
the
 
series.
 
However,
 
this
 
direction
 
must
 
not
 
be
 
in
 
conflict
 
with
 
any
 
rule
 
of
 
law
 
or
 
the
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
73
Indenture,
 
and
 
must
 
not
 
be
 
unjustly
 
prejudicial
 
to
 
the
 
holder(s)
 
of
 
any
 
debt
 
securities
 
of
 
that
 
series
 
not
 
taking
 
part
 
in
 
the
 
direction,
 
as
 
determined
by
 
the
 
Trustee.
 
The
 
Trustee
 
may
 
also
 
take
 
any
 
other
 
action,
 
consistent
 
with
 
the
 
direction,
 
that
 
it
 
deems
 
proper.
If
 
lawful,
 
Withheld
 
Amounts
 
or
 
a
 
sum
 
equal
 
to
 
Withheld
 
Amounts
 
shall
 
be
 
placed
 
promptly
 
on
 
interest
 
bearing
 
deposit
 
as
 
described
 
in
the
 
Indenture.
 
We
 
will
 
give
 
notice
 
if
 
at
 
any
 
time
 
it
 
is
 
lawful
 
to
 
pay
 
any
 
Withheld
 
Amount
 
to
 
holders
 
of
 
debt
 
securities
 
or
 
holders
 
of
 
coupons
 
or
 
if
such
 
payment
 
is
 
possible
 
as
 
soon
 
as
 
any
 
doubt
 
as
 
to
 
the
 
validity
 
or
 
applicability
 
of
 
the
 
law,
 
regulation
 
or
 
order
 
is
 
resolved.
 
The
 
notice
 
will
 
give
the
 
date
 
on
 
which
 
the
 
Withheld
 
Amounts
 
and
 
the
 
interest
 
accrued
 
on
 
it
 
will
 
be
 
paid.
 
This
 
date
 
will
 
be
 
the
 
earliest
 
day
 
after
 
the
 
day
 
on
 
which
 
it
 
is
decided
 
Withheld
 
Amounts
 
can
 
be
 
paid
 
on
 
which
 
the
 
interest
 
bearing
 
deposit
 
falls
 
due
 
for
 
repayment
 
or
 
may
 
be
 
repaid
 
without
 
penalty.
 
On
 
such
date,
 
we
 
shall
 
be
 
bound
 
to
 
pay
 
the
 
Withheld
 
Amounts
 
together
 
with
 
interest
 
accrued
 
on
 
it.
 
For
 
the
 
purposes
 
of
 
this
 
subsection,
 
this
 
date
 
will
 
be
the
 
due
 
date
 
for
 
those
 
sums.
 
Our
 
obligations
 
under
 
this
 
paragraph
 
are
 
in
 
lieu
 
of
 
any
 
other
 
remedy
 
against
 
us
 
in
 
respect
 
of
 
Withheld
 
Amounts.
Payment
 
will
 
be
 
subject
 
to
 
applicable
 
laws,
 
regulations
 
or
 
court
 
orders.
 
Interest
 
accrued
 
on
 
any
 
Withheld
 
Amounts
 
will
 
be
 
paid
 
net
 
of
 
any
 
taxes
required
 
by
 
applicable
 
law
 
to
 
be
 
withheld
 
or
 
deducted
 
and
 
we
 
shall
 
not
 
be
 
obliged
 
to
 
pay
 
any
 
additional
 
amount
 
in
 
respect
 
of
 
any
 
such
withholding
 
or
 
deduction.
The
 
holders
 
of
 
a
 
majority
 
of
 
the
 
aggregate
 
principal
 
amount
 
of
 
the
 
outstanding
 
debt
 
securities
 
of
 
any
 
affected
 
series
 
may
 
waive
 
any
 
past
Event
 
of
 
Default
 
with
 
respect
 
to
 
the
 
series,
 
except
 
any
 
default
 
in
 
respect
 
of
 
either:
●
 
the
 
payment
 
of
 
principal
 
of,
 
or
 
any
 
premium
 
or
 
interest,
 
on
 
any
 
debt
 
securities;
 
or
●
 
a
 
covenant
 
or
 
provision
 
of
 
the
 
Indenture
 
which
 
cannot
 
be
 
modified
 
or
 
amended
 
without
 
the
 
consent
 
of
 
each
 
holder
 
of
 
debt
securities
 
of
 
the
 
series.
Subject
 
to
 
exceptions,
 
the
 
Trustee
 
may,
 
without
 
the
 
consent
 
of
 
the
 
holders,
 
waive
 
or
 
authorize
 
an
 
Event
 
of
 
Default
 
if,
 
in
 
the
 
opinion
 
of
the
 
Trustee,
 
such
 
waiver
 
or
 
authorization
 
would
 
not
 
be
 
materially
 
prejudicial
 
to
 
the
 
interests
 
of
 
the
 
holders.
The
 
Trustee
 
will,
 
within
 
90
 
days
 
of
 
a
 
default
 
with
 
respect
 
to
 
the
 
debt
 
securities
 
of
 
any
 
series,
 
give
 
to
 
each
 
affected
 
holder
 
of
 
the
 
debt
securities
 
of
 
the
 
affected
 
series
 
notice
 
of
 
any
 
default
 
it
 
knows
 
about,
 
unless
 
the
 
default
 
has
 
been
 
cured
 
or
 
waived.
 
However,
 
except
 
in
 
the
 
case
of
 
a
 
default
 
in
 
the
 
payment
 
of
 
the
 
principal
 
of,
 
or
 
premium,
 
if
 
any,
 
or
 
interest,
 
if
 
any,
 
on
 
the
 
debt
 
securities,
 
the
 
Trustee
 
will
 
be
 
entitled
 
to
 
withhold
notice
 
if
 
a
 
trust
 
committee
 
of
 
responsible
 
officers
 
of
 
the
 
Trustee
 
determine
 
in
 
good
 
faith
 
that
 
withholding
 
of
 
notice
 
is
 
in
 
the
 
interest
 
of
 
the
 
holders.
We
 
are
 
required
 
to
 
furnish
 
to
 
the
 
Trustee
 
annually
 
a
 
statement
 
as
 
to
 
our
 
compliance
 
with
 
all
 
conditions
 
and
 
covenants
 
under
 
the
Indenture.
Limitations
 
on
 
Suits
Before
 
a
 
holder
 
may
 
bypass
 
the
 
Trustee
 
and
 
bring
 
its
 
own
 
lawsuit
 
or
 
other
 
formal
 
legal
 
action
 
or
 
take
 
other
 
steps
 
to
 
enforce
 
its
 
rights
 
or
protect
 
its
 
interests
 
relating
 
to
 
the
 
debt
 
securities,
 
the
 
following
 
must
 
occur:
●
 
The
 
holder
 
must
 
give
 
the
 
Trustee
 
written
 
notice
 
that
 
an
 
Event
 
of
 
Default
 
has
 
occurred
 
and
 
remains
 
uncured.
●
 
The
 
holders
 
of
 
25%
 
in
 
principal
 
amount
 
of
 
all
 
outstanding
 
debt
 
securities
 
of
 
the
 
relevant
 
series
 
must
 
make
 
a
 
written
 
request
that
 
the
 
Trustee
 
take
 
action
 
because
 
of
 
the
 
default,
 
and
 
the
 
holder
 
must
 
offer
 
reasonable
 
indemnity
 
to
 
the
 
Trustee
 
against
 
the
cost
 
and
 
other
 
liabilities
 
of
 
taking
 
that
 
action.
●
 
The
 
Trustee
 
must
 
not
 
have
 
taken
 
action
 
for
 
60
 
days
 
after
 
receipt
 
of
 
the
 
above
 
notice
 
and
 
offer
 
of
 
indemnity,
 
and
 
the
 
Trustee
must
 
not
 
have
 
received
 
an
 
inconsistent
 
direction
 
from
 
the
 
majority
 
in
 
principal
 
amount
 
of
 
all
 
outstanding
 
debt
 
securities
 
of
 
the
relevant
 
series
 
during
 
that
 
period.
●
 
In
 
the
 
case
 
of
 
our
 
winding-up
 
in
 
England,
 
such
 
legal
 
action
 
or
 
proceeding
 
is
 
in
 
the
 
name
 
and
 
on
 
behalf
 
of
 
the
 
Trustee
 
to
 
the
same
 
extent,
 
but
 
no
 
further,
 
as
 
the
 
Trustee
 
would
 
have
 
been
 
entitled
 
to
 
do.
Notwithstanding
 
any
 
contrary
 
provisions,
 
nothing
 
shall
 
impair
 
the
 
right
 
of
 
a
 
holder,
 
absent
 
the
 
holder’s
 
consent,
 
to
 
sue
 
for
 
any
 
payments
due
 
but
 
unpaid
 
with
 
respect
 
to
 
the
 
debt
 
securities.
Street
 
name
 
and
 
other
 
indirect
 
holders
 
should
 
consult
 
their
 
banks
 
or
 
brokers
 
for
 
information
 
on
 
how
 
to
 
give
 
notice
 
or
 
direction
 
to
 
or
 
make
 
a
request
 
of
 
the
 
Trustee
 
and
 
how
 
to
 
waive
 
any
 
past
 
Event
 
of
 
Default.
Consolidation,
 
Merger
 
and
 
Sale
 
of
 
Assets;
 
Assumption
We
 
may,
 
without
 
the
 
consent
 
of
 
the
 
holders
 
of
 
any
 
of
 
the
 
debt
 
securities,
 
consolidate
 
or
 
amalgamate
 
with,
 
merge
 
into
 
or
 
transfer
 
or
lease
 
our
 
assets
 
substantially
 
as
 
an
 
entirety
 
to,
 
any
 
of
 
the
 
persons
 
specified
 
in
 
the
 
Indenture.
 
However,
 
any
 
successor
 
corporation
 
formed
 
by
any
 
consolidation,
 
amalgamation
 
or
 
merger,
 
or
 
any
 
transferee
 
or
 
lessee
 
of
 
our
 
assets,
 
must
 
be
 
a
 
bank
 
organized
 
under
 
the
 
laws
 
of
 
the
 
United
Kingdom
 
that
 
assumes
 
our
 
obligations
 
on
 
the
 
debt
 
securities
 
and
 
the
 
Indenture,
 
and
 
a
 
number
 
of
 
other
 
conditions
 
must
 
be
 
met.
Subject
 
to
 
applicable
 
law
 
and
 
regulation
 
(including,
 
if
 
and
 
to
 
the
 
extent
 
required
 
by
 
the
 
Capital
 
Regulations
 
at
 
such
 
time,
 
the
 
prior
consent
 
of
 
the
 
PRA),
 
any
 
of
 
our
 
wholly
 
owned
 
subsidiaries
 
may
 
assume
 
our
 
obligations
 
under
 
the
 
debt
 
securities
 
of
 
any
 
series
 
without
 
the
consent
 
of
 
any
 
holder
 
(the
 
“
Substituted
 
Issuer
”).
 
We,
 
however,
 
must
 
irrevocably
 
guarantee
 
the
 
obligations
 
of
 
the
 
Substituted
 
Issuer
 
under
 
the
debt
 
securities
 
of
 
that
 
series.
 
If
 
we
 
do,
 
all
 
of
 
our
 
direct
 
obligations
 
under
 
the
 
debt
 
securities
 
of
 
the
 
series
 
and
 
the
 
Indenture
 
shall
 
immediately
 
be
discharged.
 
“
Capital
 
Regulations
”
 
me
 
ans,
 
at
 
any
 
time,
 
the
 
laws,
 
regulations,
 
requirements,
 
standards,
 
guidelines
 
and
 
policies
 
relating
 
to
 
capital
adequacy
 
for
 
credit
 
institutions
 
of
 
either
 
(i)
 
the
 
PRA
 
and/or
 
(ii)
 
any
 
other
 
national
 
or
 
European
 
authority,
 
in
 
each
 
case
 
then
 
in
 
effect
 
in
 
the
 
United
Kingdom
 
(or
 
in
 
such
 
other
 
jurisdiction
 
in
 
which
 
the
 
Issuer
 
may
 
be
 
organized
 
or
 
domiciled)
 
and
 
applicable
 
to
 
the
 
Group
 
including,
 
as
 
at
 
the
 
date
hereof,
 
CRD
 
IV
 
and
 
related
 
technical
 
standards.
“
CRD
 
IV
”
 
consists
 
of
 
Directive
 
2013/36/EU
 
on
 
access
 
to
 
the
 
activity
 
of
 
credit
 
institutions
 
and
 
the
 
prudential
 
supervision
 
of
 
credit
institutions
 
and
 
investment
 
firms,
 
as
 
the
 
same
 
may
 
be
 
amended
 
or
 
replaced
 
from
 
time
 
to
 
time
 
and
 
the
 
CRD
 
IV
 
Regulation.
 
 
Barclays
 
Bank
 
PLC
 
2020
 
Annual
 
Report
 
on
 
Form
 
20
 
-F
 
74
“
CRD
 
IV
 
Regulation”
 
means
 
Regulation
 
(EU)
 
No.
 
575/2013
 
on
 
prudential
 
requirements
 
for
 
credit
 
institutions
 
and
 
investment
 
firms
 
of
 
the
European
 
Parliament
 
and
 
of
 
the
 
Council
 
of
 
June
 
26,
 
2013,
 
as
 
the
 
same
 
may
 
be
 
amended
 
or
 
replaced
 
from
 
time
 
to
 
time.
 
“
PRA
”
 
means
 
the
 
Prudential
 
Regulation
 
Authority
 
of
 
the
 
United
 
Kingdom
 
or
 
such
 
other
 
governmental
 
authority
 
in
 
the
 
United
 
Kingdom
 
(or
if
 
Barclays
 
Bank
 
PLC
 
becomes
 
domiciled
 
in
 
a
 
jurisdiction
 
other
 
than
 
the
 
United
 
Kingdom,
 
such
 
other
 
jurisdiction)
 
having
 
primary
 
responsibility
for
 
the
 
prudential
 
supervision
 
of
 
Barclays
 
Bank
 
PLC.
Governing
 
Law
Unless
 
specified
 
otherwise,
 
the
 
debt
 
securities
 
and
 
Indenture
 
will
 
be
 
governed
 
by
 
and
 
construed
 
in
 
accordance
 
with
 
the
 
laws
 
of
 
the
State
 
of
 
New
 
York.
Manner
 
of
 
Payment
 
and
 
Delivery
Any
 
payment
 
on
 
or
 
delivery
 
of
 
a
 
series
 
of
 
ETNs
 
at
 
maturity
 
will
 
be
 
made
 
to
 
accounts
 
designated
 
by
 
holders
 
and
 
approved
 
by
 
us,
 
or
 
at
the
 
office
 
of
 
the
 
Trustee
 
in
 
New
 
York
 
City,
 
but
 
only
 
when
 
the
 
ETNs
 
are
 
surrendered
 
to
 
the
 
Trustee
 
at
 
that
 
office.
 
We
 
also
 
may
 
make
 
any
payment
 
or
 
delivery
 
in
 
accordance
 
with
 
the
 
applicable
 
procedures
 
of
 
DTC.
The
 
Trustee,
 
Paying
 
Agent
 
and
 
Calculation
 
Agent
The
 
Trustee.
 
The
 
Bank
 
of
 
New
 
York
 
Mellon
 
will
 
be
 
the
 
Trustee
 
under
 
the
 
Indenture.
Payment
 
and
 
Paying
 
Agents.
We
 
will
 
pay
 
interest
 
to
 
direct
 
holders
 
listed
 
in
 
the
 
Trustee’s
 
records
 
at
 
the
 
close
 
of
 
business
 
on
 
a
 
particular
day
 
in
 
advance
 
of
 
each
 
due
 
date
 
for
 
interest,
 
even
 
if
 
the
 
direct
 
holder
 
no
 
longer
 
owns
 
the
 
security
 
on
 
the
 
interest
 
due
 
date.
 
That
 
particular
 
day,
usually
 
about
 
one
 
business
 
day
 
in
 
advance
 
of
 
the
 
interest
 
due
 
date,
 
is
 
called
 
the
 
regular
 
record
 
date.
We
 
will
 
pay
 
interest,
 
principal
 
and
 
any
 
other
 
money
 
due
 
on
 
the
 
debt
 
securities
 
at
 
the
 
corporate
 
trust
 
office
 
of
 
the
 
Trustee
 
in
 
New
 
York
City.
 
Holders
 
of
 
debt
 
securities
 
must
 
make
 
arrangements
 
to
 
have
 
their
 
payments
 
picked
 
up
 
at
 
or
 
wired
 
from
 
that
 
office.
 
We
 
may
 
also
 
choose
 
to
pay
 
interest
 
by
 
mailing
 
checks.
Street
 
name
 
and
 
other
 
indirect
 
holders
 
should
 
consult
 
their
 
banks
 
or
 
brokers
 
for
 
information
 
on
 
how
 
they
 
will
 
receive
 
payments.
We
 
may
 
also
 
arrange
 
for
 
additional
 
payment
 
offices,
 
and
 
may
 
cancel
 
or
 
change
 
these
 
offices,
 
including
 
our
 
use
 
of
 
the
 
Trustee’s
corporate
 
trust
 
office.
 
These
 
offices
 
are
 
called
 
paying
 
agents.
 
We
 
may
 
also
 
choose
 
to
 
act
 
as
 
our
 
own
 
paying
 
agent.
 
We
 
must
 
notify
 
the
 
Trustee
of
 
changes
 
in
 
the
 
paying
 
agents
 
for
 
any
 
particular
 
series
 
of
 
debt
 
securities.
Calculation
 
Agent.
 
Currently,
 
Barclays
 
Bank
 
PLC
 
serves
 
as
 
the
 
calculation
 
agent
 
for
 
the
 
ETNs.
 
We
 
may
 
change
 
the
 
calculation
 
agent
after
 
the
 
original
 
issue
 
date
 
of
 
the
 
ETNs
 
without
 
notice.
 
The
 
calculation
 
agent
 
will,
 
in
 
its
 
sole
 
discretion,
 
make
 
all
 
determinations
 
regarding
 
the
value
 
of
 
the
 
ETNs.
Material
 
U.S.
 
Federal
 
Income
 
Tax
 
Considerations
Our
 
ETNs
 
should
 
be
 
treated
 
for
 
U.S.
 
federal
 
income
 
tax
 
purposes
 
as
 
prepaid
 
forward
 
contracts
 
that
 
are
 
not
 
debt
 
instruments.
 
Under
 
this
treatment,
 
no
 
original
 
issue
 
discount
 
(“
OID
”)
 
will
 
be
 
accrued
 
on
 
our
 
ETNs.
 
However,
 
the
 
Internal
 
Revenue
 
Service
 
might
 
assert
 
that
 
any
 
of
 
our
ETNs
 
should
 
be
 
treated
 
as
 
debt
 
instruments
 
subject
 
to
 
the
 
special
 
tax
 
rules
 
governing
 
contingent
 
payment
 
debt
 
instruments.
 
In
 
that
 
event,
 
U.S.
holders
 
of
 
the
 
ETNs
 
would
 
be
 
required
 
to
 
accrue
 
OID
 
over
 
the
 
term
 
of
 
the
 
ETNs
 
based
 
upon
 
the
 
yield
 
at
 
which
 
we
 
would
 
issue
 
a
 
non-contingent
fixed-rate
 
debt
 
instrument
 
with
 
other
 
terms
 
and
 
conditions
 
similar
 
to
 
the
 
applicable
 
ETNs.