The information in this preliminary pricing
supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus
supplement and index supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the
securities in any state where the offer or sale is not permitted.
Subject
to Completion. Dated March 18, 2019
|
|
March 2019
Registration Statement No.
333-212571
Pricing Supplement dated
March , 2019
Filed pursuant to Rule 424(b)(2)
|
Structured
Investments
Opportunities in U.S. and International Equities
Contingent Income Callable Securities due October
4, 2021
Based on the Value of the Worst Performing of
the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Unlike conventional debt
securities, the securities do not guarantee the payment of interest or any return of principal at maturity. Instead, the securities
offer the opportunity for investors to receive a contingent quarterly payment equal to at least
1.6625%
of
the stated principal amount (the actual contingent quarterly payment will be determined on the pricing date) with respect to each
quarterly determination period if a coupon barrier event has not occurred during that determination period. However, if a coupon
barrier event has occurred during a determination period, investors will not receive any contingent quarterly payment for that
determination period. A coupon barrier event will occur with respect to a determination period if the closing level of
any
underlier
is less than
60%
of its initial
underlier value, which we refer to as a
downside threshold level
, on
any
scheduled
trading day during that determination period. In addition, on any contingent payment date (
other than the final contingent
payment date)
,
we will have the right to redeem the securities at our discretion
for an amount per security equal to the stated principal amount
plus
any contingent quarterly payment otherwise due. Any
early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underliers. If the securities are not redeemed prior to maturity and the final underlier value of
each
underlier is greater
than or equal to
its
downside threshold level, the payment at maturity due on the
securities will be equal to the stated principal amount
plus
any contingent quarterly payment otherwise due. However, if
the securities are not redeemed prior to maturity and the final underlier value of
any
underlier
is
less than its downside threshold level, at maturity investors will lose 1% of the stated principal amount for every 1% that the
final underlier value of the
worst p
erforming underlier is less than its initial
underlier value. Under these circumstances, the amount investors receive will be less than
60%
of
the stated principal amount and could be zero. Because all payments on the securities are based on the
worst p
erforming
of the underliers, a decline in the closing level of
any
underlier
below its
downside threshold level
on any scheduled trading day during most or all of the determination
periods will result in few or no contingent quarterly payments, and a decline in the closing level of
any
underlier
below its downside threshold level on the final determination date will result in a significant
loss of your investment,
in each case, even if the other underliers appreciate or have not declined as much
.
The securities are for investors who are willing and able to risk their principal and forgo guaranteed interest payments, in exchange
for the opportunity to receive contingent quarterly payments at a potentially above-market rate, subject to early redemption at
our discretion. Investors will not participate in any appreciation of
any
underlier
even
though investors will be exposed to the depreciation in the value of the
worst p
erforming
underlier if the securities have not been redeemed prior to maturity and the final underlier value of the
worst p
erforming
underlier is less than its downside threshold level.
Investors may lose their entire initial investment in the securities.
The securities are unsecured and unsubordinated debt obligations of Barclays Bank PLC. Any payment on the securities, including
any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (as
described on page 5 of this document) by the relevant U.K. resolution authority, you might not receive any amounts owed to you
under the securities. See “Risk Factors” and “Consent to U.K. Bail-in Power” in this document and “Risk
Factors” in the accompanying prospectus supplement.
SUMMARY TERMS
|
|
Issuer:
|
Barclays Bank PLC
|
Reference assets*:
|
Russell 2000
®
Index (Bloomberg ticker symbol “RTY<Index>”) (the “RTY Index”), S&P 500
®
Index (Bloomberg ticker symbol “SPX<Index>”) (the “SPX Index”) and EURO STOXX 50
®
Index (Bloomberg ticker symbol “SX5E<Index>”) (the “SX5E Index”) (each an “underlier” and together the “underliers”)
|
Aggregate principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Initial issue price:
|
$1,000 per security (see “Commissions and initial issue price” below)
|
Pricing date
†
:
|
March 29, 2019
|
Original issue date
†
:
|
April 3, 2019
|
Maturity date
†
:
|
October 4, 2021
|
Optional early redemption:
|
On any contingent payment date (other than the final contingent payment date), we will have the right to redeem the securities, in whole, but not in part, at our discretion, for the early redemption payment. If we decide to redeem the securities on a contingent payment date, we will give you notice on or before the immediately preceding determination period-end date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underliers.
No further payments will be made on the securities after they have been redeemed.
|
Early redemption payment:
|
The early redemption payment will be an amount per security equal to (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due.
|
Contingent quarterly payment:
|
·
If
a coupon barrier event has not occurred during a determination period, we will pay a contingent quarterly payment of at least $16.625
(at least 1.6625% of the stated principal amount) per security on the related contingent payment date with respect to that determination
period. The actual contingent quarterly payment will be determined on the pricing date.
·
If
a coupon barrier event has occurred during a determination period, no contingent quarterly payment will be made with respect to
that determination period.
|
Payment at maturity:
|
If the securities are not redeemed prior to maturity, you will
receive on the maturity date a cash payment per security determined as follows:
·
If
the final underlier value of each underlier is
greater than or equal to
its downside threshold level:
(i) stated principal amount
plus
(ii) any contingent quarterly payment otherwise due
·
If
the final underlier value of
any
underlier is
less than
its downside threshold level:
stated principal amount ×
underlier performance factor of the worst performing underlier
Under these circumstances, the payment at maturity will
be less than the stated principal amount of $1,000 and will represent a loss of more than 40%, and possibly all, of an investor’s
initial investment. Investors may lose their entire initial investment in the securities. Any payment on the securities, including
any repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC
and (b) the risk of exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority.
|
U.K. Bail-in Power acknowledgment:
|
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the securities, by acquiring the securities, each holder of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page 5 of this document.
|
|
(terms continued on the next page)
|
Commissions and initial issue price:
|
Initial issue price
(1)
|
Price to public
(1)
|
Agent’s commissions
|
Proceeds to issuer
|
Per security
|
$1,000
|
$1,000
|
$15.00
(2)
$5.00
(3)
|
$980.00
|
Total
|
$
|
$
|
$
|
$
|
|
(1)
|
Our estimated value of the securities on the pricing date, based on our internal pricing models, is expected to be between
$950.40 and $970.40 per security. The estimated value is expected to be less than the initial issue price of the securities. See
“Additional Information Regarding Our Estimated Value of the Securities” on page 4 of this document.
|
|
(2)
|
Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc.,
a fixed sales commission of $15.00 for each security they sell. See “Supplemental Plan of Distribution” in this document.
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each
security.
|
One or more of our affiliates may purchase up to 15% of the aggregate
principal amount of the securities and hold such securities for investment for a period of at least 30 days. Accordingly, the total
principal amount of the securities may include a portion that was not purchased by investors on the original issue date. Any unsold
portion held by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore, could adversely
affect the price of the securities in the secondary market. Circumstances may occur in which our interests or those of our affiliates
could be in conflict with your interests.
Investing in the securities involves risks not
associated with an investment in conventional debt securities. See “Risk Factors” beginning on page 14 of this document
and on page S-7 of the prospectus supplement. You should read this document together with the related prospectus, prospectus supplement
and index supplement, each of which can be accessed via the hyperlinks below, before you make an investment decision.
The securities will not be listed on any U.S. securities exchange
or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission
has approved or disapproved of the securities or determined that this document is truthful or complete. Any representation to the
contrary is a criminal offense.
The securities constitute
our unsecured and unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered
by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental
agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Downside threshold level:
|
With respect to the RTY Index:
, which is equal to 60% of its initial underlier value (rounded to three decimal places)
With respect to the SPX Index:
, which is equal to 60% of its initial underlier value (rounded to three decimal places)
With respect to the SX5E Index:
, which is equal to 60% of its initial underlier value (rounded to three decimal places)
|
Coupon barrier event:
|
A coupon barrier event will occur with respect to a determination period if (i) the closing level of
any
underlier is less than its downside threshold level on any scheduled trading day during that determination period and (ii) a market disruption event has not occurred with respect to that underlier on that day.
|
Initial underlier value:
|
With respect to the RTY Index:
, which is the closing level of that underlier on the pricing date
With respect to the SPX Index:
, which is the closing level of that underlier on the pricing date
With respect to the SX5E Index:
, which is the closing level of that underlier on the pricing date
|
Final underlier value:
|
With respect to each underlier, the closing level of that underlier on the final determination date
|
Underlier performance factor:
|
With respect to each underlier, its final underlier value divided by its initial underlier value
|
Worst performing underlier:
|
The underlier with the lowest underlier performance factor
|
Determination periods:
|
There are ten quarterly determination periods. The first determination period will consist of each day from but excluding the pricing date to and including the first determination period-end date. Each subsequent determination period will consist of each day from but excluding a determination period-end date to and including the next following determination period-end date.
|
Determination period-end dates
†
:
|
June 28, 2019, September 30, 2019, December 30, 2019, March 30, 2020, June 29, 2020, September 29, 2020, December 29, 2020, March 29, 2021, June 29, 2021, and September 29, 2021. We also refer to the final determination period-end date, September 29, 2021, as the final determination date.
|
Contingent payment dates
†
:
|
July 3, 2019, October 3, 2019, January 3, 2020, April 2, 2020, July 2, 2020, October 2, 2020, January 4, 2021, April 1, 2021, July 2, 2021 and the maturity date
|
Closing level*:
|
With respect to each underlier, closing level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
|
Additional terms:
|
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement.
|
CUSIP / ISIN:
|
06747MK39 / US06747MK392
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Selected dealer:
|
Morgan Stanley Wealth Management (“MSWM”)
|
*
|
If an underlier is discontinued or if the sponsor of an underlier fails to publish that underlier, the calculation agent may select a successor underlier or, if no successor underlier is available, will calculate the value to be used as the closing level of that underlier. In addition, the calculation agent will calculate the value to be used as the closing level of an underlier in the event of certain changes in or modifications to that underlier. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
|
†
|
Expected. In the event that we make any change to the pricing date or the original issue date, the determination period-end dates, the contingent payment dates and/or the maturity date may be changed so that the stated term of the securities remains the same. Each determination period-end date may be postponed if that determination period-end date is not a scheduled trading day with respect to
any underlier
or if a market disruption event occurs with respect to
any underlier
on that determination period-end date as described under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference Asset” and “Reference Assets—Least or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement. In addition, a contingent payment date and/or the maturity date will be postponed if that day is not a business day or if the relevant determination period-end date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
Barclays Capital Inc
.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Additional Terms of the Securities
You should read this document
together with the prospectus dated March 30, 2018, as supplemented by the prospectus supplement dated July 18, 2016 and the index
supplement dated July 18, 2016 relating to our Global Medium-Term Notes, Series A, of which the securities are a part. This document,
together with the documents listed below, contains the terms of the securities and supersedes all prior or contemporaneous oral
statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider,
among other things, the matters set forth in “Risk Factors” in the prospectus supplement, as the securities involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisors before you invest in the securities.
When you read the prospectus
supplement and the index supplement, note that all references to the prospectus dated July 18, 2016, or to any sections therein,
should refer instead to the accompanying prospectus dated March 30, 2018, or to the corresponding sections of that prospectus.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on
the SEC website):
Prospectus dated March
30, 2018:
http://www.sec.gov/Archives/edgar/data/312070/000119312518103150/d561709d424b3.htm
Prospectus supplement dated
July 18, 2016:
http://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm
Index supplement dated
July 18, 2016:
http://www.sec.gov/Archives/edgar/data/312070/000110465916133002/a16-14463_22424b3.htm
Our SEC file number is
1-10257 and our Central Index Key, or CIK, on the SEC website is 0000312070. As used in this document, “we,” “us”
and “our” refer to Barclays Bank PLC.
In connection with this
offering, Morgan Stanley Wealth Management is acting in its capacity as a selected dealer.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Additional Information Regarding Our Estimated
Value of the Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based on our internal
funding rates. Our estimated value of the securities might be lower if such valuation were based on the levels at which our benchmark
debt securities trade in the secondary market.
Our estimated value of the securities on the pricing date is
expected to be less than the initial issue price of the securities. The difference between the initial issue price of the securities
and our estimated value of the securities is expected to result from several factors, including any sales commissions expected
to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected
to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in
connection with structuring the securities, the estimated cost that we may incur in hedging our obligations under the securities,
and estimated development and other costs that we may incur in connection with the securities.
Our estimated value on the pricing date is not a prediction of
the price at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may
buy or sell the securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another
affiliate of ours intends to offer to purchase the securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the
pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market, if any,
and the value that we may initially use for customer account statements, if we provide any customer account statements at all,
may exceed our estimated value on the pricing date for a temporary period expected to be approximately 40 days after the initial
issue date of the securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated
cost of hedging our obligations under the securities and other costs in connection with the securities that we will no longer expect
to incur over the term of the securities. We made such discretionary election and determined this temporary reimbursement period
on the basis of a number of factors, which may include the tenor of the securities and/or any agreement we may have with the distributors
of the securities. The amount of our estimated costs that we effectively reimburse to investors in this way may not be allocated
ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the
reimbursement period after the initial issue date of the securities based on changes in market conditions and other factors that
cannot be predicted.
We urge you to read “Risk Factors” beginning on
page 14 of this document.
You may revoke your offer to
purchase the securities at any time prior to the pricing date. We reserve the right to change the terms of, or reject any offer
to purchase, the securities prior to their pricing date. In the event of any changes to the terms of the securities, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in
which case we may reject your offer to purchase.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Consent to U.K. Bail-in Power
Notwithstanding any
other agreements, arrangements or understandings between us and any holder of the securities, by acquiring the securities, each
holder of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by
the relevant U.K. resolution authority.
Under the U.K. Banking
Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant
U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment
firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is an European Economic Area (“EEA”) or third country institution or investment
firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect
of that entity.
The U.K. Bail-in Power
includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the 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 of the securities
such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the securities, or amendment
of the amount of interest or any other amounts due on the 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 securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder of the securities further acknowledges and agrees that the rights of the holders of the 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 of the 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
more information, please see “Risk Factors—You may lose some or all of your investment if any U.K. bail-in power is
exercised by the relevant U.K. resolution authority” in this document as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the
Group is failing or likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks
Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Investment Summary
Contingent Income Callable Securities
Principal at Risk Securities
The Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and
the EURO STOXX 50
®
Index, which we refer to as the securities, provide an opportunity for investors to receive a
contingent quarterly payment, which is an amount equal to at least $16.625 (at least 1.6625% of the stated principal amount), with
respect to each quarterly determination period if a coupon barrier event has not occurred during that determination period. However,
if a coupon barrier event has occurred during a determination period, investors will not receive any contingent quarterly payment
for that determination period. A coupon barrier event will occur with respect to a determination period if the closing level of
any
underlier is less than 60% of its initial underlier value, which we refer to as a downside threshold level, on
any
scheduled trading day during that determination period. The actual contingent quarterly payment will be determined on the pricing
date. The closing level of at least one of the underliers could be below its downside threshold level on any scheduled trading
day during most or all of the determination periods so that you receive few or no contingent quarterly payments over the term of
the securities.
On any contingent payment date (other than the final contingent
payment date),
we will have the right to redeem the securities at our discretion
for an early redemption payment equal to
the stated principal amount
plus
any contingent quarterly payment otherwise due. If the securities are redeemed prior to
maturity, investors will receive no further contingent quarterly payments. Any early redemption of the securities will be at our
discretion and will not automatically occur based on the performance of the underliers. At maturity, if the securities have not
previously been redeemed and the final underlier value of each underlier is greater than or equal to its downside threshold level,
the payment at maturity will be equal to the stated principal amount
plus
any contingent quarterly payment otherwise due.
However, if the securities have not previously been redeemed and the final underlier value of any underlier is less than its downside
threshold level, investors will lose 1% of the stated principal amount for every 1% that the final underlier value of the worst
performing underlier is less than its initial underlier value. Under these circumstances, the amount investors receive will be
less than 60% of the stated principal amount and could be zero. Investors in the securities must be willing and able to accept
the risk of losing their entire initial investment based on the performance of the worst performing underlier and also the risk
of not receiving any contingent quarterly payment throughout the entire term of the securities. In addition, investors will not
participate in any appreciation of any underlier.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities are for investors who are willing and able to
risk their principal and forgo guaranteed interest payments, in exchange for the opportunity to receive contingent quarterly payments
at a potentially above-market rate, subject to early redemption at our discretion. The securities offer investors an opportunity
to receive a contingent quarterly payment of at least $16.625 (at least 1.6625% of the stated principal amount) with respect to
each determination period if a coupon barrier event has not occurred during that determination period. The actual contingent quarterly
payment will be determined on the pricing date. In addition, the following scenarios reflect the potential payment on the securities,
if any, upon an early redemption or at maturity:
Scenario 1
|
On any contingent payment date (other than
the final contingent payment date), we redeem the securities.
§
The
securities will be redeemed for (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due.
§
Investors
will not participate in any appreciation of any underlier from its initial underlier value and will receive no further contingent
quarterly payments.
Any early redemption of the securities will be at our discretion
and will not automatically occur based on the performance of the underliers. It is more likely that we will redeem the securities
when it would otherwise be advantageous for you to continue to hold the securities. As such, we will be more likely to redeem the
securities when the closing level of each underlier appears likely to be at or above its downside threshold level, which might
otherwise result in an amount of interest payable on the securities that is greater than instruments of a comparable maturity and
credit rating trading in the market. In other words, we will be more likely to redeem the securities when the securities are paying
an above-market coupon. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly payments
and may be forced to reinvest in a lower interest rate environment. There is no guarantee that you would be able to reinvest the
proceeds from an investment in the securities in a comparable investment with a similar level of risk in the event the securities
are redeemed prior to the maturity date. On the other hand, we will be less likely to exercise our redemption right when the closing
level of any underlier appears likely to be below its downside threshold level, such that you might receive no further contingent
quarterly payments and that you might suffer a significant loss on your investment in the securities at maturity. Therefore, if
we do not exercise our redemption right, it is more likely that you will receive few or no contingent quarterly payments and that
you will suffer a significant loss on your investment at maturity.
|
Scenario 2
|
The securities are not redeemed prior to maturity
and the final underlier value of each underlier is
greater than or equal to
its downside threshold level.
§
The
payment due at maturity will be (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due.
§
Investors
will not participate in any appreciation of any underlier from its initial underlier value.
|
Scenario 3
|
The securities are not redeemed prior to maturity
and the final underlier value of any underlier
is less than
its downside threshold level.
§
The
payment due at maturity will be equal to the stated principal amount
times
the underlier performance factor of the worst
performing underlier. In this case, at maturity, the securities pay less than 60% of the stated principal amount and the percentage
loss of the stated principal amount will be equal to the percentage decrease in the final underlier value of the worst performing
underlier from its initial underlier value. For example, if the final underlier value of the worst performing underlier is
55% less than its initial underlier value, the securities will pay $450.00 per security, or 45% of the stated principal amount,
for a loss of 55% of the stated principal amount.
Investors will lose a significant portion and may lose all of their principal
in this scenario.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Selected Purchase Considerations
The securities are not suitable
for all investors. The securities
may
be a suitable investment for you if all of the following statements are true:
|
§
|
You do not seek an investment that produces fixed
periodic interest or coupon payments or other non-contingent sources of current income.
|
|
§
|
You do not anticipate that the final underlier value
of
any
underlier will be less than its downside threshold level on the final determination date, and you are willing and
able to accept the risk that, if it is, you will lose a significant portion or all of the stated principal amount.
|
|
§
|
You understand that a coupon barrier event will occur
with respect to a determination period if the closing level of
any
underlier is less than its downside threshold level on
any scheduled trading day
during that determination period, and you are willing and able to accept the risk that, if a coupon
barrier event occurs during a determination period, you will not receive any contingent quarterly payment for that determination
period.
|
|
§
|
You understand that the closing
level of
any
underlier
could be below its
downside threshold level
on
any scheduled trading day
during
most or all of the determination periods, and you are willing and able to accept the risk that, if it is, you will receive few
or no contingent quarterly payments over the term of the securities.
|
|
§
|
You are willing and able to accept the individual
market risk of
each underlier
and you understand that poor performance by
any
underlier over the term of the securities
may negatively affect your return and will not be offset or mitigated by any positive performance by the other underliers.
|
|
§
|
You are willing and able to forgo participation in
any appreciation of any underlier, and you understand that any return on your investment will be limited to the contingent quarterly
payments that may be payable on the securities.
|
|
§
|
You are willing and able to accept the risks associated
with an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk
Factors” section of this document.
|
|
§
|
You understand and accept that you will not be entitled
to receive dividends or distributions that may be paid to holders of the securities composing the underliers, nor will you have
any voting rights with respect to the securities composing the underliers.
|
|
§
|
You are willing and able to accept the risk that we
may redeem the securities at our discretion prior to scheduled maturity, that it is more likely that we will redeem the securities
when it would otherwise be advantageous for you to continue to hold the securities and that you may not be able to reinvest your
money in an alternative investment with comparable risk and yield.
|
|
§
|
You do not seek an investment for which there will
be an active secondary market and you are willing and able to hold the securities to maturity if the securities are not redeemed
at our discretion.
|
|
§
|
You are willing and able to assume our credit risk
for all payments on the securities.
|
|
§
|
You are willing and able to consent to the exercise
of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
The securities
may
not
be a suitable investment for you if
any
of the following statements are true:
|
§
|
You seek an investment that produces fixed periodic
interest or coupon payments or other non-contingent sources of current income.
|
|
§
|
You seek an investment that provides for the full
repayment of principal at maturity.
|
|
§
|
You anticipate that the final underlier value of
any
underlier will be less than its downside threshold level on the final determination date, or you are unwilling or unable to accept
the risk that, if it is, you will lose a significant portion or all of the stated principal amount.
|
|
§
|
You are unwilling or unable to accept the risk that,
if the closing level of
any underlier
is less than its downside threshold level on
any scheduled trading day
during
a determination period, a coupon barrier event will occur with respect to that determination period and you will not receive any
contingent quarterly payment for that determination period.
|
|
§
|
You are unwilling or unable
to accept that, if the closing level of
any
underlier is below its
downside threshold level
on
any scheduled trading day
during most or all of the determination periods, you will receive few or no contingent quarterly
payments over the term of the securities.
|
|
§
|
You are unwilling or unable to accept the individual
market risk of
each underlier
or the risk that poor performance by
any
underlier over the term of the securities
may negatively affect your return and will not be offset or mitigated by any positive performance by the other underliers.
|
|
§
|
You seek exposure to any upside performance of the
underliers or you seek an investment with a return that is not limited to the contingent quarterly payments that may be payable
on the securities.
|
|
§
|
You are unwilling or unable to accept the risks associated
with an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk
Factors” section of this document.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
§
|
You seek an investment that entitles you to dividends
or distributions on, or voting rights related to, the securities composing the underliers.
|
|
§
|
You are unwilling or unable to accept the risk that
we may redeem the securities at our discretion prior to scheduled maturity.
|
|
§
|
You seek an investment for which there will be an
active secondary market and/or you are unwilling or unable to hold the securities to maturity if they are not redeemed at our discretion.
|
|
§
|
You are unwilling or unable to assume our credit risk
for all payments on the securities.
|
|
§
|
You are unwilling or unable to consent to the exercise
of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
You must rely on your own
evaluation of the merits of an investment in the securities
.
You should reach a decision whether to invest in the securities
after carefully considering, with your advisors, the suitability of the securities in light of your investment objectives and the
specific information set forth in this document, the prospectus, the prospectus supplement and the index supplement. Neither the
issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the securities for investment.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on whether we exercise our option to redeem the securities and on the closing level of each underlier
on the scheduled trading days during the determination periods and on the final determination date.
Diagram #1: Contingent Payment Dates Prior
to the Maturity Date
Diagram
#2: Payment at Maturity If Not Redeemed Early at Our Option
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Hypothetical Examples
The numbers appearing in the following examples may have been
rounded for ease of analysis. The examples below assume that the securities will be held until maturity or earlier redemption and
do not take into account the tax consequences of an investment in the securities. The examples below are based on the following
terms:*
Hypothetical Initial Underlier Values:
|
With respect to each underlier: 100.00
|
Hypothetical Downside Threshold Levels:
|
With respect to each underlier: 60.000, which is 60% of its hypothetical initial underlier value
|
Hypothetical Contingent Quarterly Payment:
|
$16.625 (1.6625% of the stated principal amount). The actual contingent quarterly payment will be set on the pricing date and will be at least 1.6625% of the stated principal amount.
|
Stated Principal Amount:
|
$1,000 per security
|
* Terms used for purposes of these hypothetical examples may
not represent the actual initial underlier values, downside threshold levels or contingent quarterly payment applicable to the
securities. In particular, the hypothetical initial underlier value of 100.00 for each underlier used in these examples has been
chosen for illustrative purposes only and may not represent a likely actual initial underlier value for any underlier. Please see
“Russell 2000
®
Index Overview,” “S&P 500
®
Index Overview” and “EURO
STOXX 50
®
Index Overview” below for recent actual values of the underliers. The actual initial underlier values,
downside threshold levels and contingent quarterly payment applicable to the securities will be determined on the pricing date.
The examples below are based on the worst performing underlier
during each determination period and on the final determination date, and assume that no market disruption event occurs with respect
to any underlier during the term of the securities. We make no representation or warranty as to which of the underliers will be
the worst performing underlier for the purpose of calculating the payment at maturity, if applicable, or as to what the closing
level of any underlier will be on any scheduled trading day during any determination period. For purposes of the examples below,
the “worst performing underlier” on any scheduled trading day during each determination period or on the final determination
date will be the underlier with the largest percentage decline from its initial underlier value to its closing level on that scheduled
trading day or the final determination date, as applicable.
In Examples 1 and 2, we redeem the securities on one of the contingent
payment dates prior to the final contingent payment date. In Examples 3 and 4, the securities are not redeemed prior to, and remain
outstanding until, maturity. Any early redemption of the securities will be at our discretion and will not automatically occur
based on the performance of the underliers.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
Example 1
|
Example 2
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
#1
|
105.00
|
No
|
—*
|
$1,016.625
|
100.00
|
No
|
$16.625
|
N/A
|
#2
|
N/A
|
N/A
|
N/A
|
N/A
|
50.00
|
Yes
|
$0
|
N/A
|
#3
|
N/A
|
N/A
|
N/A
|
N/A
|
40.00
|
Yes
|
$0
|
N/A
|
#4
|
N/A
|
N/A
|
N/A
|
N/A
|
59.50
|
Yes
|
$0
|
N/A
|
#5
|
N/A
|
N/A
|
N/A
|
N/A
|
80.00
|
No
|
$16.625
|
N/A
|
#6
|
N/A
|
N/A
|
N/A
|
N/A
|
40.00
|
Yes
|
$0
|
$1,000.00
|
#7 to #9
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Final Determination Period
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Final Underlier Value of Worst Performing Underlier
|
N/A
|
N/A
|
Payment at Maturity
|
N/A
|
N/A
|
* If we redeem the securities, the early redemption payment will
include any contingent quarterly payment otherwise due.
In Example 1, we redeem the securities on the contingent payment
date following the first determination period. As a coupon barrier event did not occur during the related determination period,
the early redemption payment you receive following the first determination period will include the contingent quarterly payment
due with respect to that determination period, and the early redemption payment will be calculated as follows:
stated
principal amount + contingent quarterly payment = $1,000 +
$16.625
=
$1,016.625
In this example, the optional early redemption feature limits
the term of your investment to approximately 3 months, and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the worst performing underlier
has appreciated from its initial underlier value as of the first determination period-end date, upon early redemption you receive
only $1,016.625 per security and do not benefit from the appreciation of any underlier.
In Example 2, we redeem the securities on the contingent payment
date following the sixth determination period. As a coupon barrier event has not occurred during the first and fifth determination
periods, you receive the contingent quarterly payment of $16.625 with respect to those determination periods. Because a coupon
barrier event has occurred with respect to the sixth determination period, the early redemption payment you receive following the
sixth determination period will not include any contingent quarterly payment with respect to that determination period, and the
early redemption payment will be equal to the stated principal amount of $1,000. Moreover, because a coupon barrier event occurred
with respect to the second, third and fourth determination periods, no contingent quarterly payment is made with respect to those
determination periods.
In this example, the optional early redemption feature limits
the term of your investment to approximately 18 months, and you may not be able to reinvest at comparable terms or returns. If
the securities are redeemed early, you will stop receiving contingent quarterly payments.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
Example 3
|
Example 4
|
Determination Periods
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
Hypothetical Lowest Closing Level of Worst Performing Underlier during Determination Period
|
Did a Coupon Barrier Event Occur during Determination Period?
|
Contingent Quarterly Payment
(per security)
|
Early Redemption Payment
(per security)
|
#1
|
50.00
|
Yes
|
$0
|
N/A
|
55.00
|
Yes
|
$0
|
N/A
|
#2
|
40.00
|
Yes
|
$0
|
N/A
|
45.00
|
Yes
|
$0
|
N/A
|
#3
|
35.00
|
Yes
|
$0
|
N/A
|
40.00
|
Yes
|
$0
|
N/A
|
#4
|
45.00
|
Yes
|
$0
|
N/A
|
45.00
|
Yes
|
$0
|
N/A
|
#5
|
30.00
|
Yes
|
$0
|
N/A
|
50.00
|
Yes
|
$0
|
N/A
|
#6
|
25.00
|
Yes
|
$0
|
N/A
|
55.00
|
Yes
|
$0
|
N/A
|
#7 to #9
|
35.00
|
Yes
|
$0
|
N/A
|
50.00
|
Yes
|
$0
|
N/A
|
Final Determination Period
|
50.00
|
Yes
|
$0
|
N/A
|
40.00
|
Yes
|
$0
|
N/A
|
Final Underlier Value of Worst Performing Underlier
|
50.00
|
75.00
|
Payment at Maturity
|
$500.00
|
$1,000.00
|
Examples 3 and 4 illustrate the payment at maturity per security
based on the final underlier value of the worst performing underlier.
In Example 3, the securities are not redeemed prior to maturity
and a coupon barrier event has occurred during each determination period throughout the term of the securities. As a result, you
do not receive any contingent quarterly payments during the term of the securities even if the closing levels of the other underliers
on each scheduled trading day during the determination periods have appreciated or have not declined below their respective downside
threshold levels and even if the closing level of the worst performing underlier on the determination period-end date for that
determination period is greater than its downside threshold level. In addition, because the final underlier value of the worst
performing underlier is less than its downside threshold level, at maturity, you are fully exposed to the decline in the closing
level of the worst performing underlier. Thus, investors will receive a cash payment at maturity that is significantly less than
the stated principal amount per security, calculated as follows:
(
$1,000
× underlier performance factor of the
worst
performing
underlier)
=
$1,000
× (final underlier value of the
worst
performing
underlier / initial underlier value of the
worst
performing underlier)
=
$1,000
× (50.00 / 100.00) = $500.00
In this example, the cash payment you receive at maturity
is significantly less than the stated principal amount.
In Example 4, the securities are not redeemed prior to maturity
and a coupon barrier event has occurred during each determination period throughout the term of the securities. As a result, you
do not receive any contingent quarterly payments with respect to any determination period even if the closing levels of the other
underliers on each scheduled trading day during the determination periods have appreciated or have not declined below their respective
downside threshold levels and even if the closing level of the worst performing underlier on the determination period-end date
for that determination period is greater than its downside threshold level. In addition, the closing level of the worst performing
underlier decreases to a final underlier value of 75.00. Although the final underlier value of the worst performing underlier is
less than its initial underlier value, because the final underlier value of the worst performing underlier is still not less than
its downside threshold level, you receive the stated principal amount at maturity. However, because a coupon barrier event has
occurred during the final determination period, you will not receive a contingent quarterly payment with respect to the final determination
period.
In this example, although the
final underlier value of the worst performing underlier represents a 25% decline from its initial underlier value, you receive
the stated principal amount of $1,000 per security at maturity because the final underlier value of the worst performing underlier
is not less than its downside threshold level.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Risk Factors
An investment in the securities involves significant risks.
We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. Investing
in the securities is not equivalent to investing directly in any or all of the underliers or the securities composing the underliers.
The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these
and other risks, you should read the section entitled “Risk Factors” in the prospectus supplement, including the risk
factors discussed under the following headings:
|
o
|
“Risk Factors—Risks Relating to the Securities Generally”;
|
|
o
|
“Risk Factors—Additional Risks Relating to Securities with Reference Assets That Are Equity Securities, Indices
of Equity Securities or Exchange-Traded Funds that Hold Equity Securities”; and
|
|
o
|
“Risk Factors—Additional Risks Relating to Securities That We May Call or Redeem (Automatically or Otherwise).”
|
|
§
|
The securities do not guarantee the return of any
principal.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee
the return of any of the stated principal amount at maturity. Instead, if the securities have not been redeemed prior to maturity
and if the final underlier value of any underlier is less than its downside threshold level, you will be exposed to the decline
in the closing level of the worst performing underlier, as compared to its initial underlier value, on a 1-to-1 basis and you will
receive for each security that you hold at maturity an amount in cash equal to the stated principal amount
times
the underlier
performance factor of the worst performing underlier. Under these circumstances, your payment at maturity will be less than 60%
of the stated principal amount and could be zero.
|
|
§
|
You will not receive any contingent quarterly payment
for any quarterly determination period if a coupon barrier event occurs on any scheduled trading day during that determination
period with respect to any underlier.
The terms of the securities differ from those of ordinary debt securities in that they
do not provide for regular interest payments. Instead, a contingent quarterly payment will be made with respect to a determination
period only if a coupon barrier event has not occurred during that determination period. A coupon barrier event will occur if the
closing level of any underlier is less than its downside threshold level on any scheduled trading day during that determination
period. If the closing level of at least one underlier is below its downside threshold level on any scheduled trading day during
a determination period (i.e., if a coupon barrier event has occurred during that determination period), you will not receive a
contingent quarterly payment with respect to that determination period even if the closing levels of the other underliers on each
scheduled trading day during the determination periods have appreciated or have not declined below their respective downside threshold
levels and even if each underlier closes above its downside threshold level on the determination period end date for that determination
period. Therefore, unless each underlier closes above its downside threshold level on each scheduled trading day during a determination
period, you will not receive any contingent quarterly payment for that determination period. The closing level of the worst performing
underlier could be below its downside threshold level on any scheduled trading day during most or all of the determination periods
so that you receive few or no contingent quarterly payments over the term of the securities. If you do not receive sufficient contingent
quarterly payments over the term of the securities, the overall return on the securities may be less than the amount that would
be paid on a conventional debt security of the issuer of comparable maturity.
|
|
§
|
Early redemption risk.
The term of your investment
in the securities may be limited to as short as approximately three months by the optional early redemption feature of the securities.
Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underliers. It is more likely that we will redeem the securities when it would otherwise be advantageous for you to continue to
hold the securities. As such, we will be more likely to redeem the securities when the closing level of each underlier is at or
above its downside threshold level, which would otherwise potentially result in an amount of interest payable on the securities
that is greater than instruments of a comparable maturity and credit rating trading in the market. In other words, we will be more
likely to redeem the securities when the securities are paying an above-market coupon. If the securities are redeemed prior to
maturity, no further contingent quarterly payments will be made on the securities and you may be forced to reinvest in a lower
interest rate environment. There is no guarantee that you would be able to reinvest the proceeds from an investment in the securities
in a comparable investment with a similar level of risk in the event the securities are redeemed prior to the maturity date. On
the other hand, we will be less likely to exercise our redemption right when the closing level of any underlier is below its downside
threshold level, such that you will receive no contingent quarterly payments and that you might suffer a significant loss on your
investment in the securities at maturity. Therefore, if we do not exercise our redemption right, it is more likely that you will
receive few or no contingent quarterly payments and that you will suffer a significant loss on your investment at maturity.
|
|
§
|
Credit of issuer.
The securities are unsecured
and unsubordinated debt obligations of the issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the securities, including any repayment of principal, is subject to the ability of
Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual
and perceived creditworthiness of Barclays Bank PLC may affect the market value of the securities and, in the event Barclays Bank
PLC were to default on its obligations, you might not receive any amount owed to you under the terms of the securities.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
§
|
You may lose some or all
of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority.
Notwithstanding any other
agreements, arrangements or understandings between Barclays Bank PLC and any holder of the securities, by acquiring the securities,
each holder of the securities acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power
by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power” in this document. Accordingly,
any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders of the securities losing all or
a part of the value of your investment in the securities or receiving a different security from the securities, which may be worth
significantly less than the securities and which may have significantly fewer protections than those typically afforded to debt
securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance
notice to, or requiring the consent of, the holders of the securities. The exercise of any U.K. Bail-in Power by the relevant U.K.
resolution authority with respect to the securities will not be a default or an Event of Default (as each term is defined in the
indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in
accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the securities.
See “Consent to U.K. Bail-in Power” in this document as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or
likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
|
|
§
|
You are exposed to the market risk of each underlier,
with respect to both the contingent quarterly payments, if any, and the payment at maturity, if any.
Your return on the securities
is not linked to a basket consisting of each underlier. Rather, it will be contingent upon the independent performance of each
underlier. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and diversified
among all the components of the basket, you will be exposed to the risks related to each underlier. Poor performance by any underlier
over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance
by the other underliers. To receive a contingent quarterly payment with respect to a determination period, each underlier must
close at or above its downside threshold level on each scheduled trading day during that determination period. In addition, if
the securities have not been redeemed early and any underlier has declined to below its downside threshold level as of the final
determination date, you will be fully exposed to the decline in the worst performing underlier over the term of the securities
on a 1-to-1 basis, even if the other underliers have appreciated or have not declined as much. Under this scenario, the value of
any such payment will be less than 60% of the stated principal amount and could be zero. Accordingly, your investment is subject
to the market risk of each underlier.
|
|
§
|
Because the securities are linked to the performance
of the worst performing underlier, you are exposed to greater risks of no contingent quarterly payments and sustaining a significant
loss on your investment than if the securities were linked to just one underlier.
The risk that you will not receive any contingent
quarterly payments, or that you will suffer a significant loss on your investment, is greater if you invest in the securities as
opposed to substantially similar securities that are linked to the performance of just one underlier. With three underliers, it
is more likely that any underlier will close below its downside threshold level on any scheduled trading day during any determination
period than if the securities were linked to only one underlier, and therefore it is more likely that you will not receive any
contingent quarterly payments. In addition, with three underliers, it is more likely that any underlier will close below its downside
threshold level on the final determination date than if the securities were linked to only one underlier, and therefore it is more
likely that you will suffer a significant loss on your investment.
|
|
§
|
Contingent repayment of principal applies only
at maturity.
You should be willing and able to hold the securities to maturity. If you sell the securities prior to maturity
in the secondary market, if any, you may have to sell the securities at a loss relative to your initial investment even if the
level of each underlier is above its downside threshold level.
|
|
§
|
You will not participate in any appreciation in
the value of any underlier.
You will not participate in any appreciation in the value of any underlier from its initial underlier
value even though you will be exposed to the depreciation in the value of the worst performing underlier if the securities have
not been redeemed prior to maturity and the final underlier value of the worst performing underlier is less than its downside threshold
level. The return on the securities will be limited to the contingent quarterly payment that is paid with respect to each determination
period during which a coupon barrier event has not occurred.
|
|
§
|
The securities will not be listed on any securities
exchange, and secondary trading may be limited.
Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer
to purchase the securities in the secondary market but are not required to do so and may cease any such market making activities
at any time, without notice. Even if a secondary market develops, it may not provide enough liquidity to allow you to trade or
sell the securities easily. Because other dealers are not likely to make a secondary market for the securities, the price, if any,
at which you may be able to trade your securities is likely to depend on the price, if any, at which Barclays Capital Inc. and
other affiliates of Barclays Bank PLC are willing to buy the securities. In addition, Barclays Capital Inc. or one or more of our
other affiliates may at any time hold an unsold portion of the securities (as described on the cover page of this document), which
may inhibit the development of a secondary market for the securities. The securities are not designed to be short-term trading
instruments. Accordingly, you should be willing and able to hold your securities to maturity.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
§
|
The securities are subject
to volatility risk.
Volatility is a measure
of the degree of variation in the levels of the underliers over a period of time. The contingent quarterly payment will be determined
on the pricing date based on a number of factors, including the expected volatility of the underliers. The contingent quarterly
payment will be higher than the fixed rate that we would pay on a conventional debt security of the same tenor and will be higher
than it otherwise would have been had the expected volatility of the underliers, calculated as of the pricing date, been lower.
As volatility of an underlier increases, there will typically be a greater likelihood that (a) the closing level of that underlier
will be less than its downside threshold level during one or more determination periods and (b) the final underlier value of that
underlier will be less than its downside threshold level.
|
Accordingly, you should understand that a higher contingent
quarterly payment will reflect, among other things, an indication of a greater likelihood that you will (a) not receive contingent
quarterly payments with respect to one or more determination periods and/or (b) incur a loss of principal at maturity than would
have been the case had the contingent quarterly payment been lower. In addition, actual volatility over the term of the securities
may be significantly higher than the expected volatility at the time the terms of the securities were determined. If actual volatility
is higher than expected, you will face an even greater risk that you will not receive contingent quarterly payments and/or that
you will lose a significant portion or all of your principal at maturity for the reasons described above.
|
§
|
The contingent quarterly payment is based on the
closing level of each underlier throughout the determination periods.
Whether the contingent quarterly payment will be made
with respect to a determination period will be based on the closing level of each underlier on each scheduled trading day during
that determination period. As a result, you will not know whether you will receive the contingent quarterly payment with respect
to a determination period until the end of that determination period. Moreover, because each contingent quarterly payment is based
solely on the closing level of each underlier on any scheduled trading day during a determination period, if the closing level
of any underlier on any scheduled trading day during a determination period is less than its downside threshold level, you will
not receive any contingent quarterly payment with respect to that determination period, even if the closing level of that underlier
was higher on other days during that determination period.
|
|
§
|
Investing in the securities is not equivalent to
investing in any or all underliers or the securities composing the underliers.
Investors in the securities will not have
voting rights or rights to receive dividends or other distributions or any other rights with respect to the securities composing
the underliers.
|
|
§
|
The securities are subject to small-capitalization
companies risk with respect to the RTY Index.
The RTY Index tracks companies that are considered small-capitalization companies.
These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies,
and therefore securities linked to the RTY Index may be more volatile than an investment linked to an index with component stocks
issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of
large-capitalization companies to adverse business and economic developments. In addition, small-capitalization companies are typically
less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more
vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early,
and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
|
|
§
|
There are risks associated with investments in
securities linked to the value of non-U.S. equity securities with respect to the SX5E Index.
The equity securities composing
the SX5E Index are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to the value of
such non-U.S. equity securities, such as the securities, involve risks associated with the securities markets in the home countries
of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in
those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S.
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws.
|
|
§
|
The securities do not provide direct exposure to
fluctuations in exchange rates between the U.S. dollar and the euro with respect to
the SX5E Index
.
The SX5E Index is
composed of non-U.S. securities denominated in euros. Because the level of the SX5E Index is also calculated in euros (and not
in U.S. dollars), the performance of the SX5E Index will not be adjusted for exchange rate fluctuations between the U.S. dollar
and the euro. In addition, any payments on the securities determined based in part on the performance of the SX5E Index will not
be adjusted for exchange rate fluctuations between the U.S. dollar and the euro. Therefore, holders of the securities will not
benefit from any appreciation of the euro relative to the U.S. dollar.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
§
|
Adjustments to the underliers could adversely affect
the value of the securities.
The publisher of each underlier may discontinue or suspend calculation or publication of that
underlier at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index
that is comparable to the discontinued underlier and is not precluded from considering indices that are calculated and published
by the calculation agent or any of its affiliates.
|
|
§
|
Hedging and trading activity by the issuer and
its affiliates could potentially adversely affect the value of the securities.
Hedging or trading activities of the issuer’s
affiliates and of any other hedging counterparty with respect to the securities could adversely affect the values of the underliers
and, as a result, could decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging
or trading activities on or prior to the pricing date could potentially increase the initial underlier values and, as a result,
the downside threshold levels, which are the levels at or above which the respective underliers must close on each scheduled trading
day during a determination period in order for you to receive a contingent quarterly payment with respect to that determination
period or, if the securities are not redeemed prior to maturity, the levels at or above which the respective underliers must close
on the final determination date in order for you to avoid being exposed to the negative price performance of the worst performing
underlier at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect
the values of the underliers on any scheduled trading day during the determination periods or on the final determination date and,
accordingly, whether investors will receive one or more contingent quarterly payments and, if the securities are not redeemed prior
to maturity, the payment at maturity, if any.
|
|
§
|
The market price of the securities will be influenced
by many unpredictable factors.
Several factors will influence the value of the securities in the secondary market and the price
at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC may be willing to purchase or sell the securities in the
secondary market. Although we expect that generally the values of the underliers on any day will affect the value of the securities
more than any other single factor, other factors that may influence the value of the securities include:
|
|
o
|
the volatility (frequency and magnitude of changes in value) of each underlier;
|
|
o
|
whether the closing level of any underlier has been, or is expected to be, below its downside threshold level on any scheduled
trading day during any determination period or the final determination date;
|
|
o
|
correlation (or lack of correlation) of the underliers;
|
|
o
|
dividend rates on the securities composing the underliers;
|
|
o
|
interest and yield rates in the market;
|
|
o
|
time remaining until the securities mature;
|
|
o
|
supply and demand for the securities;
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory and judicial events that affect the securities composing
the underliers and that may affect the final underlier values;
|
|
o
|
the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities composing the
SX5E Index trade; and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
The values of the underliers may be, and have recently
been, volatile, and we can give you no assurance that the volatility will lessen. See “Russell 2000
®
Index
Overview,” “S&P 500
®
Index Overview” and “EURO STOXX 50
®
Index Overview”
below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell
your securities prior to maturity.
|
§
|
The estimated value of your securities is expected
to be lower than the initial issue price of your securities.
The estimated value of your securities on the pricing date is
expected to be lower, and may be significantly lower, than the initial issue price of your securities. The difference between the
initial issue price of your securities and the estimated value of the securities is expected as a result of certain factors, such
as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts,
commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our
affiliates expect to earn in connection with structuring the securities, the estimated cost that we may incur in hedging our obligations
under the securities, and estimated development and other costs that we may incur in connection with the securities.
|
|
§
|
The estimated value of your securities might be
lower if such estimated value were based on the levels at which our debt securities trade in the secondary market.
The estimated
value of your securities on the pricing date is based on a number of variables, including our internal funding rates. Our internal
funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this
difference, the estimated values referenced above might be lower if such estimated values were based on the levels at which our
benchmark debt securities trade in the secondary market.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
§
|
The estimated value of the securities is based
on our internal pricing models, which may prove to be inaccurate and may be different from the pricing models of other financial
institutions.
The estimated value of your securities on the pricing date is based on our internal pricing models, which take
into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These
variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from
other financial institutions’ pricing models and the methodologies used by us to estimate the value of the securities may
not be consistent with those of other financial institutions that may be purchasers or sellers of securities in the secondary market.
As a result, the secondary market price of your securities may be materially different from the estimated value of the securities
determined by reference to our internal pricing models.
|
|
§
|
The estimated value of your securities is not a
prediction of the prices at which you may sell your securities in the secondary market, if any, and such secondary market prices,
if any, will likely be lower than the initial issue price of your securities and may be lower than the estimated value of your
securities.
The estimated value of the securities will not be a prediction of the prices at which Barclays Capital Inc., other
affiliates of ours or third parties may be willing to purchase the securities from you in secondary market transactions (if they
are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your securities in the
secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid
and ask spread for similar sized trades, and may be substantially less than our estimated value of the securities. Further, as
secondary market prices of your securities take into account the levels at which our debt securities trade in the secondary market,
and do not take into account our various costs related to the securities such as fees, commissions, discounts, and the costs of
hedging our obligations under the securities, secondary market prices of your securities will likely be lower than the initial
issue price of your securities. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties
may be willing to purchase the securities from you in secondary market transactions, if any, will likely be lower than the price
you paid for your securities, and any sale prior to the maturity date could result in a substantial loss to you.
|
|
§
|
The temporary price at which we may initially buy
the securities in the secondary market and the value we may initially use for customer account statements, if we provide any customer
account statements at all, may not be indicative of future prices of your securities.
Assuming that all relevant factors remain
constant after the pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary
market (if Barclays Capital Inc. makes a market in the securities, which it is not obligated to do) and the value that we may initially
use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the
securities on the pricing date, as well as the secondary market value of the securities, for a temporary period after the initial
issue date of the securities. The price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary
market and the value that we may initially use for customer account statements may not be indicative of future prices of your securities.
|
|
§
|
We and our affiliates, and any dealer participating
in the distribution of the securities, may engage in various activities or make determinations that could materially affect your
securities in various ways and create conflicts of interest.
We and our affiliates play a variety of roles in connection with
the issuance of the securities, as described below. In performing these roles, our and our affiliates’ economic interests
are potentially adverse to your interests as an investor in the securities.
|
In connection with our normal business activities and
in connection with hedging our obligations under the securities, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other
financial services with respect to these financial instruments and products. These financial instruments and products may include
securities, derivative instruments or assets that may relate to the underliers or their components. In any such market making,
trading and hedging activity, investment banking and other financial services, we or our affiliates may take positions or take
actions that are inconsistent with, or adverse to, the investment objectives of the holders of the securities. We and our affiliates
have no obligation to take the needs of any buyer, seller or holder of the securities into account in conducting these activities.
Such market making, trading and hedging activity, investment banking and other financial services may negatively impact the value
of the securities.
In addition, the role played by Barclays Capital Inc.,
as the agent for the securities, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from
the distribution of the securities and such compensation or financial benefit may serve as an incentive to sell the securities
instead of other investments. Furthermore, we and our affiliates establish the offering price of the securities for initial sale
to the public, and the offering price is not based upon any independent verification or valuation.
Furthermore, if any dealer participating in the distribution
of the securities or any of its affiliates conducts hedging activities for us in connection with the securities, that participating
dealer or its affiliates will expect to realize a projected profit from such hedging activities, and this projected profit will
be in addition to any selling concession that the participating dealer realizes for the sale of the securities to you. This additional
projected profit may create a further incentive for the participating dealer to sell the securities to you.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
In addition to the activities described above, we will
also act as the calculation agent for the securities. As calculation agent, we will determine any values of the underliers and
make any other determinations necessary to calculate any payments on the securities. In making these determinations, we may be
required to make discretionary judgments, including determining whether a market disruption event has occurred on any date that
the value of an underlier is to be determined; if an underlier is discontinued or if the sponsor of an underlier fails to publish
that underlier, selecting a successor underlier or, if no successor underlier is available, determining any value necessary to
calculate any payments on the securities; and calculating the value of an underlier on any date of determination in the event of
certain changes in or modifications to that underlier. In making these discretionary judgments, our economic interests are potentially
adverse to your interests as an investor in the securities, and any of these determinations may adversely affect any payments on
the securities.
|
§
|
Tax treatment.
Significant
aspects of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See
“Additional provisions—Tax considerations” below.
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The RTY Index
is calculated, maintained and published by FTSE Russell. The RTY Index measures the capitalization-weighted price performance of
2,000 small-capitalization stocks and is designed to track the performance of the small capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The Russell Indices” in the accompanying index
supplement, as supplemented by the following updated information. As of August 2017, to be eligible for inclusion in the RTY Index,
each company is required to have more than 5% of its voting rights (aggregated across all of its equity securities) in the hands
of unrestricted shareholders. Companies already included in the RTY Index have a 5 year grandfathering period to comply or they
will be removed from the RTY Index in September 2022.
Information about the RTY Index as of market close on March 14,
2019:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High:
|
1,740.753
|
Current Closing Level:
|
1,549.635
|
52 Week Low:
|
1,266.925
|
52 Weeks Ago (3/15/2018):
|
1,576.618
|
|
|
|
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the RTY Index for each quarter for the period of January 2, 2014 through March 14, 2019. The associated graph
shows the closing levels of the RTY Index for each day in the same period. The closing level of the RTY Index on March 14, 2019
was 1,549.635. We obtained the closing levels of the RTY Index from Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. Although the official closing levels of the RTY Index are published to six decimal places by
the RTY Index sponsor, Bloomberg reports the closing levels of the RTY Index to fewer decimal places. Historical performance of
the RTY Index should not be taken as an indication of future performance. Future performance of the RTY Index may differ significantly
from historical performance, and no assurance can be given as to the closing level of the RTY Index during the term of the securities,
including on any scheduled trading day during a determination period or on the final determination date. We cannot give you assurance
that the performance of the RTY Index will not result in a loss on your initial investment.
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
1,535.511
|
2018
|
|
|
|
First Quarter
|
1,610.706
|
1,463.793
|
1,529.427
|
Second Quarter
|
1,706.985
|
1,492.531
|
1,643.069
|
Third Quarter
|
1,740.753
|
1,653.132
|
1,696.571
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
1,348.559
|
2019
|
|
|
|
First Quarter (through March 14, 2019)
|
1,590.062
|
1,330.831
|
1,549.635
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
RTY Index Historical Performance*
January 2, 2014 to March 14, 2019
|
|
* The dotted line indicates a hypothetical downside threshold level of 60% of the closing level of the RTY Index on March 14, 2019. The actual downside threshold level will be equal to 60% of the initial underlier value of the RTY Index.
|
Past
performance is not indicative of future results.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The SPX Index
consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more information
about the SPX Index, see “Indices—The S&P U.S. Indices” in the accompanying index supplement, as supplemented
by the following updated information. Beginning in June 2016 (or July 2017, in the case of IEX), U.S. common equities listed on
Cboe BZX, Cboe BYX, Cboe EDGA, Cboe EDGX or IEX were added to the universe of securities that are eligible for inclusion in the
SPX Index and, effective March 2017, the minimum unadjusted company market capitalization for potential additions to the SPX Index
was increased to $6.1 billion from $5.3 billion. In addition, as of July 2017, the securities of companies with multiple share
class structures are no longer eligible to be added to the SPX Index, but securities already included in the SPX Index have been
grandfathered and are not affected by this change.
Information about the SPX Index as of market close on March 14,
2019:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High:
|
2,930.75
|
Current Closing Level:
|
2,808.48
|
52 Week Low:
|
2,351.10
|
52 Weeks Ago (3/15/2018):
|
2,747.33
|
|
|
|
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the SPX Index for each quarter for the period of January 2, 2014 through March 14, 2019. The associated graph
shows the closing levels of the SPX Index for each day in the same period. The closing level of the SPX Index on March 14, 2019
was 2,808.48. We obtained the closing levels of the SPX Index from Bloomberg, without independent verification. Historical performance
of the SPX Index should not be taken as an indication of future performance. Future performance of the SPX Index may differ significantly
from historical performance, and no assurance can be given as to the closing level of the SPX Index during the term of the securities,
including on any scheduled trading day during a determination period or on the final determination date. We cannot give you assurance
that the performance of the SPX Index will not result in a loss on your initial investment.
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter (through March 14, 2019)
|
2,810.92
|
2,447.89
|
2,808.48
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
SPX Index Historical Performance*
January 2, 2014 to March 14, 2019
|
|
* The dotted line indicates a hypothetical downside threshold level of 60% of the closing level of the SPX Index on March 14, 2019. The actual downside threshold level will be equal to 60% of the initial underlier value of the SPX Index.
|
Past
performance is not indicative of future results.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The SX5E
Index is composed of 50 component stocks of market leaders in terms of free-float market capitalization from 11 Eurozone countries:
Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. At any given time,
some eligible countries may not be represented in the SX5E Index. For more information about the SX5E Index, see “Indices—The
EURO STOXX 50
®
Index” in the accompanying index supplement.
Information about the SX5E Index as of market close on March
14, 2019:
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High:
|
3,592.18
|
Current Closing Level:
|
3,342.03
|
52 Week Low:
|
2,937.36
|
52 Weeks Ago (3/15/2018):
|
3,414.13
|
|
|
|
|
|
|
The following table sets forth the published high, low and period-end
closing levels of the SX5E Index for each quarter for the period of January 2, 2014 through March 14, 2019. The associated graph
shows the closing levels of the SX5E Index for each day in the same period. The closing level of the SX5E Index on March 14, 2019
was 3,342.03. We obtained the closing levels of the SX5E Index from Bloomberg, without independent verification. Historical performance
of the SX5E Index should not be taken as an indication of future performance. Future performance of the SX5E Index may differ significantly
from historical performance, and no assurance can be given as to the closing level of the SX5E Index during the term of the securities,
including on any scheduled trading day during a determination period or on the final determination date. We cannot give you assurance
that the performance of the SX5E Index will not result in a loss on your initial investment.
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter (through March 14, 2019)
|
3,342.03
|
2,954.66
|
3,342.03
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
SX5E Index Historical Performance*
January 2, 2014 to March 14, 2019
|
|
* The dotted line indicates a hypothetical downside threshold level of 60% of the closing level of the SX5E Index on March 14, 2019. The actual downside threshold level will be equal to 60% of the initial underlier value of the SX5E Index.
|
Past
performance is not indicative of future results.
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on
the cover page of this document.
Additional provisions:
|
|
Minimum ticketing size:
|
$1,000 / 1 security
|
Tax considerations:
|
You should review carefully the sections entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative
Contracts with Associated (Contingent) Coupons” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders,” in the accompanying prospectus supplement. The following discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend
to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with
Associated (Contingent) Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell
LLP, has advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal
Revenue Service (the “IRS”) or a court may adopt.
Sale, exchange or redemption of a security.
Assuming the
treatment described above is respected, upon a sale or exchange of the securities (including upon early redemption or redemption
at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the securities, which should equal the amount you paid to acquire the securities (assuming contingent quarterly
payments are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be
short-term capital gain or loss unless you hold the securities for more than one year, in which case the gain or loss should be
long-term capital gain or loss, whether or not you are an initial purchaser of the securities at the issue price. The deductibility
of capital losses is subject to limitations. If you sell your securities between the time your right to a contingent quarterly
payment is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the contingent
quarterly payment. Although uncertain, it is possible that proceeds received from the sale or exchange of your securities prior
to a determination period-end date but that can be attributed to an expected contingent quarterly payment could be treated as ordinary
income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the securities could be materially affected.
In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax advisor regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. holders.
Insofar as we have responsibility as
a withholding agent, we do not currently intend to treat contingent quarterly payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required
to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described
under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.
If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2021 that do not have a “delta of
one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on our determination that the securities do not have a “delta of one”
within the meaning of the regulations, we expect that these regulations will not apply to the securities with regard to non-U.S.
holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend
|
Contingent Income Callable Securities due October 4, 2021
Based on the Value of the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
on your particular circumstances, including whether you enter
into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the securities. You should consult your tax advisor regarding
the potential application of Section 871(m) to the securities.
You should review the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to Non-U.S. Holders—Foreign Account Tax Compliance Withholding” in the
accompanying prospectus supplement. The discussion in that section is modified to reflect regulations proposed by the U.S. Treasury
Department indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds (other than amounts treated
as interest) of the disposition of financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on
these proposed regulations pending their finalization.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
Barclays Bank PLC
|
Use of proceeds and hedging:
|
The net proceeds we receive from the sale
of the securities will be used for various corporate purposes as set forth in the prospectus and prospectus supplement and,
in part, in connection with hedging our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge
our anticipated exposure in connection with the securities by taking positions in futures and options contracts on the underliers
and any other securities or instruments we may wish to use in connection with such hedging. Trading and other transactions
by us or our affiliates could affect the values of the underliers, the market value of the securities or any amounts payable on
the securities. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in
the prospectus supplement.
|
ERISA:
|
See “Benefit Plan Investor Considerations” in the accompanying prospectus supplement.
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087.
|
This document represents a summary of the terms and conditions
of the securities. We encourage you to read the accompanying prospectus, prospectus supplement and index supplement for this offering,
which can be accessed via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth
Management”) and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a fixed sales commission
for each security they sell, and Morgan Stanley Wealth Management will receive a structuring fee for each security, in each case
as specified on the cover page of this document.
We expect that delivery of the securities will be made against
payment for the securities on the original issue date indicated on the cover of this document, which is expected to be more than
two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the
secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise.
Accordingly, purchasers who wish to trade the securities on any date prior to two business days before delivery will be required,
by virtue of the fact that the securities will initially settle in more than two business days, to specify alternative settlement
arrangements to prevent a failed settlement. See “Plan of Distribution (Conflicts of Interest)” in the prospectus supplement.
The securities are not intended to be offered,
sold or otherwise made available to and may not be offered, sold or otherwise made available to any retail investor in the European
Economic Area (“EEA Retail Investor”). For these purposes, an EEA Retail Investor means a person who is one (or more)
of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended from time to time, “MiFID”);
(ii) a customer within the meaning of Directive 2002/92/EC (as amended from time to time), where that customer would not qualify
as a professional client as defined in point (10) of Article 4(1) of MiFID; or (iii) not a qualified investor as defined in Directive
2003/71/EC (as amended from time to time, including by Directive 2010/73/EU). Consequently no key information document required
by Regulation (EU) No 1286/2014 (as amended from time to time, the “PRIIPs Regulation”) for offering or selling the
securities or otherwise making them available to EEA Retail Investors has been prepared and therefore offering or selling such
securities or otherwise making them available to any EEA Retail Investor may be unlawful under the PRIIPs Regulation.
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