Additional
Information about the Issuer and the Securities
You should read this pricing supplement
together with the prospectus dated August 1, 2019, as supplemented by the prospectus supplement dated August 1, 2019 relating to
our Global Medium-Term Notes, Series A, of which these securities are a part, and the underlying supplement dated August 1, 2019.
This pricing supplement, 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 under “Risk Factors” in the prospectus supplement and “Selected
Risk Considerations” in this pricing 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.
To the extent the information or terms
in this pricing supplement are different from or inconsistent with the information or terms in the prospectus, prospectus supplement
or underlying supplement, the information and terms in this pricing supplement will control.
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):
Our SEC file number is 1-10257. As used
in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
Additional
Information Regarding Our Estimated Value of the Securities
The range of the estimated values of the
securities referenced above may not correlate on a linear basis with the range for the contingent coupon rate set forth in this
pricing supplement. We determined the size of the range for the contingent coupon rate based on prevailing market conditions, as
well as the anticipated duration of the marketing period for the securities. The final terms for the securities will be determined
on the date the securities are initially priced for sale to the public (the “pricing date”) based on prevailing market
conditions on or prior to the pricing date and will be communicated to investors orally and/or in a final pricing supplement.
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 original offering price of the securities. The difference between the original
offering 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 four months 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 the “Selected
Risk Considerations” beginning on page PPS-12 of this pricing supplement.
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.
Consent
to U.K. Bail-in Power
Notwithstanding any other agreements,
arrangements or understandings between us and any holder or beneficial owner of the securities, by acquiring the securities, each
holder and beneficial owner 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 a 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 or beneficial owner 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 and beneficial owner of the securities further acknowledges and agrees that the rights of the holders or beneficial
owners 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 or beneficial owners 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 “Selected
Risk Considerations—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 pricing supplement 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.
Investor
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:
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You do not seek an investment that produces fixed periodic interest or coupon payments or other
non-contingent sources of current income.
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You do not anticipate that the ending level of the lowest performing Index on the final calculation
day will be less than its threshold level, and you are willing and able to accept the risk that, if it is, you will lose more than
25%, and possibly all, of the original offering price at stated maturity.
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You do not anticipate that the closing level of the lowest performing Index will be less than its
threshold level on any calculation day, and you are willing and able to accept the risk that, if it is, you may receive few or
no contingent coupon payments over the term of the securities.
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You are willing and able to accept the individual market risk of each Index and you understand
that poor performance by any Index over the term of the securities may negatively affect your return and will not be offset or
mitigated by any positive performance by the other Indices.
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You are willing and able to forgo participation in any appreciation of any Index, and you understand
that any return on your investment will be limited to the contingent coupon payments that may be payable on the securities.
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You are willing and able to accept the risks associated with an investment linked to the performance
of the lowest performing Index, as explained in more detail in the “Selected Risk Considerations” section of this pricing
supplement.
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You understand and accept that you will not be entitled to receive dividends or distributions that
may be paid to holders of the securities composing the Indices, nor will you have any voting rights with respect to the securities
composing the Indices.
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You are willing and able to accept the risk that the securities may be automatically redeemed prior
to stated maturity and that you may not be able to reinvest your money in an alternative investment with comparable risk and yield.
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You do not seek an investment for which there will be an active secondary market and you are willing
and able to hold the securities to stated maturity if the securities are not automatically redeemed.
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You are willing and able to assume our credit risk for all payments on the securities.
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K.
resolution authority.
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The securities may not be a suitable
investment for you if any of the following statements are true:
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You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent
sources of current income.
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You seek an investment that provides for the full repayment of principal at stated maturity.
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You anticipate that the ending level of the lowest performing Index on the final calculation day
will be less than its threshold level, or you are unwilling or unable to accept the risk that, if it is, you will lose more than
25%, and possibly all, of the original offering price at stated maturity.
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You anticipate that the closing level of the lowest performing Index will be less than its threshold
level on any calculation day, or you are unwilling or unable to accept the risk that, if it is, you may receive few or no contingent
coupon payments over the term of the securities.
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You are unwilling or unable to accept the individual market risk of each Index or the risk that
poor performance by any Index over the term of the securities may negatively affect your return and will not be offset or mitigated
by any positive performance by the other Indices.
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You seek exposure to any upside performance of the Indices or you seek an investment with a return
that is not limited to the contingent coupon payments that may be payable on the securities.
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You are unwilling or unable to accept the risks associated with an investment linked to the performance
of the lowest performing Index, as explained in more detail in the “Selected Risk Considerations” section of this pricing
supplement.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related
to, the securities composing the Indices.
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You are unwilling or unable to accept the risk that the securities may be automatically redeemed
prior to stated maturity.
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You seek an investment for which there will be an active secondary market and/or you are unwilling
or unable to hold the securities to stated maturity if they are not automatically redeemed.
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You are unwilling or unable to assume our credit risk for all payments on the securities.
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant
U.K. resolution authority.
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The suitability considerations identified
above are not exhaustive. Whether or not the securities are a suitable investment for you will depend on your individual circumstances,
and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have
carefully considered the suitability of an investment in the securities in light of your particular circumstances. You should also
review carefully the “Selected Risk Considerations” beginning on page PPS-12 of this pricing supplement and the “Risk
Factors” beginning on page S-7 of the accompanying prospectus supplement for risks related to an investment in the securities.
For more information about the Indices, please see the sections titled “The Dow Jones Industrial Average®,”
“The Russell 2000® Index” and “The S&P 500® Index” below.
Determining
Payment on a Contingent Coupon Payment Date and at Maturity
On each quarterly contingent coupon payment
date prior to the stated maturity date, whether the securities are automatically called and whether you receive a contingent coupon
payment will each be determined based on the closing level of the lowest performing Index on the related quarterly calculation
day.
Step 1: Determine which Index is
the lowest performing Index on the relevant calculation day prior to the final calculation day. The lowest performing Index on
any calculation day is the Index that has the lowest performance factor on that calculation day, calculated for each Index as the
closing level of that Index on that calculation day divided by its starting level.
Step 2: Determine if the securities
are automatically called and whether a contingent coupon is paid on the applicable contingent coupon payment date prior to the
stated maturity date, based on the closing level of the lowest performing Index on the relevant calculation day, as follows:
On the stated maturity date, if the securities
have not been automatically called prior to the stated maturity date, you will receive a cash payment per security calculated as
described below.
Step 1: Determine which Index is
the lowest performing Index on the final calculation day. The lowest performing Index on the final calculation day is the Index
that has the lowest performance factor on the final calculation day, calculated for each Index as its ending level divided by its
starting level.
Step 2: Calculate the maturity payment
amount based on the ending level of the lowest performing Index, as follows:
Hypothetical
Payout Profile
The following profile illustrates the potential
maturity payment amount on the securities (excluding any contingent coupon payment otherwise due) for a range of hypothetical performances
of the lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities
have not been automatically called prior to the stated maturity date. This graph has been prepared for purposes of illustration
only. Your actual return will depend on the actual ending level of the lowest performing Index on the final calculation day and
whether you hold your securities to stated maturity. The performance of the better performing Indices is not relevant to your return
on the securities.
Selected
Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in any or all of the Indices or their components.
Some of the risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed
explanation of risks relating to the securities generally in the “Risk Factors” section of the prospectus supplement.
You should not purchase the securities unless you understand and can bear the risks of investing in the securities.
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If The Securities Are Not Automatically Called Prior to Stated Maturity, You May Lose Some Or
All Of The Original Offering Price Of Your Securities At Stated Maturity — We will not repay you a fixed amount on your
securities at stated maturity. If the securities are not automatically called prior to stated maturity, you will receive a maturity
payment amount that will be equal to or less than the original offering price, depending on the ending level of the lowest performing
Index on the final calculation day.
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If the ending
level of the lowest performing Index on the final calculation day is less than its threshold level, the maturity payment amount
will be reduced by an amount equal to the decline in the level of the lowest performing Index from its starting level (expressed
as a percentage of its starting level). The threshold level for each Index is 75% of its starting level. For example, if the securities
are not automatically called and the lowest performing Index on the final calculation day has declined by 25.1% from its starting
level to its ending level, you will not receive any benefit of the contingent downside protection feature and you will lose 25.1%
of the original offering price. As a result, you will not receive any protection if the level of the lowest performing Index on
the final calculation day declines significantly and you may lose some, and possibly all, of the original offering price at stated
maturity, even if the level of the lowest performing Index is greater than or equal to its starting level or its threshold level
at certain times during the term of the securities.
Even if the
ending level of the lowest performing Index on the final calculation day is greater than its threshold level, the maturity payment
amount will not exceed the original offering price, and your yield on the securities, taking into account any contingent coupon
payments you may have received during the term of the securities, may be less than the yield you would earn if you bought a traditional
interest-bearing debt security of Barclays Bank PLC or another issuer with a similar credit rating.
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The Securities Do Not Provide For Fixed Payments Of Interest And You May Receive No Coupon Payments
On One Or More Quarterly Contingent Coupon Payment Dates, Or Even Throughout The Entire Term Of The Securities — On each
quarterly contingent coupon payment date you will receive a contingent coupon payment if the closing level of the lowest performing
Index on the related calculation day is greater than or equal to its threshold level. If the closing level of the lowest performing
Index on any calculation day is less than its threshold level, you will not receive any contingent coupon payment on the related
contingent coupon payment date, and if the closing level of the lowest performing Index is less than its threshold level on each
calculation day over the term of the securities, you will not receive any contingent coupon payments over the entire term of the
securities.
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The Securities Are Subject To The Full Risks Of Each Index And Will Be Negatively Affected If
Any Index Performs Poorly, Even If The Other Indices Perform Favorably — You are subject to the full risks of each Index.
If any Index performs poorly, you will be negatively affected, even if the other Indices perform favorably. The securities are
not linked to a basket composed of the Indices, where the better performance of some Indices could offset the poor performance
of others. Instead, you are subject to the full risks of whichever Index is the lowest performing Index on each calculation day.
As a result, the securities are riskier than an alternative investment linked to only one of the Indices or linked to a basket
composed of each Index. You should not invest in the securities unless you understand and are willing to accept the full downside
risks of each Index.
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Your Return On The Securities Will Depend Solely On The Performance Of The Index That Is The
Lowest Performing Index On Each Calculation Day, And You Will Not Benefit In Any Way From The Performance Of The Better Performing
Indices — Your return on the securities will depend solely on the performance of the Index that is the lowest performing
Index on each calculation day. Although it is necessary for each Index to close above its respective threshold level on the relevant
calculation day in order for you to receive a quarterly contingent coupon payment and for you to be repaid the original offering
price of your securities at maturity, you will not benefit in any way from the performance of the better performing Indices. The
securities may underperform an
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alternative investment linked
to a basket composed of the Indices, since in such case the performance of the better performing Indices would be blended with
the performance of the lowest performing Index, resulting in a better return than the return of the lowest performing Index alone.
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You Will Be Subject To Risks Resulting From The Relationship Between The Indices — The
correlation of a pair of Indices represents a statistical measurement of the degree to which the returns of those Indices are similar
to each other over a given period in terms of timing and direction. By investing in the securities, you assume the risk that the
returns of the Indices will not be correlated. The less correlated the Indices, the more likely it is that any one of the Indices
will be performing poorly at any time over the term of the securities. All that is necessary for the securities to perform poorly
is for one of the Indices to perform poorly; the performance of the better performing Indices is not relevant to your return on
the securities. It is impossible to predict what the relationship between the Indices will be over the term of the securities.
Each Index represents a different equity market. The Dow Jones Industrial Average® represents U.S. blue-chip companies,
the Russell 2000® Index represents the small-capitalization segment of the United States equity market and the
S&P 500® Index represents the large-capitalization segment of the United States equity market. These different
equity markets may not perform similarly over the term of the securities.
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You May Be Fully Exposed To The Decline In The Lowest Performing Index On The Final Calculation
Day From Its Starting Level, But Will Not Participate In Any Positive Performance Of Any Index — Even though you will
be fully exposed to a decline in the level of the lowest performing Index on the final calculation day if its ending level is below
its threshold level, you will not participate in any increase in the level of any Index over the term of the securities. Your maximum
possible return on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently,
your return on the securities may be significantly less than the return you could achieve on an alternative investment that provides
for participation in an increase in the level of any or each Index.
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Higher Contingent Coupon Rates Are Associated With Greater Risk — The securities offer
contingent coupon payments at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same
maturity. These higher potential contingent coupon payments are associated with greater levels of expected risk as of the pricing
date as compared to conventional debt securities, including the risk that you may not receive a contingent coupon payment on one
or more, or any, contingent coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the
original offering price at maturity. The volatility of the Indices and the correlation among the Indices are important factors
affecting this risk. Volatility is a measure of the degree of variation in the levels of the Indices over a period of time.
Volatility can be measured in a variety of ways, including on a historical basis or on an expected basis as implied by option prices
in the market. The correlation of a pair of Indices represents a statistical measurement of the degree to which the returns of
those Indices are similar to each other over a given period in terms of timing and direction. Greater expected volatility of the
Indices or lower expected correlation among the Indices as of the pricing date may result in a higher contingent coupon rate, but
it also represents a greater expected likelihood as of the pricing date that the closing level of at least one Index will be less
than its threshold level on one or more calculation days, such that you will not receive one or more, or any, contingent coupon
payments during the term of the securities, and that the closing level of at least one Index will be less than its threshold level
on the final calculation day such that you will lose a substantial portion, and possibly all, of the original offering price at
maturity. In general, the higher the contingent coupon rate is relative to the fixed rate we would pay on conventional debt securities,
the greater the expected risk that you will not receive one or more, or any, contingent coupon payments during the term of the
securities and that you will lose a substantial portion, and possibly all, of the original offering price at maturity.
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You Will Be Subject To Reinvestment Risk — If your securities are automatically called,
the term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the
securities are automatically called prior to maturity.
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The Securities Are Subject To The Credit Risk Of Barclays Bank PLC — 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.
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You May Lose Some Or All Of Your Investment If Any U.K. Bail-In Power Is Exercised By The Relevant
U.K. Resolution Authority — Notwithstanding any other agreements, arrangements or understandings between Barclays Bank
PLC and any holder or beneficial owner of the securities, by acquiring the securities, each holder and beneficial owner 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 pricing supplement. Accordingly,
any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders and beneficial owners 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 and beneficial owners 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 senior debt securities 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 pricing supplement
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.
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The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading
Market For The Securities To Develop — The securities will not be listed on any securities exchange. Barclays Capital
Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the securities but are not required to do
so, and may discontinue any such secondary market making at any time, without notice. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the securities easily. Because other dealers are not likely to make
a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price,
if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the securities. The securities
are not designed to be short-term trading instruments. Accordingly, you should be willing and able to hold your securities to maturity.
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The Securities Are Subject To Small-Capitalization Companies Risk With Respect To The Russell
2000® Index — The Russell 2000® Index tracks companies that are considered small-capitalization
companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization
companies, and therefore securities linked to the Russell 2000® Index may be more volatile than an investment linked
to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are
also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition, small-capitalization
companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and
may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less
diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths
than large-capitalization companies and are more susceptible to adverse developments related to their products.
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The Value Of The Securities Prior To Maturity Will Be Affected By Numerous Factors, Some Of
Which Are Related In Complex Ways — Structured notes, including the securities, can be thought of as securities that
combine a debt instrument with one or more options or other derivative instruments. As a result, the factors that influence the
values of debt instruments and options or other derivative instruments will also influence the terms and features of the securities
at issuance and their value in the secondary market. Accordingly, in addition to the levels of the Indices on any day, the value
of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Indices and the securities composing the Indices;
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correlation (or lack of correlation) of the Indices;
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the time to maturity of the securities;
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the market prices of, and dividend rates on, the securities composing the Indices;
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interest and yield rates in the market generally;
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supply and demand for the securities;
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a variety of economic, financial, political, regulatory and judicial events; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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No Assurance That The Investment View Implicit In The Securities Will Be Successful —
It is impossible to predict whether and the extent to which the level of any Index will rise or fall. There can be no assurance
that the level of any Index will not close below its threshold level on any calculation day. The level of each Index will be influenced
by complex and interrelated political, economic, financial and other factors that affect that Index and the component securities
of that Index. You should be willing to accept the downside risks associated with equities in general and each Index in particular,
and the risk of losing a significant portion or all of the original offering price.
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Owning The Securities Is Not The Same As Owning The Securities Composing Any Or All Of The Indices
— The return on your securities may not reflect the return you would realize if you actually owned the securities composing
any or all of the Indices. For instance, as a holder of the securities, you will not have voting rights or rights to receive cash
dividends or other distributions or any other rights that holders of the securities composing any Index would have.
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Each Index Reflects The Price Return Of The Securities Composing That Index, Not The Total Return
— The return on the securities is based on the performance of the Indices, which reflect changes in the market prices of
the securities composing each Index. Each Index is not a “total return” index that, in addition to reflecting those
price returns, would also reflect dividends paid on the securities composing the applicable Index. Accordingly, the return on the
securities will not include such a total return feature.
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Adjustments To The Indices Could Adversely Affect The Value Of The Securities And The Amount
You Will Receive At Maturity — The sponsor of an Index (an “index sponsor”) may add, delete, substitute
or adjust the securities composing that Index or make other methodological changes to that Index that could affect its performance.
The calculation agent will calculate the value to be used as the closing level of an Index in the event of certain material changes
in or modifications to that Index. In addition, an index sponsor may also discontinue or suspend calculation or publication of
that Index at any time. Under these circumstances, the calculation agent may select a successor index that the calculation agent
determines to be comparable to the discontinued index or, if no successor index is available, the calculation agent will determine
the value to be used as the closing level of that Index. Any of these actions could adversely affect the value of the relevant
Index and, consequently, the value of the securities. See “Additional Terms of the Securities—Adjustments to an Index”
and “Additional Terms of the Securities—Discontinuance of an Index” in this pricing supplement.
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The Estimated Value Of Your Securities Is Expected To Be Lower Than The Original Offering 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 original offering price of your securities. The difference between the original offering price of your securities
and the estimated value of the securities is expected as a result of certain factors, such as any sales commissions, selling concessions,
discounts, commissions or fees expected to be allowed or paid to Barclays Capital Inc., another affiliate of ours, WFS or its affiliates
or other non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with
structuring the securities, the estimated cost that we may incur in hedging our obligations under the securities, and estimated
development and other costs that we may incur in connection with the securities.
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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
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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.
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The Estimated Value Of The Securities Is Based On Our Internal Pricing Models, Which May Prove
To Be Inaccurate And May Be Different From The Pricing Models Of Other Financial Institutions — The estimated value of
your securities on the 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.
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The Estimated Value Of Your Securities Is Not A Prediction Of The Prices At Which You May Sell
Your Securities In The Secondary Market, If Any, And Such Secondary Market Prices, If Any, Will Likely Be Lower Than The Original
Offering 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 original offering 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 stated maturity date could result in a substantial loss to you.
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The Temporary Price At Which We May Initially Buy The Securities In The Secondary Market And
The Value We May Initially Use For Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be
Indicative Of Future Prices Of Your Securities — Assuming that all relevant factors remain constant after the 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.
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We, Our Affiliates And Any Other Agent And/Or Participating Dealer May Engage In Various Activities
Or Make Determinations That Could Materially Affect Your Securities In Various Ways And Create Conflicts Of Interest —
We, our affiliates, WFS and any dealer participating in the distribution of the securities (a “participating dealer”)
may play a variety of roles in connection with the issuance of the securities, as described below. In performing these roles, our
economic interests and the economic interests of our affiliates, WFS and any participating dealer are potentially adverse to your
interests as an investor in the securities.
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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 Indices 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. Participating dealers may also engage in such activities that 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.
In addition
to the activities described above, Barclays Bank PLC will also act as the calculation agent for the securities. As calculation
agent, we will determine any levels of the Indices 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 level of an Index is to be determined; if an Index is discontinued or
if the sponsor of an Index fails to publish that Index, selecting a successor index or, if no successor index is available, determining
any value necessary to calculate any payments on the securities; and calculating the level of an Index on any date of determination
in the event of certain changes in or modifications to an Index. 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. Absent manifest error, all determinations of the calculation agent will be final and binding, without
any liability on the part of the calculation agent. You will not be entitled to any compensation from Barclays Bank PLC for any
loss suffered as a result of any determinations made by the calculation agent with respect to the securities.
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The Historical Performance Of The Indices Is Not An Indication Of Their Future Performance —
The historical performance of the Indices should not be taken as an indication of the future performance of the Indices. It is
impossible to predict whether the closing levels of the Indices will fall or rise during the term of the securities, in particular
in the environment in the last several years, which has been characterized by volatility across a wide range of asset classes.
Past fluctuations and trends in the levels of the Indices are not necessarily indicative of fluctuations or trends that may occur
in the future.
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Potentially Inconsistent Research, Opinions Or Recommendations By Barclays Capital Inc., WFS
Or Their Respective Affiliates — Barclays Capital Inc., WFS or their respective affiliates may publish research from
time to time on financial markets and other matters that may influence the value of the securities or express opinions or provide
recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed
by Barclays Capital Inc., WFA or their respective affiliates may not be consistent with each other and may be modified from time
to time without notice. You should make your own independent investigation of each Index and the merits of investing in the securities.
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We Cannot Control Actions Of Any Of The Unaffiliated Companies Whose Securities Are Included
As Components Of The Indices — Actions by any company whose securities are components of an Index may have an adverse
effect on the price of its security, the closing level of such Index on any calculation day, the ending level of such Index and
the value of the securities. These unaffiliated companies will not be involved in the offering of the securities and will have
no obligations with respect to the securities, including any obligation to take our or your interests into consideration for any
reason. These companies will not receive any of the proceeds of the offering of the securities and will not be responsible for,
and will not have participated in, the determination of the timing of, prices for, or quantities of, the securities to be issued.
These companies will not be involved with the administration, marketing or trading of the securities and will have no obligations
with respect to any amounts to be paid to you on the securities.
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We And Our Affiliates Have No Affiliation With Any Index Sponsor And Have Not Independently
Verified Their Public Disclosure Of Information — We, our affiliates and WFS and its affiliates are not
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affiliated
in any way with any index sponsor and have no ability to control or predict their actions, including any errors in or discontinuation
of disclosure regarding the methods or policies relating to the calculation of the applicable Index. We have derived the information
about the Index contained in this pricing supplement and the accompanying underlying supplement from publicly available information,
without independent verification. You, as an investor in the securities, should make your own investigation into each Index and
the index sponsors. The index sponsors will not be involved in the offering of the securities made hereby in any way, and the index
sponsors do not have any obligation to consider your interests as an owner of the securities in taking any actions that might affect
the value of the securities.
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Tax Treatment — Significant aspects of the tax treatment of the securities are uncertain.
You should consult your tax advisor about your tax situation. See “Tax Considerations” below.
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Hypothetical
Returns
If the securities are automatically
called:
If the securities are automatically called
prior to stated maturity, you will receive the original offering price of your securities plus the contingent coupon payment otherwise
due. In the event the securities are automatically called, your total return on the securities will equal any contingent coupon
payments received prior to the call settlement date and the contingent coupon payment received on the call settlement date.
If the securities are not automatically
called:
If the securities are not automatically
called prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest
performing Index on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security
(excluding any contingent coupon payment otherwise due). The performance factor of the lowest performing Index on the final calculation
day is calculated as its ending level divided by its starting level.
Hypothetical performance factor of lowest performing Index on final calculation day
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Hypothetical maturity payment amount per security
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175.00%
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$1,000.00
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160.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
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110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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75.00%
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$1,000.00
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74.00%
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$740.00
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70.00%
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$700.00
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60.00%
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$600.00
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50.00%
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$500.00
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40.00%
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$400.00
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25.00%
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$250.00
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The above figures do not take into account
contingent coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a
positive rate of return based solely on the maturity payment amount received at maturity (excluding any contingent coupon payment
otherwise due); any positive return will be based solely on the contingent coupon payments, if any, received during the term of
the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the
actual amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the
final calculation day. The performance of the better performing Indices is not relevant to your return on the securities.
Hypothetical
Automatic Calls and Contingent Coupon Payments
Set forth below are three examples that
illustrate how to determine whether the securities will be automatically called and whether a contingent coupon payment will be
paid on a quarterly contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific
quarterly contingent coupon payment date. The following examples reflect a hypothetical contingent coupon rate of 7.50% per annum
(the midpoint of the specified range for the contingent coupon rate) and assume the hypothetical starting level, threshold level
and closing levels for each Index indicated in the examples. The terms used for purposes of these hypothetical examples do not
represent any actual starting level or threshold level. The hypothetical starting level of 100.00 for each Index has been chosen
for illustrative purposes only and does not represent the actual starting level for any Index. The actual starting level and threshold
level for each Index will be determined on the pricing date and will be set forth under “Terms of the Securities” above.
For historical closing levels of the Indices, see the historical information set forth under the sections titled “The Dow
Jones Industrial Average®,” “The Russell 2000® Index” and “The S&P 500®
Index” below. If the contingent coupon rate is less than 7.50% per annum, any actual contingent coupon payments will be lower
than the contingent coupon payments shown below. These examples are for purposes of illustration only and the values used in the
examples may have been rounded for ease of analysis.
Example 1. The closing level of
the lowest performing Index on the relevant calculation day is greater than or equal to its threshold level and less than its starting
level. As a result, the securities are not automatically called and investors receive a contingent coupon payment on the applicable
quarterly contingent coupon payment date.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical closing level on relevant calculation day:
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95.00
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90.00
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80.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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95.00%
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90.00%
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80.00%
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Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether
the securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent
coupon payment date.
Since the hypothetical closing
level of the lowest performing Index on the relevant calculation day is greater than or equal to its threshold level, but less
than its starting level, the securities would not be automatically called and you would receive a contingent coupon payment on
the applicable contingent coupon payment date. The contingent coupon payment would be equal to $18.75 per security, determined
as follows: (i) $1,000 multiplied by 7.50% per annum divided by (ii) 4, rounded to the nearest cent.
Example 2. The closing level of
the lowest performing Index on the relevant calculation day is less than its threshold level. As a result, the securities are not
automatically called and investors do not receive a contingent coupon payment on the applicable quarterly contingent coupon payment
date.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical closing level on relevant calculation day:
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125.00
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74.00
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105.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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125.00%
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74.00%
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105.00%
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Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether
the securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent
coupon payment date.
The securities would not be automatically
called, even though the closing levels of the better performing Indices on the relevant calculation day are greater than their
starting levels. In addition, since the hypothetical closing level of the lowest performing Index on the relevant calculation day
is less than its threshold level, you would not receive a contingent coupon payment on the applicable contingent coupon payment
date. As this example illustrates, whether the securities are automatically called and whether you receive a contingent coupon
payment on a quarterly contingent coupon payment date will depend solely on the closing level of the lowest performing Index on
the relevant calculation day. The performance of the better performing Indices is not relevant to your return on the securities.
Example 3. The closing level of
the lowest performing Index on the relevant calculation day is greater than or equal to its starting level. As a result, the securities
are automatically called on the applicable quarterly contingent coupon payment date for the original offering price plus the contingent
coupon payment otherwise due.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical closing level on relevant calculation day:
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105.00
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115.00
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130.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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105.00%
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115.00%
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130.00%
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Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the Dow Jones
Industrial Average® has the lowest performance factor and is, therefore, the lowest performing Index on the relevant
calculation day.
Step 2: Determine whether
the securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent
coupon payment date.
Since the hypothetical closing
level of the lowest performing Index on the relevant calculation day is greater than or equal to its starting level, the securities
would be automatically called and you would receive the original offering price plus the contingent coupon payment otherwise due
on the call settlement date. On the call settlement date, you would receive $1,018.75 per security.
If the securities are automatically called
prior to maturity, you will not receive any further payments after the call settlement date.
Hypothetical
Maturity Payment Amount
Set forth below are three examples of calculations
of the maturity payment amount payable at stated maturity, assuming that the securities have not been automatically called prior
to stated maturity and assuming the hypothetical starting level, threshold level and ending levels for each Index indicated in
the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting level or threshold
level. The hypothetical starting level of 100.00 for each Index has been chosen for illustrative purposes only and does not represent
the actual starting level for any Index. The actual starting level and threshold level for each Index will be determined on the
pricing date and will be set forth under “Terms of the Securities” above. For historical closing levels of the Indices,
see the historical information set forth under the sections titled “The Dow Jones Industrial Average®,”
“The Russell 2000® Index” and “The S&P 500® Index” below. These examples
are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending level of
the lowest performing Index on the final calculation day is greater than its starting level, the maturity payment amount is equal
to the original offering price of your securities at maturity and you receive the contingent coupon payment otherwise due.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical ending level:
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135.00
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145.00
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125.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (ending level divided by starting level):
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135.00%
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145.00%
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125.00%
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Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending
level of the lowest performing Index on the final calculation day is greater than its hypothetical threshold level, the maturity
payment amount would equal the original offering price. Although the hypothetical ending level of the lowest performing Index on
the final calculation day is significantly greater than its hypothetical starting level in this scenario, the maturity payment
amount will not exceed the original offering price.
In addition to any contingent
coupon payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000 per security as
well as the contingent coupon payment otherwise due.
Example 2. The ending level of
the lowest performing Index on the final calculation day is less than its starting level but greater than its threshold level,
the maturity payment amount is equal to the original offering price of your securities at maturity and you receive the contingent
coupon payment otherwise due.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical ending level:
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115.00
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80.00
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110.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (ending level divided by starting level):
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115.00%
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80.00%
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110.00%
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Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending
level of the lowest performing Index is not less than its hypothetical threshold level, you would be repaid the original offering
price of your securities at maturity.
In addition to any contingent
coupon payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000 per security as
well as the contingent coupon payment otherwise due.
Example 3. The ending level of
the lowest performing Index on the final calculation day is less than its threshold level, the maturity payment amount is less
than the original offering price of your securities at maturity and you do not receive a contingent coupon payment at maturity.
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Dow Jones Industrial Average®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.00
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100.00
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Hypothetical ending level:
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45.00
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120.00
|
90.00
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Hypothetical threshold level:
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75.00
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75.00
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75.00
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Performance factor (ending level divided by starting level):
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45.00%
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120.00%
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90.00%
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Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Dow Jones
Industrial Average® has the lowest performance factor and is, therefore, the lowest performing Index on the final
calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending
level of the lowest performing Index on the final calculation day is less than its hypothetical threshold level, you would lose
a portion of the original offering price of your securities and receive the maturity payment amount equal to $450.00 per security,
calculated as follows:
$1,000 × performance factor of the
lowest performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent
coupon payments received prior to the stated maturity date, on the stated maturity date you would receive $450.00 per security,
but no contingent coupon payment.
These examples illustrate that you will
not participate in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the
ending level of the lowest performing Index on the final calculation day is less than its threshold level, even if the ending levels
of the other Indices have appreciated or have not declined below their respective threshold level.
To the extent that the starting level,
threshold level and ending level of the lowest performing Index differ from the values assumed above, the results indicated above
would be different.
Additional
Terms of the Securities
Barclays Bank PLC will issue the securities
as part of a series of unsecured and unsubordinated debt securities entitled “Global Medium-Term Notes, Series A,”
which are more fully described in the accompanying prospectus supplement. In the event the terms of the securities described in
this pricing supplement differ from, or are inconsistent with, the terms described in the prospectus supplement, underlying supplement
or prospectus, the terms described in this pricing supplement will control.
Certain Definitions
A “trading day” with
respect to an Index means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect
to each security underlying such Index are scheduled to be open for trading for their respective regular trading sessions and (ii)
each related futures or options exchange with respect to such index is scheduled to be open for trading for its regular trading
session.
The “relevant stock exchange”
for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options
exchange” for an Index means an exchange or quotation system where trading has a material effect (as determined by the
calculation agent) on the overall market for futures or options contracts relating to such Index.
Market Disruption Events
A “market disruption event”
with respect to an Index means any of the following events as determined by the calculation agent in its sole discretion:
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(A)
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The occurrence or existence of a material suspension of or limitation imposed on trading by the
relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of such Index or any
successor equity index at any time during the one-hour period that ends at the close of trading on that day, whether by reason
of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.
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(B)
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The occurrence or existence of a material suspension of or limitation imposed on trading by any
related futures or options exchange or otherwise in futures or options contracts relating to such Index or any successor equity
index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.
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(C)
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The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, securities that
then comprise 20% or more of the level of such Index or any successor equity index on their relevant stock exchanges at any time
during the one-hour period that ends at the close of trading on that day.
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(D)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options
contracts relating to such Index or any successor equity index on any related futures or options exchange at any time during the
one-hour period that ends at the close of trading on that day.
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(E)
|
The closure on any exchange business day of the relevant stock exchanges on which securities that
then comprise 20% or more of the level of such Index or any successor equity index are traded or any related futures or options
exchange with respect to such Index or any successor equity index prior to its scheduled closing time unless the earlier closing
time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior
to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures
or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or
related futures or options exchange, as applicable, system for execution at such actual closing time on that day.
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(F)
|
The relevant stock exchange for any security underlying such Index or successor equity index or
any related futures or options exchange with respect to such Index or successor equity index fails to open for trading during its
regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to an Index:
|
(1)
|
the relevant percentage contribution of a security to the level of such Index or any successor
equity index will be based on a comparison of (x) the portion of the level of such Index attributable to that security and (y)
the overall level of such Index or successor equity index, in each case immediately before the occurrence of the market disruption
event;
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(2)
|
the “close of trading” on any trading day for such Index or any successor equity
index means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying such Index or
successor equity index on such trading day; provided that, if the actual closing time of the regular trading session of
any such relevant stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses
(A) and (C) of the definition of “market disruption event” above, with respect to any security underlying such Index
or successor equity index for which such relevant stock exchange is its relevant stock exchange, the “close of trading”
means such actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market disruption event”
above, with respect to any futures or options contract relating to such Index or successor equity index, the “close of trading”
means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in no event later
than the scheduled closing time of the relevant stock exchanges;
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(3)
|
the “scheduled closing time” of any relevant stock exchange or related futures
or options exchange on any trading day for such Index or any successor equity index means the scheduled weekday closing time of
such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other
trading outside the regular trading session hours; and
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(4)
|
an “exchange business day” means any trading day for such Index or any successor
equity index on which each relevant stock exchange for the securities underlying such Index or any successor equity index and each
related futures or options exchange with respect to such Index or any successor equity index are open for trading during their
respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange closing
prior to its scheduled closing time.
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If a
market disruption event occurs or is continuing with respect to an Index on any calculation day, then such calculation day for
such Index will be postponed to the first succeeding trading day for such Index on which a market disruption event for such Index
has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading
day for such Index after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation
day for such Index. If a calculation day has been postponed eight trading days for an Index after the originally scheduled calculation
day and a market disruption event occurs or is continuing with respect to such Index on such eighth trading day, the calculation
agent will determine the closing level of such Index on such eighth trading day in accordance with the formula for and method of
calculating the closing level of such Index last in effect prior to commencement of the market disruption event, using the closing
price (or, with respect to any relevant security, if a market disruption event has occurred with respect to such security, its
good faith estimate of the value of such security at the scheduled closing time of the relevant stock exchange for such security
or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange) on such date of each security
included in such Index. As used herein, “closing price” means, with respect to any security on any date, the relevant
stock exchange traded or quoted price of such security as of the scheduled closing time of the relevant stock exchange for such
security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange. Notwithstanding
the postponement of a calculation day for an Index due to a market disruption event with respect to such Index on such calculation
day, the originally scheduled calculation day will remain the calculation day for any Index not affected by a market disruption
event on such day.
Adjustments to an Index
If at any time the method of calculating
an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor
equity index is in any other way modified so that such index does not, in the
opinion of the calculation agent, fairly
represent the level of that index had those changes or modifications not been made, then the calculation agent will, at the close
of business in New York, New York, on each date that the closing level of that index is to be calculated, make such calculations
and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an index
comparable to that Index or successor equity index as if those changes or modifications had not been made, and the calculation
agent will calculate the closing level of that Index or successor equity index with reference to such index, as so adjusted. Accordingly,
if the method of calculating an Index or successor equity index is modified so that the level of that index is a fraction or a
multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split in that index), then the
calculation agent will adjust that Index or successor equity index in order to arrive at a level of that index as if it had not
been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of an Index
If an index sponsor discontinues publication
of an Index, and such index sponsor or another entity publishes a successor or substitute equity index that the calculation agent
determines, in its sole discretion, to be comparable to that Index (a “successor equity index”), then, upon
the calculation agent’s notification of that determination to the trustee and Barclays Bank PLC, as issuer of the securities,
the calculation agent will substitute the successor equity index as calculated by the relevant index sponsor or any other entity
for purposes of calculating the closing level of that Index on any date of determination. Upon any selection by the calculation
agent of a successor equity index, Barclays Bank PLC, as issuer of the securities, will cause notice to be given to holders of
the securities.
In the event that an index sponsor discontinues
publication of an Index prior to, and the discontinuance is continuing on, the calculation day and the calculation agent determines
that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for that
Index in accordance with the formula for and method of calculating that Index last in effect prior to the discontinuance, but using
only those securities that comprised that Index immediately prior to that discontinuance. If a successor equity index is selected
or the calculation agent calculates a level as a substitute for that Index, the successor equity index or level will be used as
a substitute for that Index for all purposes, including the purpose of determining whether a market disruption event exists.
If on the calculation day an index sponsor
fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of that
Index in accordance with the formula for and method of calculating that Index last in effect prior to the failure, but using only
those securities that comprised that Index immediately prior to that failure; provided that, if a market disruption event
occurs or is continuing on such day with respect to that Index, then the provisions set forth above under “—Market
Disruption Events” shall apply in lieu of the foregoing.
Notwithstanding these alternative arrangements,
discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index
may adversely affect the value of the securities.
The
Dow Jones Industrial Average®
The Dow Jones Industrial Average®
(the “INDU Index”) is a price-weighted index that seeks to measure the performance of 30 U.S. blue-chip companies.
The INDU Index covers all industries with the exception of transportation and utilities. For more information about the INDU Index,
see “Indices—The Dow Jones Industrial Average®” in the accompanying underlying supplement.
Historical Information
We obtained the closing levels of the INDU
Index displayed in the graph below from Bloomberg Professional® service (“Bloomberg”) without
independent verification. The historical performance of the INDU Index should not be taken as an indication of the future performance
of the INDU Index. Future performance of the INDU Index may differ significantly from historical performance, and no assurance
can be given as to the closing levels of the INDU Index during the term of the securities, including on any calculation day. We
cannot give you assurance that the performance of the INDU Index will not result in a loss on your initial investment.
The following graph sets forth daily closing
levels of the INDU Index for the period from January 1, 2014 to November 4, 2019. The closing level on November 4, 2019 was 27,462.11.
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* The dotted line indicates a hypothetical threshold level of 75% of the closing level of the
INDU Index on November 4, 2019. The actual threshold level will be equal to 75% of the starting level of the INDU
Index.
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PAST PERFORMANCE
IS NOT INDICATIVE OF FUTURE RESULTS.
The
Russell 2000® Index
The Russell 2000® Index
(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 underlying supplement.
Historical Information
We obtained the closing levels of the RTY
Index displayed in the graph below from Bloomberg without independent verification. The historical performance of the RTY Index
should not be taken as an indication of the future performance of the RTY Index. Future performance of the RTY Index may differ
significantly from historical performance, and no assurance can be given as to the closing levels of the RTY Index during the term
of the securities, including on any calculation day. We cannot give you assurance that the performance of the RTY Index will not
result in a loss on your initial investment.
The following graph sets forth daily closing
levels of the RTY Index for the period from January 1, 2014 to November 4, 2019. The closing level on November 4, 2019 was 1,597.396.
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* The dotted line indicates a hypothetical threshold level of 75% of the closing level of the
RTY Index on November 4, 2019. The actual threshold level will be equal to 75% of the starting level of the RTY Index.
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PAST PERFORMANCE
IS NOT INDICATIVE OF FUTURE RESULTS.
The
S&P 500® Index
The S&P 500®
Index (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
underlying supplement.
Historical Information
We obtained the closing levels of the SPX
Index displayed in the graph below from Bloomberg without independent verification. The historical performance of the SPX Index
should not be taken as an indication of the future performance of the SPX Index. Future performance of the SPX Index may differ
significantly from historical performance, and no assurance can be given as to the closing levels of the SPX Index during the term
of the securities, including on any calculation day. We cannot give you assurance that the performance of the SPX Index will not
result in a loss on your initial investment.
The following graph sets forth daily closing
levels of the SPX Index for the period from January 1, 2014 to November 4, 2019. The closing level on November 4, 2019 was 3,078.27.
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* The dotted line indicates a hypothetical threshold level of 75% of the closing level of the SPX Index
on November 4, 2019. The actual threshold level will be equal to 75% of the starting level of the SPX Index.
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PAST PERFORMANCE
IS NOT INDICATIVE OF FUTURE RESULTS.
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.
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 coupon 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 redemption upon an automatic
call or 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
coupon 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 coupon 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 coupon
payment. Although uncertain, it is possible that proceeds received from the sale or exchange of your securities prior to a calculation
day but that can be attributed to an expected contingent coupon 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 coupon 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 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.
Appendix
The material included in this Appendix
was prepared by Wells Fargo Securities, LLC and will be distributed to investors in connection with the offering of the securities
described in this pricing supplement. This material does not constitute terms of the securities. Instead, the securities will have
the terms specified in the prospectus dated August 1, 2019, the prospectus supplement dated August 1, 2019 and the underlying supplement
dated August 1, 2019, as supplemented or superseded by this pricing supplement.
Market Linked Securities
Auto-Callable with Contingent
Coupon and Contingent Downside Linked to the Lowest Performing Underlying
This material was prepared by Wells Fargo Securities,
LLC, a registered broker-dealer and separate non-bank affiliate of Wells Fargo & Company. This material is not a product of
Wells Fargo & Company research departments. Please see the relevant offering materials for complete product descriptions, including
related risk and tax disclosure.
MARKET LINKED SECURITIES – AUTO-CALLABLE
WITH CONTINGENT COUPON AND CONTINGENT DOWNSIDE LINKED TO THE LOWEST PERFORMING UNDERLYING ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF A DEPOSITORY INSTITUTION AND ARE NOT INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE DEPOSIT INSURANCE FUND OR ANY
OTHER GOVERNMENTAL AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION.
Market Linked Securities – Auto-Callable with
Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying have complex features and are not suitable
for all investors. Before deciding to make an investment, you should read and understand the applicable preliminary pricing supplement
and other related offering documents provided by the applicable issuer.
Market Linked Securities – Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
|
Market Linked Securities – Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying (“these Market Linked Securities”)
offer the potential to receive contingent coupon payments at a higher rate than the issuer would pay on ordinary debt securities
of comparable maturity. In exchange, these Market Linked Securities are subject to greater risks than ordinary debt securities,
including the risk that one or more, or all, contingent coupon payments may not be paid and the risk that you may lose a significant
portion, or possibly all, of your investment at maturity. The contingent coupon payments and the risk of loss at maturity will
depend on the performance of the lowest performing of two or more specified market measures, which may be indices or exchange-traded
funds (the “underlyings”). If the closing level of the lowest performing underlying has not declined below a specified
threshold level on a designated calculation day, you will receive a contingent coupon payment on the related payment date; however,
if the lowest performing underlying has declined below its threshold level, you will not receive a contingent coupon payment for
that payment date. If the lowest performing underlying has declined below a specified threshold level on the final calculation
day, you will incur a loss at maturity equal to the full decline of the lowest performing underlying. If the lowest performing
underlying is flat or has appreciated as of a designated call date, these Market Linked Securities will be automatically called
prior to maturity, ending the potential to receive any future contingent coupon payments.
These Market Linked Securities are
designed for investors who seek the potential for contingent coupon payments at a higher rate than the rate the issuer would pay
on ordinary debt securities of comparable maturity and, in exchange, are willing to assume the downside risk of the lowest performing
underlying. Although investors will be exposed to the downside risk of the lowest performing underlying, investors will not participate
in any appreciation of any underlying. The return on these Market Linked Securities will depend solely on the performance
of the underlying that is the lowest performing underlying on each calculation day. Therefore, investors will be adversely affected
if any underlying declines below its threshold level, even if the other underlying(s) perform favorably. If the issuer defaults
on its payment obligations, you could lose your entire investment.
These Market Linked Securities are unsecured debt
obligations of the issuer. You will have no ability to pursue any underlying or any assets included in any underlying for payment.
A-2 | Market Linked Securities — Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Market Linked Securities – Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
|
Unlike ordinary debt securities, these Market Linked
Securities do not provide for fixed payments of interest, do not repay a fixed amount of principal at maturity, and are subject
to potential automatic call prior to maturity upon the terms described below. Whether these Market Linked Securities pay a contingent
coupon, whether they are automatically called prior to maturity, and, if they are not automatically called, whether you are repaid
your principal at maturity will depend, in each case, on the performance of the lowest performing underlying. The lowest
performing underlying on each calculation day is the underlying that has the lowest closing level on that calculation day as a
percentage of its starting level (i.e., its closing level divided by its starting level).
The key features of these Market Linked Securities are described
below.
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•
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Contingent coupon payments: These Market Linked Securities provide for contingent coupon
payments on periodic contingent coupon payment dates (typically occurring quarterly, semi-annually or annually throughout the term
of these Market Linked Securities). On each contingent coupon payment date, you will receive a contingent coupon payment if, and
only if, the closing level of the lowest performing underlying on the related calculation day (typically three to five business
days prior to the contingent coupon payment date) has not declined below a specified threshold level. If the closing level of the
lowest performing underlying is less than its threshold level on a given calculation day, you will not receive a contingent coupon
payment on the related contingent coupon payment date. If the closing
level of the lowest performing underlying is less than its threshold level on every calculation day, you will not receive any contingent
coupon payments throughout the entire term of these Market Linked Securities.
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|
•
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Automatic call: These Market Linked Securities will be subject to automatic call prior to
maturity on specified call dates (which are generally a subset of the calculation days, typically beginning after a specified “non-call
period”). If the closing level of the lowest performing underlying on any call date is greater than or equal to its closing
level on the pricing date (its starting level), these Market Linked Securities will be automatically called, and on the
related call settlement date (typically three to five business days after the relevant call date), you will receive a cash payment
equal to the original offering price, plus a final contingent coupon payment, and no further payments will be made. The automatic
call feature limits your potential to receive contingent coupon payments over the full term of the securities if the
lowest performing underlying has appreciated as of a designated call date. If these Market Linked Securities have a non-call period,
you have the ability to receive contingent coupon payments during such non-call period, if the closing level of the lowest performing
underlying on a calculation day during such non-call period has not declined below its threshold level.
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•
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Potential loss of principal: If these Market Linked Securities are not automatically called
prior to maturity, you will be repaid your principal at maturity if, and only if, the closing level of the lowest performing
underlying on the final calculation day (its ending level) has not declined below a specified threshold level. If these
Market Linked Securities are not automatically called prior to maturity and the ending level of the lowest performing underlying
is less than its threshold level, you will have full downside exposure to the decline in the level of the lowest performing underlying
from its starting level, and you will incur a significant loss at maturity.
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The threshold level for each underlying will
be less than its starting level. A particular issuance of these Market Linked Securities may specify a single threshold level (for
each underlying) that is applicable to both the contingent coupon payments and the contingent repayment of principal at maturity,
or it may specify two different threshold levels (i.e., a coupon threshold level applicable to the contingent coupon payments and
a separate downside threshold level applicable to the contingent repayment of principal at maturity).
Any return on these Market Linked Securities will
be limited to the sum of the contingent coupon payments, if any. Investors will not participate in any appreciation of any underlying,
but will be fully exposed to any decline of the lowest performing underlying, if its ending level is less than its threshold level.
The return on these Market Linked Securities will
depend solely on the performance of the underlying that is the lowest performing underlying on each calculation day and/or call
date. Investors will not benefit in any way from the performance of the better performing underlying(s). Therefore, investors will
be adversely affected if any underlying declines below its threshold level(s), even if the other underlying(s) perform favorably.
These Market Linked Securities are riskier than they would otherwise be if they were linked to only one of the underlyings or linked
to a basket composed of each underlying. These Market Linked Securities will be subject to the full risks of each underlying, with
no offsetting benefit from the better performing underlying(s).
Market Linked Securities — Auto-Callable with Contingent
Coupon and Contingent Downside Linked to the Lowest Performing Underlying | A-3
Determining payment on a contingent coupon
payment date, call settlement date, or at maturity
Unless these Market Linked Securities
are previously called, on each contingent coupon payment date, you will either receive a contingent coupon payment or you will
not receive a contingent coupon payment, depending on the closing level of the lowest performing underlying on the related calculation
day.
A-4 | Market Linked Securities — Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Hypothetical examples
The examples below are hypothetical and are provided for informational
purposes only. They are not intended to represent any specific return, yield, or investment. They do not illustrate all possible
outcomes and they are not indicative of future results. The examples illustrate the contingent coupon payments, the automatic call
feature and, if an automatic call does not occur, the payment at maturity of these Market Linked Securities, assuming the following
terms:
Term:
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Three years, unless earlier automatically called
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Original Offering Price:
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$1,000 per Market Linked Security
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Calculation Days/Contingent Coupon Payment Dates:
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Semi-annually
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Call Dates:
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Semi-annually (on each calculation day starting approximately one year
|
|
after issuance)
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Contingent Coupon Rate:
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7% per annum (or 3.5% per semi-annual period)
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Threshold Level:
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With respect to each underlying, 70% of its starting level
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The examples below assume that these Market Linked Securities
are linked to the lowest performing of two underlyings. However, a particular issuance of these Market Linked Securities may be
linked to the lowest performing of three or more underlyings. With more underlyings, you will be exposed to a greater risk of not
receiving contingent coupon payments, and of incurring a significant loss on your investment at maturity.
The first two hypothetical examples below illustrate
scenarios in which these Market Linked Securities are automatically called on a call date prior to maturity. The third and fourth
hypothetical examples below illustrate scenarios in which these Market Linked Securities are not automatically called and the
payment at maturity is based on the performance of the lowest performing underlying from its starting level to its ending level.
In the examples below, the color blue
indicates that the closing level of the lowest performing underlying is greater than or equal to its starting level;
the color green indicates that the closing level of the lowest performing underlying
is less than its starting level, but greater than or equal to its threshold level; and the color red
indicates that the closing level of the lowest performing underlying is less than its threshold level. The lowest performing
underlying on a given calculation day is the underlying that had the lowest closing level on that calculation day as a percentage
of its starting level (i.e., its closing level divided by its starting level).
Example 1: These Market Linked Securities are automatically
called on the first call date.
Calculation Day/ Call Date
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Closing level of Underlying
1
(% of its starting level)
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Closing level of Underlying
2
(% of its starting level)
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Payment
(% of original offering price)
|
6 months from the pricing date
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105%
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115%
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Contingent coupon payment date:
3.5%
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1 year from the pricing date (first call date)
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110%
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120%
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Call settlement date: 103.5%
|
Because of the one-year non-call period, even though
the closing level of the lowest performing underlying was greater than its starting level on the first calculation day (six months
from the pricing date), these Market Linked Securities would not be automatically called, and you would receive a contingent coupon
payment on the related contingent coupon payment date. Because the closing level of the lowest performing underlying on the first
call date (one year from the pricing date) is greater than its starting level, these Market Linked Securities would be automatically
called on the first call date. On the related call settlement date, you would receive $1,035.00 per Market Linked Security, which
is equal to the original offering price plus the contingent coupon payment due on the call settlement date (which is also a contingent
coupon payment date). No further amounts will be owed to you under these Market Linked Securities.
Market Linked Securities — Auto-Callable with Contingent
Coupon and Contingent Downside Linked to the Lowest Performing Underlying | A-5
Example 2: These Market Linked Securities are automatically
called on the third call date.
Calculation Day/ Call Date
|
Closing level of Underlying
1
(% of its starting level)
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Closing level of Underlying
2
(% of its starting level)
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Payment
(% of original offering price)
|
6 months from the pricing date
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105%
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60%
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Contingent coupon payment date: 0.0%
|
1 year from the pricing date (first call date)
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107%
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65%
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Contingent coupon payment date:
0.0%
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18 months from the pricing date
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110%
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69%
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Contingent coupon payment date: 0.0%
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2 years from the pricing date
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115%
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105%
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Call settlement date: 103.5%
|
Because the closing level of the lowest performing underlying
is less than its threshold level on the first three calculation days (and first two call dates), these Market Linked Securities
would not be automatically called and you would not receive a contingent coupon payment on those dates, even though the closing
level of the better performing underlying on those dates was greater than its threshold level. Because the closing level of the
lowest performing underlying on the third call date is greater than its starting level, these Market Linked Securities would be
automatically called on that call date. On the related call settlement date, you would receive $1,035.00 per Market Linked Security,
which is equal to the original offering price plus the contingent coupon payment due on the call settlement date (which is also
a contingent coupon payment date). No further amounts will be owed to you under these Market Linked Securities.
As this example illustrates, whether you receive a contingent
coupon payment, and whether these Market Linked Securities are automatically called on a contingent coupon payment date will depend
solely on the closing level of the lowest performing underlying on the relevant calculation day and/or call date. The performance
of the better performing underlying is not relevant to your return on these Market Linked Securities.
Example 3: These Market Linked Securities are NOT
automatically called prior to maturity and the ending level of the lowest performing underlying is greater than its threshold level.
Calculation Day/ Call Date
|
Closing level of Underlying
1
(% of its starting level)
|
Closing level of Underlying
2
(% of its starting level)
|
Payment
(% of original offering price)
|
6 months from the pricing date
|
90%
|
120%
|
Contingent coupon payment date: 3.5%
|
1 year from the pricing date (first call date)
|
101%
|
80%
|
Contingent coupon payment date:
3.5%
|
18 months from the pricing date
|
80%
|
65%
|
Contingent coupon payment date: 0.0%
|
2 years from the pricing date
|
60%
|
90%
|
Contingent coupon payment date: 0.0%
|
30 months from the pricing date
|
65%
|
95%
|
Contingent coupon payment date: 0.0%
|
3 years from the pricing date
|
75% (ending level)
|
110% (ending level)
|
Maturity date: 103.5%
|
Because the closing level of the lowest performing underlying
is less than its starting level on each call date, these Market Linked Securities would not be automatically called prior to maturity.
The closing level of the lowest performing underlying is greater than its threshold level on three of the six calculation days,
resulting in a contingent coupon payment on three of the contingent coupon payment dates (including the maturity date), but no
contingent coupon payment on the other three contingent coupon payment dates. On the final calculation day, because the ending
level of the lowest performing underlying is greater than its threshold level, on the maturity date you would receive $1,035.00
per Market Linked Security, which is equal to the original offering price plus the contingent coupon payment due on the maturity
date (which is also a contingent coupon payment date).
A-6 | Market Linked
Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Example 4: These Market Linked Securities are NOT
automatically called prior to maturity and the ending level of the lowest performing underlying is less than its threshold level.
Calculation Day/ Call Date
|
Closing level of Underlying
1
(% of its starting level)
|
Closing level of Underlying
2
(% of its starting level)
|
Payment
(% of original offering price)
|
6 months from the pricing date
|
80%
|
68%
|
Contingent coupon payment date: 0.0%
|
1 year from the pricing date (first call date)
|
100%
|
65%
|
Contingent coupon payment date:
0.0%
|
18 months from the pricing date
|
90%
|
62%
|
Contingent coupon payment date: 0.0%
|
2 years from the pricing date
|
110%
|
55%
|
Contingent coupon payment date: 0.0%
|
30 months from the pricing date
|
120%
|
45%
|
Contingent coupon payment date: 0.0%
|
3 years from the pricing date
|
130% (ending level)
|
50% (ending level)
|
Maturity date: 50.0%
|
Because the closing level of the lowest performing underlying
is less than its threshold level on each calculation day and call date, these Market Linked Securities would not be automatically
called prior to maturity, and would not pay a contingent coupon payment on any contingent coupon payment date. On the final calculation
day, because the ending level of the lowest performing underlying is less than its threshold level, you would incur a loss on your
investment equal to the full decline of the lowest performing underlying from its starting level to its ending level. Your payment
at maturity in this example would be calculated as follows (assuming Underlying 2, which was the lowest performing underlying on
the final calculation day, had a hypothetical starting level of 1,000 and a hypothetical ending level of 500):
On the stated maturity date, you would receive $500.00 per Market
Linked Security, resulting in a loss of 50%.
This example illustrates that you will not participate
in any appreciation of either underlying, but will be fully exposed to the depreciation of the lowest performing underlying, if
its ending level on the final calculation day is less than its threshold level, even if the ending level of the other underlying
has appreciated or has not declined below its respective threshold level.
All payments on these Market Linked Securities are subject to
the ability of the issuer to make such payments to you when they are due, and you will have no ability to pursue any underlying
or any asset included in any underlying for payment. If the issuer defaults on its payment obligations, you could lose your entire
investment.
Market Linked Securities — Auto-Callable with Contingent
Coupon and Contingent Downside Linked to the Lowest Performing Underlying | A-7
This information, including the graph to the
right, is hypothetical and is provided for informational purposes only. It is not intended to represent any specific return, yield
or investment, nor is it indicative of future results. The graph illustrates the potential payment at maturity on these Market
Linked Securities (excluding the final contingent coupon payment, if any), assuming these Market Linked Securities have not been
automatically called prior to maturity. This graph does not take into account contingent coupon payments, if any, received during
the term of these Market Linked Securities. As evidenced in this graph, in no event will you have a positive rate of return based
solely on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if any.
|
|
Estimated value of Market Linked
Securities – Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
The original offering price of these Market Linked Securities
will include certain costs that are borne by you. Because of these costs, the estimated value of these Market Linked Securities
on the pricing date will be less than the original offering price. If specified in the applicable pricing supplement, these costs
may include the underwriting discount or commission, the hedging profits of the issuer’s hedging counterparty (which may
be an affiliate of the issuer), and hedging and other costs associated with the offering and costs relating to the issuer’s
funding considerations for debt of this type. See “General risks and investment considerations” herein and the applicable
pricing supplement for more information.
The issuer will disclose the estimated value of these
Market Linked Securities in the applicable pricing supplement. The estimated value of these Market Linked Securities will be determined
by estimating the value of the combination of hypothetical financial instruments that would replicate the payout on these Market
Linked Securities, which combination consists of a non-interest bearing, fixed-income bond and one or more derivative instruments
underlying the economic terms of these Market Linked Securities. You should read the applicable pricing supplement for more information
about the estimated value of these Market Linked Securities and how it is determined.
A-8 | Market Linked
Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Which investments are right for you?
|
It is important to read and understand
the applicable preliminary pricing supplement and other related offering documents, and consider several factors before making
an investment decision.
An investment in these Market Linked Securities may
help you modify your portfolio’s risk-return profile to more closely reflect your market views. However, at maturity you
may incur a loss on your investment, and you will forgo guaranteed interest payments and any return in excess of the contingent
coupon payments, if any.
These Market Linked Securities are not suitable for all investors,
but may be suitable for investors who:
|
•
|
Seek the potential for contingent coupon payments at a higher rate than the issuer would pay on
ordinary debt securities of comparable maturity and, in exchange, are willing to assume the risk of not receiving some or any contingent
coupon payments and the downside risk of the lowest performing underlying if the lowest performing underlying declines below its
threshold level
|
|
•
|
Seek to supplement their existing investments with the return profile provided by these Market
Linked Securities
|
You can find a discussion of risks and investment considerations
on the next page and in the preliminary pricing supplement and other related offering documents for these Market Linked Securities.
The following questions, which you should review with your financial advisor, are intended to initiate a conversation about whether
these Market Linked Securities are right for you.
|
•
|
Are you dependent on your investments for current income? Can you accept the
risk that these Market Linked Securities may not pay one or more, or any, contingent coupon payments?
|
|
•
|
Are you comfortable with the potential loss of a significant portion, and possibly
all, of your initial investment as a result of a decline of the lowest performing underlying below its threshold level?
|
|
•
|
Are you comfortable accepting the full downside risks of each underlying?
|
|
•
|
What is your time horizon? Do you foresee liquidity needs? Will you be able
to hold these investments until maturity or earlier automatic call?
|
|
•
|
Are you willing to forgo participation in any appreciation of any underlying?
|
|
•
|
What is your sensitivity to the tax treatment for your investments?
|
|
•
|
Are you willing to accept the credit risk of the applicable issuer?
|
Before making an investment decision, please work with
your financial advisor to determine which investment products may be appropriate given your financial situation, investment goals,
and risk profile.
Market Linked Securities — Auto-Callable with Contingent
Coupon and Contingent Downside Linked to the Lowest Performing Underlying | A-9
General
risks and investment considerations
|
These Market Linked Securities have complex features
and are not suitable for all investors. They involve a variety of risks and may be linked to a variety of different underlyings.
Each of these Market Linked Securities and each underlying will have its own unique set of risks and investment considerations.
Before you invest in these Market Linked Securities, you should thoroughly review the relevant preliminary pricing supplement and
other related offering documents for a comprehensive discussion of the risks associated with the investment. The following are
general risks and investment considerations applicable to these Market Linked Securities:
|
•
|
Principal risk. These Market Linked Securities are not structured to repay your full original
offering price on the stated maturity date. If these Market Linked Securities are not automatically called and the ending level
of the lowest performing underlying is less than its threshold level, you will be fully exposed to the decline of the lowest performing
underlying from its starting level to its ending level and the payment you receive at maturity will be less than the original offering
price of these Market Linked Securities. Under these circumstances, you will lose a substantial portion, and possibly all, of your
investment.
|
|
•
|
Contingent coupon risk. These Market Linked Securities do not provide for fixed payments
of interest. If the closing level of the lowest performing underlying is less than its threshold level on a given calculation day,
you will not receive a contingent coupon payment on the related contingent coupon payment date. If the closing level of the lowest
performing underlying is less than its threshold level on every calculation day, you will not receive any contingent coupon payments
throughout the entire term of these Market Linked Securities.
|
|
•
|
Limited return potential. Even though you will be fully exposed to any decline in the level
of the lowest performing underlying, if its ending level is below its threshold level, you will not participate in any increase
in the level of any underlying over the term of these Market Linked Securities. Your maximum possible return on these Market Linked
Securities will be limited to the sum of the contingent coupon payments you receive, if any.
|
|
•
|
Automatic call risk. If these Market Linked Securities are automatically called, the term
of these Market Linked Securities will be less than the full term to maturity. The automatic call feature will limit your potential
to receive contingent coupon payments over the full term of these Market Linked Securities if the closing level of the lowest performing
underlying is greater than or equal to its starting level as of a designated call date. If these Market Linked Securities are automatically
called, there is no guarantee that you would be able to reinvest the proceeds at a comparable return for a similar level of risk.
|
|
•
|
Lowest performing underlying risk. These Market Linked Securities are subject to the full
risks of each underlying and will be negatively affected if any underlying declines below its threshold level, even if the other
underlying(s) perform favorably. You will not benefit in any way from the performance of the better performing underlying(s). These
Market Linked Securities are not linked to a basket composed of the underlyings, where the better performance of one underlying
could offset the poor performance of the other underlying(s). Instead, you are subject to the full risks of whichever underlying
is the lowest performing underlying on each calculation day and/or call date. As a result, these Market Linked Securities are riskier
than they would otherwise be if they were linked to only one of the underlyings or linked to a basket composed of each underlying.
|
|
•
|
Correlation risk. It is generally preferable from your perspective for the underlyings to
be correlated with each other during the term of these Market Linked Securities, so that their levels will tend to increase or
decrease at similar times and by similar magnitudes. By investing in these Market Linked Securities, you assume the risk that the
underlyings will not exhibit this relationship. If the underlyings have low historical correlation, these Market Linked Securities
will typically offer a higher contingent coupon rate, but it will be more likely that one of the underlyings will be performing
poorly at any time over the term of these Market Linked Securities. All that is necessary for these Market Linked Securities to
perform poorly is for one of the underlyings to decline below its threshold level; the performance of the better performing underlying(s)
is not relevant to your return.
|
|
•
|
Liquidity risk. These Market Linked Securities are not appropriate for investors who may
have liquidity needs prior to maturity. These Market Linked Securities are not listed on any securities exchange and are generally
illiquid instruments. Neither Wells Fargo Securities nor any other person is required to maintain a secondary market for these
Market Linked Securities. Accordingly, you may be unable to sell your Market Linked Securities prior to their maturity date. If
you choose to sell these Market Linked Securities prior to maturity, assuming a buyer is available, you may receive less in sale
proceeds than the original offering price.
|
|
•
|
Market value uncertain. These Market Linked Securities are not appropriate
for investors who need their investments to maintain a stable value during their term. The value of your Market Linked Securities
prior to maturity or automatic call will be affected by numerous factors, such as performance, volatility, dividend rate of the
underlyings (if applicable), interest rates, the time remaining to maturity, the correlation between the underlyings, and the applicable
issuer’s creditworthiness. The value of these Market Linked Securities will also be limited by the automatic call feature.
|
|
•
|
Costs to investors. The original offering price of these Market Linked Securities will include certain costs that are
borne by you. These costs will adversely affect the economic terms of these Market Linked Securities and will cause their estimated
value on the pricing date to be less than the original offering price. If specified in the applicable pricing supplement, these
costs may include the underwriting discount or commission, the hedging profits of the issuer’s hedging counterparty (which
may be an affiliate of the issuer), hedging and other costs associated with the offering, and costs relating to the issuer’s
funding considerations for debt of this type. These costs will adversely affect any secondary market
|
A-10 | Market Linked
Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
price for these Market Linked Securities, which may
be further reduced by a bid-offer spread. As a result, unless market conditions and other relevant factors change significantly
in your favor following the pricing date, any secondary market price for these Market Linked Securities is likely to be less than
the original offering price.
|
•
|
Credit risk. Any investment in these Market Linked Securities is subject
to the ability of the applicable issuer to make payments to you when they are due, and you will have no ability to pursue any underlying
or any assets included in any underlying for payment. If the issuer defaults on its payment obligations, you could lose your entire
investment. In addition, the actual or perceived creditworthiness of the issuer may affect the value of these Market Linked Securities
prior to maturity.
|
|
•
|
Estimated value considerations. The estimated value of these Market Linked Securities that is disclosed in the applicable
pricing supplement will be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of
the issuer and may be Wells Fargo Securities. The estimated value will be based on the issuer’s or the underwriter’s
proprietary pricing models and assumptions, and certain inputs that may be determined by the issuer or underwriter in its discretion.
Because other dealers may have different views on these inputs, the estimated value that is disclosed in the applicable pricing
supplement may be higher, and perhaps materially higher, than the estimated value that would be determined by other dealers in
the market. Moreover, you should understand that the estimated value that is disclosed in the applicable pricing supplement will
not be an indication of the price, if any, at which Wells Fargo Securities or any other person may be willing to buy these Market
Linked Securities from you at any time after issuance.
|
|
•
|
Conflicts of interest. Potential conflicts of interest may exist between
you and the applicable issuer and/or Wells Fargo Securities. For example, the applicable issuer, Wells Fargo Securities, or one
of their respective affiliates may engage in business with companies whose securities are included in an underlying, or may publish research
on such companies or an underlying. In addition, the applicable issuer, Wells Fargo Securities, or one of their respective affiliates
may be the calculation agent for the purposes of making important determinations that affect the payments on these Market Linked
Securities. Finally, the estimated value of these Market Linked Securities may be determined by the issuer or an underwriter of
the offering, which underwriter may be an affiliate of the issuer and may be Wells Fargo Securities.
|
|
•
|
Effects of trading and other transactions. Trading and other transactions
by the applicable issuer, Wells Fargo Securities or one of their respective affiliates could affect the underlyings or the value
of these Market Linked Securities.
|
|
•
|
ETF risk. If an underlying is an exchange-traded fund (ETF), it may underperform the index
it is designed to track as a result of costs and fees of the ETF and differences between the constituents of the index and the
actual assets held by the ETF. In addition, an investment in these Market Linked Securities linked to an ETF involves risks related
to the index underlying the ETF, as discussed in the next risk consideration.
|
|
•
|
Index risk. If an underlying is an index, or an ETF that tracks an index, your return on
these Market Linked Securities may be adversely affected by changes that the index publisher may make to the manner in which the
index is constituted or calculated. Furthermore, if the index represents foreign securities markets, you should understand that
foreign securities markets tend to be less liquid and more volatile than U.S. markets, and that there is generally less information
available about foreign companies than about companies that file reports with the U.S. Securities and Exchange Commission. Moreover,
if the index represents emerging foreign securities markets, these Market Linked Securities will be subject to the heightened political
and economic risks associated with emerging markets. If the index includes foreign securities and the level of the index is based
on the U.S. dollar value of those foreign securities, these Market Linked Securities will be subject to currency exchange rate
risk in addition to the other risks described above, as the level of the index will be adversely affected if the currencies in
which the foreign securities trade depreciate against the U.S. dollar.
|
|
•
|
Commodity risk. These Market Linked Securities linked to commodities will be subject to
a number of significant risks associated with commodities. Commodity prices tend to be volatile and may fluctuate in ways that
are unpredictable and adverse to you. Commodity markets are frequently subject to disruptions, distortions, and changes due to
various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and
intervention. Moreover, commodity indices may be adversely affected by a phenomenon known as “negative roll yield,”
which occurs when future prices of the commodity futures contracts underlying the index are higher than current prices. Negative
roll yield can have a significant negative effect on the performance of a commodity index. Furthermore, for commodities that are
traded in U.S. dollars, but for which market prices are driven by global demand, any strengthening of the U.S. dollar against relevant
other currencies may adversely affect the demand for, and therefore the price of, those commodities.
|
|
•
|
Currency risk. These Market Linked Securities linked to currencies will be subject to a number
of significant risks associated with currencies. Currency exchange rates are frequently subject to intervention by governments,
which can be difficult to predict and can have a significant impact on exchange rates. Moreover, currency exchange rates are driven
by complex factors relating to the economies of the relevant countries that can be difficult to understand and predict. Currencies
issued by emerging market governments may be particularly volatile and will be subject to heightened risks.
|
|
•
|
Bond risk. These Market Linked Securities linked to bond indices or exchange-traded funds
that are comprised of specific types of bonds with different maturities and qualities will be subject to a number of significant
risks associated with bonds. In general, if market interest rates rise, the value of bonds will decline. In addition, if the market
perception of the creditworthiness of the relevant bond issuers falls, the value of bonds will generally decline.
|
|
•
|
Tax considerations. You should review carefully the relevant preliminary
pricing supplement and other related offering documents and consult your tax advisors regarding the application of the U.S. federal
tax laws to your particular circumstances, as well as any tax consequences arising under the laws of any state, local, or non-U.S.
jurisdiction.
|
Market Linked Securities —
Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying | A-11
Always read the preliminary pricing
supplement and other related offering documents.
These Market Linked Securities are offered with the
attached preliminary pricing supplement and other related offering documents. Investors should read and consider these documents
carefully before investing. Prior to investing, always consult your financial advisor to understand the investment structure in
detail.
For more information about these Market Linked Securities
and the structures currently available for investment, contact your financial advisor, who can advise you whether or not a particular
offering may meet your individual needs and investment requirements.
Wells
Fargo Securities is the trade name for the capital markets and investment banking services of Wells Fargo & Company and its
subsidiaries, including Wells Fargo Securities, LLC, a member of FINRA, NYSE, and SIPC, and Wells Fargo Bank, N.A.
Wells
Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members
SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.
©
2016 Wells Fargo Securities, LLC. All rights reserved. WCS-2893315 (11/16)