Pricing Supplement dated July 7, 2023
(To the Prospectus dated May 23, 2022 and the Prospectus Supplement dated June 27, 2022)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158
|
![]() |
$1,000,000
Leveraged Steepener Notes due July 13, 2026
Linked to the Spread Between the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-
Year U.S. Dollar SOFR ICE Swap Rate Global Medium-Term Notes, Series A
|
Issuer:
|
Barclays Bank PLC
|
Denominations:
|
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
|
Initial Valuation Date:
|
July 7, 2023
|
Issue Date:
|
July 12, 2023
|
Maturity Date:
|
July 13, 2026
|
Interest Payment Amount:
|
For each Interest Period, the Interest Payment Amount per $1,000 principal amount Note will be calculated as follows:
$1,000 × Interest Rate × (days in Interest Period/360)
where the number of days in the Interest Period will be determined based on a Day Count Convention of 30/360. For additional information regarding the Day Count Convention for these Notes, see Terms of the Notes—Day Count Convention in the accompanying prospectus supplement.
|
Interest Rate:
|
For each Interest Period: a floating rate per annum equal to the product of (i) the Reference Asset, as determined on the Interest Determination Date for that Interest Period, times (ii) the Multiplier; provided that the Interest Rate will not be less than the Minimum Interest Rate or greater than the Maximum Interest Rate.
|
Reference Asset:
|
On any Interest Determination Date, the difference of the 30-Year U.S. Dollar SOFR ICE Swap Rate (the 30-Year Swap Rate) minus the 2-Year U.S. Dollar SOFR ICE Swap Rate (the 2-Year Swap Rate), each as determined on that Interest Determination Date (such difference, the Swap Rate Spread). The 30-Year Swap Rate and the 2-Year Swap Rate are each a U.S. Dollar SOFR ICE Swap Rate, as defined in the accompanying prospectus supplement, with a maturity of 30 years and 2 years, respectively. See The Swap Rate Spread and the Swap Rates herein and Reference Assets—Floating Interest Rate—U.S. Dollar SOFR ICE Swap Rate in the accompanying prospectus supplement for information about the manner in which each of the 30-Year Swap Rate and the 2-Year Swap Rate will be determined. Each of the 30-Year Swap Rate and the 2-Year Swap Rate is sometimes referred to herein as a Swap Rate and together as the Swap Rates. For additional information regarding the Secured Overnight Financing Rate (SOFR), see the first three paragraphs of Reference Assets—Floating Interest Rate— Compounded SOFR in the accompanying prospectus supplement.
|
Multiplier:
|
35.00
|
Minimum Interest Rate:
|
0.00% per annum
|
Maximum Interest Rate:
|
15.00% per annum
|
Payment at Maturity:
|
You will receive on the Maturity Date a cash payment per $1,000 principal amount Note that you hold equal to $1,000 plus any accrued and unpaid interest.
Any payment on the Notes, including any repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power (as described on page PS- 4 of this pricing supplement) by the relevant U.K. resolution authority. See Selected Risk Considerations and Consent to U.K. Bail-in Power in this pricing supplement and Risk Factors in the accompanying prospectus supplement.
|
Consent to U.K. Bail-in Power:
|
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See Consent to U.K. Bail-in Power on page PS-4 of this pricing supplement.
|
|
Initial Issue Price(1)(2)
|
Price to Public
|
Agent’s Commission
|
Proceeds to Barclays Bank PLC
|
Per Note
|
$1,000
|
100.00%
|
0.00%
|
100.00%
|
Total
|
$1,000,000
|
$1,000,000
|
$0
|
$1,000,000
|
(1)
|
Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.
|
(2)
|
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $[930.00] per Note. The estimated value is less than the initial issue price of the Notes. See Additional Information Regarding Our Estimated Value of the Notes on page PS-5 of this pricing supplement.
|
Interest Period:
|
The period from, and including, an Interest Payment Date (or the Issue Date in the case of the first Interest Period) to, but excluding, the immediately following Interest Payment Date
|
Interest Payment Date(s)*:
|
Quarterly on the 12th day of each January, April, July and October, commencing on October 12, 2023 and ending on the Maturity Date. For the avoidance of doubt, the final Interest Payment Date will be the Maturity Date.
|
Interest Determination Date(s):
|
For each Interest Period, the date two U.S. Government Securities Business Days preceding the first day of that Interest Period
|
U.S. Government Securities Business Day:
|
Any day except for a Saturday, a Sunday or a day on which The Securities Industry and Financial Markets Association (or any successor or replacement organization) recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities
|
Business Day:
|
Any day that is a Monday, Tuesday, Wednesday, Thursday or Friday and that is not a day on which banking institutions in New York City generally are authorized or obligated by law, regulation or executive order to be closed
|
Business Day Convention:
|
Following, unadjusted
|
Day Count Convention:
|
30/360
|
Calculation Agent:
|
Barclays Bank PLC
|
Settlement:
|
The Depository Trust Company; book-entry form; transferable
|
CUSIP / ISIN:
|
06745MQC5 / US06745MQC54
|
●
|
Prospectus dated May 23, 2022:
|
●
|
Prospectus Supplement dated June 27, 2022:
|
●
|
You are willing and able to accept a floating rate of interest based on the Reference Asset, with your return potential limited by the Maximum Interest Rate feature of the Notes.
|
●
|
You understand and accept that interest payments will vary based on fluctuations in the Reference Asset, and that the Notes may pay a below-market rate for an extended period of time, or even throughout the entire term of the Notes.
|
●
|
You are familiar with the Swap Rates and Swap Rate Spread and understand the factors that influence the Swap Rates, Swap Rate Spread and interest rates generally, and you understand and are willing to accept the risks associated with the Swap Rates and Swap Rate Spread.
|
●
|
You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to maturity.
|
●
|
You are willing and able to assume our credit risk for all payments on the Notes.
|
●
|
You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
●
|
You are unwilling or unable to accept a floating rate of interest based on the Reference Asset, or you seek exposure to the Reference Asset without certain features of the Notes, such as the Maximum Interest Rate.
|
●
|
You are unwilling or unable to accept that interest payments will vary based on fluctuations in the Reference Asset, or that the Notes may pay a below-market rate for an extended period of time, or even throughout the entire term of the Notes.
|
●
|
You are not familiar with the Swap Rates or Swap Rate Spread, you do not understand the factors that influence the Swap Rates, Swap Rate Spread or interest rates generally, or you do not understand or are unwilling to accept the risks associated with the Swap Rates or Swap Rate Spread.
|
●
|
You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to maturity.
|
●
|
You are unwilling or unable to assume our credit risk for all payments on the Notes.
|
●
|
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
|
■
|
You hold the Notes to maturity.
|
Swap Rate Spread
|
Interest Rate
|
Interest Payment Amount*
|
-1.000%
|
0.00%
|
$0.00
|
-0.800%
|
0.00%
|
$0.00
|
-0.600%
|
0.00%
|
$0.00
|
-0.400%
|
0.00%
|
$0.00
|
-0.200%
|
0.00%
|
$0.00
|
0.000%
|
0.00%
|
$0.00
|
0.100%
|
3.50%
|
$8.75
|
0.200%
|
7.00%
|
$17.50
|
0.300%
|
10.50%
|
$26.25
|
0.429%
|
15.00%
|
$37.50
|
0.600%
|
15.00%
|
$37.50
|
0.800%
|
15.00%
|
$37.50
|
1.000%
|
15.00%
|
$37.50
|
1.200%
|
15.00%
|
$37.50
|
1.400%
|
15.00%
|
$37.50
|
1.600%
|
15.00%
|
$37.50
|
1.800%
|
15.00%
|
$37.50
|
2.000%
|
15.00%
|
$37.50
|
●
|
The Amount of Interest Payable on the Notes Related to Any Interest Period Is Limited—The Interest Rate on the Notes for any Interest Period will be limited to the Maximum Interest Rate. As a result, in the event that the Interest Rate otherwise calculated for any Interest Period exceeds the Maximum Interest Rate, your interest payment for the relevant Interest Period will be based on the Maximum Interest Rate, and you will not benefit from any increase in the Interest Rate above the Maximum Interest Rate.
|
●
|
The Notes May Pay a Below-Market Rate or No Interest at All on One or More Interest Payment Dates—Because any interest payments on the Notes will be based on a floating rate of interest, you will be exposed to risks not associated with a conventional fixed-rate debt instrument. These risks include fluctuation of the Reference Asset and the possibility that, for any given Interest Period, you may receive an amount of interest based on the Minimum Interest Rate. We have no control over a number of matters that may affect interest rates such as the Reference Asset, including economic, financial and political events that are important in determining the existence, magnitude and longevity of these risks and their results. In recent years, interest rates have been volatile, and volatility also could be characteristic of the future. It is possible that the Reference Asset could decline significantly, including to a rate equal to or less than zero. If the Reference Asset were to decline to a rate that, after taking into account the Multiplier, did not result in a rate greater than the Minimum Interest Rate for an Interest Period, you would receive an interest payment based on the Minimum Interest Rate on the related Interest Payment Date. Because the Minimum Interest Rate is set to 0.00%, you would not receive any interest payment on the related Interest Payment Date. In addition, the Interest Rate for the Notes may be less than the floating rate payable on a similar Note or other instrument of the same maturity issued by us or an issuer with the same or a comparable credit rating.
|
●
|
Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
|
●
|
You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under Consent to U.K. Bail-in Power in this pricing 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 Notes losing all or a part of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes 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 Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes 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 Notes. 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, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any 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.
|
●
|
The Interest Rate Will Be Based on the Swap Rate Spread, Which Has Been Negative, May Not Widen and May Narrow Further During the Term of the Notes—The Swap Rate Spread has been negative and may not increase, or widen, above 0% and may decline, or narrow further during the term of the Notes as a result of the factors described under —The Swap Rate Spread Will Be Affected by a Number of Factors and May Be Volatile below. If the Swap Rate Spread declines to a rate that, after taking into account the Multiplier, does not result in a rate greater than the Minimum Interest Rate for an Interest Period, you will receive an interest payment based on the Minimum Interest Rate on the related Interest Payment Date. The Swap Rate Spread
|
●
|
The Swap Rate Spread Will Be Affected by a Number of Factors and May Be Volatile—In normal market conditions, longer-term swap rates are typically greater than shorter-term swap rates. However, swap rates do not always exhibit this relationship and, at times, longer-term swap rates may be less than shorter-term swap rates. Swap rate spreads have been negative and may not widen above 0% and may narrow further over the term of the Notes.
|
o
|
supply and demand for overnight U.S. Treasury repurchase agreements;
|
o
|
changes in, or perceptions about, the future Swap Rates;
|
o
|
sentiment regarding underlying strength in the U.S. and global economies;
|
o
|
expectations regarding the level of price inflation;
|
o
|
sentiment regarding credit quality in the U.S. and global credit markets;
|
o
|
central bank policy regarding interest rates;
|
o
|
inflation and expectations concerning inflation;
|
o
|
performance of capital markets; and
|
o
|
any statements from public government officials regarding the cessation of the Swap Rates.
|
●
|
The Swap Rates (and Therefore the Swap Rate Spread) and SOFR Have Limited Histories and Future Performance Cannot Be Predicted Based on Historical Performance—The publication of U.S. Dollar SOFR ICE Swap Rates began in November 2021, and, therefore, has a limited history. ICE Benchmark Administration (IBA) launched the U.S. Dollar SOFR ICE Swap Rates for use as reference rates for financial instruments in order to aid the market’s transition to SOFR and away from the U.S. dollar London Interbank Offered Rate (LIBOR). However, the composition and characteristics of SOFR differ from those of LIBOR in material respects, and the historical performance of LIBOR and swap rates published by IBA that reference LIBOR (LIBOR ICE Swap Rates) will have no bearing on the performance of the Swap Rates, the Swap Rate Spread or SOFR.
|
●
|
Any Failure of SOFR to Maintain Market Acceptance Could Adversely Affect the Notes—SOFR may fail to maintain market acceptance. SOFR was developed for use in certain U.S. dollar derivatives and other financial contracts as an alternative to LIBOR in part because it is considered a good representation of general funding conditions in the overnight U.S. Treasury repurchase agreement market. However, as a rate based on transactions secured by U.S. Treasury securities, it does not measure bank-specific credit risk and, as a result, is less likely to correlate with the unsecured short-term funding costs of banks. This may mean that market participants would not consider SOFR a suitable substitute, replacement or successor for all of the purposes for which LIBOR historically has been used (including, without limitation, as a representation of the unsecured short-term funding costs of banks), which may, in turn, lessen market acceptance of SOFR. Further, other index providers are developing products that are perceived as competing with SOFR. It is possible that market participants will prefer one of these competing products and that such competing products may become more widely accepted in the marketplace than SOFR. To the extent market acceptance for SOFR as a benchmark for floating-rate notes declines, the return on and value of the Notes and the price at which investors can sell the Notes in the secondary market could be adversely affected. Investors in Notes linked to SOFR, SOFR-based swap rates or the spread between two SOFR-based swap rates may not be able to sell those Notes at all or may not be able to sell those Notes at prices that will provide them with a yield comparable to similar investments that continue to have a developed secondary market, and may consequently suffer from increased pricing volatility and market risk.
|
●
|
There Is No Guarantee that the Swap Rates Will Be Comparable Substitutes, Successors or Replacements for LIBOR ICE Swap Rates—In November 2021, IBA launched the Swap Rates for use as reference rates for financial instruments in order to aid the market’s transition to SOFR and away from LIBOR. Both the Swap Rates and LIBOR ICE Swap Rates are determined by reference to Interest Rate swaps that reference a specified floating rate. However, the composition and characteristics of SOFR are not the same as those of LIBOR. SOFR is a broad Treasury repo financing rate that represents overnight secured funding transactions and is not the economic equivalent of LIBOR. While SOFR is a secured rate, LIBOR is an unsecured rate, and while SOFR is an overnight rate, LIBOR represents interbank funding for a specified term. As a result, there can be no assurance that SOFR will perform in the same way as LIBOR would have at any time, including, without limitation, as a result of changes in interest and yield rates in the market, bank credit risk, market volatility or global or regional economic, financial, political, regulatory, judicial or other events. For example, since publication of SOFR began on April 3, 2018, daily changes in SOFR have, on occasion, been more volatile than daily changes in comparable benchmark or other market rates. For the same reasons, there is no guarantee that the Swap Rates will be comparable substitutes, successors or replacements for LIBOR ICE Swap Rates.
|
●
|
The Swap Rates and the Manner in Which the Swap Rates Are Calculated May Change in the Future—Interest rates and indices that are deemed to be benchmarks, including those in widespread and long-standing use, have been the subject of recent international, national and other regulatory scrutiny and initiatives and proposals for reform. Some of these reforms are already effective while others are still to be implemented or are under consideration. There can be no assurance that the method by which either Swap Rate is calculated will continue in its current form. Any changes in the method of calculation could reduce the Swap Rate Spread and thus have a negative impact on the payments on the Notes and on the value of the Notes in the secondary market.
|
●
|
The Administrator of SOFR May Make Changes that Could Adversely Affect the Level of SOFR or Discontinue SOFR and Has No Obligation to Consider Your Interest in Doing So—The FRBNY (or a successor), as administrator of SOFR, may make methodological or other changes that could change the value of SOFR, including changes related to the method by which SOFR is calculated, eligibility criteria applicable to the transactions used to calculate SOFR, or timing related to the publication of SOFR. In addition, the administrator may alter, discontinue or suspend calculation or dissemination of SOFR. The administrator has no obligation to consider your interests in calculating, adjusting, converting, revising or discontinuing SOFR. These changes may result in a modified calculation method for either Swap Rate, which could reduce the Swap Rate Spread. Such reduction of the Swap Rate Spread will adversely affect the payments on the Notes, which may adversely affect the trading prices of the Notes.
|
●
|
The Swap Rates May Be Calculated by the Calculation Agent in Its Sole Discretion—If either Swap Rate is not displayed by approximately 11:00 a.m. New York City time on its Designated Swap Rate Page on any day on which that Swap Rate is to be determined and there has been no Benchmark Transition Event, then the affected Swap Rate on that day will be determined by the Calculation Agent, after consulting such sources as it deems comparable to the applicable Designated Swap Rate Page, or any source it deems reasonable from which to estimate the affected Swap Rate, in its sole discretion. In addition, if a Benchmark Transition Event occurs with respect to either Swap Rate and the Calculation Agent determines that there is no such Alternative Swap Rate for that Swap Rate as of any Interest Determination Date, then the Calculation Agent, after consulting such sources as it deems comparable to the applicable Designated Swap Rate Page, or any source it deems reasonable from which to estimate the affected Swap Rate, will determine the affected Swap Rate for that day in its sole discretion. Any Swap Rate determined in this manner and used in the determination of the related interest payment may be different from such Swap Rate that would have been published on the applicable Designated Swap Rate Page and may be different from other published rates, or other estimated rates, of the affected Swap Rate, and the Calculation Agent will have no obligation to consider your interests as an investor in the Notes in making any such determination.
|
●
|
The Swap Rates May Be Replaced by Successors or Substitute Rates and/or Be Modified by an Adjustment Formula—If the Calculation Agent determines that a Benchmark Transition Event has occurred with respect to either Swap Rate on or prior to any Interest Determination Date, then that Swap Rate will be determined by reference to a different base rate (modified by an Adjustment Formula), which we refer to as an Alternative Swap Rate, as further described under Reference Assets—Floating Interest Rate—U.S. Dollar SOFR ICE Swap Rate in the accompanying prospectus supplement. An Adjustment Formula is a formula or methodology (including but not limited to a multiplier and/or a spread or formula or methodology for calculating a multiplier and/or spread) that the Calculation Agent determines is required to be applied in order to reduce or eliminate, to the extent reasonably practicable in the circumstances, any economic prejudice or benefit (as applicable) to holders of the Notes as a result of the Benchmark Transition Event. Under such circumstances, the Calculation Agent may also specify changes to the terms of the Notes as further described under Reference Assets—Floating Interest Rate—U.S. Dollar SOFR ICE Swap Rate in the accompanying prospectus supplement. The selection of an Alternative Swap Rate for either Swap Rate, and any decisions, determinations or elections made by us or the Calculation Agent in accordance with the relevant swap rate fallback provisions could result in adverse consequences to that Swap Rate on the applicable Interest Determination Date, which could adversely affect the return on and the market value of the Notes. Further, there is no assurance that the characteristics of any Alternative Swap Rate will be similar to the Swap Rate it replaces, or that any Alternative Swap Rate will produce the economic equivalent of the Swap Rate it replaces. No assurance can be provided that the occurrence of a Benchmark Transition Event will not result in economic prejudice to holders of the Notes.
|
●
|
We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes.
|
●
|
Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
●
|
Many Economic and Market Factors Will Impact the Value of the Notes—In addition to the Swap Rates on any day, the value of the Notes will be affected by a number of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including:
|
o
|
the volatility (frequency and magnitude of changes in value) of the Swap Rate Spread;
|
o
|
correlation (or lack of correlation) of the Swap Rates;
|
o
|
the time to maturity of the Notes;
|
o
|
interest and yield rates in the market generally;
|
o
|
a variety of economic, financial, political, regulatory or judicial events that affect the Swap Rate Spread;
|
o
|
supply and demand for the Notes; and
|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
●
|
The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
|
●
|
The Estimated Value of Your Notes Might Be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt securities trade in the secondary market.
|
●
|
The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
|
●
|
The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if Any, and Such Secondary Market Prices, if Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
|
●
|
Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity—While the payment at maturity described in this pricing supplement is based on the full principal amount of your Notes, the initial issue price of the Notes includes any agent’s commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC may be willing to purchase Notes from you in secondary market transactions will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
|
|
Security Type
|
Security Class Title
|
Fee Calculation or Carry Forward Rule
|
Amount Registered
|
Proposed Maximum Offering Price Per Unit
|
Maximum Aggregate Offering Price
|
Fee Rate
|
Amount of Registration Fee
|
Fees to be Paid
|
Debt
|
Global Medium-Term Notes, Series A
|
457(r)
|
1,000.00
|
$1,000.00
|
$1,000,000.00
|
0.0001102
|
$110.20
|
OP:K-SG*3ZML_L##4E3I0IKHD
MON1B_$;QS8_#+P'K'B'4I!%8Z+:27#?@[IG@6SFQ?>+)O/O
MK8*6L+*V#Z;Y-OU"-7Y[_!'X]>)_V=O%LVN^$KZ+3M4FMFM&G>VCG(C9E9@
MZD DJ.1SCCH37[IX<9'B*645\=0LJM9-0;V26B>S?Q7Z=$?R-XY<6X+$<383
M*<6W+#89J551LVW*S<4FTKJ%DM5;F9^UOQ:^&5KX_P#@IKWA)(HXK;4M*EL(
MD 6/,95./0';^5?A+=6LNFWLL$R/%/;N4=#PR,#@@^X-?0G_#U+XX_]#=%_
MX++7_P"-UX'XCURZ\3Z]>ZG>LKWFHSO
,E&49M-%V$E_851K1SG*WW*/YIGY%](#,8?ZW
M48O54:=-->?-*3^]-'] H 4 8 J.\NXM/M)9YY8X8(4+R2.P544#)))Z "O
MR1@_X*W_ !K@LD@_MG27V)L\Q]+B+GCJ3ZUY]\8OVWOBA\=-*DT[Q!XJOY=,
ME_UEG; 6T$OLRH!N'LV17Q&&\),TE42KU(1CU:;;MY*R_-'ZOCOI).XESFE&M.O4:7-%22M[TFDT[7
M
H5UBMRL@H\K@Y*^'E7H;4'&