Barclays Bank PLC
Market Linked Securities
|
Filed Pursuant
to Rule 433
Registration
Statement No. 333-232144
|
Market Linked Securities – Auto-Callable
with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest
Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the S&P 500®
Index due July 27, 2023
Final Term Sheet dated July 31, 2020 to Pricing
Supplement dated July 31, 2020 (the “PS”)
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Summary
of Terms
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Issuer
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Barclays
Bank PLC
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Term
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Approximately
3 years
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Reference
Assets
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Dow
Jones Industrial Average®, Russell 2000® Index and S&P 500® Index (each,
an “Index”)
|
Pricing
Date
|
July
31, 2020
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Issue
Date
|
August
5, 2020
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Stated
Maturity Date
|
July
27, 2023
|
Original
Offering Price1
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$1,000
per security (100% of par)
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Contingent
Coupon Payments
|
See
“How contingent coupon payments are calculated” on page 2
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Contingent
Coupon Rate
|
7.80%
per annum
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Automatic
Call
|
See
“How to determine if the securities will be automatically called” on page 2
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Calculation
Days
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Quarterly,
on the 24th of each January, April, July and October, commencing October 24, 2020 and ending on the final calculation day
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Final
Calculation Day
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July
24, 2023
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Maturity
Payment Amount
|
See
“How the maturity payment amount is calculated” on page 2
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Lowest
Performing Index
|
See
“How the lowest performing Index is determined” on page 2
|
Starting
Level
|
For
the Dow Jones Industrial Average®, 26,428.32; for the Russell 2000® Index, 1,480.427; for the
S&P 500® Index, 3,271.12 (for each Index, its closing level on the pricing date)
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Ending
Level
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For
each Index, its closing level on the final calculation day
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Threshold
Level
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For
the Dow Jones Industrial Average®, 18,499.824; for the Russell 2000® Index, 1,036.2989; for
the S&P 500® Index, 2,289.784 (for each Index, 70% of its starting level)
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Calculation
Agent
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Barclays
Bank PLC
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Denominations
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$1,000
and any integral multiple of $1,000
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CUSIP/ISIN
|
06747QAM9
/ US06747QAM96
|
Agent
Discount
|
2.15%;
dealers, including those using the trade name Wells Fargo Advisors (WFA), will receive a selling concession of 1.50% and WFA
will receive a distribution expense fee of 0.075%
|
Investment
Description
·
Linked to the lowest performing of the Dow Jones Industrial Average®, the Russell 2000® Index
and the S&P 500® Index (each referred to as an “Index”)
· Unlike ordinary debt securities, the securities do not provide for fixed payments of interest, do not guarantee any return of principal
at stated maturity and are subject to potential automatic call prior to stated maturity upon the terms described below. Whether
the securities pay a contingent coupon, whether the securities are automatically called prior to stated maturity and, if the securities
are not automatically called, whether you are repaid the original offering price of your securities at stated maturity will depend
in each case on the closing level of the lowest performing Index on the relevant 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.
· Contingent Coupon. The securities will pay a contingent coupon on a quarterly basis until the earlier of stated maturity
or automatic call if the closing level of the lowest performing Index on the calculation day for the relevant quarter is greater
than or equal to its threshold level. However, if the closing level of the lowest performing Index on a calculation day is less
than its threshold level, you will not receive any contingent coupon for the relevant quarter. The contingent coupon rate is 7.80%
per annum.
·
Automatic Call. If the closing level of the lowest performing Index on any of the quarterly calculation days from January
2021 to April 2023, inclusive, is greater than or equal to its starting level, the securities will be automatically called for
the original offering price plus the contingent coupon payment otherwise due. The securities will not be subject to automatic call
until approximately six months after their issue date.
·
Potential Loss of Principal. If the securities are not automatically called prior to stated maturity, you will receive the
original offering price at stated maturity if the closing level of the lowest performing Index on the final calculation day is
greater than or equal to its threshold level. If the closing level of the lowest performing Index on the final calculation day
is less than its threshold level, you will lose more than 30%, and possibly all, of the original offering price of your securities.
·
The threshold level of each Index is equal to 70% of its starting level.
·
ou will not participate in any appreciation of any Index.
·
Your return on the securities will depend solely on the performance of the Index that is the lowest performing Index on
each calculation day. You will not benefit in any way from the performance of the better performing Indices. Therefore, you will
be adversely affected if any Index performs poorly, even if the other Indices perform favorably.
· Any payment on the securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and
is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the
exercise of any U.K. Bail-in Power (as described in the PS) by the relevant U.K. resolution authority, you might not receive any
amounts owed to you under the securities. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power”
in the PS and “Risk Factors” in the accompanying prospectus supplement.
·
No periodic interest payments or dividends
· No exchange listing; designed to be held to maturity
|
1 The issuer’s estimated value of the securities
on the pricing date, based on its internal pricing models, is $938.60 per security. The estimated value is less than the original
offering price of the securities. See “Additional Information Regarding Our Estimated Value of the Securities” on page
PS-6 of the PS.
THIS FINAL TERM SHEET SHOULD
BE READ IN CONJUNCTION WITH THE ACCOMPANYING PROSPECTUS, PROSPECTUS SUPPLEMENT, INDEX SUPPLEMENT AND PS. The securities
will have the terms specified in the prospectus dated August 1, 2019, the prospectus supplement dated August 1, 2019, the prospectus
addendum dated May 11, 2020 and the underlying supplement dated August 1, 2019, as supplemented or superseded by the PS. The securities
have complex features, and investing in the securities involves risks not associated with an investment in conventional debt securities.
The securities constitute our unsecured and unsubordinated
obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services
Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance
agency of the United States, the United Kingdom or any other jurisdiction.
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. See “Consent to U.K. Bail-in Power” in the PS.
How the lowest performing Index is determined
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.
How contingent coupon payments are calculated
On each contingent coupon payment date,
you will receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if the closing level of the
lowest performing Index on the related calculation day is greater than or equal to its threshold level.
Each “contingent coupon payment,”
if any, will be calculated per security as follows:
($1,000 × contingent coupon rate)
/ 4
The contingent coupon rate is 7.80% per annum. Any contingent
coupon payments will be rounded to the nearest cent, with one-half cent rounded upward.
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. If the closing level of the lowest performing Index is less than its threshold level on all quarterly
calculation days, you will not receive any contingent coupon payments over the term of the securities.
How to determine if the securities will be automatically
called
If the closing level of the lowest performing
Index on any of the quarterly calculation days from December 2020 to March 2023, inclusive, is greater than or equal to its starting
level, the securities will be automatically called, and on the related call settlement date you will be entitled to receive a cash
payment per security in U.S. dollars equal to the original offering price plus the contingent coupon payment otherwise due. The
securities will not be subject to automatic call until the second quarterly calculation day, which is approximately six months
after the issue date.
If the securities are automatically called,
they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities
after such call settlement date. You will not receive any notice from us if the securities are automatically called.
How the maturity payment amount is calculated
If the securities are not automatically
called prior to the stated maturity date, you will receive on the stated maturity date a cash payment per security in U.S. dollars
equal to the maturity payment amount (in addition to any contingent coupon payment otherwise due). The maturity payment amount
per security will equal:
|
·
|
if the ending level of the lowest performing Index on the final calculation
day is greater than or equal to its threshold level: $1,000; or
|
|
·
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if the ending level of the lowest performing Index on the final calculation
day is less than its threshold level:
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$1,000 × performance factor
of the lowest performing Index on the final calculation day
If the securities are not automatically
called prior to stated maturity and the ending level of the lowest performing Index on the final calculation day is less than its
threshold level, you will lose more than 30%, and possibly all, of the original offering price of your securities at stated maturity.
Any return on the securities will be
limited to the sum of your contingent coupon payments, if any. You will not participate in any appreciation of any Index, but you
will have full downside exposure to the lowest performing Index on the final calculation day if the ending level of that Index
is less than its threshold level.
Hypothetical Payout Profile
The profile to the right illustrates the potential
payment at stated maturity 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.
|
|
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.
|
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Hypothetical performance factor of lowest performing Index on final calculation day
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Hypothetical payment at stated maturity per security
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175.00%
|
$1,000.00
|
160.00%
|
$1,000.00
|
150.00%
|
$1,000.00
|
140.00%
|
$1,000.00
|
130.00%
|
$1,000.00
|
120.00%
|
$1,000.00
|
110.00%
|
$1,000.00
|
100.00%
|
$1,000.00
|
90.00%
|
$1,000.00
|
80.00%
|
$1,000.00
|
70.00%
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$1,000.00
|
69.00%
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$690.00
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60.00%
|
$600.00
|
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.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in any of the Indices or any of the securities
composing the Indices. You should carefully review the risk disclosures set forth under the “Risk Factors” sections
of the prospectus supplement and the prospectus addendum and the “Selected Risk Considerations” section in the accompanying
PS. The risks set forth below are discussed in detail in the “Selected Risk Considerations” section in the accompanying
PS.
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·
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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.
|
|
·
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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.
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|
·
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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.
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|
·
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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.
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|
·
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You Will Be Subject To Risks Resulting From The Relationship Between
The Indices.
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·
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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
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·
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Higher Contingent Coupon Rates Are Associated With Greater Risk.
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·
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You Will Be Subject To Reinvestment Risk.
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·
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The Securities Are Subject To The Credit Risk Of Barclays Bank PLC.
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·
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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.
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·
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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.
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·
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The Securities Are Subject To Small-Capitalization Companies Risk
With Respect To The Russell 2000® Index.
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·
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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.
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·
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No Assurance That The Investment View Implicit In The Securities Will
Be Successful.
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·
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Owning The Securities Is Not The Same As Owning The Securities Composing
Any Or All Of The Indices.
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·
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Each Index Reflects The Price Return Of The Securities Composing That
Index, Not The Total Return.
|
|
·
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Adjustments To The Indices Could Adversely Affect The Value Of The
Securities And The Amount You Will Receive At Maturity.
|
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·
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The Estimated Value Of Your Securities Is Lower Than The Original
Offering Price Of Your Securities.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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The Historical Performance Of The Indices Is Not An Indication Of
Their Future Performance.
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·
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Potentially Inconsistent Research, Opinions Or Recommendations By
Barclays Capital Inc., Wells Fargo Securities, LLC Or Their Respective Affiliates.
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·
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We Cannot Control Actions Of Any Of The Unaffiliated Companies Whose
Securities Are Included As Components Of The Indices.
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·
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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.
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·
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The U.S. Federal Income Tax Consequences Of An Investment In The Securities
Are Uncertain.
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Not suitable for all investors
Investment suitability must be determined
individually for each investor. 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 PS-12 of the accompanying PS
and the “Risk Factors” beginning on page S-7 of the prospectus supplement and beginning on page PA-1 of the prospectus
addendum 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” in the PS.
Barclays Bank PLC has filed a registration statement
(including a prospectus) with the SEC for the offering to which this final term sheet relates. Before you invest, you should read
the prospectus dated August 1, 2019, the prospectus supplement dated August 1, 2019, the prospectus addendum dated May 11, 2020,
the underlying supplement dated August 1, 2019, the PS and other documents Barclays Bank PLC has filed with the SEC for more complete
information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed
for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating
in this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative,
such dealer or toll-free 1-888-227-2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital
Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019.
Consult your tax advisor
Investors should review carefully the accompanying
PS, prospectus, prospectus supplement, prospectus addendum and underlying supplement and consult their tax advisors regarding the
application of the U.S. federal tax laws to their particular circumstances, as well as any tax consequences arising under the laws
of any state, local or non-U.S. jurisdiction.
As used in this final term sheet, “we,”
“us” and “our” refer to Barclays Bank PLC. 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.
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