Market Measure Business Day
The following definition shall supersede and replace the definition
of “Market Measure Business Day” set forth in product supplement EQUITY LIRN-1.
A “Market Measure Business Day” means a day on which:
|
(A)
|
each of the Eurex (as to the EURO STOXX 50® Index), the London Stock Exchange (as to the FTSE® 100
Index), the Tokyo Stock Exchange (as to the Nikkei 225 Index), the Geneva, Zurich and Basel Stock Exchanges (as to the Swiss Market
Index), the Australian Stock Exchange (as to the S&P/ASX 200 Index), and the Hong Kong Stock Exchange (as to the Hang Seng®
Index) (or any successor to the foregoing exchanges) are open for trading; and
|
|
(B)
|
the Basket Components or any successors thereto are calculated and published.
|
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The Basket
The Basket is designed to allow investors to participate in the
percentage changes in the levels of the Basket Components from the Starting Value to the Ending Value of the Basket. The Basket
Components are described in the section “The Basket Components” below. Each Basket Component will be assigned an initial
weight on the pricing date, as set forth in the table below.
For more information on the calculation of the value of the Basket,
please see the section entitled “Description of the Notes—Basket Market Measures”
beginning on page PS-32 of product supplement EQUITY LIRN-1.
If November 1, 2019 were the pricing date, for each Basket Component,
the Initial Component Weight, the closing level, the hypothetical Component Ratio and the initial contribution to the Basket value
would be as follows:
Basket Component
|
|
Bloomberg Symbol
|
|
Initial Component Weight
|
|
Closing Level(1)(2)
|
|
Hypothetical Component Ratio(1)(3)
|
|
Initial Basket Value Contribution
|
EURO STOXX 50® Index
|
|
SX5E
|
|
40.00%
|
|
3,623.74
|
|
0.01103832
|
|
40.00
|
FTSE® 100 Index
|
|
UKX
|
|
20.00%
|
|
7,302.42
|
|
0.00273882
|
|
20.00
|
Nikkei 225 Index
|
|
NKY
|
|
20.00%
|
|
22,850.77
|
|
0.00087524
|
|
20.00
|
Swiss Market Index
|
|
SMI
|
|
7.50%
|
|
10,252.24
|
|
0.00073155
|
|
7.50
|
S&P/ASX 200 Index
|
|
AS51
|
|
7.50%
|
|
6,669.100
|
|
0.00112459
|
|
7.50
|
Hang Seng® Index
|
|
HSI
|
|
5.00%
|
|
27,100.76
|
|
0.00018450
|
|
5.00
|
|
|
|
|
|
|
|
|
Starting Value
|
|
100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The actual closing level of each Basket Component and the resulting actual Component Ratios will be determined on the pricing
date, subject to adjustment as more fully described in the section entitled “Description of the Notes—Basket
Market Measures—Determination of the Component Ratio for Each Basket Component”
beginning on page PS-32 of product supplement EQUITY LIRN-1 if a Market Disruption Event occurs on the pricing date as to any Basket
Component or if the pricing date is not a Market Measure Business Day as to any Basket Component.
|
|
(2)
|
These were the closing levels of the Basket Components on November 1, 2019.
|
|
(3)
|
Each hypothetical Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage) multiplied
by 100, and then divided by the closing level of that Basket Component on November 1, 2019 and rounded to eight decimal places.
|
The calculation agents will calculate the value of the Basket
by summing the products of the closing level for each Basket Component on the calculation day and the Component Ratio applicable
to such Basket Component. If a Market Disruption Event occurs as to any Basket Component on the scheduled calculation day, the
closing level of that Basket Component will be determined as more fully described in the section entitled “Description of
the Notes—Basket Market Measures—Ending Value
of the Basket” beginning on page PS-35 of product supplement EQUITY LIRN-1.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
While actual historical information on the Basket will
not exist before the pricing date, the following graph sets forth the hypothetical historical performance of the Basket from January
1, 2009 through November 1, 2019. The graph is based upon actual daily historical levels of the Basket Components, hypothetical
Component Ratios based on the closing levels of the Basket Components as of December 31, 2008, and a Basket value of 100.00 as
of that date. This hypothetical historical data on the Basket is not necessarily indicative of the future performance of the Basket
or what the value of the notes may be. Any hypothetical historical upward or downward trend in the value of the Basket during any
period set forth below is not an indication that the value of the Basket is more or less likely to increase or decrease at any
time over the term of the notes.
Hypothetical Historical Performance of
the Basket
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The Basket Components
All disclosures contained in this term sheet regarding the Basket
Components, including, without limitation, their make-up, method of calculation, and changes in their components, have been derived
from publicly available sources without independent verification. The information reflects the policies of, and is subject to change
by each of STOXX Limited with respect to the EURO STOXX 50® Index, FTSE Russell (“FTSE”) with respect
to the FTSE® 100 Index, Nikkei Inc. with respect to the Nikkei 225 Index, SIX Swiss Exchange Ltd (“SSE”)
with respect to the Swiss Market Index, S&P Dow Jones Indices LLC (“S&P Dow Jones”) with respect to the S&P/ASX
200 Index and Hang Seng Indexes Company Limited (“HSI Company Limited”) with respect to the Hang Seng®
Index (STOXX, FTSE, Nikkei Inc., SSE, S&P Dow Jones and HSI Company Limited together, the “Index sponsors”). The
Index sponsors have no obligation to continue to publish, and may discontinue or suspend the publication of any Basket Component
at any time. The consequences of any Index sponsor discontinuing publication of a Basket Component are discussed in the section
entitled “Description of LIRNs—Discontinuance of an Index” beginning on page PS-27 of product supplement EQUITY
LIRN-1. None of us, the calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or
publication of any Basket Component or any successor index.
The EURO STOXX 50® Index
The EURO STOXX 50® Index (the
“SX5E”) was created and is calculated, maintained and published by STOXX Limited, a wholly owned subsidiary of Deutsche
Börse AG. The euro price return version of the SX5E is
reported by Bloomberg L.P. under the ticker symbol “SX5E.”
EURO STOXX 50® Index Composition
The SX5E
is a free-float market-capitalization weighted index composed of 50 of the largest stocks
in terms of free-float market capitalization traded on the major exchanges of 11 Eurozone countries: Austria, Belgium, Finland,
France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. At any
given time, some eligible countries may not be represented in the SX5E.
The selection
list for the SX5E includes the top 60% of the free-float market capitalization
of each of the 19 EURO STOXX® Supersector indices and all current SX5E component stocks. All the stocks on the selection
list are ranked in terms of free-float market capitalization. The largest 40 stocks on the selection list are selected for inclusion
in the SX5E; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60. If the number
of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50 stocks.
The composition of the SX5E is reviewed annually
in September. The review cut-off date is the last trading day of August. The composition of the SX5E is also reviewed monthly and
components that rank 75 or below are replaced and non-component stocks that rank 25 or above are added.
EURO STOXX 50® Index Maintenance
The SX5E
is also reviewed on an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs,
delistings, bankruptcy, and price and share adjustments) that affect the composition of the SX5E are immediately reviewed. Any
changes are announced, implemented and effective in line with the type of corporate action and the magnitude of the effect.
To maintain the number of components constant,
a removed company is replaced by the highest-ranked non-component on the selection list. The selection list is updated on a monthly
basis according to the review component selection process.
The free-float factors
for each component stock used to calculate the SX5E are reviewed, calculated and implemented on a quarterly basis and are fixed
until the next quarterly review.
EURO STOXX 50® Index Calculation
The SX5E is calculated with the “Laspeyres
formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula
for calculating the value of the SX5E can be expressed as follows:
Index =
|
free-float
market capitalization of the SX5E
|
divisor
|
The “free-float market capitalization
of the SX5E” is equal to the sum of the products, for each component stock, of the price, number of shares, free-float factor,
weighting cap factor and, if applicable, the exchange rate from the local currency into the index currency of the SX5E as of the
time that the SX5E is being calculated. The weighting cap factor limits the weight of each component stock within the SX5E
to a maximum of 10% at the time of each review.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The free-float factor of each component stock
is intended to reduce the number of shares to the actual amount available on the market. All fractions of the total number of shares
that are larger than 5% and whose holding is of a long-term nature are excluded from the calculation of the SX5E, including: cross-ownership
(stock owned either by the company itself, in the form of treasury shares, or owned by other companies); government ownership (stock
owned by either governments or their agencies); private ownership (stock owned by either individuals or families); and restricted
shares that cannot be traded during a certain period or have a foreign ownership restriction. Block ownership is not applied for
holdings of custodian nominees, trustee companies, mutual funds, investment companies with short-term investment strategies, pension
funds and similar entities.
The SX5E is also subject to a divisor, which
is adjusted to maintain the continuity of the values of the SX5E despite changes due to corporate actions. The following is a summary
of the adjustments to any component stock of the SX5E made for corporate actions and the effect of such adjustment on the divisor
of the SX5E, where shareholders of the component stock will receive “B” number of shares for every “A”
share held (where applicable).
(1) Special cash dividend:
Cash distributions that are outside the scope of the regular
dividend policy or that the company defines as an extraordinary distribution
Adjusted price = closing price – dividend announced by
the company × (1 – withholding tax if applicable)
Divisor: decreases
|
(2) Split and reverse split:
Adjusted price = closing price × A / B
New number of shares = old number of shares × B / A
Divisor: unchanged
|
(3) Rights offering:
If the subscription price is not available or if the subscription
price is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.
In case the share increase is greater than or equal to 100% (B
/ A ≥ 1), the adjustment of the shares and weight factors are delayed until the new shares are listed.
Adjusted price = (closing price × A + subscription price
× B) / (A + B)
New number of shares = old number of shares × (A + B) /
A
Divisor: increases
|
(4) Stock dividend:
Adjusted price = closing price × A / (A + B)
New number of shares = old number of shares × (A + B) /
A
Divisor: unchanged
|
(5) Stock dividend (from treasury stock):
Adjusted only if treated as extraordinary dividend.
Adjusted close = close – close × B / (A + B)
Divisor: decreases
|
(6) Stock dividend of another company:
Adjusted price = (closing price × A – price of other
company × B) / A
Divisor: decreases
|
(7) Return of capital and share consolidation:
Adjusted price = (closing price – capital return announced
by company × (1-withholding tax)) × A / B
New number of shares = old number of shares × B / A
Divisor: decreases
|
(8) Repurchase of shares / self-tender:
Adjusted price = ((price before tender × old number of
shares) – (tender price × number of tendered shares)) / (old number of shares – number of tendered shares)
New number of shares = old number of shares – number of
tendered shares
Divisor: decreases
|
(9) Spin-off:
Adjusted price = (closing price × A – price of spun-off
shares × B) / A
Divisor: decreases
|
(10) Combination stock distribution (dividend or split) and rights offering:
|
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
For this corporate action, the following additional assumptions
apply:
Shareholders receive B new shares from the distribution and C
new shares from the rights offering for every A share held.
If A is not equal to one share, all the following “new
number of shares” formulae need to be divided by A:
|
- If rights are applicable after stock distribution (one action
applicable to other):
Adjusted price = (closing price × A + subscription price
× C × (1 + B / A)) / ((A + B) × ( 1 + C / A))
New number of shares = old number of shares × ((A + B)
× (1 + C / A)) / A
Divisor: increases
|
- If stock distribution is applicable after rights (one action
applicable to other):
Adjusted price = (closing price × A + subscription price
× C) /((A + C) × (1 + B / A))
New number of shares = old number of shares × ((A + C)
× (1 + B / A))
Divisor: increases
|
- Stock distribution and rights (neither action is applicable
to the other):
Adjusted price = (closing price × A + subscription price
× C) / (A + B + C)
New number of shares = old number of shares × (A + B +
C) / A
Divisor: increases
|
(11) Addition / deletion of a company:
No price adjustments are made. The net change in market capitalization
determines the divisor adjustment.
|
(12) Free-float and shares changes:
No price adjustments are made. The net change in market capitalization
determines the divisor adjustment.
|
|
|
|
The following graph shows the daily historical performance
of the SX5E in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the SX5E was 3,623.74.
Historical Performance of the EURO STOXX
50® Index
This historical data on the SX5E is not necessarily indicative
of the future performance of the SX5E or what the value of the notes may be. Any historical upward or downward trend in the level
of the SX5E during any period set forth above is not an indication that the level of the SX5E is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the SX5E.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
License Agreement
We have entered into a non-exclusive license
agreement with STOXX Limited whereby we, in exchange for a fee, are permitted to use the SX5E in connection with the notes. STOXX
Limited and its licensors (the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of
indices and the related trademarks for use in connection with the notes.
STOXX Limited and its Licensors do not:
|
·
|
sponsor, endorse, sell or promote the notes;
|
|
·
|
recommend that any person invest in the notes or any other securities;
|
|
·
|
have any responsibility or liability for or make any decisions about
the timing, amount or pricing of the notes.
|
|
·
|
have any responsibility or liability for the administration, management
or marketing of the notes; or
|
|
·
|
consider the needs of the notes or the owners of the notes in determining,
composing or calculating the SX5E or have any obligation to do so.
|
STOXX Limited and its Licensors will not
have any liability in connection with the notes. Specifically,
|
·
|
STOXX Limited and its Licensors do not make any warranty, express
or implied and disclaim any and all warranty about:
|
|
·
|
the results to be obtained by the notes, the owner of the notes or
any other person in connection with the use of the SX5E and the data included in the SX5E;
|
|
·
|
the accuracy or completeness of the SX5E and its data; or
|
|
·
|
the merchantability and the fitness for a particular purpose or use
of the SX5E and its data;
|
STOXX Limited and its Licensors
will have no liability for any errors, omissions or interruptions in the SX5E or its data; and
Under no circumstances will STOXX
Limited or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even
if STOXX Limited or its Licensors knows that they might occur.
The licensing agreement between
Barclays Bank PLC and STOXX Limited is solely for their benefit and not for the benefit of the owners of the notes or any other
third parties.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The FTSE® 100 Index
The FTSE® 100 Index (the “UKX”)
is an index calculated, published and disseminated by FTSE, a wholly owned subsidiary of London Stock Exchange Group plc (the “LSEG”).
The UKX measures the composite price performance of the 100 largest companies (determined on the basis of market capitalization)
traded on the London Stock Exchange (the “LSE”). Publication of the UKX began in January 1984. The UKX is reported
by Bloomberg L.P. under the ticker symbol “UKX.”
Composition of the FTSE® 100 Index
The 100 stocks included in the UKX (the “UKX
Underlying Stocks”) were selected from a reference group of stocks trading on the LSE that were selected by excluding certain
stocks that have low liquidity, public float accuracy, and reliability of prices, or size or have limited voting right by unrestricted
shareholders or foreign ownership restrictions. The UKX Underlying Stocks were selected from this reference group by selecting
100 stocks with the largest market value. Where there are multiple lines of listed equity capital in a company, all are included
and priced separately, provided that the secondary line’s full market capitalization (i.e. before the application
of any investability weightings) is greater than 25% of the full market capitalization of the company’s principal line and
the secondary line satisfies the eligibility rules and screens in its own right in all respects. A list of the issuers of the UKX
Underlying Stocks is available from FTSE.
Companies are required to have greater than
5% of the company’s voting rights (aggregated across all of its equity securities, including, where identifiable, those that
are not listed or trading) in the hands of unrestricted shareholders in order to be eligible for index inclusion. Companies already
included in the UKX have a five-year grandfathering period to comply or they will be removed from the UKX in September 2022.
The UKX is overseen and reviewed quarterly
by the FTSE Russell Europe, Middle East & Africa Regional Equity Advisory Committee (the “Index Steering Committee”)
in order to maintain continuity in the level. The Index Steering Committee undertakes the reviews of the UKX and ensures that constituent
changes and index calculations are made in accordance with the ground rules of the UKX. The UKX is reviewed on a quarterly basis
in March, June, September and December. Each review is based on data from the close of business on the Tuesday before the first
Friday of the review month. Any constituent changes are implemented after the close of business on the third Friday of the review
month (i.e. effective Monday), following the expiry of the ICE Futures Europe futures and options contracts.
The UKX Underlying Stocks may be replaced,
if necessary, in accordance with deletion/addition rules that provide generally for the removal and replacement of a stock from
the UKX if such stock is delisted or its issuer is subject to a takeover offer that has been declared unconditional or it has ceased,
in the opinion of the Index Steering Committee, to be a viable component of the UKX. To maintain continuity, a stock will be added
at the quarterly review if it has risen to 90th place or above and a stock will be deleted if at the quarterly review it has fallen
to 111th place or below, in each case ranked on the basis of market capitalization. A constant number of constituents will be maintained
for the UKX. Where a greater number of companies qualify to be inserted in the UKX than those qualifying to be deleted, the lowest
ranking constituents presently included in the UKX will be deleted to ensure that an equal number of companies are inserted and
deleted at the periodic review. Likewise, where a greater number of companies qualify to be deleted than those qualifying to be
inserted, the securities of the highest ranking companies which are presently not included in the UKX will be inserted to match
the number of companies being deleted at the periodic review.
Companies that are large enough to be constituents
of the UKX but do not pass the liquidity test are excluded. They will remain ineligible until the next annual review in June when
they will be re-tested against all eligibility screens.
Calculation of the FTSE® 100 Index
The UKX is an arithmetic weighted
index where the weights are the market capitalization of each company. The UKX is calculated by summing the free float adjusted
market values (or capitalizations) of all companies within the UKX divided by the divisor. On the base date, the divisor is calculated
as the sum of the market capitalizations of the UKX constituents divided by the initial index value of 1,000. The divisor is subsequently
adjusted for any capital changes in the UKX constituents. In order to prevent discontinuities in the UKX in the event of a corporate
action or change in constituents, it is necessary to make an adjustment to the prices used to calculate the UKX to ensure that
the change in index between two consecutive dates reflects only market movements rather than including change due to the impact
of corporate actions or constituent changes. This ensures that the UKX values remain comparable over time and that changes in the
UKX level properly reflect the change in value of a portfolio of index constituents with weights the same as in the UKX.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The following graph shows the daily historical performance
of the UKX in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the UKX was 7,302.42.
Historical Performance of the FTSE®
100 Index
This historical data on the UKX is not necessarily indicative
of the future performance of the UKX or what the value of the notes may be. Any historical upward or downward trend in the level
of the UKX during any period set forth above is not an indication that the level of the UKX is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the UKX.
License Agreement
We have entered into a non-exclusive license agreement with FTSE
whereby we, in exchange for a fee, are permitted to use the UKX in connection with certain securities, including the notes. We
are not affiliated with FTSE; the only relationship between FTSE and us is any licensing of the use of FTSE’s indices and
trademarks relating to them.
The notes are not in any way sponsored, endorsed, sold or promoted
by FTSE or by the London Stock Exchange Group companies (“LSEG”) (together the “Licensor Parties”) and
none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either
as (i) to the results to be obtained from the use of the UKX, (ii) the figure at which the UKX stands at any particular time on
the particular day or otherwise, or (iii) the suitability of the UKX for the purpose to which it is being put in connection with
the notes. None of the Licensor Parties have provided or will provide any financial or investment advice or recommendation in relation
to the UKX to Barclays Bank PLC or to its clients. The UKX is calculated by FTSE or its agent. None of the Licensor Parties shall
be (a) liable (whether in negligence or otherwise) to any person for any error in the UKX or (b) be under any obligation to advise
any person of any error therein.
“FTSE®,” “FT-SE®”
and “Footsie®” are trademarks of LSEG and are used by FTSE under license. “All-World,” “All-Share”
and “All-Small” are trademarks of FTSE.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
The Nikkei 225 Index
The Nikkei 225 Index (the “NKY”)
is a stock index that measures the composite price performance of selected Japanese stocks. The NKY is currently based on 225 underlying
stocks (the “Nikkei Underlying Stocks”) trading on the Tokyo Stock Exchange (“TSE”) representing a broad
cross-section of Japanese industries. Non-ordinary shares, such as shares of exchange-traded funds, real estate investment trusts,
preferred stock or other preferred securities or tracking stocks, are excluded from the NKY. The NKY is reported by Bloomberg L.P.
under the ticker symbol “NKY.”
All 225 Nikkei Underlying Stocks are stocks
listed in the First Section of the TSE. Stocks listed in the First Section of the TSE are among the most actively traded stocks
on the TSE. Nikkei Inc. rules require that the 75 most liquid issues (one-third of the component count of the NKY) be included
in the NKY. Nikkei Inc. first calculated and published the NKY in 1970.
Rules of the Periodic
Review
Nikkei
Underlying Stocks are reviewed annually (the “periodic review”) in accordance with the following rules, and results
of the review are applied on the first trading day in October. Results of the review become effective on the first trading day
of October, and there is no limit to the number of Nikkei Underlying Stocks that can be affected. Stocks selected by the procedures
outlined below are presented as candidates to a committee composed of academics and market professionals for comment; based on
comments from the committee, Nikkei Inc. determines and announces any changes to the Nikkei Underlying Stocks.
High Liquidity Group
The top
450 most liquid stocks are chosen from the TSE First Section. For purposes of this selection, liquidity is measured by (i) trading
volume in the preceding 5-year period and (ii) the magnitude of price fluctuation by volume in the preceding 5-year period. These
450 stocks constitute the “High Liquidity Group” for the review. Those Nikkei Underlying Stocks that are not in the
High Liquidity Group are removed. Those stocks that are not currently Nikkei Underlying Stocks but that are in the top 75 of the
High Liquidity Group are added.
Sector Balance
The High
Liquidity Group is then categorized into the following six sectors: Technology, Financials, Consumer Goods, Materials, Capital
Goods/Others, and Transportation and Utilities. These six sector categories are further divided into 36 industrial classifications
as follows:
|
·
|
Technology
— Pharmaceuticals, Electrical Machinery, Automobiles & Auto Parts, Precision Instruments and Telecommunications;
|
|
·
|
Financials
— Banks, Other Financial Services, Securities and Insurance;
|
|
·
|
Consumer
Goods — Fishery, Food, Retail and Services;
|
|
·
|
Materials
— Mining, Textiles & Apparel, Paper & Pulp, Chemicals, Petroleum, Rubber, Ceramics, Steel, Nonferrous Metals and
Trading Companies;
|
|
·
|
Capital
Goods/Others — Construction, Machinery, Shipbuilding, Transportation Equipment, Other Manufacturing and Real Estate; and
|
|
·
|
Transportation/Utilities
— Railway & Transport, Marine Transport, Air Transport, Warehousing, Electric Power and Gas.
|
The “appropriate
number” of constituents for each sector is defined to be half the number of stocks in that sector. After the liquidity-based
adjustments, discussed above, a rebalancing is conducted if any of the sectors are over- or under-represented. The degree of representation
is evaluated by comparing the actual number of constituents in the sector against the appropriate number for that sector.
For over-represented
sectors, current constituents in the sector are deleted in the order of liquidity (lowest liquidity first) to correct the overage.
For under-represented sectors, non-constituent stocks are added from the High Liquidity Group in the order of liquidity (highest
liquidity first) to correct the shortage.
Extraordinary Replacement
Rules
Nikkei
Underlying Stocks removed from the TSE First Section are deleted from the NKY. Reasons
for removal from the TSE First Section include: designation to “securities to be delisted” (i.e., “Seiri
Meigara”) or delisting due to bankruptcy (including filing under the Corporate Reorganization Act, Civil Rehabilitation Act
or liquidation), delisting due to corporate restructuring such as merger, share exchange or share transfer, designation to “securities
to be delisted” or actual delisting due to excess debt or transfer to the TSE Second Section. In addition, constituents designated
to “securities under supervision” (i.e., “Kanri Meigara”) become deletion candidates. However, the
decision to delete such candidates will be made by examining the sustainability and the probability of delisting for each individual
case.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
|
|
When
a Nikkei Underlying Stock is deleted from the NKY as outlined in the preceding paragraph,
a new Nikkei Underlying Stock will be selected and added, in principle, from the same sector of the High Liquidity Group in order
of liquidity. Notwithstanding the foregoing, the following rules may apply depending on the timing and circumstances of the deletion:
(i) when such deletion is scheduled close to the periodic review, additional stocks may be selected as part of the periodic review
process and (ii) when multiple deletions are scheduled in a season other than the periodic review, additions may be selected using
the liquidity and sector balancing rules outlined above.
Procedures to Implement
Constituent Changes
As a
general rule, for both the periodic review and the extraordinary replacement rules, additions and deletions are made effective
on the same day in order to keep the number of Nikkei Underlying Stocks 225. However, under the circumstances outlined below, when
an addition cannot be made on the same day as a deletion, the NKY may be calculated
with fewer than 225 Nikkei Underlying Stocks. In this case, the divisor is adjusted to ensure continuity.
The first
instance when the NKY may be calculated with fewer than 225 Nikkei Underlying Stocks
is when a Nikkei Underlying Stock is delisted by reason of share exchange or transfer and the succeeding company becomes
listed a short period of time later. The second instance is when a Nikkei Underlying Stock
is deleted due to a sudden announcement of bankruptcy or is designated as a “security to be delisted.” The addition
will be made after a short period (approximately 2 days). The exact schedule is announced on a case by case basis.
Calculation of the Nikkei 225 Index
The NKY is a modified, price-weighted index
(i.e., a Nikkei Underlying Stock’s weight in the index is based on its price per share rather than the total market
capitalization of the issuer) that is calculated by (i) multiplying the per share price of each Nikkei Underlying Stock by the
corresponding weighting factor for such Nikkei Underlying Stock (a “Weight Factor”), (ii) calculating the sum of all
these products and (iii) dividing such sum by a divisor (the “Divisor”). The Divisor is subject to periodic adjustments
as set forth below. Each Weight Factor is computed by dividing ¥50 by the par value of the relevant Nikkei Underlying Stock,
so that the share price of each Nikkei Underlying Stock when multiplied by its Weight Factor corresponds to a share price based
on a uniform par value of ¥50. The stock prices used in the calculation of the NKY are those reported by a primary market for
the Nikkei Underlying Stocks (currently the TSE). The level of the NKY is calculated every 5 seconds.
In order to maintain continuity in the NKY
in the event of certain changes due to non-market factors affecting the Nikkei Underlying Stocks, such as the addition or deletion
of stocks, substitution of stocks, stock splits or distributions of assets to stockholders, the Divisor used in calculating the
NKY is adjusted in a manner designed to prevent any instantaneous change or discontinuity in the level of the NKY. Thereafter,
the Divisor remains at the new value until a further adjustment is necessary as the result of another change. As a result of such
change affecting any Nikkei Underlying Stock, the Divisor is adjusted in such a way that the sum of all share prices immediately
after such change multiplied by the applicable Weight Factor and divided by the new Divisor (i.e., the level of the NKY
immediately after such change) will equal the level of the NKY immediately prior to the change.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The following graph shows the daily historical performance
of the NKY in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the NKY was 22,850.77.
Historical Performance of the Nikkei 225
Index
This historical data on the NKY is not necessarily indicative
of the future performance of the NKY or what the value of the notes may be. Any historical upward or downward trend in the level
of the NKY during any period set forth above is not an indication that the level of the NKY is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the NKY.
License Agreement
For any specific issuance of securities, we
will enter into a non-exclusive license agreement with Nikkei Inc., whereby we, in exchange for a fee, will be permitted to use
the NKY in connection with such securities. We are not affiliated with Nikkei Inc.; the only relationship between Nikkei Inc. and
us is any licensing of the use of Nikkei Inc.’s indices and trademarks relating to them.
The copyright relating to the NKY and intellectual
property rights as to the indications for “Nikkei,” “Nikkei Stock Average” and “Nikkei 225”
and any other rights shall belong to Nikkei Inc. Nikkei Inc. will be entitled to change the details of the NKY and to suspend the
announcement thereof. All the businesses and implementation relating to our license agreement with Nikkei Inc. will be conducted
exclusively at our risk, and Nikkei Inc. assumes no obligation or responsibility therefor.
The notes are not sponsored, endorsed, sold,
or promoted by Nikkei Inc., and Nikkei Inc. makes no representation whatsoever, whether express or implied, either as to the results
to be obtained from the use of the NKY and/or the levels at which the NKY stands at any particular time on any particular date
or otherwise. Nikkei Inc. will not be liable (whether in negligence or otherwise) to any person for any error in the NKY, and Nikkei
Inc. is under no obligation to advise any person of any error therein. Nikkei Inc. is making no representation whatsoever, whether
express or implied, as to the advisability of purchasing or assuming any risk in connection with the notes.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The Swiss Market Index
The SMI® (the “SMI®”)
is a free-float adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI®
was standardized on June 30, 1988 with an initial baseline value of 1,500 points. The SMI® is reported by Bloomberg
L.P. under the ticker symbol “SMI.”
Composition of the SMI®
The SMI® is composed of the most highly capitalized
and liquid stocks of the Swiss Performance Index® (“SPI®”). The SMI® represents
more than 75% of the free-float market capitalization of the Swiss equity market.
The SMI® is composed of the 20 highest ranked
securities of the SPI®, where the ranking of each security is determined by a combination of the following criteria:
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average free-float market capitalization over the last 12 months (compared to the capitalization of the entire SPI®);
and
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cumulated on order book turnover over the last 12 months (compared to the total turnover of the SPI®).
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The average market capitalization in percent and the turnover
in percent are each given a weighting of 50% and yield the weighted market share. A security is excluded from the SMI®
if it ranked 23 or lower in the selection list. To reduce fluctuations in the SMI®, a buffer is applied for securities
ranked 19 to 22. Out of the candidates from ranks 19 to 22, current components are selected with priority over the other candidates.
New components out of the buffer are selected until 20 components have been reached. Instruments that are primary listed on more
than one stock exchange and generate less than 50% of their total turnover at SIX Swiss Exchange, need to fulfill additional liquidity
criteria in order to be selectable for the SMI®. For this purpose, all components of the SPI® are
ranked based on their cumulated order book turnover over the past 12 months relative to the total turnover of the index universe.
For this list, only turnovers of stock exchanges are considered where the instrument is primary listed. Such an instrument with
several primary listings must rank among the first 18 components on the order book turnover list in order to be selectable for
the SMI®. Such an instrument is excluded from the SMI® once it reaches 23 or lower.
Standards for Admission and Exclusion
To ensure that the composition of the SMI® maintains
a high level of continuity, the stocks contained within it are subject to a special admission and exclusion procedure. This is
based on the criteria of free-float market capitalization and liquidity. The index-basket adjustments which arise from this procedure
are, as a rule, made once per year.
The securities included in the SMI® are weighted
according to their free-float. The free-float is calculated only for shares with voting rights. This means that large positions
in a security that reach or exceed the threshold of 5% and are held in firm hands are subtracted from the total market capitalization.
The following positions in a security are deemed to be held in firm hands:
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Shareholding that has been acquired by one person or a group of persons who are subject to a shareholder or lockup agreement.
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Shareholding that has been acquired by one person or a group of persons who according to publicly known facts, have a long-term
interest in a company.
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The free-float is calculated on the basis of outstanding shares.
Issued and outstanding equity capital is, as a rule, the total amount of equity capital that has been fully subscribed, wholly
or partially paid in and documented in the Commercial Registry. Neither conditional nor approved capital is counted as issued and
outstanding equity capital. The free-float is calculated on the basis of listed shares only. Where a company has different categories
of listed participation rights, these are considered separately for the free-float calculation.
Exceptions
The positions in a security held by institutions of the following
kind are deemed free-floating:
The SIX Swiss Exchange classifies at its own discretion persons
and groups of persons who, because of their area of activity or the absence of important information, cannot be clearly assigned.
Ordinary Index Review
Each year on the third Friday of September, the composition of
the SMI® is updated in the ordinary index review based on the selection list of June. With the cut-off dates on
March 31, September 30 and December 31, a provisional selection list is created, which serves as
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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the basis for the adjustment of extraordinary corporate actions.
The number of securities and free-float shares are adjusted on four ordinary adjustment dates a year: the third Friday in March,
June, September and December.
Extraordinary Corporate Actions
An extraordinary corporate action is an initial public offering
(“IPO”), merger and acquisition activity, spin-off, insolvency or any other event that leads to a listing or delisting.
An extraordinary corporate action has an ex-date, but its effect can usually not be calculated by a generic predefined formula.
In most cases, an extraordinary corporate action leads to a new listing or delisting and subsequently there is a change in the
composition of the SMI® and in the component weights of the composition of the SMI®.
Newly listed instruments that fulfill the selection rules of
the SMI®, are extraordinarily included in the SMI® on their second trading day and the SMI®
is adjusted with the free-float market capitalization at the close of the first trading day. The extraordinary inclusion of a newly
listed instrument in the SMI® can lead to an extraordinary replacement of an existing index component. Extraordinary
inclusions are implemented after a notification period of 5 trading days. The adjusted cap factors are implemented after a notification
period of generally 5 trading days, but no less than one trading day.
If an IPO of a real estate instrument leads to an extraordinary
inclusion, it is included in the SMI® in three equal stages. This is achieved by the gradual increase of the number
of shares or the free-float factor over three trading days starting on the second trading day.
In case of a delisting, the exclusion of an index component is
made, if possible, on the next ordinary index review date on the third Friday of March, June, September or December. However, if
the delisting would be effective before the ordinary index review, the component is excluded from the SMI® on the
effective date of the delisting. If a component is excluded from the SMI® outside of the ordinary index review,
it is replaced by the best-ranked candidate on the selection list that is not yet part composition of the SMI® in
order to maintain a stable number of components within the SMI®. Extraordinary exclusions are implemented after
a notification period of 5 trading days. Adjusted cap factors are implemented after a notification period of generally 5 trading
days, but no less than one trading day.
Extraordinary inclusions in the SMI® take place
if the selection rules for the SMI® are fulfilled after a three-month period. This occurs on a quarterly basis after
the close of trading on the third Friday of March, June, September and December as follows:
Latest
Listing Date
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Earliest
Extraordinary Acceptance Date
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5 trading days prior to the end of November
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March
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5 trading days prior to the end of February
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June
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5 trading days prior to the end of May
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September
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5 trading days prior to the end of August
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December
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In the case of major market changes as a result of a corporate
action, an instrument may be admitted to the SMI® outside of the accepted admission period as long as it clearly
fulfills the index selection rules. For the same reasons, a component can be excluded if the requirements for admission to the
SMI® are no longer fulfilled.
Calculation of the SMI®
The SMI® is calculated using the Laspeyres method
with the weighted arithmetic mean of a defined number of securities issues. The index level is calculated by dividing the market
capitalizations of all securities included in the SMI® by a divisor:
where t is current day; s is current time on day t; Is
is the current index level at time s; Dt is the divisor on day t; M is the number of issues in the SMI®;
pi,s is the last-paid price of security i; xi,t is the number of shares of security i on day t; fi,t
is the free-float for security i on day t; Ki,t is the capping factor for security i on day t and rs is the
current CHF exchange rate at time s.
The divisor is a technical number used to calculate the SMI®.
If the market capitalization changes due to a corporate event, the divisor changes while the index value remains the same. The
new divisor is calculated on the evening of the day before the corporate event takes effect.
In calculating the SMI®, the last-paid price is
taken into account. If no price has been paid on the day of calculation, the previous day’s price is used. Only the prices
achieved via the electronic order book of the SIX Swiss Exchange are used.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The trading hours for Swiss equities, participation certificates
and bonus certificates are determined by the SIX Swiss Exchange. Since the opening phase usually causes strong price fluctuations,
the SMI® is first calculated two minutes after the start of on order book trading. This index level is called the
“open.” A closing auction takes place ten minutes before close of trading. At the close of trading, the final closing
prices used in calculating the closing level of the SMI® are established.
Component Weighting
The SMI® is weighted by the free-float market
capitalization of its components. The number of shares and the free-float factor are reviewed on a quarterly basis. In the same
context, each component of the SMI® with a free-float market capitalization larger than 18% of the total market
capitalization of the index is capped to that weight of 18%.
Additionally, the components of the index are capped to 18% between
two ordinary index reviews as soon as two components exceed a weight of 20% each. If such an intra quarter breach is observed after
the close of markets, the new cap factors are calculated so that any component has a maximum weight of 18%. This cap factor is
set to be effective after the close of the following trading day.
If an issuer has issued more than one equity instrument (e.g.,
registered shares, bearer shares, participation certificates, bonus certificates), it is possible that one issuer is represented
in the SMI® with more than one instrument. In this case, the free-float market capitalization of those instruments
is cumulated for the calculation of the cap factors. If the cumulated index weight exceeds the 18% threshold, the weight is capped
accordingly. The cumulated, capped index weight is distributed proportionally based on the free-float market capitalization of
those instruments.
The following graph shows the daily historical performance
of the SMI in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the SMI was 10,252.24.
Historical Performance of the Swiss Market
Index
This historical data on the SMI is not necessarily indicative
of the future performance of the SMI or what the value of the notes may be. Any historical upward or downward trend in the level
of the SMI during any period set forth above is not an indication that the level of the SMI is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the SMI®.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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License Agreement
SSE has had the names of all the indices created by it protected
under trademark law. They have been registered in Switzerland as well as in key markets both in Europe and overseas. Under certain
conditions, SSE permits third parties to use the trademarks of its index family for commercial purposes. It has levied a license
fee for such use since 1999.
We have entered into a non-exclusive license agreement with the
SSE whereby we, in exchange for a fee, are permitted to use the SMI in connection with certain securities, including the notes
and warrants. We are not affiliated with the SSE; the only relationship between the SSE and us is any licensing of the use of the
SMI and trademarks relating to them.
Any transactions specified or described in this term sheet are
not in any way sponsored, endorsed, sold or promoted by the SSE and the SSE makes no warranty or representation whatsoever, express
or implied, either as to the results to be obtained from the use of the SMI and/or the figure at which the SMI stands at any particular
day or otherwise. However, the SSE shall not be liable (whether in negligence or otherwise) to any person for any error in the
SMI and the SSE shall not be under any obligation to advise any person of any error therein.
SIX Group, SSE, SPI, Swiss Performance Index (SPI), SPI EXTRA,
SPI ex SLI, SMI, Swiss Market Index (SMI), SMI MID (SMIM), SMI Expanded, SXI, SXI Real Estate, SXI Swiss Real Estate, SXI Life
Sciences, SXI Bio+Medtech, SLI, SLI Swiss Leader Index, SBI, SBI Swiss Bond Index, SAR, SAR SWISS AVERAGE RATE, SARON, SCR, SCR
SWISS CURRENT RATE, SCRON, SAION, SCION, VSMI and SWX Immobilienfonds Index are trademarks that have been registered in Switzerland
and/or abroad by SIX Group Ltd respectively SIX Swiss Exchange Ltd. Their use is subject to a license.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The S&P/ASX 200 Index
The S&P/ASX 200 Index (the “AS51”)
is designed to be the primary gauge for the Australian equity market, and it is recognized as an investable benchmark in Australia.
The AS51 measures the performance of the 200 largest and most liquid index-eligible stocks listed on the Australian Securities
Exchange (the “ASX”) by float-adjusted market capitalization. The AS51 is reported by Bloomberg L.P. under the
ticker symbol “AS51.”
Composition of the S&P/ASX 200 Index
The AS51 weights companies according to the
Global Industry Classification Standard (“GICS®”), which creates uniform ground rules for replicable,
custom-tailored, industry-focused portfolios. It also enables meaningful comparisons of sectors and industries across regions.
Eligibility Criteria
The index companies are drawn from the universe
of ordinary and preferred equity stocks listed on ASX. The criteria for index additions include, but are not limited to:
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Listing. Only securities listed on the ASX are considered for
inclusion in the AS51;
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Eligible Securities. Common and equity preferred stocks (which
are not of a fixed income nature) are eligible for inclusion in the AS51. Hybrid stocks, such as convertible stock, bonds, warrants
and preferred stock that provide a guaranteed fixed return, are not eligible. Listed investment companies (LICs) that invest in
a portfolio of securities are not eligible. Companies that are currently under consideration for merger or acquisition are not
eligible.
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Market Capitalization. The market capitalization criterion for
stock inclusion is based upon the daily average market capitalization of a security over the last six months. The stock price history
(last six months), latest available shares on issue and the investable weight factor (“IWF”) are the relevant
variables for the calculation. The IWF is a variable that is primarily used to determine the available float of a security for
ASX listed securities; and
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Liquidity. Only securities that are regularly traded are eligible
for inclusion in the AS51. A stock’s liquidity is measured relative to its peers. Relative Liquidity is calculated as follows:
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Where:
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Stock Median Liquidity is the median daily value traded for each stock
divided by the average float/index weight-adjusted market capitalization for the previous six months; and
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Market Liquidity is determined using the market capitalization weighted
average of the stock median liquidities of the 500 companies in the All Ordinaries index, an index that includes nearly all ordinary
shares listed on the ASX.
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Stocks must have a minimum Relative Liquidity
of 50% to be included in the AS51.
Rebalancing. Rebalancing of the AS51
occurs on a regular basis. Both market capitalization and liquidity are assessed using the previous six months’ worth of
ASX trading data to determine index eligibility. Shares and IWFs updates are also applied regularly. The reference date used for
the six months’ worth of trading data is the last Friday of the month prior to the rebalancing, except for the September
rebalancing where the reference date for data used is the second to last Friday of August.
Frequency. The AS51 constituents are
rebalanced quarterly to ensure adequate market capitalization and liquidity. Quarterly rebalancing changes take effect after the
market close on the third Friday of March, June, September and December.
Buffers. In order to limit the level
of index turnover, eligible non-constituent securities will generally only be considered for index inclusion once a current constituent
stock is excluded due to a sufficiently low rank and/or liquidity, based on the float-adjusted market capitalization. Potential
index inclusions and exclusions need to satisfy a buffer requirement in terms of the rank of the stock relative to the AS51. The
following buffer aims to limit the level of index turnover that may take place at each quarterly rebalancing, maximizing the efficiency
and limiting the cost associated with holding the index portfolio.
Addition
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Rank
Buffer for Deletion
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179th or higher
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221st or lower
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Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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This float-adjusted market capitalization rank
buffer serves as the guideline used by the Index Committee to arrive at any potential constituent changes to the AS51. However,
the Index Committee has complete discretion to by-pass these rules when circumstances warrant.
Intra-Quarter Additions/Deletions. Between
rebalancing dates, an addition to the AS51 is generally made only if a vacancy is created by an index deletion. Index additions
are made according to market size and liquidity. An initial public offering is added to the AS51 only when an appropriate vacancy
occurs and is subject to proven liquidity for at least eight weeks. An exception may be made for extraordinary large offerings
where sizeable trading volumes justify inclusion. Deletions can occur between index rebalancing dates due to acquisitions, mergers
and spin-offs or due to suspension or bankruptcies. The decision to remove a stock from the AS51 will be made once there is sufficient
evidence that the transaction will be completed. Stocks that are removed due to mergers & acquisitions activity are removed
from the AS51 at the cash offer price for cash-only offers. Otherwise the best available price in the market is used.
Share Updates. The share count for all
index constituents are reviewed quarterly and are rounded to the nearest thousand (‘000) for all Australian stocks. Updates
will be made to the number of shares outstanding if the difference between the current number of shares used and the latest figure
quoted by the ASX differs by 5% or more, as at the quarterly rebalance reference date. Intra-quarter share changes are implemented
at the effective date or as soon as reliable information is available; however, they will only take place in the following circumstances:
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Changes in a company’s shares outstanding of 5% or more due to
market-wide shares issuance or major off-market buy-backs;
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Rights issues, bonus issues and other major corporate actions; and
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Share issues resulting from index companies merging.
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Share changes due to mergers or acquisitions
are implemented when the transaction occurs, even if both of the companies are not in the same index and regardless of the size
of the change.
Notification of intra quarter changes to the
number of issued shares generally takes place three business days prior to the implementation date.
Calculation of the S&P/ASX 200 Index
The AS51 is calculated using a base-weighted
aggregate methodology so that the level of the AS51 reflects the total market value of all the component stocks relative to a particular
base period. The total market value of a company is determined by multiplying the price of its stock by the number of shares available
after float (IWF) adjustment. An indexed number is used to represent the result of this calculation in order to make the value
easier to work with and track over time.
Investable Weight Factor (IWF).A stock’s
weight in the AS51 is determined by the float-adjusted market capitalization of the stock. The number of shares outstanding is
reduced to exclude closely held shares from the index calculation because such shares are not available to investors. The AS51
calculates an IWF, which is the percentage of total shares outstanding that are included in the index calculation. All constituents
in the AS51 are assigned an IWF. A company must have a minimum IWF of 0.3 to be eligible for index inclusion, however an IWF at
or above that level is not necessary for ongoing index membership. IWFs are reviewed annually as part of the September quarterly
review. However, any event that alters the float of a security in excess of 5% will be implemented as soon as practicable by an
adjustment to the IWF.
On any given day, the AS51 value is the quotient
of the total available market capitalization of its constituents and its divisor. The key to index maintenance is the adjustment
of the divisor. The purpose of the index divisor is to maintain the continuity of an index level following the implementation of
corporate actions, index rebalancing events, or other non-market driven actions. Index maintenance – reflecting changes in
shares outstanding, corporate actions, addition or deletion of stocks to the index – should not change the level of the index.
Any change to the stocks in the index that alters the total market value of the index while holding stock prices constant will
require a divisor adjustment.
Index Governance
The AS51 is maintained by the S&P/ASX Index
Committee. S&P Dow Jones chairs the Index Committee, which is comprised of five voting members representing both S&P Dow
Jones and the ASX.
The S&P/ASX Index Committee meets regularly
to review market developments and convenes as needed to address major corporate actions. At each meeting, the Index Committee may
review pending corporate actions that may affect index constituents, statistics comparing the composition of the index to the market,
companies that are being considered as candidates for addition to the index, and any significant market events. In addition, the
Index Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts or other matters.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The index committee of the AS51 reserves the right to make exceptions
when applying the methodology if the need arises. At least once within any twelve-month period, they review the methodology to
ensure that the AS51 continues to achieve the stated objectives, and that the data and methodology remain effective.
The following graph shows the daily historical performance
of the AS51 in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the AS51 was 6,669.100.
Historical Performance of the S&P/ASX
200 Index
This historical data on the AS51 is not necessarily indicative
of the future performance of the AS51 or what the value of the notes may be. Any historical upward or downward trend in the level
of the AS51 during any period set forth above is not an indication that the level of the AS51 is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the AS51.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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License Agreement
The AS51 is a product of S&P Dow Jones.
S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”).
ASX is a registered trademark of ASX Operations Pty Limited (“ASX”). These trademarks have been licensed to
S&P Dow Jones and its affiliates, and sublicensed to Barclays Bank PLC for certain purposes.
The notes are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, ASX, or any of their respective affiliates (collectively, “S&P and ASX”).
S&P and ASX do not make any representation or warranty, express or implied, to the owners of the notes or any member of the
public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the AS51
to track general market performance. S&P Dow Jones Indices’ and ASX’s only relationship to Barclays Bank PLC with
respect to the AS51 is the licensing of the AS51 and certain trademarks, service marks and/or trade names of S&P and ASX and/or
their licensors. The AS51 is determined, composed and calculated by S&P Dow Jones Indices without regard to Barclays Bank PLC
or the notes. S&P Dow Jones Indices has no obligation to take the needs of Barclays Bank PLC or the owners of the notes into
consideration in determining, composing or calculating the AS51. S&P and ASX are not responsible for and has not participated
in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination
or calculation of the equation by which the notes are to be converted into cash, surrendered or redeemed, as the case may be. S&P
and ASX have no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance
that investment products based on the AS51 will accurately track the performance of the index or provide positive investment returns.
S&P Dow Jones Indices is not an investment advisor. Inclusion of a security within the AS51 is not a recommendation by S&P
Dow Jones Indices or ASX to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P
AND ASX DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE AS51 OR ANY DATA RELATED THERETO OR
ANY COMMUNICATION (INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT
THERETO. S&P AND ASX SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P
AND ASX MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY Barclays Bank PLC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE
USE OF THE AS51 OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL
S&P DOW JONES INDICES OR ASX BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING
BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS
OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND Barclays Bank PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The Hang Seng® Index
The Hang Seng® Index (the “HSI”)
is a free float adjusted market capitalization weighted index of selection of companies from The Stock Exchange of Hong Kong Ltd.
(the “HKSE”). The components of the index are divided into four sub-indices: commerce and industry, finance, utilities,
and properties. The index was developed with a base level of 100 as of July 31, 1964 and is designed to be an indicator of
the performance of the Hong Kong stock market. The HSI is reported by Bloomberg L.P. under the ticker symbol “HSI.”
Standards for Listing and Maintenance
Only companies with a primary listing on the
main board of the HKSE are eligible as constituents of the HSI. Mainland China enterprises that have an H-share listing in Hong
Kong are eligible for inclusion in the HSI only if the company has no unlisted share capital.
To be eligible for selection, a company:
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·
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must be among those companies that constitute the top 90% of the total
market capitalization of all eligible shares listed on the HKSE (market capitalization is expressed as an average of the past 12
months);
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·
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must be among those companies that constitute the top 90% of the total
turnover of all eligible shares listed on the HKSE (turnover is aggregated and individually assessed for eight quarterly sub-periods
over the past 24 months);
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·
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must not be the subject of a high shareholder concentration notice
from the Hong Kong Securities and Futures Commission; and
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·
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should normally have a listing history of at least 24 months on the
HKSE or meet the requirements of the following guidelines: for newly listed large-cap stocks, the minimum listing time required
for inclusion in the stock universe for the HSI review is as follows:
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Average
Market Capitalization
Ranking at Time of Review
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Minimum
Listing History
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Top 5
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3 Months
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6-15
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6 Months
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16-20
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12 Months
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21-25
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18 Months
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Below 25
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24 Months
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Companies meeting all eligibility requirements
will be considered for inclusion and their candidacy will be assessed on the following criteria:
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·
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the market value and turnover ranking of the company;
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·
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the representation of the sub-sectors within the HSI directly reflecting
that of the market; and
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·
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the financial performance of the company.
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The number of constituents is fixed at 50.
Should a company that is scheduled to be added
as a constituent but the Securities and Futures Commission subsequently issued a high shareholding concentration notice on the
company before the scheduled addition date, it generally will not be added to the HSI. The companies that are included in the Securities
and Futures Commission “High Shareholding Concentration Announcements” can be reconsidered for regaining their eligibility
for constituency in the HSI if the company issues a voluntary announcement entitled “Resolving of High Shareholding Concentration”
to state that the high shareholding concentration issue has been resolved, with proper disclosure on the actions taken and the
updated shareholding status. The company will be eligible for reconsideration to regain their constituency in the next index review
following an observation period of 12 months after the voluntary disclosure.
Whether to remove a suspended constituent from
the HSI and replace it with an appropriate candidate will be determined in the regular index review. Should a suspended constituent
be removed from the HSI, its last traded price may be adjusted down to the system lowest price, i.e. $0.0001 in the security’s
price currency, or an official residual price (if available) for index calculation on the trading day preceding the effective date
of the constituent changes.
Calculation of the Hang Seng® Index
The HSI is calculated using a free float adjusted
market capitalization weighted methodology with a 10% cap on individual stock weightings.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The formula for the index calculation is
shown below:
current
index
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=
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current
aggregate free float adjusted market capitalization of constituents
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×
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yesterday’s closing index
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yesterday’s aggregate free float adjusted market capitalization of constituents
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=
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S(Pt
× IS × FAF × CF)
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×
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yesterday’s closing index
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S(Pt-1 × IS × FAF × CF)
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where:
Pt
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: current price at day t;
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Pt-1
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: closing price at day t-1;
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IS
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: number of issued shares (in the case of H-share constituents, only the H-share portion is taken into calculation);
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FAF
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: free float adjusted factor, which is between 0 and 1; and
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CF
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: capping factor, which is between 0 and 1.
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Free float Adjustments. Shares held
by any entities (excluding custodians, trustees, mutual funds and investment companies) that control more than or equal to 5% of
the shareholdings would be considered as non-free float and are excluded from the index calculation. These include strategic holdings
(holdings by governments and affiliated entities or any other entities that hold substantial shares in the company would be considered
as non-free float unless otherwise proved), directors’ and management holdings (holdings by directors, members of the board
committee, principal officers or founding members), corporate cross holdings (holdings by publicly traded companies or private
firms or institutions) and lock-up shares (shareholdings with a publicly disclosed lock-up arrangement). Lock-up shares with trading
restrictions are classified as non-free float, regardless of the shareholding percentage.
The free float adjusted factor represents the
proportion of shares that is free floated as a percentage of the issued shares. The free float adjusted factor is rounded up to
the nearest 1% if it is less than 10%; otherwise, it is rounded to the nearest 5%. For companies with more than one class of shares,
the free float adjusted factor is calculated separately for each class of shares.
Cap Factor. A cap factor (“CF”)
is calculated quarterly, such that no individual constituent in an index will have a weighting exceeding a cap level of 10% on
the index capping date.
Index Rebalancing. The update of the
issued shares, adjustment of the free float adjusted factor and calculation of the cap factor are undertaken quarterly. In addition,
the issued shares will be updated simultaneously with the index adjustment for corporate actions, such as bonus issues, rights
issues, stock splits and stock consolidations. Ad hoc rebalancing will be conducted if a constituent’s issued shares and/or
free float adjusted factor is substantially different from the production data.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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The following graph shows the daily historical performance
of the HSI in the period from January 1, 2009 through November 1, 2019. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 1, 2019,
the closing level of the HSI was 27,100.76.
Historical Performance of the Hang Seng®
Index
This historical data on the HSI is not necessarily indicative
of the future performance of the HSI or what the value of the notes may be. Any historical upward or downward trend in the level
of the HSI during any period set forth above is not an indication that the level of the HSI is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the HSI.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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License Agreement
We have entered into a non-exclusive license
agreement with HSI Company Limited and Hang Seng Data Services Limited whereby we, in exchange for a fee, are permitted to use
the HSI in connection with certain securities, including the notes. We are not affiliated with HSI Company Limited or Hang Seng
Data Services Limited; the only relationship between HSI Company Limited and Hang Seng Data Services Limited, on the one hand,
and us, on the other hand, is any licensing of the use of their indices and trademarks relating to them.
THE HSI IS PUBLISHED AND COMPILED BY HSI
COMPANY LIMITED PURSUANT TO A LICENSE FROM HANG SENG DATA SERVICES LIMITED. THE MARK AND NAME “HANG SENG INDEX” IS
PROPRIETARY TO HANG SENG DATA SERVICES LIMITED. HSI COMPANY LIMITED AND HANG SENG DATA SERVICES LIMITED HAVE AGREED TO THE USE
OF, AND REFERENCE TO, THE HSI BY BARCLAYS BANK PLC IN CONNECTION WITH THE NOTES, BUT NEITHER HSI COMPANY LIMITED NOR HANG SENG
DATA SERVICES LIMITED WARRANTS OR REPRESENTS OR GUARANTEES TO ANY BROKER OR HOLDER OF THE NOTES OR ANY OTHER PERSON (I) THE
ACCURACY OR COMPLETENESS OF THE HSI AND ITS COMPUTATION OR ANY INFORMATION RELATED THERETO; OR (II) THE FITNESS OR SUITABILITY
FOR ANY PURPOSE OF THE HSI OR ANY COMPONENT OR DATA COMPRISED IN THE HSI; OR (III) THE RESULTS WHICH MAY BE OBTAINED BY ANY
PERSON FROM THE USE OF THE HSI OR ANY COMPONENT OR DATA COMPRISED IN THE HSI FOR ANY PURPOSE, AND NO WARRANTY OR REPRESENTATION
OR GUARANTEE OF ANY KIND WHATSOEVER RELATING TO THE HSI IS GIVEN OR MAY BE IMPLIED. THE PROCESS AND BASIS OF COMPUTATION AND COMPILATION
OF THE HSI AND ANY OF THE RELATED FORMULA OR FORMULAE, CONSTITUENT STOCKS AND FACTORS MAY AT ANY TIME BE CHANGED OR ALTERED BY
HSI COMPANY LIMITED WITHOUT NOTICE. TO THE EXTENT PERMITTED BY APPLICABLE LAW, NO RESPONSIBILITY OR LIABILITY IS ACCEPTED BY HSI
COMPANY LIMITED OR HANG SENG DATA SERVICES LIMITED (I) IN RESPECT OF THE USE OF AND/OR REFERENCE TO THE HSI BY BARCLAYS BANK
PLC IN CONNECTION WITH THE NOTES; OR (II) FOR ANY INACCURACIES, OMISSIONS, MISTAKES OR ERRORS OF HSI COMPANY LIMITED IN THE
COMPUTATION OF THE HSI; OR (III) FOR ANY INACCURACIES, OMISSIONS, MISTAKES, ERRORS OR INCOMPLETENESS OF ANY INFORMATION USED
IN CONNECTION WITH THE COMPUTATION OF THE HSI WHICH IS SUPPLIED BY ANY OTHER PERSON; OR (IV) FOR ANY ECONOMIC OR OTHER LOSS
WHICH MAY BE DIRECTLY OR INDIRECTLY SUSTAINED BY ANY BROKER OR HOLDER OF THE NOTES OR ANY OTHER PERSON DEALING WITH THE NOTES AS
A RESULT OF ANY OF THE AFORESAID, AND NO CLAIMS, ACTIONS OR LEGAL PROCEEDINGS MAY BE BROUGHT AGAINST HSI COMPANY LIMITED AND/OR
HANG SENG DATA SERVICES LIMITED IN CONNECTION WITH THE NOTES IN ANY MANNER WHATSOEVER BY ANY BROKER, HOLDER OR OTHER PERSON DEALING
WITH THE NOTES. ANY BROKER, HOLDER OR OTHER PERSON DEALING WITH THE NOTES DOES SO THEREFORE IN FULL KNOWLEDGE OF THIS DISCLAIMER
AND CAN PLACE NO RELIANCE WHATSOEVER ON HSI COMPANY LIMITED AND HANG SENG DATA SERVICES LIMITED. FOR THE AVOIDANCE OF DOUBT, THIS
DISCLAIMER DOES NOT CREATE ANY CONTRACTUAL OR QUASI-CONTRACTUAL RELATIONSHIP BETWEEN ANY BROKER, HOLDER OR OTHER PERSON AND HSI
COMPANY LIMITED AND/OR HANG SENG DATA SERVICES LIMITED AND MUST NOT BE CONSTRUED TO HAVE CREATED SUCH RELATIONSHIP.
Notes with Absolute Return Buffer
Linked to an International Equity Index Basket, due November , 2022
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