Obligation Barclay PLC 0% ( US06741VLY64 ) en USD

Barclay PLC

100 % ▼

Royaume-Uni

US06741VLY64 ( en USD )

29/09/2023 - Obligation échue

Prospectus brochure de l'obligation Barclays PLC US06741VLY64 en USD 0%, échue

1 000 USD

815 000 USD

06741VLY6

N/A

A1 ( Qualité moyenne supérieure )

Barclays PLC est une banque multinationale britannique offrant une large gamme de services financiers, notamment la banque de détail, la gestion de patrimoine, la banque d'investissement et les cartes de crédit, opérant dans de nombreux pays à travers le monde.

Le marché obligataire a récemment vu l'extinction d'une émission particulière : l'obligation zéro coupon de Barclays PLC, identifiée par le code ISIN US06741VLY64 et le code CUSIP 06741VLY6. Barclays PLC, une institution financière britannique de premier plan, dont le siège est à Londres, est un acteur mondial majeur dans les services bancaires de détail, la banque d'entreprise et d'investissement, la gestion de patrimoine et les services de cartes de crédit. Fondée en 1690, elle jouit d'une longue histoire et d'une réputation établie sur les marchés financiers internationaux, opérant dans des dizaines de pays et reconnue pour sa capacité à naviguer des environnements économiques complexes. Cette émission obligataire spécifique, d'un type "zéro coupon", était libellée en dollars américains (USD) et affichait un taux d'intérêt nominal de 0%, ce qui signifie qu'elle ne versait pas de paiements d'intérêts périodiques à ses détenteurs; les investisseurs réalisaient leur rendement en achetant l'obligation à un prix escompté par rapport à sa valeur nominale, et en étant remboursés à 100% de cette valeur nominale à l'échéance. Le montant total de l'émission s'élevait à 815 000 USD, avec une taille minimale d'achat fixée à 1 000 USD, la rendant accessible à un certain éventail d'investisseurs. Sa date de maturité était fixée au 29 septembre 2023 et, conforme à ses engagements, Barclays PLC a procédé au remboursement intégral de cette obligation à cette date, marquant ainsi la fin de son cycle de vie sur les marchés secondaires. La solidité de l'émetteur était par ailleurs attestée par une notation de crédit 'A1' attribuée par l'agence Moody's au moment de l'émission, une note considérée comme de qualité supérieure, reflétant la forte capacité de Barclays PLC à honorer ses obligations financières et un risque de crédit faible.

424B2 1 a17-9104_27424b2.htm 424B2 - 6.5YR BARCLAYS TRAILBLAZER NOTE [BARC-
AMERICAS.FID862350]

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee(1)

Global Medium-Term Notes, Series A
$815,000
$94.46

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.

Pricing Supplement dated March 28, 2017

Filed Pursuant to Rule 424(b)(2)
(To the Prospectus dated July 18, 2016 and the Prospectus Supplement dated July 18, 2016)
Registration No. 333-212571

$ 8 1 5 ,0 0 0
N ot e s due Se pt e m be r 2 9 , 2 0 2 3
Link e d t o t he Pe rform a nc e of t he Ba rc la ys T ra ilbla ze r Se c t ors 5 I nde x
Globa l M e dium -T e rm N ot e s, Se rie s A

Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.

Issuer:
Barclays Bank PLC

Denominations:
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof

Initial Valuation Date:
March 28, 2017

Issue Date:
March 31, 2017

Final Valuation Date:*
September 26, 2023

Maturity Date:*
September 29, 2023

Reference Asset:
The Barclays Trailblazer Sectors 5 Index (Bloomberg ticker symbol "BXIITBZ5 <Index>") (the "Index")

Upside Leverage Factor:
3.00

Payment at Maturity:
If you hold your Notes to maturity, you will receive on the Maturity Date (in each case, subject to our credit risk) a cash payment per
$1,000 principal amount Note that you hold determined as follows:
If the Final Level is greater than the Initial Level, you will receive a payment per $1,000 principal amount Note calculated as
follows:
$1,000 + [$1,000 x Index Return x Upside Leverage Factor]
If the Final Level is equal to or less than the Initial Level, you will receive a payment of $1,000 per $1,000 principal amount
Note
Any payment on the Notes is not guaranteed by any third party and is subject to both the creditworthiness of the Issuer and to the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. If Barclays Bank PLC were to default on its payment
obligations or become subject to the exercise of any U.K. Bail-in Power (or any other resolution measure) by the relevant U.K.
resolution authority, you might not receive any amounts owed to you under the Notes. See "Consent to U.K. Bail-in Power" and
"Selected Risk Considerations" in this pricing supplement and "Risk Factors" in the accompanying prospectus supplement for more
information.

Initial Level:
178.5636, the Index Level on the Initial Valuation Date

Final Level:
The Index Level on the Final Valuation Date

Index Fee and Costs:
The index includes an index fee of 0.85% per annum. In addition, the Index is an "excess return" index, meaning that it tracks the
performance of its components minus a notional borrowing cost (represented by the ICE LIBOR USD 3 Month rate).
The components of the Index must perform sufficiently well to offset the effect of such index fee and such borrowing cost in order for
the Index to appreciate in value and, accordingly, for you to earn any positive return on your Notes. See "The Index--Overview" and
"Selected Risk Considerations--Risks Relating to the Index--The Deduction of Notional Financing Costs and an Index Fee Will
Adversely Affect Index Performance" in this pricing supplement for additional information.

Index Sponsor:
The Index was created by Barclays Bank PLC, which is the owner of the intellectual property and licensing rights relating to the Index.
The Index is operated by Barclays Index Administration, an independent index administration function within Barclays Bank PLC (in
such capacity, the "Index Sponsor" and as described under "The Index--Overview" in this pricing supplement).

Consent to U.K. Bail-in
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the Notes, by
Power:
acquiring the Notes, each holder of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K.
Bail-in Power by the relevant U.K. resolution authority. See "Consent to U.K. Bail-in Power" on page PS-1 of this pricing supplement.

[Terms of the Notes Continue on the Next Page]

Initial Issue Price(1)
Price to Public
Agent's Commission(2)(3)
Proceeds to Barclays Bank PLC(2)(3)

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Per Note
$1,000
100%
4.00%
96.00%

Total
$815,000
$815,000
$30,935
$784,065

(1) Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $927.80 per Note. The estimated value is less than the initial
issue price of the Notes. See "Additional Information Regarding Our Estimated Value of the Notes" on page PS-2 of this pricing supplement.

(2) Barclays Capital Inc. will receive commissions from the Issuer of up to 4.00% of the principal amount of the Notes, or up to $40.00 per $1,000 principal amount.
Barclays Capital Inc. will use these commissions to pay variable selling concessions or fees (including custodial or clearing fees) to other dealers. The per Note
agent's commission and proceeds to Issuer shown above is the minimum amount of proceeds that the Issuer receives per Note, assuming the maximum Agent's
commission of 4.00%. The total agent's commission and total proceeds to issuer shown above give effect to the actual amount of the variable Agent's commission
but do not take into account the payment by Barclays Capital Inc. of any of the Marketing Fees (as described below).

(3) In addition to the selling concessions and fees described above, Barclays Capital Inc. will pay (and be reimbursed by the Issuer for) additional marketing, structuring,
educational or other fees (collectively, "Marketing Fees") of up to 0.50% of the principal amount per Note in connection with the distribution of the Notes by certain
dealers participating in such distribution. With respect to each dealer participating in the distribution of the Notes, in no case will the sum of (a) the selling
commissions and fees paid to that dealer and (b) the amount of Marketing Fees, if any, paid in connection with the distribution of Notes by that dealer exceed 4.125%
of the principal amount per Note.

Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-7 of the prospectus supplement and "Selected Risk Considerations"
beginning on page PS-6 of this pricing supplement.

We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement
in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing
supplement is being used in a market resale transaction.

The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete. Any representation to the
contrary is a criminal offense.

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of either Barclays PLC or Barclays Bank PLC
and are not covered by the U.K. Financial Services Compensation Scheme or insured or guaranteed by the U.S. Federal Deposit Insurance Corporation or any other
governmental agency of the United States, the United Kingdom or any other jurisdiction.

Terms of Notes, Continued

Index Return:
The performance of the Index from the Initial Level to the Final Level, calculated as follows:

Final Level Initial Level
Initial Level

Index Level:
With respect to the Index on any date, the official closing level of the Index on that date calculated and published by the Index Sponsor
and displayed on Bloomberg Professional® service page "BXIITBZ5 <Index>" or any successor page on Bloomberg Professional® service
or any successor service, as applicable

Calculation Agent:
Barclays Bank PLC

CUSIP/ISIN:
06741VLY6 / US06741VLY64

*
Subject to postponement in the event of a Market Disruption Event, as described under "Additional Terms of the Notes" in this pricing supplement

ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES

You should read this pricing supplement together with the prospectus dated July 18, 2016, as supplemented by the prospectus supplement dated
July 18, 2016 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This pricing supplement, together with the
documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth under "Risk Factors" in the
prospectus supplement and "Selected Risk Considerations" in this pricing supplement, as the Notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):

·
Prospectus dated July 18, 2016:

https://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.htm

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·
Prospectus Supplement dated July 18, 2016:

https://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm

Our SEC file number is 1-10257. As used in this pricing supplement, the "Company," "we," "us," or "our" refers to Barclays Bank PLC.

CONSENT TO U.K. BAIL-IN POWER

Notwithstanding any other agreements, arrangements or understandings between us and any holder of the Notes, by acquiring the Notes, each
holder of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority.

Under the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in
which the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or
investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the "FSMA") threshold conditions for
authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company
that is a European Economic Area ("EEA") or third country institution or investment firm, that the relevant EEA or third country relevant authority
is satisfied that the resolution conditions are met in the respect of that entity.

The U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion of all, or a
portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities or other obligations of
Barclays Bank PLC or another person (and the issue to, or conferral on, the holder of the Notes such shares, securities or obligations); and/or
(iii) the amendment or alteration of the maturity of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the
dates on which interest or any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power
may be exercised by means of a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of
such U.K. Bail-in Power. Each holder of the Notes further acknowledges and agrees that the rights of the holders of the Notes are subject to, and
will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. For the
avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders of the securities may have at law if and to the extent that
any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.

For more information, please see "Selected Risk Considerations--You May Lose Some or All of Your Investment If Any U.K. Bail-in
Power Is Exercised by the Relevant U.K. Resolution Authority" in this pricing supplement as well as "U.K. Bail-in Power," "Risk Factors
--Risks Relating to the Securities Generally--Regulatory action in the event a bank or investment firm in the Group is failing or likely to
fail could materially adversely affect the value of the securities" and "Risk Factors--Risks Relating to the Securities Generally--Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority" in the accompanying prospectus supplement.

PS-1

ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES

Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not
materialize, typically including volatility, interest rates, and our internal funding rates. Our internal funding rates (which are our internally
published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to
maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial
Valuation Date is based on our internal funding rates. Our estimated value of the Notes might be lower if such valuation were based on the levels
at which our benchmark debt securities trade in the secondary market.

Our estimated value of the Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between the initial
issue price of the Notes and our estimated value of the Notes results from several factors, including any sales commissions to be paid to Barclays
Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which
we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the
Notes.

Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it
be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions,
Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.

Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell
the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer
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account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately six
months after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging
our obligations under the Notes and other costs in connection with the Notes which we will no longer expect to incur over the term of the Notes.
We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include
the tenor of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we
effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such
reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market
conditions and other factors that cannot be predicted.

We urge you to read the "Selected Risk Considerations" beginning on page PS-6 of this pricing supplement.

PS-2

SELECTED PURCHASE CONSIDERATIONS

The Notes are not suitable for all investors. The Notes may be a suitable investment for you if all of the following statements are true:

·
You do not seek an investment that produces periodic interest or coupon payments or other sources of current income
·
You believe that the investment view implicit in the Index will be successful, you seek an investment that will give you exposure to the
Index and you are willing to bear the risks related to such an investment
·
You understand and accept that the performance of the Index will be affected by an index fee of 0.85% per annum and by the reduction
of a notional financing cost equal to the ICE LIBOR USD 3 Month rate
·
You understand accept that the risks that the Index (a) may not achieve its target level of volatility, (b) may be subject to increased
volatility due to the use of leverage and (c) may underperform its underlying portfolio and/or alternative indices that do not include a
volatility targeting mechanism
·
You understand and accept the risk that the Index may at any time be notionally invested only in a single component or a small number
of components
·
You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the Notes to
maturity
·
You are willing to assume our credit risk for all payments on the Notes
·
You are willing to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority

The Notes may not be a suitable investment for you if any of the following statements are true:

·
You seek an investment that produces periodic interest or coupon payments or other sources of current income
·
You do not believe that the investment view implicit in the Index will be successful or you are unwilling or unable to bear the risks
associated with an investment that provides exposure to the Index
·
You seek exposure to an index or group of assets that does not subtract an index fee or notional financing costs
·
You seek exposure to an index or portfolio that may not be concentrated in a small number of assets
·
You are unable or unwilling to accept the risks associated with the volatility targeting mechanism of the Index, including the risk that
the Index may not achieve its target volatility and the risk that the Index may underperform an investment in its portfolio that is not
subject to a volatility targeting mechanism
·
You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the Notes to
maturity
·
You are unwilling or unable to assume our credit risk for all payments on the Notes
·
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority

You must rely on your own evaluation of the merits of an investment in the Notes. You should reach a decision whether to invest in the Notes
after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out
in this pricing supplement, the prospectus supplement and the prospectus. Neither the Issuer nor Barclays Capital Inc. makes any recommendation
as to the suitability of the Notes for investment.

PS-3

ADDITIONAL TERMS OF THE NOTES

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Market Disruption Events

If the Calculation Agent determines that, on the Final Valuation Date, a Market Disruption Event occurs or is continuing with respect to the Index,
the Final Valuation Date will be postponed to the immediately succeeding Index Business Day on which no Market Disruption Event occurs or is
continuing. In no event, however, will the Final Valuation Date be postponed by more than five scheduled Index Business Days. If the Calculation
Agent determines that a Market Disruption Event occurs or is continuing with respect to the Index on such fifth day, the Calculation Agent will
determine the Index Level for such fifth day in good faith and in a commercially reasonable manner.

If Final Valuation Date is postponed, the Maturity Date will be postponed such that the number of business days from the Final Valuation Date to
the Maturity Date remains the same.

With respect to the Notes, a "Market Disruption Event," means:

The occurrence of an Index Market Disruption Event (as defined below under "Description of the Index"); or

The failure of the Index Sponsor to calculate and publish the official Index Level on an Index Business Day

in each case as determined by the Calculation Agent in its sole discretion.

Discontinuation of the Index; Alteration of Methodology or Calculation of the Index

If the Index Sponsor discontinues publication of the Index and the Index Sponsor or another entity publishers a successor or substitute index that the
Calculation Agent determines, in its sole discretion, to be comparable to the discontinued Index (such index being referred to herein as a
"Successor Index"), then the Index Level on the Final Valuation Date, or any other relevant date on which the Index Level is to be determined, will
be determined by reference to the level of such Successor Index at the time of daily final publication, or close of trading on the relevant exchange or
market for such Successor Index, as applicable, on such date. If a Successor Index is selected by the Calculation Agent, the Successor Index will be
used as a substitute for the Index for all purposes under the Notes.

If an Index Cancellation occurs on or prior to the Final Valuation Date or any other relevant date on which the Index Level is to be determined and
is continuing on any such date, then the Index Level will be computed by the Calculation Agent in accordance with the formula for and method of
calculating the Index or Successor Index, as applicable, last in effect prior to such Index Cancellation.

An "Index Cancellation" will occur if (a) the Index Sponsor discontinues publication of the Index Level on or prior to the Final Valuation Date (or
any other relevant date on which the Index Level is to be determined) and such discontinuation is continuing on the Final Valuation Date (or other
relevant date) and the Calculation Agent determines that no Successor Index is available at such time or (b) the Calculation Agent has previously
selected a Successor Index and publication of such Successor Index is discontinued prior to, and such discontinuation is continuing on, such Final
Valuation Date or other relevant date.

If at any time the method of calculating the Index or a Successor Index, or the level thereof, is changed in a material respect, or if the Index or a
Successor Index is in any other way modified so that the Index or such Successor Index does not, in the opinion of the Calculation Agent, fairly
represent the level of the Index or such Successor Index had such changes or modifications not been made, then the Calculation Agent will make
those calculations and adjustments as the Calculation Agent determines may be necessary in order to arrive at a level for the Index or Successor
Index comparable to the Index or Successor Index, as the case may be, as if those changes or modifications had not been made, and calculate the
payment at maturity or any other payment to be made on the Notes with reference to the Index (or Successor Index), as adjusted.

PS-4

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE AT MATURITY

The following table illustrates the hypothetical total return at maturity on the Notes under various circumstances. The "total return" as used in this
pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount
Note to $1,000. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable
to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:

Hypothetical Initial Level: 100.0000*

Upside Leverage Factor: 3.00

* The hypothetical Initial Level of 100.00 has been chosen for illustrative purposes only. The Initial Level is as set forth on the cover of this
pricing supplement.

Final Level
Index Return
Payment at Maturity**
Total Return on Notes
150.0000
50.00%
$2,500.00
150.00%
140.0000
40.00%
$2,200.00
120.00%
130.0000
30.00%
$1,900.00
90.00%
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120.0000
20.00%
$1,600.00
60.00%
110.0000
10.00%
$1,300.00
30.00%
105.0000
5.00%
$1,150.00
15.00%
103.0000
3.00%
$1,090.00
9.00%
100.0000
0.00%
$1,000.00
0.00%
90.0000
-10.00%
$1,000.00
0.00%
80.0000
-20.00%
$1,000.00
0.00%
70.0000
-30.00%
$1,000.00
0.00%
60.0000
-40.00%
$1,000.00
0.00%
50.0000
-50.00%
$1,000.00
0.00%
40.0000
-60.00%
$1,000.00
0.00%
30.0000
-70.00%
$1,000.00
0.00%
20.0000
-80.00%
$1,000.00
0.00%
10.0000
-90.00%
$1,000.00
0.00%
0.0000
-100.00%
$1,000.00
0.00%

** Per $1,000 principal amount Note

The following examples illustrate how the total returns set forth in the table above are calculated:

Example 1: The level of the Index increases from an Initial Level of 100.00 to a Final Level of 110.00.

Because the Final Level is greater than the Initial Level, you will receive a payment at maturity of $1,300.00 per $1,000 principal amount Note that
you hold, calculated as follows:

$1,000 + [$1,000 x Index Return x Upside Leverage Factor]
$1,000 + [$1,000 x 10.00% x 3.00] = $1,300.00

The total return on the investment of the Notes is 30.00%.

Example 2: The level of the Index decreases from an Initial Level of 100.00 to a Final Level of 80.00.

Because the Final Level is less than the Initial Level, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you
hold.

The total return on the investment of the Notes is 0.00%.

PS-5

SELECTED RISK CONSIDERATIONS

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Index or its components.
These risks are explained in more detail in the "Risk Factors" section of the prospectus supplement, including the risk factors discussed under the
following headings of the prospectus supplement:

·
"Risk Factors--Risks Relating to the Securities Generally"; and

·
"Risk Factors--Additional Risks Relating to Securities with Reference Assets That Are Equity Securities, Indices of Equity

Securities or Exchange-Traded Funds that Hold Equity Securities".

In addition to the risks described above, you should consider the following:

Risks Relating to the Notes Generally

· You Will Not Receive any Payments on the Notes Other than the Payment at Maturity--You will not receive any interest or coupon
payments on the Notes or any other payments other than the payment at maturity. If the Final Level is equal to or less than the Initial Level,
your payment at maturity will be limited to the principal amount of your Notes and you will not earn any positive return. The return at
maturity of the principal amount of your Notes plus any amount in excess thereof may not compensate you for any loss in value due to
inflation and other factors relating to the value of money over time.
· The Payment at Maturity of Your Notes is Not Based on the Level of the Index at Any Time Other than the Final Level--The Final
Level and the Index Return will be based solely on the Index Level on the Final Valuation Date (as compared to the Initial Level). Therefore,
if the level of the Index drops precipitously on the Final Valuation Date, the payment at maturity that you will receive for your Notes may be
significantly less than it would otherwise have been had such payment been linked to the level of the Index prior to such drop.
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· Credit of Issuer--The Notes are senior unsecured debt obligations of the issuer, Barclays Bank PLC and are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes is subject to the ability of Barclays Bank PLC to satisfy its obligations
as they come due and is not guaranteed by any third party. In the event Barclays Bank PLC were to default on its obligations, you may not
receive any amounts owed to you under the terms of the Notes.
· You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority--
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the Notes, by acquiring
the Notes, each holder of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by
the relevant U.K. resolution authority as set forth under "Consent to U.K. Bail-in Power" in this pricing supplement. Accordingly, any U.K.
Bail-in Power may be exercised in such a manner as to result in you and other holders of the Notes losing all or a part of the value of your
investment in the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes and which may
have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may
exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders of the Notes. The exercise of
any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in
accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See "Consent to
U.K. Bail-in Power" in this pricing supplement as well as "U.K. Bail-in Power," "Risk Factors--Risks Relating to the Securities Generally--
Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value of
the securities" and "Risk Factors--Risks Relating to the Securities Generally--Under the terms of the securities, you have agreed to be bound
by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority" in the accompanying prospectus supplement.
· No Dividend Payments or Voting Rights--As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or
other distributions or other rights that holders of the Index Components or any asset underlying the Index Components would have.
· The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes--The estimated value of your Notes on the
Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the
estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate
of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our
obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
· The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market--The estimated value of your Notes on the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the
secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value was based on the
levels at which our benchmark debt securities trade in the secondary market.

PS-6

· The Estimated Value of the Notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May be Different
from the Pricing Models of Other Financial Institutions--The estimated value of your Notes on the Initial Valuation Date is based on our
internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or
may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may
be different from other financial institutions' pricing models and the methodologies used by us to estimate the value of the Notes may not be
consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the
secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our
internal pricing models.
· The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if
any, and Such Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and Maybe Lower
Than the Estimated Value of Your Notes--The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are
willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any
time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized
trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into
account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the
Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes
will likely be lower than the initial issue price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or
third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you
paid for your Notes, and any sale prior to the maturity date could result in a substantial loss to you.
· The Temporary Price at Which We May Initially Buy The Notes 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
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Your Notes--Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may
initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do)
and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the
initial issue date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and the
value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
· We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various
Ways and Create Conflicts of Interest--We and our affiliates play a variety of roles in connection with the issuance of the Notes, as
described below. In performing these roles, our and our affiliates' economic interests are potentially adverse to your interests as an investor in
the Notes.

We and our affiliates make markets in and trade various financial instruments or products for our accounts and for the account of our clients
and otherwise provide investment banking and other financial services with respect to these financial instruments and products. These
financial instruments and products may include securities, derivative instruments or assets that may relate to the Index or its components. In
any such market making, trading and hedging activity, and other services, we or our affiliates may take positions or take actions that are
inconsistent with, or adverse to, the investment objectives of holders of the Notes. We and our affiliates have no obligation to take the needs of
any buyer, seller or holder of the Notes into account in conducting these activities. Such market making, trading and hedging activity,
investment banking and other financial services may negatively impact the value of the Notes.

In addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of
Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial
benefit from the distribution of the Notes. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the
public, and the offering price is not based upon any independent verification or valuation.

In addition to the activities described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine
any values of the Index and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
we may be required to make certain discretionary judgments relating to the Index and the Notes. In making these discretionary judgments, our
economic interests are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect
any payments on the Notes.

Furthermore, the role played by Barclays Index Administration in its role as Index Sponsor may create the opportunity for additional conflicts
of interest. For more information, see "--Risks Relating to the Index Generally--The Index Sponsor Will Have the Authority to Make
Determinations That Could Materially Affect the Index Level and the Amounts Payable on the Notes and their Market Value and Create
Conflicts of Interest" below.

PS-7

· Lack of Liquidity--The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC
intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any
time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market
for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because
other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to
depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
· Many Economic and Market Factors Will Impact the Value of the Notes--The value of the Notes will be affected by a number of
economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including:
o
the level of the Index, the Index Components and the assets underlying the Index Components;

o
the volatility of the Index or any of the Index Components;

o
the time to maturity of the Notes;

o
the dividend rate on the Index Components and any equity securities held in the portfolios of such Index Components;

o
interest and yield rates in the market generally;

o
a variety of economic, financial, political, regulatory or judicial events;

o
supply and demand for the Notes; and

o
our creditworthiness, including actual or anticipated downgrades in our credit ratings.

· Taxes--As discussed further below under "Material U.S. Federal Income Tax Considerations" and in the accompanying prospectus
supplement, if you are a U.S. individual or taxable entity, you generally will be required to accrue interest on a current basis in respect of the
Notes over their term based on the comparable yield for the Notes and pay tax accordingly, even though you will not receive any payments
from us until maturity. This comparable yield is determined solely to calculate the amount on which you will be taxed prior to maturity and is
neither a prediction nor a guarantee of what the actual yield will be.
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Risks Relating to the Index Generally

· The Index May Not be Successful and May Underperform Alternative Investment Strategies--There can be no assurance that the Index
will achieve positive returns. The Index tracks a dynamic notional portfolio selected from a universe of 13 Index Components (as defined
under "The Index--Overview" below), while targeting a portfolio volatility equal to the Target Volatility (as defined under "The Index--
Overview" below) of 5%. The Index seeks to track a portfolio constructed from the Index Components that is determined by the Index
methodology to have the highest expected return, subject to certain weighting constraints and other conditions described under "The Index--
Overview" below, without the portfolio exceeding the Target Volatility of 5%.

It is possible that the Index Components selected at any time for inclusion in the Index will decrease and cause the Index Level (as defined
under "The Index--Overview" below) to fall, or to increase at a lesser rate, than if different Index Components had been chosen for inclusion
in the Index. There can be no assurance that a notional investment in the Index Portfolio will perform better than an alternative investment
portfolio selected based on different criteria or using any other methodology. For example, the return on the S&P® 500 Index, an index
intended to provide a benchmark for the U.S. equity markets, measured from July 5, 2016 (the live date of the Index) to March 28, 2017 was
approximately 12.9%, while the return on the Index declined by approximately 0.25% when measured between the same two dates.
· The Index is Subject to Market Risk--The Index Level will depend, in large part, on the performance of the Index Components included in
the portfolio tracked by the Index over the term of your Notes. Even if the Index allocates exposure to the Index Components with the highest
returns, the Index Level may decline if there is a general deterioration in financial markets and economic conditions that causes a decline in
the value of the Index Components that compose the Index at that time.
· Historical Volatility May be a Poor Indicator of Future Index Component Performance--A fundamental assumption of the Index is that
the historical volatility of the Index Components, as measured by the Index, may be an accurate predictor of their future performance.
Accordingly, the Index seeks to track the portfolio whose Index Components have the highest weighted-average volatility (because volatility is
used as a proxy for expected return), without portfolio volatility exceeding the Target Volatility of 5%. No assurance can be given that the
historical volatility of the Index Components will accurately predict their future performance. If the historical volatility of the Index
Components proves not to be an accurate indicator of actual performance, then the Index Portfolio tracked by the Index may not be optimal
and may perform poorly.
· Historical Volatility May be a Poor Indicator of Future Volatility--The Index seeks to take on a defined and limited degree of expected
risk by tracking a portfolio with an expected risk that does not exceed a pre-defined level. The Index measures the expected risk of portfolio
based on its historical volatility. However, there can be no assurance that the historical volatility of the portfolio tracked by the Index will be
indicative of its future volatility. The volatility of a portfolio may change significantly and sharply as markets change. In addition, other
potential measures of volatility, such as implied volatility derived from the prices of listed options on the Index Components, might be more
predictive of future volatility than historical volatility. As a result, the measure of expected risk used by the Index may be less accurate than
other measures that could have been used.

PS-8

· The Deduction of Notional Financing Costs and an Index Fee Will Adversely Affect Index Performance--While a total return index
tracks a notional funded investment in its components, with dividends notionally reinvested, an excess return index tracks a notional
investment in its components, with dividends notionally reinvested, made through the use of borrowed funds for which a financing cost is
notionally paid. The Notes are linked to an excess return index and not a total return index. In the particular case of the Index, the level of each
Index Component is based on a notional investment in that Index Component minus a borrowing cost represented by the ICE LIBOR USD 3
Month rate. Accordingly, each Index Component will underperform the total return performance of the corresponding exchange-traded fund.

The ICE LIBOR USD 3 Month rate reflects the rate at which banks lend U.S. dollars to each other for a term of 3 months in the London
interbank market. The ICE LIBOR USD 3 Month rate will be affected by many factors, including, among others, the monetary policy of the
Federal Reserve. The ICE LIBOR USD 3 Month rate has fluctuated significantly over time. For example, on December 30, 2005, the ICE
LIBOR USD 3 Month rate was 4.53625% and on December 30, 2016, the ICE LIBOR USD 3 Month rate was 0.99789%. Any increase in the
ICE LIBOR USD 3 Month rate, due to the Federal Reserve raising interest rates (specifically, its federal funds target rate) or otherwise, will
increase the adverse effect of the borrowing cost on the excess return performance of each Index Component (and, therefore, the performance
of the Index).

In addition, the performance of the Index will be reduced by the daily deduction of a fee of 0.85% per annum. As such, the Index performance
will trail that of a hypothetical, identically constituted index from which no such cost is deducted.

The deduction of the notional financing cost and the index fee will place a significant drag on the performance of the Index, offsetting any
positive total return of the Index Components included in the Index Portfolio, exacerbating any negative total return of the Index Components
included in the Index Portfolio and causing the Index Level to decline steadily if the total return of the Index Components included in the
Index Portfolio is relatively flat. The Index will not appreciate unless the total return performance of the Index Components included in the
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Index Portfolio is sufficient to offset the negative effects of the notional financing cost and the index fee, and then only to the extent that the
total return performance of the Index Components included in the Index Portfolio is greater than the deducted amounts. As a result of these
deductions, the Index Level may decline even if the total return of the Index Components included in the Index Portfolio is positive.
· The Index May Not be Fully Invested in the Index Components--If the aggregate weight of the Index Components in the portfolio selected
by the Index is not 100%, the Index Portfolio will allocate exposure to a cash position that will earn no return. In addition, the Index adjusts its
notional exposure to the Index Portfolio as frequently as each Index Business Day in an attempt to maintain a historical volatility for the Index
equal to approximately the Target Volatility of 5%, subject to a maximum notional exposure to the Index Portfolio of 150% and a minimum
exposure of 0%. If the Index's notional exposure to the Index Portfolio is less than 100%, the difference will be notionally uninvested and will
earn no return. As a result, the Index may underperform a similar index that provides 100% exposure to the Index Components.
· The Index May Not Achieve its Target Volatility of 5%--The Index seeks to maintain a target volatility level of 5% by employing a
volatility targeting mechanism based on the historical volatility of the Index Portfolio to dynamically adjust its exposure to the Index Portfolio
at any given time, as described under "The Index--Capped Participation" below. There can, however, be no assurance that historical trends in
volatility will continue in the future. Accordingly, there is no assurance that this volatility targeting mechanism will be the most effective way
to (i) accurately assess volatility of the market at a given time or (ii) predict patterns of volatility. As a result, the Index may not achieve its
Target Volatility of 5% at any time, which may adversely impact the Index Level, and, consequently, the market value of your Notes.
· The Index May be Subject to Increased Volatility Due to the Use of Leverage--When the volatility of the Index Portfolio is less than the
Target Volatility of 5%, the Index will employ leverage to increase the exposure of the Index to the Index Portfolio, up to a maximum
exposure of 150%. When the Index Portfolio is leveraged, any movements in values of the Index Component may result in greater changes in
the value of the Index Portfolio than if leverage were not used. In particular, the use of leverage will magnify any negative performance of the
Index Portfolio. For example, if Capped Participation on any day is 130%, a 1% decrease in the value of the Index Portfolio on such day would
cause the Index to fall by 1.30%, plus an additional reduction to account for the Index Fee.
· The Index's Target Volatility May Reduce the Appreciation Potential of the Index; the Volatility Targeting Mechanism of the Index
May Cause the Index to Underperform the Index Portfolio--Under normal circumstances, equity markets exhibit significantly higher
volatility than the Target Volatility of 5%. Accordingly, the Target Volatility of 5% may have the effect of skewing the allocations among the
Index Components in the Index Portfolio toward Index Components that provide exposure to fixed-income assets, which typically have lower
volatility than Index Components that provide exposure to equities, or to the cash position, which provides no return and therefore has a
volatility of 0%. These typically lower-volatility Index Components may have lower return potential than the typically higher-volatility Index
Components, and any cash position has zero return potential. If the Index has a relatively low allocation to the typically higher-volatility Index
Components, it will not fully participate in any appreciation among those Index Components.

Moreover, if the Index has a relatively high allocation to Index Components that provide exposure to fixed-income assets, it will be
particularly sensitive to factors that adversely affect the value of fixed-income instruments, such as increases in interest rates or declining
perceptions of credit quality. A low Target Volatility does not mean that the Index is less likely to decline than it would

PS-9

be if it had a higher Target Volatility. In fact, a low-volatility portfolio may decline in value even while a high-volatility portfolio appreciates.
For example, in an equity bull market that is accompanied by rising interest rates, a portfolio heavily weighted toward Index Components that
provide exposure to fixed-income assets might decline in value as a result of the rising interest rates, while a portfolio heavily weighted
toward Index Components that provide exposure to equities would appreciate.

The volatility targeting feature of the Index may cause the Index to reduce its exposure to the Index Portfolio in periods of high volatility,
even if the Index Portfolio is generally performing positively. The performance of the Index may be negative or less positive than the
performance of the Index Portfolio during such periods. Accordingly, the return on the Index may be less, and may be significantly less, than
the return on an Index that does not include a "volatility targeting" (sometimes referred to as a "risk control") feature.
· The Index Sponsor Will Have the Authority to Make Determinations That Could Materially Affect the Index Level and the Amount
Payable on the Notes and their Market Value and Create Conflicts of Interest--The Index Sponsor, an independent index administration
function within Barclays Bank PLC, is responsible for the operation of the Index, and the policies of the Index Sponsor concerning the
calculation of the Index Level could affect the Index Level and, therefore, the amount payable on the Notes at maturity and the market value of
the Notes prior to maturity.

The Index Sponsor may modify the methodology for calculating the Index Level. In addition, as described in "The Index--Modifications to
the Index" below, the Index Sponsor may make certain changes to the way in which the Index is calculated. For example, the Index Sponsor
may discontinue or suspend calculation or publication of the Index upon the occurrence of certain market disruptions or other events, in which
case it may become difficult to determine the Index Level and the value of the Notes. In addition, the Index Sponsor may replace an Index
Component if that Index Component ceases to exist or changes in a way that makes the calculation of the Index impossible or infeasible. The
replacement Index Component may perform significantly worse than the replaced Index Component. Any such changes could adversely affect
the value of the Notes. The circumstances in which the Index Sponsor might make any such a determination are described more fully under
"The Index--Modifications to the Index."
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