Bond Barclay PLC 0% ( US06741VEJ70 ) in USD

Barclay PLC

100 % ▼

United Kingdom

US06741VEJ70 ( in USD )

29/12/2023 - Bond has expired

Prospectus brochure of the bond Barclays PLC US06741VEJ70 in USD 0%, expired

1 000 USD

3 355 000 USD

06741VEJ7

N/A

Barclays PLC is a British multinational banking and financial services corporation headquartered in London, offering a wide range of services including personal and corporate banking, investment banking, and wealth management.

The Bond issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06741VEJ70, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 29/12/2023

The Bond issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06741VEJ70, was rated NR by Moody's credit rating agency.

Page 1 of 28
424B2 1 a16-22465_50424b2.htm 424B2 - 20161230 7YR BARCLAYS TRAILBLAZER [BARC-
AMERICAS.FID843510]
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
$3,355,000
$388.84
(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
Pricing Supplement dated December 23, 2016
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
$3,355,000
Notes due December 29, 2023
Linked to the Performance of the Barclays Trailblazer Sectors 5 Index
Global Medium-Term Notes, Series 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:
December 23, 2016
Issue Date:
December 30, 2016
Final Valuation Date:*
December 26, 2023
Maturity Date:*
December 29, 2023
Reference Asset:
The Barclays Trailblazer Sectors 5 Index (Bloomberg ticker symbol "BXIITBZ5 <Index>") (the "Index")
Upside Leverage Factor:
3.20
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:
176.7711, 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.
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)
Per Note
$1,000
100%
4.00%
96.00%
Total
$3,355,000
$3,355,000
$123,345
$3,231,655
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(1)
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $914.20 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 $40.000 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 s
®
ervice or any successor service, as applicable
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).
Calculation Agent:
Barclays Bank PLC
CUSIP/ISIN:
06741VEJ7/ US06741VEJ70
*
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):
x
Prospectus dated July 18, 2016:
https://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.htm
x
Prospectus Supplement dated July 18, 2016:
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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 expected to be
allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with
structuring the 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 account statements at all, may exceed our estimated value on the Initial Valuation Date for a
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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:
x You do not seek an investment that produces periodic interest or coupon payments or other sources of current income
x 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
x 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
x 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
x 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
x 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
x You are willing to assume our credit risk for all payments on the Notes
x 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:
x You seek an investment that produces periodic interest or coupon payments or other sources of current income
x 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
x You seek exposure to an index or group of assets that does not subtract an index fee or notional financing costs
x You seek exposure to an index or portfolio that may not be concentrated in a small number of assets
x 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
x 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
x You are unwilling or unable to assume our credit risk for all payments on the Notes
x 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
Market Disruption Events
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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: 3.20
* 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
Total Return on Notes
Maturity**
150.0000
50.00%
$2,600.00
160.00%
140.0000
40.00%
$2,280.00
128.00%
130.0000
30.00%
$1,960.00
96.00%
120.0000
20.00%
$1,640.00
64.00%
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110.0000
10.00%
$1,320.00
32.00%
105.0000
5.00%
$1,160.00
16.00%
103.0000
3.00%
$1,096.00
9.60%
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 $1,320.00 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 3.20] = $1,320.00
The total return on the investment of the Notes is 32.00%.
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:
x
"Risk Factors--Risks Relating to the Securities Generally"; and
x
"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
x
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.
x
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.
x
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.
x
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
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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.
x
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.
x
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.
x
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
x
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.
x
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.
x
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 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
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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.
x
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
x
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.
x
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.
Risks Relating to the Index Generally
x
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%. There can be no assurance, however, that a notional investment in the Index Portfolio (as defined under "The
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Index--Overview" below) tracked by the Index will perform better than an investment in the Index Components selected based
on different criteria or using any other methodology. It is also 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.
x
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.
x
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.
x
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.
x
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.
PS-8
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 June 30, 2016, the ICE LIBOR USD 3 Month
rate was 0.65410%. 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 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.
x
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.
x
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
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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.
x
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.
x
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 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 Notes may be less, and
PS-9
may be significantly less, than an investment based on the performance of one or more indices that do not include a "volatility
targeting" (sometimes referred to as a "risk control") feature.
x
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."
The role played by the Index Sponsor, and the exercise of the kinds of discretion described above and in the section entitled "The
Index--Modifications to the Index" below, could present it with significant conflicts of interest in light of the fact that Barclays
Bank PLC is the issuer of the Notes. The Index Sponsor has no obligation to take the needs of any buyer, seller or holder of the
Notes into consideration at any time.
x
At any Time, the Index May not be Invested in Most or All Index Components, Resulting in a Concentrated Investment
That May Not Perform As Well Over Time as an Investment in a More Diversified Portfolio--Diversification is generally
considered to reduce the amount of risk associated with generating returns. There can be no assurance, however, that the Index
will be invested in most or all of the Index Components or that the Index will be sufficiently diversified at any time to reduce or
minimize such risks to any extent. In particular, at any time, the Index may be notionally invested in a single Index Component
or in a small number of Index Components, and that may produce lower returns than would an investment in a more diversified
portfolio of assets.
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