Bond Barclay PLC 5.3% ( US06747PCE79 ) in USD

Issuer Barclay PLC
Market price 100 %  ▲ 
Country  United Kingdom
ISIN code  US06747PCE79 ( in USD )
Interest rate 5.3% per year ( payment 2 times a year)
Maturity 24/02/2023 - Bond has expired



Prospectus brochure of the bond Barclays PLC US06747PCE79 in USD 5.3%, expired


Minimal amount 1 000 USD
Total amount 4 578 000 USD
Cusip 06747PCE7
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Detailed description 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 US06747PCE79, pays a coupon of 5.3% per year.
The coupons are paid 2 times per year and the Bond maturity is 24/02/2023

The Bond issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06747PCE79, was rated NR by Moody's credit rating agency.







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424B2 1 dp121817_424b2-2950ms.htm FORM 424B2
February 2020
Registration Statement No. 333-232144
Pricing Supplement dated February 21, 2020
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
Unlike conventional debt securities, the securities do not guarantee the payment of interest or any return of principal at maturity. Instead, the securities offer the opportunity
for investors to receive a contingent quarterly payment equal to 1.325% of the stated principal amount with respect to each quarterly determination period if a coupon barrier
event has not occurred during that determination period. However, if a coupon barrier event has occurred during a determination period, investors wil not receive any
contingent quarterly payment for that determination period. A coupon barrier event wil occur with respect to a determination period if the closing level of any underlier is less
than 65% of its initial underlier value, which we refer to as a coupon barrier level, on any scheduled trading day during that determination period. In addition, on any
contingent payment date (other than the final contingent payment date), we will have the right to redeem the securities at our discretion for an amount per security equal
to the stated principal amount plus any contingent quarterly payment otherwise due. Any early redemption of the securities wil be at our discretion and wil not automatical y
occur based on the performance of the underliers. If the securities are not redeemed prior to maturity and the final underlier value of each underlier is greater than or equal to
60% of its initial underlier value, which we refer to as a downside threshold level, the payment at maturity due on the securities wil be equal to the stated principal amount
plus any contingent quarterly payment otherwise due. However, if the securities are not redeemed prior to maturity and the final underlier value of any underlier is less than
its downside threshold level, at maturity investors wil lose 1% of the stated principal amount for every 1% that the final underlier value of the worst performing underlier is
less than its initial underlier value. Under these circumstances, the amount investors receive wil be less than 60% of the stated principal amount and could be zero. Because
al payments on the securities are based on the worst performing of the underliers, a decline in the closing level of any underlier below its coupon barrier level on any
scheduled trading day during most or al of the determination periods wil result in few or no contingent quarterly payments, and a decline in the closing level of any underlier
below its downside threshold level on the final determination date wil result in a significant loss of your investment, in each case, even if the other underliers appreciate or
have not declined as much. The securities are for investors who are wil ing and able to risk their principal and forgo guaranteed interest payments, in exchange for the
opportunity to receive contingent quarterly payments at a potential y above-market rate, subject to early redemption at our discretion. Investors wil not participate in any
appreciation of any underlier even though investors wil be exposed to the depreciation in the value of the worst performing underlier if the securities have not been
redeemed prior to maturity and the final underlier value of the worst performing underlier is less than its downside threshold level. Investors may lose their entire initial
investment in the securities. The securities are unsecured and unsubordinated debt obligations of Barclays Bank PLC. Any payment on the securities, including
any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were to
default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (as described on page 5 of this document) by the relevant U.K.
resolution authority, you might not receive any amounts owed to you under the securities. See "Risk Factors" and "Consent to U.K. Bail-in Power" in this
document and "Risk Factors" in the accompanying prospectus supplement.
FINAL TERMS

Issuer:
Barclays Bank PLC
Reference assets*:
Russel 2000® Index (Bloomberg ticker symbol "RTY<Index>") (the "RTY Index"), S&P 500® Index (Bloomberg ticker symbol
"SPX<Index>") (the "SPX Index") and EURO STOXX 50® Index (Bloomberg ticker symbol "SX5E<Index>") (the "SX5E Index") (each an
"underlier" and together the "underliers")
Aggregate principal amount: $4,578,000
Stated principal amount:
$1,000 per security
Initial issue price:
$1,000 per security (see "Commissions and initial issue price" below)
Pricing date:
February 21, 2020
Original issue date:
February 26, 2020
Maturity date:
February 24, 2023
Optional early redemption:
On any contingent payment date (other than the final contingent payment date), we wil have the right to redeem the securities, in whole,
but not in part, at our discretion, for the early redemption payment. If we decide to redeem the securities on a contingent payment date, we
wil give you notice on or before the immediately preceding determination period-end date. Any early redemption of the securities wil be at
our discretion and wil not automatical y occur based on the performance of the underliers. No further payments will be made on the
securities after they have been redeemed.
Early redemption payment:
The early redemption payment wil be an amount per security equal to (i) the stated principal amount plus (i ) any contingent quarterly
payment otherwise due.
Contingent quarterly
· If a coupon barrier event has not occurred during a determination period, we wil pay a contingent quarterly payment of $13.25 (1.325%
payment:
of the stated principal amount) per security on the related contingent payment date with respect to that determination period.
· If a coupon barrier event has occurred during a determination period, no contingent quarterly payment wil be made with respect to that
determination period.
Payment at maturity:
If the securities are not redeemed prior to maturity, you wil receive on the maturity date a cash payment per security determined as fol ows:
· If the final underlier value of each underlier is greater than or equal to its downside threshold level:
(i) stated principal amount plus (i ) any contingent quarterly payment otherwise due
· If the final underlier value of any underlier is less than its downside threshold level:
stated principal amount × underlier performance factor of the worst performing underlier
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000 and will represent a
loss of more than 40%, and possibly all, of an investor's initial investment. Investors may lose their entire initial investment in the
securities. Any payment on the securities, including any repayment of principal, is not guaranteed by any third party and is
subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority.
U.K. Bail-in Power
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner
acknowledgment:
of the securities, by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees to be bound
by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See "Consent to U.K. Bail-in Power" on
page 5 of this document.

(terms continued on the next page)
Commissions and initial issue price:
Initial issue price(1)
Price to public(1)
Agent's commissions
Proceeds to issuer
Per security
$1,000
$1,000
$12.50(2)
$982.50
$5.00(3)
Total
$4,578,000
$4,578,000
$80,115
$4,497,885
(1) Our estimated value of the securities on the pricing date, based on our internal pricing models, is $970.20 per security. The estimated value is less than the
initial issue price of the securities. See "Additional Information Regarding Our Estimated Value of the Securities" on page 4 of this document.
(2) Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a fixed sales commission of
$12.50 for each security they sell. See "Supplemental Plan of Distribution" in this document.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each security.
One or more of our affiliates may purchase up to 15% of the aggregate principal amount of the securities and hold such securities for investment for a period of at least 30
days. Accordingly, the total principal amount of the securities may include a portion that was not purchased by investors on the original issue date. Any unsold portion held by
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our affiliate(s) may affect the supply of securities available for secondary trading and, therefore, could adversely affect the price of the securities in the secondary market.
Circumstances may occur in which our interests or those of our affiliates could be in conflict with your interests.
Investing in the securities involves risks not associated with an investment in conventional debt securities. See "Risk Factors" beginning on page 14 of this
document and on page S-7 of the prospectus supplement. You should read this document together with the related prospectus, prospectus supplement and
underlying supplement, each of which can be accessed via the hyperlinks below, before you make an investment decision.
The securities will not be listed on any U.S. securities exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the "SEC") nor any
state securities commission has approved or disapproved of the securities or determined that this document is truthful or complete. Any representation to the
contrary is a criminal offense.
We may use this document in the initial sale of the securities. In addition, Barclays Capital Inc. or another of our affiliates may use this document in market
resale transactions in any of the securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this document is
being used in a market resale transaction.
The securities constitute our unsecured and unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered by
the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit
insurance agency of the United States, the United Kingdom or any other jurisdiction.
Prospectus dated August 1, 2019
Prospectus Supplement dated August 1, 2019
Underlying Supplement dated August 1, 2019

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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Terms continued from previous page:
Coupon barrier level:
With respect to the RTY Index: 1,091.096, which is equal to 65% of its initial underlier value (rounded to three decimal places)
With respect to the SPX Index: 2,169.538, which is equal to 65% of its initial underlier value (rounded to three decimal places)
With respect to the SX5E Index: 2,470.247, which is equal to 65% of its initial underlier value (rounded to three decimal places)
Downside threshold level:
With respect to the RTY Index: 1,007.165, which is equal to 60% of its initial underlier value (rounded to three decimal places)
With respect to the SPX Index: 2,002.650, which is equal to 60% of its initial underlier value (rounded to three decimal places)
With respect to the SX5E Index: 2,280.228, which is equal to 60% of its initial underlier value (rounded to three decimal places)
Coupon barrier event:
A coupon barrier event wil occur with respect to a determination period if (i) the closing level of any underlier is less than its coupon
barrier level on any scheduled trading day during that determination period and (i ) a market disruption event has not occurred with
respect to that underlier on that day.
Initial underlier value:
With respect to the RTY Index: 1,678.609, which is the closing level of that underlier on the pricing date
With respect to the SPX Index: 3,337.75, which is the closing level of that underlier on the pricing date
With respect to the SX5E Index: 3,800.38, which is the closing level of that underlier on the pricing date
Final underlier value:
With respect to each underlier, the closing level of that underlier on the final determination date
Underlier performance factor:
With respect to each underlier, its final underlier value divided by its initial underlier value
Worst performing underlier:
The underlier with the lowest underlier performance factor
Determination periods:
There are twelve quarterly determination periods. The first determination period wil consist of each day from but excluding the pricing
date to and including the first determination period-end date. Each subsequent determination period wil consist of each day from but
excluding a determination period-end date to and including the next fol owing determination period-end date.
Determination period-end
May 21, 2020, August 21, 2020, November 23, 2020, February 22, 2021, May 21, 2021, August 23, 2021, November 22, 2021, February
dates:
22, 2022, May 23, 2022, August 22, 2022, November 21, 2022 and February 21, 2023. We also refer to the final determination period-end
date, February 21, 2023, as the final determination date.
Contingent payment dates:
May 27, 2020, August 26, 2020, November 27, 2020, February 25, 2021, May 26, 2021, August 26, 2021, November 26, 2021, February
25, 2022, May 26, 2022, August 25, 2022, November 25, 2022 and the maturity date
Closing level*:
With respect to each underlier, closing level has the meaning set forth under "Reference Assets--Indices--Special Calculation
Provisions" in the prospectus supplement.
Additional terms:
Terms used in this document, but not defined herein, wil have the meanings ascribed to them in the prospectus supplement.
CUSIP / ISIN:
06747PCE7 / US06747PCE79
Listing:
The securities wil not be listed on any securities exchange.
Selected dealer:
Morgan Stanley Wealth Management ("MSWM")
*
If an underlier is discontinued or if the sponsor of an underlier fails to publish that underlier, the calculation agent may select a successor index or, if no successor index
is available, wil calculate the value to be used as the closing level of that underlier. In addition, the calculation agent wil calculate the value to be used as the closing
level of an underlier in the event of certain changes in or modifications to that underlier. For more information, see "Reference Assets--Indices--Adjustments Relating to
Securities with an Index as a Reference Asset" in the accompanying prospectus supplement.

Each determination period-end date may be postponed if that determination period-end date is not a scheduled trading day with respect to any underlier or if a market
disruption event occurs with respect to any underlier on that determination period-end date as described under "Reference Assets--Indices--Market Disruption Events
for Securities with an Index of Equity Securities as a Reference Asset" and "Reference Assets--Least or Best Performing Reference Asset--Scheduled Trading Days
and Market Disruption Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-
Traded Funds and/or Indices of Equity Securities" in the accompanying prospectus supplement. In addition, a contingent payment date and/or the maturity date wil be
postponed if that day is not a business day or if the relevant determination period-end date is postponed as described under "Terms of the Notes--Payment Dates" in the
accompanying prospectus supplement.
Barclays Capital Inc.
February 2020
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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Additional Terms of the Securities
You should read this document together with the prospectus dated August 1, 2019, as supplemented by the prospectus supplement dated
August 1, 2019 relating to our Global Medium-Term Notes, Series A, of which the securities are a part, and the underlying supplement
dated August 1, 2019. This document, together with the documents listed below, contains the terms of the securities and supersedes al
prior or contemporaneous oral statements as wel 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 careful y consider, among other things, the matters set forth under "Risk Factors" in the prospectus supplement, as the securities
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 securities.

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

Prospectus dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm

Prospectus supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm

Underlying supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010191/dp110497_424b2-underlying.htm

Our SEC file number is 1-10257 and our Central Index Key, or CIK, on the SEC website is 0000312070. As used in this document, "we,"
"us" and "our" refer to Barclays Bank PLC.

In connection with this offering, Morgan Stanley Wealth Management is acting in its capacity as a selected dealer.

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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Additional Information Regarding Our Estimated Value of the Securities

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, typical y including volatility, interest rates and our internal funding rates. Our internal funding rates (which are our
internal y 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 pricing date is based on our internal funding rates. Our estimated value of the securities 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 securities on the pricing date is less than the initial issue price of the securities. The difference between the
initial issue price of the securities and our estimated value of the securities results from several factors, including any sales commissions
to be paid to Barclays Capital Inc. or another affiliate of ours, any sel ing concessions, discounts, commissions or fees to be al owed or
paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the
securities, the estimated cost that we may incur in hedging our obligations under the securities, and estimated development and other
costs that we may incur in connection with the securities.

Our estimated value on the pricing date is not a prediction of the price at which the securities may trade in the secondary market, nor wil it
be the price at which Barclays Capital Inc. may buy or sel the securities 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 securities in the secondary market but it is not
obligated to do so.

Assuming that al relevant factors remain constant after the pricing date, the price at which Barclays Capital Inc. may initial y buy or sel the
securities in the secondary market, if any, and the value that we may initial y use for customer account statements, if we provide any
customer account statements at al , may exceed our estimated value on the pricing date for a temporary period expected to be
approximately 40 days after the initial issue date of the securities because, in our discretion, we may elect to effectively reimburse to
investors a portion of the estimated cost of hedging our obligations under the securities and other costs in connection with the securities
that we wil no longer expect to incur over the term of the securities. 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 securities and/or any agreement we may
have with the distributors of the securities. The amount of our estimated costs that we effectively reimburse to investors in this way may
not be al ocated 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 securities based on changes in market conditions and other factors
that cannot be predicted.

We urge you to read "Risk Factors" beginning on page 14 of this document.
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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

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

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 respect of that entity.

The U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which al ows for (i) the
reduction or cancel ation of al , or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities; (i ) the
conversion of al , or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities into shares or other
securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of
the securities such shares, securities or obligations); and/or (i i) the amendment or alteration of the maturity of the securities, or
amendment of the amount of interest or any other amounts due on the securities, 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 securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the securities further acknowledges and agrees that the rights of the holders or beneficial
owners of the securities are subject to, and wil 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
or beneficial owners 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 "Risk Factors--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 document 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.
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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Investment Summary
Contingent Income Callable Securities
Principal at Risk Securities

The Contingent Income Cal able Securities due February 24, 2023 Based on the Value of the Worst Performing of the Russel 2000®
Index, the S&P 500® Index and the EURO STOXX 50® Index, which we refer to as the securities, provide an opportunity for investors to
receive a contingent quarterly payment, which is an amount equal to $13.25 (1.325% of the stated principal amount), with respect to each
quarterly determination period if a coupon barrier event has not occurred during that determination period. However, if a coupon barrier
event has occurred during a determination period, investors wil not receive any contingent quarterly payment for that determination
period. A coupon barrier event wil occur with respect to a determination period if the closing level of any underlier is less than 65% of its
initial underlier value, which we refer to as a coupon barrier level, on any scheduled trading day during that determination period. The
closing level of at least one of the underliers could be below its coupon barrier level on any scheduled trading day during most or al of the
determination periods so that you receive few or no contingent quarterly payments over the term of the securities.

On any contingent payment date (other than the final contingent payment date), we will have the right to redeem the securities at our
discretion for an early redemption payment equal to the stated principal amount plus any contingent quarterly payment otherwise due. If
the securities are redeemed prior to maturity, investors wil receive no further contingent quarterly payments. Any early redemption of the
securities wil be at our discretion and wil not automatical y occur based on the performance of the underliers. At maturity, if the securities
have not previously been redeemed and the final underlier value of each underlier is greater than or equal to 60% of its initial underlier
value, which we refer to as a downside threshold level, the payment at maturity wil be equal to the stated principal amount plus any
contingent quarterly payment otherwise due. However, if the securities have not previously been redeemed and the final underlier value of
any underlier is less than its downside threshold level, investors wil lose 1% of the stated principal amount for every 1% that the final
underlier value of the worst performing underlier is less than its initial underlier value. Under these circumstances, the amount investors
receive wil be less than 60% of the stated principal amount and could be zero. Investors in the securities must be wil ing and able to
accept the risk of losing their entire initial investment based on the performance of the worst performing underlier and also the risk of not
receiving any contingent quarterly payment throughout the entire term of the securities. In addition, investors wil not participate in any
appreciation of any underlier.

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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Key Investment Rationale
The securities are for investors who are wil ing and able to risk their principal and forgo guaranteed interest payments, in exchange for the
opportunity to receive contingent quarterly payments at a potential y above-market rate, subject to early redemption at our discretion. The
securities offer investors an opportunity to receive a contingent quarterly payment of $13.25 (1.325% of the stated principal amount) with
respect to each determination period if a coupon barrier event has not occurred during that determination period. In addition, the fol owing
scenarios reflect the potential payment on the securities, if any, upon an early redemption or at maturity:

Scenario 1
On any contingent payment date (other than the final contingent payment date), we redeem the securities.

§ The securities wil be redeemed for (i) the stated principal amount plus (i ) any contingent quarterly payment
otherwise due.

§ Investors wil not participate in any appreciation of any underlier from its initial underlier value and wil
receive no further contingent quarterly payments.

Any early redemption of the securities wil be at our discretion and wil not automatical y occur based on the
performance of the underliers. It is more likely that we wil redeem the securities when it would otherwise be
advantageous for you to continue to hold the securities. As such, we wil be more likely to redeem the securities
when the expected interest payable on the securities is greater than the interest that would be payable on other
instruments of a comparable maturity and credit rating trading in the market. In other words, we wil be more likely to
redeem the securities when the securities are paying an above-market coupon. If the securities are redeemed prior
to maturity, no further contingent quarterly payments wil be made on the securities and you may be forced to
reinvest in a lower interest rate environment. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the securities in a comparable investment with a similar level of risk in the event the securities
are redeemed prior to the maturity date. On the other hand, we wil be less likely to exercise our redemption right
when the expected interest payable on the securities is less than the interest that would be payable on other
instruments of a comparable maturity and credit rating trading in the market. Under these circumstances, it is also
more likely that you wil receive few or no contingent quarterly payments and that you wil suffer a significant loss on
your investment at maturity.

Scenario 2
The securities are not redeemed prior to maturity and the final underlier value of each underlier is greater
than or equal to its downside threshold level.

§ The payment due at maturity wil be (i) the stated principal amount plus (i ) any contingent quarterly payment
otherwise due.

§ Investors wil not participate in any appreciation of any underlier from its initial underlier value.

Scenario 3
The securities are not redeemed prior to maturity and the final underlier value of any underlier is less than
its downside threshold level.

§ The payment due at maturity wil be equal to the stated principal amount times the underlier performance
factor of the worst performing underlier. In this case, at maturity, the securities pay less than 60% of the
stated principal amount and the percentage loss of the stated principal amount wil be equal to the
percentage decrease in the final underlier value of the worst performing underlier from its initial underlier
value. For example, if the final underlier value of the worst performing underlier is 55% less than its initial
underlier value, the securities wil pay $450.00 per security, or 45% of the stated principal amount, for a loss
of 55% of the stated principal amount. Investors will lose a significant portion and may lose all of their
principal in this scenario.

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Contingent Income Cal able Securities due February 24, 2023
Based on the Value of the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Selected Purchase Considerations
The securities are not suitable for al investors. The securities may be a suitable investment for you if al of the fol owing statements are
true:

§ You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of
current income.

§ You do not anticipate that the final underlier value of any underlier wil be less than its downside threshold level on the final
determination date, and you are wil ing and able to accept the risk that, if it is, you wil lose a significant portion or al of the stated
principal amount.

§ You understand that a coupon barrier event wil occur with respect to a determination period if the closing level of any underlier is
less than its coupon barrier level on any scheduled trading day during that determination period, and you are wil ing and able to
accept the risk that, if a coupon barrier event occurs during a determination period, you wil not receive any contingent quarterly
payment for that determination period.

§ You understand that the closing level of any underlier could be below its coupon barrier level on any scheduled trading day
during most or al of the determination periods, and you are wil ing and able to accept the risk that, if it is, you wil receive few or no
contingent quarterly payments over the term of the securities.

§ You are wil ing and able to accept the individual market risk of each underlier and you understand that poor performance by any
underlier over the term of the securities may negatively affect your return and wil not be offset or mitigated by any positive
performance by the other underliers.

§ You are wil ing and able to forgo participation in any appreciation of any underlier, and you understand that any return on your
investment wil be limited to the contingent quarterly payments that may be payable on the securities.

§ You are wil ing and able to accept the risks associated with an investment linked to the performance of the worst performing of the
underliers, as explained in more detail in the "Risk Factors" section of this document.

§ You understand and accept that you wil not be entitled to receive dividends or distributions that may be paid to holders of the
securities composing the underliers, nor wil you have any voting rights with respect to the securities composing the underliers.

§ You are wil ing and able to accept the risk that we may redeem the securities at our discretion prior to scheduled maturity, that it is
more likely that we wil redeem the securities when it would otherwise be advantageous for you to continue to hold the securities
and that you may not be able to reinvest your money in an alternative investment with comparable risk and yield.

§ You do not seek an investment for which there wil be an active secondary market and you are wil ing and able to hold the
securities to maturity if the securities are not redeemed at our discretion.

§ You are wil ing and able to assume our credit risk for al payments on the securities.

§ You are wil ing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.

The securities may not be a suitable investment for you if any of the fol owing statements are true:

§ You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income.

§ You seek an investment that provides for the ful repayment of principal at maturity.

§ You anticipate that the final underlier value of any underlier wil be less than its downside threshold level on the final determination
date, or you are unwil ing or unable to accept the risk that, if it is, you wil lose a significant portion or al of the stated principal
amount.

§ You are unwil ing or unable to accept the risk that, if the closing level of any underlier is less than its coupon barrier level on any
scheduled trading day during a determination period, a coupon barrier event wil occur with respect to that determination period
and you wil not receive any contingent quarterly payment for that determination period.

§ You are unwil ing or unable to accept that, if the closing level of any underlier is below its coupon barrier level on any scheduled
trading day during most or al of the determination periods, you wil receive few or no contingent quarterly payments over the term
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of the securities.

§ You are unwil ing or unable to accept the individual market risk of each underlier or the risk that poor performance by any
underlier over the term of the securities may negatively affect your return and wil not be offset or mitigated by any positive
performance by the other underliers.

§ You seek exposure to any upside performance of the underliers or you seek an investment with a return that is not limited to the
contingent quarterly payments that may be payable on the securities.

§ You are unwil ing or unable to accept the risks associated with an investment linked to the performance of the worst performing of
the underliers, as explained in more detail in the "Risk Factors" section of this document.

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