Obbligazione Barclay PLC 0% ( US06747NXG41 ) in USD

Emittente Barclay PLC
Prezzo di mercato refresh price now   100 USD  ▲ 
Paese  Regno Unito
Codice isin  US06747NXG41 ( in USD )
Tasso d'interesse 0%
Scadenza 31/01/2030



Prospetto opuscolo dell'obbligazione Barclays PLC US06747NXG41 en USD 0%, scadenza 31/01/2030


Importo minimo 1 000 USD
Importo totale 1 000 000 USD
Cusip 06747NXG4
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata Barclays PLC è una banca multinazionale britannica che offre una vasta gamma di servizi finanziari a clienti privati, aziende e istituzioni in tutto il mondo.

The Obbligazione issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06747NXG41, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 31/01/2030







1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
424B2 1 a20-6160_23424b2.htm 1 LN4 [BARC-AMERICAS.FID1112454]

Pricing Supplement dated January 28, 2020
Filed Pursuant to Rule 424(b)(2)
(To the Prospectus dated August 1, 2019, the Prospectus Supplement dated August 1, 2019 and the Underlying Supplement dated August 1, 2019)
Registration No. 333­232144

$1,000,000
Callable Contingent Coupon Notes due January 31, 2030
Linked to the Least Performing of the EURO STOXX
® Banks Index and the Russell 2000
® 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:
January 28, 2020
Issue Date:
January 31, 2020
Final Valuation Date:*
January 28, 2030
Maturity Date:*
January 31, 2030
Reference Assets:
The EURO STOXX
® Banks Index (the "SX7E Index") and the Russell 2000
® Index (the "RTY Index"), as set forth in the following table:













Reference Asset
Bloomberg
Initial Value
Coupon Barrier
Barrier Value
Ticker
Value


SX7E Index
SX7E <Index>
92.97
65.08
55.78



RTY Index
RTY <Index>
1,658.31
1,160.82
994.99










The SX7E Index and the RTY Index are each referred to herein as a "Reference Asset" and, collectively, as the "Reference Assets."
Early Redemption at the
The Notes cannot be redeemed for the first three months after the Issue Date. We may redeem the Notes (in whole but not in part) at our
Option of the Issuer:
sole discretion without your consent at the Redemption Price set forth below on any Call Valuation Date. No further amounts will be
payable on the Notes after they have been redeemed.
Payment at Maturity:
If the Notes are not redeemed prior to scheduled maturity, and if you hold the Notes to maturity, you will receive on the Maturity Date a
cash payment per $1,000 principal amount Note that you hold (in each case, in addition to any Contingent Coupon that may be payable on
such date) determined as follows:
§
If the Final Value of the Least Performing Reference Asset is greater than or equal to its Barrier Value, you will receive a

payment of $1,000 per $1,000 principal amount Note
§
If the Final Value of the Least Performing Reference Asset is less than its Barrier Value, you will receive an amount per $1,000

principal amount Note calculated as follows:
$1,000 + [$1,000 × Reference Asset Return of the Least Performing Reference Asset]
If the Notes are not redeemed prior to scheduled maturity, and if the Final Value of the Least Performing Reference Asset is less than
its Barrier Value, your Notes will be fully exposed to the decline of the Least Performing Reference Asset from its Initial Value. You
may lose up to 100.00% of the principal amount of your Notes at maturity.
Any payment on the Notes, 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 (as described on page PS­2 of this
pricing supplement) 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.
Consent to U.K. Bail-in
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of
Power:
the Notes, by acquiring the Notes, each holder and beneficial owner 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 PS­2 of this pricing supplement.

[Terms of the Notes Continue on the Next Page]


Initial Issue Price(1)(2)
Price to Public
Agent's Commission(3)
Proceeds to Barclays Bank PLC
Per Note
$1,000
100%
5.00%
95.00%
Total
$1,000,000
$1,000,000
$50,000
$950,000
(1) Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions, fees or commissions, the public

offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $950.00 and $1,000 per Note. Investors that hold their Notes
in fee-based advisory or trust accounts may be charged fees by the investment advisor or manager of such account based on the amount of assets held in those
accounts, including the Notes.
(2) Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $889.60 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 PS­3 of this pricing supplement.
(3) Barclays Capital Inc. will receive commissions from the Issuer of $50.00 per $1,000 principal amount Note. Barclays Capital Inc. will use these commissions to pay

selling concessions or fees (including custodial or clearing fees) to other dealers.
Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S­7 of the prospectus supplement and "Selected Risk Considerations"
beginning on page PS­9 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 U.S. Securities and Exchange Commission (the "SEC") nor any
state securities commission has approved or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations. The Notes 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.
Terms of the Notes, Continued

Contingent Coupon:
$25.00 per $1,000 principal amount Note, which is 2.50% of the principal amount per Note (based on 10.00% per annum rate)
If the Closing Value of each Reference Asset on an Observation Date is greater than or equal to its respective Coupon Barrier Value, you
will receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Value of any Reference Asset on an
Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date.
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
1/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
Observation Dates:*
The 28t
h calendar day of each January, April, July and October during the term of the Notes, beginning in April 2020, provided that the
final Observation Date will be the Final Valuation Date.
Contingent Coupon
With respect to any Observation Date, the fifth business day after such Observation Date, provided that the Contingent Coupon Payment
Payment Dates:*
Date with respect to the Final Valuation Date will be the Maturity Date
Call Valuation Dates:*
Each Observation Date during the term of the Notes, beginning in April 2020 and ending in and including October 2029. If we exercise our
early redemption option on a Call Valuation Date, we will provide written notice to the trustee on such Call Valuation Date.
Call Settlement Date:*
The Contingent Coupon Payment Date following the Call Valuation Date on which we exercise our early redemption option
Initial Value:
With respect to each Reference Asset, the Closing Value on the Initial Valuation Date, as set forth in the table above
Coupon Barrier Value:
With respect to each Reference Asset, 70.00% of its Initial Value (rounded to two decimal places), as set forth in the table above
Barrier Value:
With respect to each Reference Asset, 60.00% of its Initial Value (rounded to two decimal places), as set forth in the table above
Final Value:
With respect to each Reference Asset, the Closing Value on the Final Valuation Date
Redemption Price:
$1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Call Settlement
Date
Reference Asset Return:
With respect to each Reference Asset, an amount calculated as follows:

Final Value ­ Initial Value
Initial Value
Least Performing
The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth above
Reference Asset:
Closing Value:
The term "Closing Value" means the closing level of the applicable Reference Asset, as further described under "Reference Assets--
Indices--Special Calculation Provisions" in the prospectus supplement, rounded to two decimal places (if applicable).
Calculation Agent:
Barclays Bank PLC
CUSIP / ISIN:
06747NXG4 / US06747NXG41
* Subject to postponement, as described under "Additional Terms of the Notes" in this pricing supplement



https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
2/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus dated August 1, 2019, as supplemented by the documents listed
below, relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This pricing supplement, together with
the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any
other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth under "Risk Factors" in the prospectus supplement and "Selected Risk Considerations" in this pricing supplement, as the Notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):

·
Prospectus dated 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 1­10257. As used in this pricing supplement, "we," "us" or "our" refers to Barclays Bank PLC.

PS-1
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
3/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

CONSENT TO U.K. BAIL-IN POWER
Notwithstanding any other agreements, arrangements or understandings between us and any holder or beneficial owner of the
Notes, by acquiring the Notes, each holder and beneficial owner 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 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 or beneficial owner
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 and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners 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 or
beneficial owners of the Notes 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-2
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
4/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

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 may 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 is a result of 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 (including any
structuring or other distribution related fees) to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any
of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our
obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market,
nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and
funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but
it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we
provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period
expected to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse to
investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes which
we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary
reimbursement period on the basis of a number of factors, which may include the tenor of the Notes and/or any agreement we may
have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in this way may
not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the
duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions and other factors
that cannot be predicted.
We urge you to read the "Selected Risk Considerations" beginning on page PS­9 of this pricing supplement.

PS-3
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
5/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

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

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

current income, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the
Closing Value of any Reference Asset falls below its Coupon Barrier Value on one or more of the specified Observation
Dates.

·
You understand and accept that you will not participate in any appreciation of any Reference Asset, which may be significant,

and that your return potential on the Notes is limited to the Contingent Coupons, if any, paid on the Notes.

·
You can tolerate a loss of a significant portion or all of the principal amount of your Notes, and you are willing and able to

make an investment that may have the full downside market risk of an investment in the Least Performing Reference Asset.

·
You do not anticipate that the Closing Value of any Reference Asset will fall below its Coupon Barrier Value on any

Observation Date or below its Barrier Value on the Final Valuation Date.

·
You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of any

Reference Asset or any securities to which any Reference Asset provides exposure, nor will you have any voting rights with
respect to any Reference Asset or any securities to which any Reference Asset provides exposure.

·
You are willing and able to accept the individual market risk of each Reference Asset and understand that any decline in the

value of one Reference Asset will not be offset or mitigated by a lesser decline or any potential increase in the value of any
other Reference Asset.

·
You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value of any Reference

Asset is less than its Coupon Barrier Value on an Observation Date and (b) you will lose some or all of your principal at
maturity if the Final Value of any Reference Asset is less than its Barrier Value.

·
You understand and accept the risk that, if the Notes are not redeemed prior to scheduled maturity, the payment at maturity, if

any, will be based solely on the Reference Asset Return of the Least Performing Reference Asset.

·
You understand and are willing and able to accept the risks associated with an investment linked to the performance of the

Reference Assets.

·
You are willing and able to accept the risk that the Notes may be redeemed prior to scheduled maturity and that you may not

be able to reinvest your money in an alternative investment with comparable risk and yield.

·
You can tolerate fluctuations in the price of the Notes prior to scheduled maturity that may be similar to or exceed the

downside fluctuations in the values of the Reference Assets.

·
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 if the Notes are not redeemed.

·
You are willing and able to assume our credit risk for all payments on the Notes.


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

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

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

income, and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the
Closing Value of any Reference Asset falls below its Coupon Barrier Value on one or more of the specified Observation
Dates.

·
You seek an investment that participates in the full appreciation of any or all of the Reference Assets rather than an investment

with a return that is limited to the Contingent Coupons, if any, paid on the Notes.

·
You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to

accept the risk that you may lose some or all of the principal amount of your Notes in the event that the Final Value of the
Least Performing Reference Asset falls below its Barrier Value.

·
You anticipate that the Closing Value of at least one Reference Asset will decline during the term of the Notes such that the

Closing Value of at least one Reference Asset will fall below its Coupon Barrier Value on one or more Observation Dates
and/or the Final Value of at least one Reference Asset will fall below its Barrier Value.

·
You are unwilling or unable to accept the individual market risk of each Reference Asset and/or do not understand that any

decline in the value of one Reference Asset will not be offset or mitigated by a lesser decline or any potential increase in the
value of any other Reference Asset.

·
You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the

performance of the Reference Assets.

https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
6/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
·
You seek an investment that entitles you to dividends or distributions on, or voting rights related to any Reference Asset or any

securities to which any Reference Asset provides exposure.

·
You are unwilling or unable to accept the risk that the negative performance of only one Reference Asset may cause you to not

receive Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of any other Reference
Asset.

·
You are unwilling or unable to accept the risk that the Notes may be redeemed prior to scheduled maturity.


·
You cannot tolerate fluctuations in the price of the Notes prior to scheduled maturity that may be similar to or exceed the

downside fluctuations in the values of the Reference Assets.

·
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 if the Notes are not redeemed.

PS-4
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
7/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

·
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable

maturities and credit ratings.

·
You are unwilling or unable to assume our credit risk for all payments on the Notes.


·
You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.

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

ADDITIONAL TERMS OF THE NOTES
The Observation Dates (including the Final Valuation Date), the Contingent Coupon Payment Dates, any Call Settlement Date and the
Maturity Date are subject to postponement in certain circumstances, as described under "Reference Assets--Indices--Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset," "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" and "Terms of the Notes--Payment Dates" in the accompanying prospectus supplement.
In addition, the Reference Assets and the Notes are subject to adjustment by the Calculation Agent under certain circumstances, as
described under "Reference Assets--Indices--Adjustments Relating to Securities with an Index as a Reference Asset" in the
accompanying prospectus supplement.

PS-5
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
8/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT COUPON PAYMENT DATE
The following examples demonstrate the circumstances under which you may receive a Contingent Coupon on a hypothetical
Contingent Coupon Payment Date. The numbers appearing in these tables are purely hypothetical and are provided for illustrative
purposes only. These examples do not take into account any tax consequences from investing in the Notes and make the following key
assumptions:

§ Hypothetical Initial Value of each Reference Asset: 100.00*

§ Hypothetical Coupon Barrier Value for each Reference Asset: 70.00 (70.00% of the hypothetical Initial Value set forth
above)*

*
The hypothetical Initial Value of 100.00 and the hypothetical Coupon Barrier Value of 70.00 for each Reference Asset have been

chosen for illustrative purposes only. The actual Initial Value and Coupon Barrier Value for each Reference Asset are as set forth on
the cover of this pricing supplement.
Example 1: The Closing Value of each Reference Asset is greater than its Coupon Barrier Value on the relevant Observation Date.

Closing Value on Relevant
Reference Asset
Observation Date
SX7E Index
105.00
RTY Index
85.00
Because the Closing Value of each Reference Asset is greater than its respective Coupon Barrier Value, you will receive a Contingent
Coupon of $25.00 (2.50% of the principal amount per Note) on the related Contingent Coupon Payment Date.

Example 2: The Closing Value of one Reference Asset is greater than its Coupon Barrier Value on the relevant Observation Date, and
the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value on the relevant Observation Date.

Closing Value on Relevant
Reference Asset
Observation Date
SX7E Index
140.00
RTY Index
40.00
Because the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the related Contingent Coupon Payment Date.

Example 3: The Closing Value of each Reference Asset is less than its Coupon Barrier Value on the relevant Observation Date.

Closing Value on Relevant
Reference Asset
Observation Date
SX7E Index
45.00
RTY Index
50.00
Because the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the related Contingent Coupon Payment Date.

Examples 2 and 3 demonstrate that you may not receive a Contingent Coupon on a Contingent Coupon Payment Date. If the Closing
Value of any Reference Asset is below its Coupon Barrier Value on each Observation Date, you will not receive any Contingent
Coupons during the term of your Notes.

PS-6
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
9/25


1/31/2020
https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE AT MATURITY
The following examples demonstrate the hypothetical payment at maturity under various circumstances. The examples set forth below
are purely hypothetical and are provided for illustrative purposes only. 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 Value of each Reference Asset: 100.00*

§
Hypothetical Coupon Barrier Value for each Reference Asset: 70.00 (70.00% of the hypothetical Initial Value set forth

above)*
§
Hypothetical Barrier Value for each Reference Asset: 60.00 (60.00% of the hypothetical Initial Value set forth above)*

§ You hold the Notes to maturity, and the Notes are NOT redeemed prior to scheduled maturity.

*
The hypothetical Initial Value of 100.00, the hypothetical Coupon Barrier Value of 70.00 and the hypothetical Barrier Value of

60.00 for each Reference Asset have been chosen for illustrative purposes only. The actual Initial Value, Coupon Barrier Value and
Barrier Value for each Reference Asset are as set forth on the cover of this pricing supplement.

Final Value

Reference Asset Return

Reference Asset Return
Payment at
SX7E Index
RTY Index
SX7E Index
RTY Index

of the Least Performing
Maturity**
Reference Asset
150.00
155.00

50.00%
55.00%

50.00%
$1,000.00
140.00
145.00

40.00%
45.00%

40.00%
$1,000.00
140.00
130.00

40.00%
30.00%

30.00%
$1,000.00
130.00
120.00

30.00%
20.00%

20.00%
$1,000.00
110.00
115.00

10.00%
15.00%

10.00%
$1,000.00
100.00
110.00

0.00%
10.00%

0.00%
$1,000.00
95.00
90.00

-5.00%
-10.00%

-10.00%
$1,000.00
80.00
102.00

-20.00%
2.00%

-20.00%
$1,000.00
100.00
70.00

0.00%
-30.00%

-30.00%
$1,000.00
60.00
80.00

-40.00%
-20.00%

-40.00%
$1,000.00
50.00
55.00

-50.00%
-45.00%

-50.00%
$500.00
80.00
40.00

-20.00%
-60.00%

-60.00%
$400.00
50.00
30.00

-50.00%
-70.00%

-70.00%
$300.00
20.00
40.00

-80.00%
-60.00%

-80.00%
$200.00
55.00
10.00

-45.00%
-90.00%

-90.00%
$100.00
0.00
102.00

0.00%
2.00%

-100.00%
$0.00
** per $1,000 principal amount Note, excluding the final Contingent Coupon that may be payable on the Maturity Date

The following examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The Final Value of the SX7E Index is 110.00 and the Final Value of the RTY Index is 115.00.
Because the SX7E Index has the lowest Reference Asset Return, the SX7E Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is greater than or equal to its Barrier Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity
Date).
Example 2: The Final Value of the SX7E Index is 80.00 and the Final Value of the RTY Index is 102.00.
Because the SX7E Index has the lowest Reference Asset Return, the SX7E Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is greater than or equal to its Barrier Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity
Date).
Example 3: The Final Value of the SX7E Index is 60.00 and the Final Value of the RTY Index is 80.00.
Because the SX7E Index has the lowest Reference Asset Return, the SX7E Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is greater than or equal to its Barrier Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold. Because, however, the Final Value of at least one Reference Asset is less
than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 4: The Final Value of the SX7E Index is 80.00 and the Final Value of the RTY Index is 40.00.
Because the RTY Index has the lowest Reference Asset Return, the RTY Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is less than its Barrier Value, you will receive a payment at maturity of $400.00
per $1,000 principal amount Note that you hold, calculated as follows:

https://www.sec.gov/Archives/edgar/data/312070/000110465920008748/a20-6160_23424b2.htm
10/25