Obligation Barclay PLC 0% ( US06741UAY01 ) en USD

Barclay PLC

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Royaume-Uni

US06741UAY01 ( en USD )

28/03/2024 - Obligation échue

Prospectus brochure de l'obligation Barclays PLC US06741UAY01 en USD 0%, échue

1 000 USD

1 500 000 USD

06741UAY0

N/A

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

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06741UAY01, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 28/03/2024

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06741UAY01, a été notée NR par l'agence de notation Moody's.

Pricing Supplement--SPX RTY SX5E
http://www.sec.gov/Archives/edgar/data/312070/000119312514121576/...
424B2 1 d701683d424b2.htm PRICING SUPPLEMENT--SPX RTY SX5E
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

$1,500,000

$193.20

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
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Pricing Supplement dated March 26, 2014
Filed Pursuant to Rule 424(b)(2)
(To the Prospectus dated July 19, 2013,
Registration No. 333-190038
the Prospectus Supplement dated July 19, 2013 and the Index
Supplement dated July 19, 2013)

$1,500,000

AutoCallable Contingent Payment Notes due
March 28, 2024 Linked to the Lowest Return of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® 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
Initial Valuation Date:
March 26, 2014
Issue Date:
March 31, 2014
Final Valuation Date:*
March 25, 2024
Maturity Date:
March 28, 2024
Valuation Dates:*
Quarterly, on the 26th day of each March, June, September and December (or if such day is not a
Reference Asset Business Day, the next following Reference Asset Business Day), beginning on and
including June 26, 2014, provided that the final Valuation Date will be the Final Valuation Date noted
above.
Denominations:
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
Reference Assets:
S&P 500® Index (the "S&P 500 Index"), Russell 2000® Index (the "Russell 2000 Index") and EURO
STOXX 50® Index (the "EURO STOXX 50 Index")

Reference Asset
Bloomberg Ticker Initial Level Barrier Level Coupon Barrier Level
S&P 500 Index
SPX<Index> 1,852.56
926.28
1,852.56
Russell 2000 Index
RTY<Index> 1,155.49
577.75
1,155.49
EURO STOXX 50 Index SX5E<Index> 3,130.17 1,565.09
3,130.17

The S&P 500 Index, the Russell 2000 Index and the EURO STOXX 50 Index are each referred to in
this pricing supplement as a "Reference Asset" and collectively as the "Reference Assets".
Contingent Payment Amount
The Contingent Payment Amount is $21.125 per $1,000 principal amount Note (equal to 2.1125% of
and Unpaid Coupon
the principal amount of the Notes).
Amounts:

Payment of the Contingent Payment Amount, as described below under "Contingent Payment", will be
due with respect to a Valuation Date if and only if, on that Valuation Date, the Closing Level of each
Reference Asset is equal to or greater than is respective Coupon Barrier Level. Such payment (if any)
will be due on the Contingent Payment Date immediately following the relevant Valuation Date.

If a Contingent Payment Amount does not become due with respect to a Valuation Date (i.e., because
the Closing Level of one or more Reference Asset on such Valuation Date is less than its respective
Coupon Barrier Level), the Contingent Payment Amount for such Valuation Date will become an
"Unpaid Coupon Amount".
Contingent Payment:
On each Contingent Payment Date, unless the Notes have been previously redeemed (pursuant to the
"Automatic Call" provisions described below), you will receive:

· The Contingent Payment Amount due on such Contingent Payment Date (if one is due); plus

· If a Contingent Payment is due, any Unpaid Coupon Amounts that have not already been paid
on a previous Contingent Payment Date.

If a Contingent Payment Amount does not become due with respect to a Valuation Date, you will
not receive such Contingent Payment Amount unless and until a Valuation Date occurs on which
the Closing Levels of each of the Reference Assets are equal to or greater than their respective
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Coupon Barrier Levels. You will not receive any Unpaid Coupon Amounts on a Contingent
Payment Date unless a Contingent Payment Amount otherwise becomes due and payable on such
date. If the Closing Level of at least one Reference Asset is below its respective Coupon Barrier
Level on each Valuation Date throughout the term of the Notes, you will not receive any
Contingent Payment Amounts or Unpaid Coupon Amounts on your Notes.
Automatic Call:
The Notes will be called if the Closing Level of each Reference Asset on any Valuation Date,
beginning with the Valuation Date scheduled to occur in March 2017 (the twelfth Valuation Date), is at
or above its respective Initial Level. If the Notes are called, Barclays Bank PLC will pay on the
applicable Call Settlement Date a cash payment per Note equal to the principal amount plus (i) the
Contingent Payment Amount otherwise due on the related Contingent Payment Date (as described
above) plus (ii) any Unpaid Coupon Amounts that have accrued but have not yet been paid. No further
amounts will be owed to you under the Notes after the Call Settlement Date.
[Terms of the Notes Continue on the Next Page]

Initial Issue Price

Price to Public

Agent's Commission
Proceeds to Barclays Bank PLC
Per Note
$1,000
100%
4.00%
96.00%
Total
$1,500,000
$1,500,000

$60,000
$1,440,000

Barclays Capital Inc. will receive commissions from the Issuer equal to 4.00% of the principal amount of the Notes, or $40.00 per
$1,000 principal amount, and may retain all or a portion of these commissions or use all or a portion of these commissions to pay
selling concessions or fees to other dealers.
Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $903.70 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-4 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.
Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-4 of the prospectus supplement and
"Selected Risk Considerations" beginning on page PS-11 of this pricing supplement.
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
Barclays Bank PLC and are not 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.
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Terms of the Notes, Continued

Contingent Payment Dates:**
The Contingent Payment Date for any Valuation Date will be the fifth Business Day after such
Valuation Date, except that the Contingent Payment Date for the Final Valuation Date will be the
Maturity Date.
Call Settlement Date:
The Contingent Payment Date following the Valuation Date with respect to which an Automatic Call
occurs (as described above under "Automatic Call").
Payment at Maturity:
If your Notes are not automatically called pursuant to the "Automatic Call" provisions described
above, you will receive (subject to our credit risk) on the Maturity Date, in addition to any Contingent
Coupon Amount and/or Unpaid Coupon Amounts that may be due on such date, a payment determined
as follows:

· If the Final Level of the Lowest Performing Reference Asset is greater than or equal to its
respective Barrier Level, $1,000 per $1,000 principal amount Note that you hold.

· If the Final Level of the Lowest Performing Reference Asset is less than its respective
Barrier Level, an amount per $1,000 principal amount Note calculated as follows:

$1,000 + [$1,000 × Reference Asset Return of the Lowest Performing Reference Asset]

You may lose some or all of the principal amount of your Notes at maturity. If the Notes are not
automatically called, and if the Final Level of the Lowest Performing Reference Asset is less
than its respective Barrier Level, your Notes will be fully exposed to any such decline. The
payment at maturity (other than the determination of whether any Contingent Payment Amounts
or Unpaid Coupon Amounts will be payable) will be based solely on the Reference Asset Return
of the Lowest Performing Reference Asset and the performances of the other Reference Assets
will not be taken into account for purposes of calculating any payment due at maturity under the
Notes.

Any payments due on the Notes, including any payment due at maturity, is subject to the
creditworthiness of the Issuer and is not guaranteed by any third party. For a description of risks
with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see
"Credit of Issuer" in this pricing supplement.
Closing Level:
With respect to a Reference Asset, on any day, the closing level of the Reference Asset published at
the regular weekday close of trading on that day as displayed on the applicable Bloomberg
Professional® service page noted above or any successor page on Bloomberg Professional® service
or any successor service, as applicable.

In certain circumstances, the Closing Level of a Reference Asset will be based on the alternate
calculation of the Reference Asset as described in "Reference Assets--Adjustments Relating to
Securities with the Reference Asset Comprised of an Index or Indices" of the accompanying
Prospectus Supplement.
Coupon Barrier Level:
With respect to a Reference Asset, 100.00% of its corresponding Initial Level (as noted in the table
above).
Barrier Level:
With respect to a Reference Asset, 50.00% of its corresponding Initial Level (as noted in the able
above).
Reference Asset Business
A day that is a scheduled trading day with respect to all of the Reference Assets.
Day:

The term "scheduled trading day", with respect to each Reference Asset, has the meaning set forth
under "Reference Assets--Indices--Market Disruption Events for Securities with the Reference Asset
Comprised of an Index or Indices of Equity Securities" in the accompanying prospectus supplement.
Business Day:
Any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in New York City or London generally, are authorized or obligated by law or executive
order to close.
Lowest Performing
The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth
Reference Asset:
below.
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Reference Asset Return:
With respect to each Reference Asset, an amount calculated as follows:

Final Level Initial Level

Initial Level
Initial Level:
With respect to a Reference Asset, the Closing Level of the Reference Asset on the Initial Valuation
Date. The Initial Level for each Reference Asset is set forth in the table above, which appears under
the caption "Reference Assets".
Final Level:
With respect to a Reference Asset, the Closing Level of the Reference Asset on the Final Valuation
Date.
Calculation Agent:
Barclays Bank PLC
CUSIP/ISIN:
06741UAY0 / US06741UAY01

*
Subject to postponement, as described under "Selected Purchase Considerations--Market Disruption Events" in this
pricing supplement".
**
If such day is not a Business Day, payment will be made on the immediately following Business Day with the same force
and effect as if made on the specified date. No interest will accrue as a result of delayed payment and "Market disruption
events and adjustments" below.

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ADDITIONAL TERMS SPECIFIC TO THE NOTES
You should read this pricing supplement together with the prospectus dated July 19, 2013, as supplemented by the prospectus
supplement dated July 19, 2013 and the index supplement dated July 19, 2013 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
the index supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):

·
Prospectus dated July 19, 2013
http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm

·
Prospectus Supplement dated July 19, 2013
http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm

·
Index Supplement dated July 19, 2013
http://www.sec.gov/Archives/edgar/data/312070/000119312513295727/d570220d424b3.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.

PS-3
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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 results from several factors, including any sales commissions
to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed
or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring
the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other
costs which we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market,
nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and
funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but
it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we
provide any customer 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, including the tenor of the Notes and 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-11 of this pricing supplement.

PS-4
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HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE ON THE NOTES
The following examples are hypothetical and are provided for illustrative purposes only. They do not purport to be representative of
every possible scenario concerning increases or decreases in the price of any Reference Asset from its Initial Level to its Final Level.
We cannot predict the Closing Level of any Reference Asset on any day during the term of the Notes, including on the Valuation Dates.
You should not take these examples as an indication or assurance of the expected performance of any Reference Asset.
The numbers appearing in the examples below have been rounded for ease of analysis. These examples do not take into account any tax
consequences from investing in the Note. The "total return" as used in this pricing supplement is the number, expressed as a
percentage, that results from comparing the total payment on the Notes per $1,000 principal amount Note to the $1,000 issue price. The
following examples illustrate amounts payable on a hypothetical offering of the Notes under various scenarios, based on the following
assumptions:

·
Principal Amount per Note: $1,000

·
Number of Valuation Dates: 40

·
First Valuation Date on which the Notes May be Automatically Called: 12th Valuation Date (the Valuation Date scheduled to

occur in March 2017)

·
Contingent Payment Amount: $21.125 per $1,000 principal amount Note (2.1125% of the principal amount per Note)

·
Initial Level of each Reference Asset: 100.00*

·
Coupon Barrier Level of each Reference Asset: 100.00*

·
Barrier Level of each Reference Asset: 50.00*

* The hypothetical Initial Level of each Reference Asset of 100.00, hypothetical Coupon Barrier Level of 100.00 and hypothetical
Barrier Level of each Reference Asset of 50.00 have been chosen for illustrative purposes only and do not represent actual likely
Initial Levels, Coupon Barrier Levels or Barrier Levels for any Reference Asset. The actual Initial Level for each Reference Asset
is equal to the Closing Level of such Reference Asset on the Initial Valuation Date, as noted on the cover page of this pricing
supplement. For more information about recent actual levels of the Reference Assets, please see "Information Regarding the
Reference Assets" below.
Example 1: The Notes are Automatically Called on the Twelfth Valuation Date (the first Valuation Date with Respect to Which
the Notes May be Automatically Called).

Total Payment
Closing Level of
Due on
Closing Level of S&P 500
Closing Level of
EURO STOXX 50
Contingent Payment
Unpaid Coupon
Contingent
Valuation Date No.
Index
Russell 2000 Index
Index

Amount Due

Amount

Payment Date
1
105.00
110.00
120.00

$21.125
N/A

$21.1251
2
110.00
90.00
130.00
N/A

$21.125
$0.00
3
95.00
90.00
85.00
N/A

$21.125

$0.00
4
120.00
103.00
105.00

$21.125
N/A

$63.3752
5
105.00
110.00
115.00

$21.125
N/A

$21.1251
6
80.00

106.00

110.00
N/A

$21.125

$0.00
7
75.00
65.00
90.00
N/A

$21.125

$0.00
8
105.00
98.00
135.00
N/A

$21.125
$0.00
9
115.00
120.00
88.00
N/A

$21.125
$0.00
10
110.00
105.00
130.00

$21.125
N/A

$105.6253
11
99.00
55.00
89.00
N/A

$21.125

$0.00
12
105.00
110.00
115.00

$21.125
N/A

$1,042.254

1
On the first and fifth Valuation Dates, the Closing Level of each Reference Asset is equal to or greater than its respective Initial
Level and there are no Unpaid Coupon Amounts that have accrued but not have yet been paid. Accordingly, the investor receives
the Contingent Payment Amount of $21.125 per $1,000 principal amount Note on the related Contingent Payment Date.
2
On the fourth Valuation Date, the Closing Level of each Reference Asset is equal to or greater than its respective Initial Level
and a Contingent Payment Amount is therefore due on the related Contingent Payment Date. A Contingent Payment Amount is not
due with respect to the second and third Valuation Dates because the Closing Level of at least one Reference Asset on each such
date is below its Coupon Barrier Level. Accordingly, the Contingent Payment Amounts that would have otherwise been due with
respect to the second and third Valuation Dates become Unpaid Coupon Amounts.
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The investor receives, on the Contingent Payment Date following the fourth Valuation Date, a total payment of $63.375 per $1,000
principal amount Note (comprised of the Contingent Payment Amount of $21.125 due with respect to the fourth Valuation Date plus the
$21.125 that are Unpaid Coupon Amounts with respect to the second and third Valuation Dates).

3
A Contingent Payment Amount is not due with respect to the sixth through ninth Valuation Dates because the Closing Level of at
least one Reference Asset on each such date is below its Coupon Barrier Level. Accordingly, the Contingent Payment Amounts
that would have otherwise been due with respect to the sixth through ninth Valuation Dates become Unpaid Coupon Amounts. On
the tenth Valuation Date, the Closing Level of each Reference Asset is equal to or greater than its respective Initial Level and a
Contingent Payment Amount is therefore due on the related Contingent Payment Date.
The investor receives, on the Contingent Payment Date following the tenth Valuation Date, a total payment of $105.625 per $1,000
principal amount Note (comprised of the Contingent Payment Amount of $21.125 due with respect to the tenth Valuation Date plus the
$21.125 that are Unpaid Coupon Amounts with respect to each of the sixth through ninth Valuation Dates).

4
A Contingent Payment Amount is not due with respect to the eleventh Valuation Date because the Closing Level of at least one
Reference Asset on such date is below its Coupon Barrier Level. Accordingly, the Contingent Payment Amount that would have
otherwise been due with respect to the eleventh Valuation Date becomes an Unpaid Coupon Amount. On the twelfth Valuation
Date, the Closing Level of each Reference Asset is equal to or greater than its respective Initial Level and a Contingent Payment
Amount is therefore due on the related Contingent Payment Date.

PS-5
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In addition, because the Closing Level of each Reference Asset on the twelfth Valuation Date is greater than its Initial Level, the Notes
are automatically called on the related Contingent Payment Date pursuant to the "Automatic Call" provisions described above.
The investor receives, on the Call Settlement Date, a total payment of $1,042.25 per $1,000 principal amount Note (comprised of the
(i) principal amount of the Notes plus (ii) the Contingent Payment Amount of $21.125 due with respect to the twelfth Valuation Date
plus (iii) the $21.125 that is an Unpaid Coupon Amount with respect to the eleventh Valuation Date.) The Notes cease to be
outstanding and no further payments are due at any time after the Call Settlement Date.
In this example, the investor receives total payments of $1,253.50 per $1,000 principal amount Note that they hold. The total return on
investment of the Notes is 25.35%.
Example 2: The Notes are Automatically Called on the Twentieth Valuation Date.

Total Payment
Closing Level of
Due on
Closing Level of S&P 500
Closing Level of
EURO STOXX 50
Contingent Payment
Unpaid Coupon
Contingent
Valuation Date No.
Index
Russell 2000 Index
Index

Amount Due

Amount

Payment Date
1
105.00
110.00
120.00

$21.125
N/A

$21.1251
2
110.00
90.00
130.00
N/A

$21.125
$0.00
3
95.00
90.00
85.00
N/A
$21.125
$0.00
4
80.00
73.00

105.00
N/A

$21.125

$0.00
5
65.00
50.00

105.00
N/A

$21.125

$0.00
6
80.00
96.00

110.00
N/A

$21.125

$0.00
7
75.00
65.00
90.00
N/A
$21.125
$0.00
8
105.00
98.00
135.00
N/A

$21.125
$0.00
9
115.00
70.00
85.00
N/A
$21.125
$0.00
10
110.00
105.00
130.00
$21.125
N/A

$190.1252
11
99.00
55.00
89.00
N/A
$21.125
$0.00
12
103.00
85.00
120.00
N/A

$21.125
$0.00
13
90.00

105.00
75.00
N/A

$21.125

$0.00
14
112.00
103.00
60.00
N/A

$21.125
$0.00
15
150.00
65.00
95.00
N/A
$21.125
$0.00
16
110.00
90.00
103.00
N/A

$21.125
$0.00
17
95.00
80.00
75.00
N/A
$21.125
$0.00
18
103.00
87.00
80.00
N/A
$21.125
$0.00
19
105.00
90.00
85.00
N/A
$21.125
$0.00
20
110.00
105.00
103.00
$21.125
N/A

$1,190.1253

1
On the first Valuation Date, the Closing Level of each Reference Asset is equal to or greater than its respective Initial Level and
there are no Unpaid Coupon Amounts that have accrued but not have yet been paid. Accordingly, the investor receives the
Contingent Payment Amount of $21.125 per $1,000 principal amount Note on the related Contingent Payment Date.
2
A Contingent Payment Amount is not due with respect to the second through ninth Valuation Dates because the Closing Level of at
least one Reference Asset on each such date is below its Coupon Barrier Level. Accordingly, the Contingent Payment Amounts
that would have otherwise been due with respect to the second through the ninth Valuation Dates become Unpaid Coupon
Amounts. On the tenth Valuation Date, the Closing Level of each Reference Asset is equal to or greater than its respective Initial
Level and a Contingent Payment Amount is therefore due on the related Contingent Payment Date.
The investor receives, on the Contingent Payment Date following the tenth Valuation Date, a total payment of $190.125 per $1,000
principal amount Note (comprised of the Contingent Payment Amount of $21.125 due with respect to the tenth Valuation Date plus the
$21.125 that are Unpaid Coupon Amounts with respect to the second through the ninth Valuation Dates).

3
A Contingent Payment Amount is not due with respect to the eleventh through the nineteenth Valuation Dates because the Closing
Level of at least one Reference Asset on each such date is below its Coupon Barrier Level. Accordingly, the Contingent Payment
Amounts that would have otherwise been due with respect to the eleventh through the nineteenth Valuation Dates become Unpaid
Coupon Amounts. On the twentieth Valuation Date, the Closing Level of each Reference Asset is equal to or greater than its
respective Initial Level and a Contingent Payment Amount is therefore due on the related Contingent Payment Date.
In addition, because the Closing Level of each Reference Asset on the twentieth Valuation Date is greater than its Initial Level, the
Notes are automatically called on the related Contingent Payment Date pursuant to the "Automatic Call" provisions described above.
The investor receives, on the Call Settlement Date, a total payment of $1,042.25 per $1,000 principal amount Note (comprised of
(i) the principal amount of the Notes plus (ii) the Contingent Payment Amount of $21.125 due with respect to the twentieth Valuation
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