CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered |
| Maximum Aggregate Offering Price(1) |
| Amount of Registration Fee(2) |
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Global Medium-Term Notes, Series A |
| $1,000,000 |
| $128.80 |
(1) The maximum aggregate offering price relates an additional $1,000,000 principal amount of notes offered and sold pursuant to this Amendment No. 2 to the pricing supplement relating to the notes that was filed on August 1, 2014 (the “Original Pricing Supplement”) as amended by Amendment No. 1 to the Original Pricing Supplement filed on August 12, 2014.
(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933. Registration fees of $644.00 were previously paid in connection with the $5,000,000 principal amount of notes offered and sold pursuant to the Original Pricing Supplement.
Amendment No. 2 dated August 22, 2014 to Amendment No. 1 dated August 12, 2014 to the Pricing Supplement dated August 1, 2014 (To Prospectus dated July 19, 2013 and the Prospectus Supplement dated July 19, 2013) | Filed Pursuant to Rule 424(b)(8) Registration No. 333-190038 |
US$6,000,000
CALLABLE RANGE ACCRUAL NOTES DUE AUGUST 28, 2026
LINKED TO 6-MONTH USD LIBOR
Principal Amount:
| US$6,000,000 | Issuer: | Barclays Bank PLC | ||||||||
Issue Price:
| 100% | Series: | Global Medium-Term Notes, Series A | ||||||||
Original Issue Date:
| August 28, 2014 | Original Trade Date: | August 1, 2014 | ||||||||
Maturity Date: | August 28, 2026 subject to Redemption at the Option of the Company (as set forth below). | Payment at Maturity: | If you hold the Notes to maturity, you will receive 100% of your principal, subject to the creditworthiness of Barclays Bank PLC. The Notes are not, either directly or indirectly, an obligation of any third party, and any payment to be made on the Notes, including any principal protection provided at maturity, depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see “Selected Risk Factors—Issuer Credit Risk” in this pricing supplement. | ||||||||
Denominations: | Minimum denominations of US$1,000 and integral multiples of US$1,000 thereafter. | CUSIP/ISIN: | 06741UGZ1/US06741UGZ12 | ||||||||
[Terms of Notes continue on next page]
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| Price to Public(1)(2) |
| Agent’s Commission(2) |
| Proceeds to Barclays Bank |
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| PLC(1) |
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Per Note |
| 100% |
| 1.50% |
| 98.50% |
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Total
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| $6,000,000 |
| $90,000 |
| $5,910,000 |
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1 Our estimated value of the Notes on the date of this document, based on our internal pricing models, is $987.90 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” below. We may decide to sell additional notes after the date of this document. 2 Barclays Capital Inc. will receive commissions from the Issuer equal to 1.50% of the principal amount of the Notes, or $15.00 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. | |||||||||||
Any payment on the Notes 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 “Selected Risk Factors—Issuer Credit Risk” in this pricing supplement. |
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Investing in the Notes involves a number of risks. See “Risk Factors” beginning on page S-6 of the prospectus supplement and “Selected Risk Factors” on page PS–2 below. | |||||||||||
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 the Notes 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 by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction. | |||||||||||
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. | |||||||||||
Accrual Rate (*):
| 6-month Libor | ||||||||||
Interest Rate Formula: | For each Interest Period, the interest rate per annum will be equal to the product of (1) the Below Barrier Rate times (2) the Accrual Factor.
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Accrual Factor: | For any Interest Period, the number of calendar days in the applicable Interest Period on which the Accrual Rate observed on that day is less than or equal to the Barrier Level (an “Accrual Day”), divided by the total number of calendar days in the applicable Interest Period. Notwithstanding anything else to the contrary, the Accrual Rate on any calendar day in an Interest Period that is not a Business Day will equal the Accrual Rate observed on the immediately preceding Business Day.
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Rate Cut-Off: | For any Interest Period, the Accrual Rate for any day from and including the fifth Business Day prior to the related Interest Payment Date will equal the Accrual Rate on such fifth Business Day prior to that Interest Payment Date.
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Minimum Rate: | 0.00%
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Below Barrier Rate: | 4.75%
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Barrier Level: | 5.00%
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Interest Payment Dates: | Payable quarterly in arrears on the 28th day of each February, May, August and November, commencing on November 28, 2014 and ending on the Maturity Date or the Early Redemption Date, if applicable.
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Interest Period: | The initial Interest Period will begin on, and include, the Original Issue Date and end on, but exclude, the first Interest Payment Date. Each subsequent Interest Period will begin on, and include, the Interest Payment Date for the preceding Interest Period and end on, but exclude, the next following Interest Payment Date. The final Interest Period will end on, but exclude, the Maturity Date (or the Early Redemption Date, if applicable).
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Business Day Convention/Day Count Fraction: | Following, unadjusted; 30/360 | ||||||||||
Business Day: | A Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in London or New York City generally are authorized or obligated by law, regulation, or executive order to close.
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Redemption at the Option of the Company: | We may redeem your Notes, in whole or in part, at the Redemption Price set forth below, on any Interest Payment Date commencing on or after November 28, 2014, provided we give at least five Business Days’ prior written notice to the trustee. If we exercise our redemption option, the Interest Payment Date on which we so exercise will be referred to as the “Early Redemption Date”.
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Redemption Price: | If we exercise our redemption option, you will receive on the Early Redemption Date 100% of the principal amount together with any accrued and unpaid interest to but excluding the Early Redemption Date (subject to the creditworthiness of the Issuer).
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Settlement: | DTC; Book-entry; Transferable
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Listing: | The Notes will not be listed on any U.S. securities exchange or quotation system.
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Calculation Agent: | Barclays Bank PLC
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(*) | In certain circumstances, the Accrual Rate will be based on the alternate calculation of the Accrual Rate as described in “Reference Assets—Floating Interest Rate—LIBOR” in the accompanying prospectus supplement. |
We urge you to consult your investment, legal, tax, accounting and other advisers and to invest in the Notes only after you and your advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances.
Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this pricing supplement relates. Before you invest, you should read the prospectus dated July 19, 2013 and the prospectus supplement dated July 19, 2013 and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. Buyers should rely upon this pricing supplement, the prospectus, the prospectus supplement and any relevant preliminary pricing supplement for complete details. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov, and you may also access the prospectus and prospectus supplement through the links below:
· 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
Our SEC file number is 1-10257 and our Central Index Key, or CIK, on the SEC website is 0000312070.
Alternatively, Barclays Capital Inc. or any agent or dealer participating in this offering will arrange to send you this pricing supplement, the prospectus, the prospectus supplement and any relevant preliminary pricing supplement if you request it by calling your Barclays Capital Inc. sales representative, such dealer or 1-888-227-2275 (Extension 2-3430). A copy of the prospectus may be obtained from Barclays Capital Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019.
We reserve the right to change the terms of, or reject any offer to purchase the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
As used in this term sheet, the “Company,” “we,” “us,” or “our” refers to Barclays Bank PLC.
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 date of this document 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 date of this document is less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
Our estimated value on the date of this document 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 date of this document, 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 date of this document for a temporary period expected to be approximately twelve months after the initial issue date of the Notes 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-2 of this pricing supplement.
An investment in the Notes involves significant risks not associated with an investment in conventional floating rate or fixed rate medium term notes. You should read the risks summarized below in connection with, and the risks summarized below are qualified by reference to, the risks described in more detail in the “Risk Factors” section beginning on page S-6 of the prospectus supplement. We urge you to consult your investment, legal, tax, accounting and other advisers and to invest in the Notes only after you and your advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances.
· Issuer Credit Risk—The Notes are our unsecured debt obligations, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal provided at maturity, depends on our ability to satisfy our obligations as they come due. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes and, in the event we were to default on our obligations, you may not receive the repayment of principal or any other amounts owed to you under the terms of the Notes.
· Accrual Rate / Interest Payment Risk—Investing in the Notes is not equivalent to investing in securities directly linked to the Accrual Rate. Instead the amount of interest payable on the Notes for any Interest Period is dependent on whether, during a given Interest Period, the Accrual Rate is less than or equal to the Barrier Level. For each calendar day in an Interest Period on which the Accrual Rate is less than or equal to the Barrier Level, interest will accrue at the Below Barrier Rate; conversely, for each calendar day in an Interest Period on which the Accrual Rate is greater than the Barrier Level, no interest will accrue.
As a result, if the Accrual Rate is greater than the Barrier Level on one or more calendar days during an Interest Period, then the interest rate for that Interest Period, and the amount of interest paid on the related Interest Payment Date, will decrease in proportion to the number of calendar days in the Interest Period that the Accrual Rate is greater than the Barrier Level. Accordingly, in such circumstances you would not receive the maximum possible interest rate for that Interest Period. If, on every calendar day in an Interest Period, the Accrual Rate is greater than the Barrier Level, then you will receive no interest payments for that Interest Period. If the Accrual Rate is greater than the Barrier Level on every calendar day in every Interest Period throughout the term of the Notes, then you will receive no interest payments on your Notes throughout their term.
· Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity—While the payment at maturity described in this pricing supplement is based on the full principal amount of your Notes, the original issue price of the Notes includes the agent’s commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
· Rate Cut-Off—The Accrual Rate with respect to each day from and including the fifth Business Day prior to the related Interest Payment Date for any Interest Period (each such fifth day, a “Rate Cut-Off Date”) to but excluding such related Interest Payment Date will be the Accrual Rate in effect on such Rate Cut-Off Date. As such, if the Accrual Rate is greater than the Barrier Level on such Rate Cut-Off Date, no interest will accrue for that day or the remainder of the Interest Period, even if the Accrual Rate is less than or equal to the Barrier Level on any day during that time.
· Changes in the Method Pursuant to Which the LIBOR Rates Are Determined May Adversely Affect the Value of the Notes— Regulators and law enforcement agencies from a number of governments have been conducting investigations relating to the calculation of LIBOR across a range of maturities and currencies, and certain financial institutions that are member banks of the British Bankers’ Association (the “BBA”), an organization previously involved in setting daily LIBOR, including Barclays, have entered into agreements with the U.S. Department of Justice, the U.S. Commodity Futures Trading Commission and/or the U.K. Financial Services Authority in order to resolve the investigations. In addition, in September 2012, the U.K. government published the results of its review of LIBOR, commonly referred to as the “Wheatley Review.” The Wheatley Review made a number of recommendations for changes with respect to LIBOR, including the introduction of statutory regulation of LIBOR, the transfer of responsibility for LIBOR from the BBA to an independent administrator, changes to the method of compilation of lending rates, new regulatory oversight and enforcement mechanisms for rate-setting and the corroboration of LIBOR, as far as possible, by transactional data. Based on the Wheatley Review, on March 25, 2013, final rules for the regulation and supervision of LIBOR by the U.K. Financial Conduct Authority (the “FCA”) were published (the “FCA Rules”). In particular, the FCA Rules include requirements that (1) an independent LIBOR administrator monitor and survey LIBOR submissions to identify breaches of practice standards and/or potentially manipulative behavior, and (2) firms submitting data to LIBOR establish and maintain a clear conflicts of interest policy and appropriate systems and controls. The FCA Rules took effect on April 2, 2013. ICE Benchmark Administration Limited (the “LIBOR Administrator”), a subsidiary of IntercontinentalExchange Group, Inc., took over the administration of LIBOR as of February 1, 2014. It is not possible to predict the effect of the FCA Rules, the change in LIBOR administrator, any changes in the methods pursuant to which the LIBOR rates are determined and any other reforms to LIBOR that will be enacted in the U.K. and elsewhere, each of which may adversely affect the trading market for LIBOR-based securities. In addition, any changes announced by the FCA, the LIBOR Administrator or any other successor governance or oversight body, or future changes adopted by such body, in the method pursuant to which the LIBOR rates are determined may result in a sudden or prolonged change in the reported LIBOR rates. If that were to occur and to the extent that the value of the Notes is affected by reported LIBOR rates, the value of the Notes may be affected. Further, uncertainty as to the extent and manner in which the Wheatley Review recommendations will continue to be adopted and the timing of such changes may adversely affect the current trading market for LIBOR-based securities and the value of the Notes.
· The Historical Performance of the Accrual Rate Is Not an Indication of its Future Performance—The historical performance of the Accrual Rate should not be taken as an indication of its future performance during the term of the Notes. Changes in the level of the Accrual Rate will affect the value of the Notes, but it is impossible to predict whether such levels will rise or fall. There can be no assurance that the Accrual Rate will be less than or equal to the Barrier Level on any day during the term of the Notes.
· Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
· The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market—The estimated value of your Notes on the date of this document is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced above may be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.
· The Estimated Value of Your Notes is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes on the date of this document is lower than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
· The Estimated Value of the Notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the date of this document is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
· The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if any, and Such Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and Maybe Lower Than the Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the maturity date could result in a substantial loss to you.
· The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative of Future Prices of Your Notes—Assuming that all relevant factors remain constant after the pricing date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the Notes on the Original Trade Date, as well as the secondary market value of the Notes, for a temporary period after the initial issue date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
· We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various Ways and Create Conflicts of Interest—We and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation. Additionally, the role played by Barclays Capital Inc., as a dealer in the Notes, could present it with significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell these Notes instead of other investments. We may pay dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the Notes. Furthermore, we and our affiliates make markets in and trade various financial instruments or products for their own accounts and for the account of their clients and otherwise provide investment banking and other financial services with respect to these financial instruments and products. These financial instruments and products may include securities, futures, options or other derivative instruments with returns linked or related to changes in the level of the Accrual Rate. Such market making activities, trading activities and other investment banking and financial services may negatively impact the value of the Notes. Furthermore, in any such market making, trading activities, and other services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities.
· The Notes Will Be Subject to Redemption at Our Option — We may redeem the Notes prior to the Maturity Date on any Interest Payment Date, beginning on the date specified on the cover page hereof. If you intend to purchase the Notes, you must be willing to have your Notes redeemed early. We are generally more likely to redeem the Notes during periods when we expect that interest will accrue on the Notes at a rate that is greater than that which we would pay on our traditional interest-bearing deposits or debt securities having a maturity equal to the remaining term of the Notes. In contrast, we are generally less likely to redeem the Notes during periods when we expect interest to accrue on the Notes at a rate that is less than that which we would pay on those instruments. If we redeem the Notes prior to the Maturity Date, accrued interest will be paid on the Notes until such early redemption, but you will not receive any future interest payments from the Notes redeemed and you may be unable to reinvest your proceeds from the redemption in an investment with a return that is as high as the return on the Notes would have been if they had not been redeemed.
· Additional Potential Conflicts—In addition to the variety of roles that we and our affiliates play in connection with the issuance of the Notes described above under “Selected Risk Factors—We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various Ways and Create Conflicts of Interest”, we also act as calculation agent and may enter into transactions to hedge our obligations under the Notes. In performing these varied duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
· Many Economic and Market Factors Will Impact the Value of the Notes—In addition to the Accrual Rate on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
o the expected volatility of the Accrual Rate;
o the time to maturity of the Notes;
o interest and yield rates in the market generally;
o a variety of economic, financial, political, regulatory or judicial events; and
o our creditworthiness, whether actual or perceived, including actual or anticipated downgrades in our credit ratings.
HYPOTHETICAL INTEREST RATE AND INTEREST PAYMENT CALCULATIONS
The examples below illustrate the various payments you may receive on the Notes in a number of different hypothetical scenarios. These examples are only hypothetical and do not indicate the actual payments or return you will receive on the Notes. The examples below assume that the Notes are held until maturity and do not take into account the tax consequences of an investment in the Notes.
HYPOTHETICAL INTEREST RATE AND INTEREST PAYMENT CALCULATIONS
As described above, the Notes will pay interest on each Interest Payment Date at an effective per annum interest rate calculated in accordance with the Interest Rate Formula. The following illustrates the process by which the interest rate and interest payment amount are determined for any such Interest Periods.
For purposes of these examples, we assume that the Notes are not being redeemed on the applicable Interest Payment Date pursuant to the Redemption at the Option of the Company provisions above. If we exercise our redemption option, you will receive on the Early Redemption Date the Redemption Price applicable to that Early Redemption Date, calculated as described above.
Interest Rate Calculation
Step 1: Calculate the Accrual Factor.
For each calendar day during an Interest Period, the level of the Accrual Rate is determined, and the level of the Accrual Rate is then evaluated relative to the Barrier Level (that is, whether the Accrual Rate on that day is less than or equal to the Barrier Level). Each calendar day on which the Accrual Rate is less than or equal to the Barrier Level shall be referred to as an Accrual Day. Once the total number of Accrual Days for an Interest Period is determined, the total number of Accrual Days is then divided by the total number of calendar days in the applicable Interest Period in order to determine the Accrual Factor.
As described above, for each Interest Period, the Accrual Rate for any day from and including the fifth Business Day prior to the related Interest Payment Date shall be the Accrual Rate on such fifth Business Day prior to that Interest Payment Date. Furthermore, if any calendar day during an interest Period is not a Business Day, then the Accrual Rate will equal the Accrual Rate observed on the immediately preceding Business Day.
Step 2: Calculate the annual interest rate for each Interest Payment Date
For each calendar day in an Interest Period on which the Accrual Rate is less than or equal to the Barrier Level, interest will accrue at the Below Barrier Rate; conversely, for each calendar day in an Interest Period on which the Accrual Rate is greater than the Barrier Level, no interest will accrue.
Stated mathematically, the interest rate per annum for any Interest Period will be equal to the product of (1) the Below Barrier Rate times the (2) the Accrual Factor (as determined in Step 1), subject to the Minimum Rate.
The maximum possible per annum interest rate for any Interest Period is the Below Barrier Rate, and the actual interest rate per annum for any Interest Period will decrease in proportion to the number of calendar days in the Interest Period that the Accrual Rate is greater than the Barrier Level. As a result, the per annum interest rate for any Interest Period could potentially be zero. See “Selected Risk Factors—Accrual Rate/Interest Payment Risk”.
Step 3: Calculate the interest payment amount payable for each Interest Payment Date
For each Interest Period, once the Calculation Agent has determined the applicable interest rate per annum, the Calculation Agent will calculate the effective interest rate for the Interest Period (rounded to five decimal places) by multiplying the annual interest rate determined for that Interest Period by the applicable day count fraction. The resulting effective interest rate is then multiplied by the principal amount of the Notes to determine the actual interest amount payable on the related Interest Payment Date. No adjustments to the amount of interest calculated will be made in the event an Interest Payment Date is not a Business Day.
Example Interest Rate and Interest Payment Calculations
The following table and examples illustrate how the per annum interest rate and interest payment amounts would be calculated for a given Interest Period based on the total number of calendar days in an Interest Period on which the Accrual Rate is less than or equal to the Barrier Level. For purposes of these examples, we have assumed that the Below Barrier Rate for the Interest Period is 4.75%. We have further assumed that the Notes have quarterly Interest
Payment Dates, and that interest payments will be calculated using a 30/360 day count basis (such that the applicable day count fraction for the quarterly interest payment for the Interest Period will be 90/360). These values and assumptions have been chosen arbitrarily for the purposes of the below examples, and should not be taken as indicative of the terms of any particular Notes or the future performance of the Accrual Rate. The specific terms for each issuance of Notes will be determined on the Original Trade Date. Numbers in the table below have been rounded (to five decimal places) for ease of reference.
Number of |
| Annualized rate of Interest |
0 |
| 0.00000% |
15 |
| 0.79167% |
30 |
| 1.58333% |
45 |
| 2.37500% |
60 |
| 3.16667% |
75 |
| 3.95833% |
90 |
| 4.75000% |
Example 1: If, on every calendar day during the relevant Interest Period, the value of the Accrual Rate is less than or equal to the Barrier Level, the number of Accrual Days would be equal to the number of calendar days in the Interest Period. In this case, interest would accrue at the Below Barrier Rate of 4.75% for every day in the Interest Period. As a result, the per annum interest rate for that Interest Period would be equal to the Below Barrier Rate of 4.75%, the maximum per annum interest rate for that Interest Period, and you would receive an interest payment of $15.00 per $1,000 principal amount of Notes on the related quarterly Interest Payment Date, calculated as follows:
Effective Interest Rate = 4.75% × (90/360) = 1.18750%
Interest Payment = $1,000 × 1.18750% = $11.875
Example 2: If, on every calendar day during the relevant Interest Period, the value of the Accrual Rate is greater than the Barrier Level, there would be no Accrual Days in the relevant Interest Period. As a result, the per annum interest rate for that Interest Period would be equal to 0.00%, and you would receive no interest payment on the related quarterly Interest Payment Date (the interest payment would be $0).
Example 3: If the value of the Accrual Rate is less than or equal to the Barrier Level on 50.00% of the calendar days in the relevant Interest Period, but the Accrual Rate is greater than the Barrier Level on the other 50.00% of the relevant calendar days, the number of Accrual Days in the relevant Interest Period would be equal to 50.00% of the total number of calendar days in that Interest Period. In this case, interest would accrue at the Below Barrier Rate of 4.75% for 50.00% of the days in that Interest Period, while no interest would accrue for the remaining 50.00% of the days in that Interest Period. As a result, the per annum interest rate for that Interest Period would be 2.37500%, calculated in accordance with the Interest Rate Formula as follows:
Per Annum Interest Rate = (4.75% × 0.5000) = 2.37500%
Based on the per annum interest rate for the relevant Interest Period determined per the above, you would receive an interest payment of $5.9375 per $1,000 principal amount of Notes on the related quarterly Interest Payment Date, calculated as follows:
Effective Interest Rate = 2.37500% × (90/360) = 0.59375%
Interest Payment = $1,000 × 0.59375% = $5.9375
HISTORICAL INFORMATION
The following graph sets forth the Accrual Rate for the period from January 2, 2008 to August 22, 2014. The Accrual Rate on August 22, 2014 was 0.3345%. The historical performance of the Accrual Rate should not be taken as an indication of its future performance. We cannot give you any assurance that the Accrual Rate will be less than or equal to the Barrier Level on any day of any Interest Period. We obtained the information in the graph below from Bloomberg Financial Markets (“Bloomberg”), without independent verification. Historical performance is not indicative of future performance.
MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS
The material tax consequences of your investment in the Notes are summarized below. The discussion below supplements the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. Except as noted under “Non-U.S. Holders” below, this section applies to you only if you are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise excluded from the discussion in the prospectus supplement. In addition, this discussion applies to you only if you are an initial purchaser of the Notes; if you are a secondary purchaser of the Notes, the tax consequences to you may be different.
The tax treatment of your Notes depends upon whether it is reasonably expected that the interest paid on the Notes during the first half of the Notes’ term will be significantly greater or less than the interest paid on the Notes during the second half of the Notes’ term (“Front or Back Loaded”). We believe, and we intend to take the position for tax reporting purposes, that the interest on the Notes is not reasonably expected to be Front or Back Loaded. This determination is made solely for tax purposes based on currently available objective economic information and is not a prediction or guarantee of the timing or amount of the payments on your Notes. In the opinion of our special tax counsel, Sullivan & Cromwell LLP, assuming the Issuer’s position that interest on the Notes is not expected to be Front or Back Loaded is respected, your Notes will be treated as debt instruments subject to the rules applicable to variable rate debt instruments for U.S. federal income tax purposes. This opinion assumes that the description of the terms of the Notes in this pricing supplement is materially correct. Except as otherwise noted below under “Alternative Treatments,” the discussion below assumes that the Notes will be treated as variable rate debt instruments.
If you are a U.S. individual or taxable entity, you will generally be taxed on interest on the Notes as ordinary income at the time you receive the interest or when it accrues, depending on your method of accounting for tax purposes. If you sell or exchange your Notes prior to maturity, or if the Notes are redeemed prior to maturity, you should generally recognize gain or loss, which should generally be capital gain or loss except to the extent that such gain or loss is attributable to accrued but unpaid interest. Such capital gain or loss should be treated as long-term capital gain or loss to the extent you have held your Notes for more than one year, and otherwise should generally be short-term capital gain or loss. Short-term capital gains are generally subject to tax at the marginal tax rates applicable to ordinary income.
Additionally, if you purchase your Notes for an amount that differs from the principal amount of the Notes, you may be subject to special tax rules as described in “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Market Discount and Premium.” These rules are complex and therefore individuals are urged to consult their tax advisors regarding these rules.
For a further discussion of the variable rate debt instrument rules, please see the section titled “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Variable Rate Debt Instruments” in the accompanying prospectus supplement.
Alternative Treatments. It is possible that the Internal Revenue Service could assert that the Notes should be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. For a detailed discussion of the rules that apply to contingent payment debt instruments, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness of U.S. Federal Income Tax Purposes—Contingent Payment Debt Instruments” in the accompanying prospectus supplement.
Non-U.S. Holders. Barclays currently does not withhold on payments treated as interest to non-U.S. holders in respect of instruments such as the Notes. However, if Barclays determines that there is a material risk that it will be required to withhold on any such payments, Barclays may withhold on any payments treated as interest at a 30% rate, unless you have provided to Barclays an appropriate and valid Internal Revenue Service Form W-8. In addition, non-U.S. holders will be subject to the general rules regarding information reporting and backup withholding as described under the heading “Certain U.S. Federal Income Tax Considerations—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.
CERTAIN EMPLOYEE RETIREMENT INCOME SECURITY ACT CONSIDERATIONS
Your purchase of a Note in an Individual Retirement Account (an “IRA”), will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the Issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security Act (“ERISA”)) with respect to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA will pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA) and in connection with any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith.
For additional ERISA considerations, see “Employee Retirement Income Security Act” in the prospectus supplement.
SUPPLEMENTAL TERMS OF THE NOTES
The Calculation Agent will determine the Accrual Rate as set forth under “Reference Assets—Floating Interest Rate—LIBOR” in the prospectus supplement; provided that each reference to “the second London banking day immediately following that interest determination date” under “Reference Assets—Floating Interest Rate—LIBOR” in the prospectus supplement will be deemed to refer to “the interest determination date.” Notwithstanding anything to the contrary in the prospectus supplement, with respect to a calendar day on which the Accrual Rate is to be determined, the “interest determination date” will be (i) such calendar day, if such calendar day is a London business day, or (ii) the London business day immediately preceding such calendar day, if such calendar day is not a London business day.
Notwithstanding anything to the contrary contained herein, (1) each reference to “BBA” on page S-79 of the prospectus supplement will be deemed to refer to “IntercontintentalExchange Group”.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the “Agent”), and the Agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing supplement. The Agent is committed to take and pay for all of the Notes, if any are taken.
US$6,000,000
BARCLAYS BANK PLC
CALLABLE RANGE ACCRUAL NOTES DUE AUGUST 28, 2026
LINKED TO 6-MONTH USD LIBOR
GLOBAL MEDIUM-TERM NOTES, SERIES A
(TO THE PROSPECTUS DATED JULY 19, 2013 AND THE PROSPECTUS SUPPLEMENT DATED JULY 19, 2013)