Pricing Supplement dated April 11, 2023 to the Prospectus dated May 23, 2022 and the Prospectus Supplement dated June 27, 2022 |
$300,000,000 iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM ETN*
This pricing supplement relates to the iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM Exchange-Traded Notes (the “ETNs”) that Barclays Bank PLC may issue from time to time. The return of the ETNs is linked to the performance of the Bloomberg Natural Gas Subindex Total ReturnSM (the “Index”). The Index is a sub-index of the Bloomberg Commodity Index Total ReturnSM (the “Commodity Index” or the “BCOM Index”). The Index is composed of one or more futures contracts on commodity of natural gas (the “index components”) and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills. The ETNs do not guarantee any return of principal at or prior to maturity and do not pay any interest during their term. Instead, you will receive a cash payment in U.S. dollars at maturity or upon early redemption based on the performance of the Index less an investor fee.
You may lose all or a substantial portion of your investment within a single day if you invest in the ETNs. Any payment on the ETNs at or prior to maturity, including any repayment of principal, is not guaranteed by any third party and is subject to both the creditworthiness of Barclays Bank PLC and to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (or any other resolution measure) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the ETNs. See “Consent to U.K. Bail-in Power” and “Risk Factors” in this pricing supplement and “Risk Factors” in the accompanying prospectus supplement for more information.
THE ETNS OFFER EXPOSURE TO FUTURES CONTRACTS AND NOT DIRECT EXPOSURE TO NATURAL GAS OR ITS SPOT PRICES. THESE FUTURES CONTRACTS WILL NOT TRACK THE PERFORMANCE OF NATURAL GAS. In addition, the nature of the futures market for natural gas has historically resulted in a significant cost to maintain a rolling position in the futures contracts underlying the Index. As a result, the level of the Index, which tracks a rolling position in specified futures contracts, may experience significant declines as a result of these costs, known as roll costs, especially over a longer period. The price of natural gas will perform differently than the Index and, in certain cases, may have positive performance during periods where the Index is experiencing negative performance. In turn, an investment in the ETNs may experience a significant decline in value over time, the risk of which increases the longer that the ETNs are held. For more information, see “Risk Factors” beginning on page PS-11 of this pricing supplement and the historical performance of the Index presented below in this pricing supplement.
The ETNs may not be suitable for all investors and should be used only by investors with the sophistication and knowledge necessary to understand the risks inherent in the Index, the futures contracts that the Index tracks and investments in natural gas as an asset class generally. Investors should consult with their broker or financial advisor when making an investment decision and to evaluate their investment in the ETNs and should actively manage and monitor their investments in the ETNs throughout each trading day.
Furthermore, because the investor fee reduces the amount of your return at maturity or upon early redemption, the level of the Index will need to increase significantly in order for you to receive at least the amount you invested in the ETNs at maturity or upon early redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the investor fee, or if the Index level decreases, you will receive less than the amount you invested in the ETNs at maturity or upon early redemption.
If we had priced the ETNs for initial sale to the public as of the inception date, our hypothetical estimated value of the ETNs at the time of such initial pricing would be $50.00 per ETN. See “Risk Factors” beginning on page PS-11 of this pricing supplement for risks relating to an investment in the ETNs.
The principal terms of the ETNs are as follows:
Issuer: Barclays Bank PLC
Series: Global Medium-Term Notes, Series A
Principal Amount per ETN: $50
Inception and Issue Dates: The ETNs were first sold on March 8, 2017 (the “inception date”) and first issued on March 13, 2017 (the “issue date”).
Maturity Date: March 5, 2037
Secondary Market: We have listed the ETNs on the NYSE Arca exchange (“NYSE Arca”) under the ticker symbol “GAZ.”** To the extent an active secondary market in the ETNs exists, we expect that investors will purchase and sell the ETNs primarily in this secondary market. We are not required to maintain any listing of the ETNs on NYSE Arca or any other securities exchange.
* | 1,000,000 ETNs, principal amount $50 per ETN, were issued on March 13, 2017, 1,000,000 ETNs, principal amount $50 per ETN, were issued on November 1, 2021, 2,000,000 ETNs, principal amount $50 per ETN were issued on February 16, 2023, and an additional 2,000,000 ETNs, principal amount $50 per ETN will be issued on April 12, 2023. Following such issuance of additional ETNs, the total number of ETNs outstanding is 6,000,000. |
** Prior to November 15, 2018, the ticker symbol for the ETNs was GAZB. The ticker symbol GAZ was used historically in connection with the listing of the iPath® Bloomberg Natural Gas Subindex Total ReturnSM ETN (the “Delisted ETN”), which was delisted on December 22, 2017. The ETNs to which this pricing supplement relates are not the same securities as the Delisted ETN.
CUSIP Number: 06745T368
ISIN: US06745T3683
Index: The return on the ETNs is linked to the performance of the Index. The Index is a sub-index of the BCOM Index and reflects the excess returns that are potentially available through an unleveraged investment in the futures contracts comprising the Index, plus the Treasury Bill rate of interest that could be earned on funds committed to the trading of the underlying futures contracts. The BCOM Index is an index on a basket of futures contracts on physical commodities and is designed to be a benchmark for commodities as an asset class. On July 1, 2014, UBS Securities LLC (collectively with its affiliates, “UBS”) entered into a commodity index license agreement with Bloomberg Finance L.P., whereby UBS engaged Bloomberg’s services for calculation, publication, administration and marketing of the Bloomberg Commodity IndexesSM. In September 2020, Bloomberg (as defined below) acquired the Bloomberg Commodity IndexesSM. The Index is calculated, administered and published by Bloomberg Index Services Limited (“BISL” or the “Index Sponsor” and, collectively with its affiliates, “Bloomberg”).
Consent to U.K. Bail-in Power: Notwithstanding and to the exclusion of any other term of the ETNs or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the ETNs, by acquiring the ETNs, each holder and beneficial owner of the ETNs acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-23 of this pricing supplement.
Payment at Maturity
Payment at Maturity: If you hold your ETNs to maturity, you will receive a cash payment per ETN at maturity in U.S. dollars equal to the closing indicative value on the final valuation date.
Closing Indicative Value: The closing indicative value for each ETN on the initial valuation date was equal to $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one) minus (3) the investor fee on such calendar day. An “index business day” is a day on which the Index is calculated and published by the Index Sponsor. If the ETNs undergo a split or reverse split, the closing indicative value will be adjusted accordingly.
The closing indicative value is not the market price of the ETNs in any secondary market and is not intended as a price or quotation, or as an offer or solicitation for the purchase or sale of your ETNs or as a recommendation to transact in the ETNs at the stated price. The market price of the ETNs at any time may vary significantly from the closing indicative value due to, among other things, imbalances of supply and demand for the ETNs (including as a result of any decision of ours to issue, stop issuing or resume issuing additional ETNs), lack of liquidity, transaction costs, credit considerations and bid-offer spreads.
Daily Index Factor: The daily index factor for each ETN on any index business day will equal (1) the closing level of the Index on such index business day divided by (2) the closing level of the Index on the immediately preceding index business day.
Investor Fee: The investor fee for each ETN on the initial valuation date was equal to zero. On each subsequent calendar day until maturity or early redemption, the investor fee for each ETN will be equal to (1) 0.45% times (2) the closing indicative value on the immediately preceding calendar day times (3) the daily index factor on that day (or, if such day is not an index business day, one) divided by (4) 365. Because the investor fee is calculated and subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is subtracted at the rate of approximately 0.45% per year.
The investor fee reduces the daily return of the ETNs. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
Intraday Indicative Value: The intraday indicative value is intended to provide investors with an approximation of the effect that changes in the level of the Index during the current trading day would have on the closing indicative value of the ETNs from the previous day. Intraday indicative value differs the closing indicative value in two important respects. First, intraday indicative value is based on the most recent Index level published by the Index Sponsor, which reflects the most recent reported prices for the index components, rather than the closing indicative value for the immediately preceding calendar day. Second, the intraday indicative value only reflects the investor fee at the close of business on the preceding calendar day, but does not include any adjustment for the investor fee during the course of the current day.
The intraday indicative value is not the market price of the ETNs in any secondary market and is not intended as a price or quotation, or as an offer or solicitation for the purchase or sale of the ETNs or as a recommendation to transact in the ETNs at the stated price. Because the intraday indicative value is based on the intraday Index levels, it will reflect any lags, disruptions or suspensions that affect the Index. The market price of the ETNs at any time may vary significantly from the intraday indicative value due to, among other things, imbalances of supply and demand for the ETNs (including as a result of any decision of ours to issue, stop issuing or resume issuing additional ETNs), futures contracts included in the Index and/or other derivatives related to the Index or the ETNs; any trading disruptions, suspension or limitations to any of the forgoing; lack of liquidity; severe volatility; transaction costs; credit considerations; and bid-offer spreads. A premium or discount market price over the intraday indicative value can also arise as a result of mismatches of trading hours between the ETNs and the futures contracts included in the Index, actions (or failure to take action) by the Index Sponsor and the relevant exchange of the futures contracts included in the Index and technical or human errors by service providers, market participants and others.
Business Day: A business day means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City generally are authorized or obligated by law, regulation, or executive order to close.
Trading Day: A trading day with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally conducted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
Valuation Date: A valuation date means each trading day from March 8, 2017 to March 2, 2037, inclusive, subject to postponement due to the occurrence of a market disruption event, such postponement not to exceed five trading days or, if such
date is not a trading day, the next succeeding trading day. We refer to March 8, 2017 as the “initial valuation date” and March 2, 2037 as the “final valuation date” for the ETNs.
Early Redemption
Holder Redemption: Subject to the notification requirements set forth under “Specific Terms of the ETNs—Early Redemption Procedures” in this pricing supplement, you may redeem your ETNs on any redemption date during the term of the ETNs. If you
redeem your ETNs, you will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative value on the applicable valuation date. You must redeem at least 50,000 ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date. If you hold fewer than 50,000 ETNs or fewer than 50,000 ETNs are outstanding, you will not be able to exercise your right to redeem your ETNs. We may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs.
Notwithstanding the foregoing, we currently have reduced the minimum redemption amount to 5,000 ETNs. Our reduction of the minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until the waiver is removed by us at our sole discretion. We intend to provide to holders of the ETNs at least ten calendar days’ notice prior to removing any waiver for the reduction of the minimum redemption amount for the ETNs. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including, among others, to reinstate the minimum redemption amount of 50,000 ETNs for all redemption dates after such further modification. Any such modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Issuer Redemption: We may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception date until and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. If we redeem the ETNs, you will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative value on the valuation date specified by us in such notice.
Redemption Date: In the case of holder redemption, a redemption date is the third business day following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date. In the case of issuer redemption, the redemption date for the ETNs is the fifth business day after the valuation date specified by us in the issuer redemption notice, which will in no event be prior to the tenth calendar day following the date on which we deliver the redemption notice.
Sale to Public
We sold a portion of the ETNs on the inception date at 100% of the principal amount through Barclays Capital Inc., our affiliate, as principal, in the initial distribution. Following the inception date, the remainder of the ETNs will be offered and sold from time to time through Barclays Capital Inc., as agent. Sales of the ETNs by us after the inception date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. However, we are under no obligation to issue or sell ETNs at any time. If we limit, restrict or stop sales of ETNs, or if we subsequently resume sales of ETNs, the liquidity and trading price of the ETNs in the secondary market could be materially and adversely affected. Barclays Capital Inc. will not receive an agent’s commission in connection with sales of the ETNs. Please see “Supplemental Plan of Distribution” in this pricing supplement for more information.
We may use this pricing supplement in the initial sale of the ETNs. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market-making transactions in any ETNs after the initial sale of ETNs. Unless we or our agent informs you otherwise in the confirmation of sale or in a notice delivered at the same time as the confirmation of sale, this pricing supplement is being used in a market-making transaction.
The ETNs are not deposit liabilities of Barclays Bank PLC and are not insured by the United States Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these ETNs or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
Pricing Supplement dated April 11, 2023
Issued in denominations of $50
TABLE OF CONTENTS
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The following is a summary of terms of the iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM Exchange-Traded Notes (the “ETNs”) linked to the performance of the Bloomberg Natural Gas Subindex Total ReturnSM (the “Index”) that Barclays Bank PLC may issue from time to time, as well as a discussion of risks and other considerations you should take into account when deciding whether to invest in the ETNs. The information in this section is qualified in its entirety by the more detailed explanations set forth elsewhere in this pricing supplement and the accompanying prospectus and prospectus supplement. References to the “prospectus” mean our accompanying prospectus, dated May 23, 2022, and references to the “prospectus supplement” mean our accompanying prospectus supplement, dated June 27, 2022, which supplements the prospectus. See “—Additional Documents Related to the Offering of the ETNs” below.
We may, without your consent, create and issue additional securities having the same terms and conditions as the ETNs. We may consolidate the additional securities to form a single class with the outstanding ETNs. We may, but are not required to, offer and sell ETNs after the inception date through Barclays Capital Inc., our affiliate, as agent. We may impose a requirement to purchase a particular minimum amount of ETNs from our inventory in a single purchase, though we may waive this requirement with respect to any purchase at any time in our sole discretion. In addition, we may offer to sell ETNs from our inventory at a price that is greater or less than the prevailing intraday indicative value or the prevailing market price at the time such sale is made. However, we are under no obligation to sell additional ETNs at any time, and if we do sell additional ETNs, we may limit such sales and stop selling additional ETNs at any time.
Any limitation or suspension on the issuance or sale of the ETNs may materially and adversely affect the price and liquidity of the ETNs in the secondary market. Alternatively, the decrease in supply may cause an imbalance in the market supply and demand, which may cause the ETNs to trade at a premium over their indicative value. Any premium may be reduced or eliminated at any time. Paying a premium purchase price over the indicative value of the ETNs could lead to significant losses in the event you sell your ETNs at a time when such premium is no longer present in the marketplace or if we redeem the ETNs. Investors should consult their financial advisors
before purchasing or selling the ETNs, especially ETNs trading at a premium over their indicative value.
This section summarizes the following aspects of the ETNs:
· | What are the ETNs and how do they work? |
· | How do you redeem your ETNs? |
· | What are some of the risks of the ETNs? |
· | Is this the right investment for you? |
· | What are the tax consequences? |
What Are the ETNs and How Do They Work?
The ETNs are medium-term notes that are senior unsecured debt obligations of Barclays Bank PLC. The ETNs will be issued in denominations of $50. The return on the ETNs is linked to the performance of the Index.
We have listed the ETNs on NYSE Arca. If an active secondary market in the ETNs exists, we expect that investors will purchase and sell the ETNs primarily in the secondary market.
THE ETNS OFFER EXPOSURE TO FUTURES CONTRACTS AND NOT DIRECT EXPOSURE TO NATURAL GAS OR ITS SPOT PRICES. THESE FUTURES CONTRACTS WILL NOT TRACK THE PERFORMANCE OF NATURAL GAS. In addition, the nature of the futures market for natural gas has historically resulted in a significant cost to maintain a rolling position in the futures contracts underlying the Index. As a result, the level of the Index, which tracks a rolling position in specified futures contracts, may experience significant declines as a result of these costs, known as roll costs, especially over a longer period. The price of natural gas will perform differently than the Index and, in certain cases, may have positive performance during periods where the Index is experiencing negative performance. In turn, an investment in the ETNs may experience a significant decline in value over time, the risk of which increases the longer that the ETNs are held. For more information, see “Risk Factors” beginning on page PS-11 of this pricing supplement and the historical performance of the Index presented below in this pricing supplement.
The ETNs may not be suitable for all investors and should be used only by investors with the sophistication and knowledge necessary to understand the risks inherent in the Index, the futures contracts that the Index tracks and
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investments in WTI crude oil as an asset class generally. Investors should consult with their broker or financial advisor when making an investment decision and to evaluate their investment in the ETNs and should actively manage and monitor their investments in the ETNs throughout each trading day.
The Index
The Index is designed to be a benchmark for natural gas as an asset class and is currently composed of one futures contract on the commodity of natural gas. The Index is a sub-index of the Bloomberg Commodity Index Total ReturnSM (the “Commodity Index” or the “BCOM Index”) and reflects the returns that are potentially available through (1) an unleveraged investment in the futures contracts comprising the Index (the “index components”), plus (2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills.
UBS acquired AIG Financial Product Corp.’s commodity business as of May 6, 2009, at which time, UBS Securities LLC (collectively with its affiliates, “UBS”) and Dow Jones & Company, Inc. (“Dow Jones”) entered into an agreement to jointly market the Index. The joint marketing agreement with Dow Jones was terminated and on July 1, 2014, UBS entered into a commodity index license agreement (“CILA”) with Bloomberg Finance L.P., whereby UBS engaged Bloomberg’s services for calculation, publication, administration and marketing of the BCOM Index and the Index. As a result of Bloomberg’s assumption of these functions, on July 1, 2014, the Dow Jones-UBS Commodity IndexesSM were re-branded as the Bloomberg Commodity IndexesSM. In September 2020, Bloomberg (as defined below) acquired the Bloomberg Commodity IndexesSM. The Index is calculated, administered and published by Bloomberg Index Services Limited (“BISL” or the “Index Sponsor” and, collectively with its affiliates, “Bloomberg”).
Understanding the Value of the ETNs
The “principal amount” is $50.00 per ETN, which is the initial offering price at which the ETNs were sold on the inception date.
The “closing indicative value” is the value of the ETNs calculated by us on a daily basis and is used to determine the payment at maturity or upon early redemption. The calculation of the closing indicative value on any valuation date following the initial valuation date is based on the closing indicative value for the immediately preceding calendar day. As a result, the closing
indicative value differs from the intraday indicative value or the trading price of the ETNs. The closing indicative value for each ETN on the initial valuation date was equal to $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one) minus (3) the investor fee on such calendar day. If the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
The “intraday indicative value” is intended to provide investors with an approximation of the effect that changes in the level of the Index during the current trading day would have on the closing indicative value of the ETNs from the previous day. Intraday indicative value differs from closing indicative value in two important respects. First, intraday indicative value is based on the most recent Index level published by the Index Sponsor, which reflects the most recent reported prices for the index components, rather than the closing indicative value for the immediately preceding calendar day. Second, the intraday indicative value only reflects the investor fee at the close of business on the preceding calendar day, but does not include any adjustment for the investor fee during the course of the current day.
The intraday indicative value is not the market price of the ETNs in any secondary market and is not intended as a price or quotation, or as an offer or solicitation for the purchase or sale of the ETNs or as a recommendation to transact in the ETNs at the stated price. Because the intraday indicative value is based on the intraday Index levels, it will reflect any lags, disruptions or suspensions that affect the Index. The market price of the ETNs at any time may vary significantly from the intraday indicative value due to, among other things, imbalances of supply and demand for the ETNs (including as a result of any decision of ours to issue, stop issuing or resume issuing additional ETNs), futures contracts included in the Index and/or other derivatives related to the Index or the ETNs; any trading disruptions, suspension or limitations to any of the forgoing; lack of liquidity; severe volatility; transaction costs; credit considerations; and bid-offer spreads. A premium or discount market price over the intraday indicative value can also arise as a result of mismatches of trading hours between the
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ETNs and the futures contracts included in the Index, actions (or failure to take action) by the Index Sponsor and the relevant exchange of the futures contracts included in the Index and technical or human errors by service providers, market participants and others.
The intraday indicative value is calculated and published every 15 seconds on each trading day from approximately 9:30 a.m. to approximately 4:15 p.m., New York City time by NYSE Euronext (NYSE) or a successor under the ticker symbol GAZ.IV.
The daily settlement price of each futures contract underlying the Index is determined at or prior to 2:30 p.m., New York City time, on each trading day. However, because of a time lag in the publication of the daily settlement price, the closing level of the Index, which is based on the daily settlement price, is typically not published until after 4:00 p.m., New York City time. The Index Sponsor suspends real-time calculation of the intraday level of the Index following the initial determination of the daily settlement price (subject to adjustment to reflect any late settlement of relevant futures contracts), even though the futures contracts underlying the Index might continue to trade on their markets. As a result, the intraday indicative value (which reflects the most recently published intraday level of the Index) will not reflect any trading in the futures contracts underlying the Index that might take place during this time period. Therefore, during this time period, the intraday indicative value is likely to differ from the value of the ETNs that would be determined if real-time trading data of the futures contracts were used in the calculation. As a result, we expect that the trading price of the ETNs is likely to diverge from the intraday indicative value during this time period, particularly if there is a significant price movement in the futures contracts during this time period.
The ETNs trade on the NYSE Arca exchange from approximately 9:30 a.m. to 4:00 p.m., New York City time. The ETNs may also trade during after-hours trading. Therefore, during after-hours trading, the last-published intraday indicative value is likely to differ from any value of the ETNs determined based on real-time trading data of the futures contracts, particularly if there is a significant price movement in the futures contracts during this time period. It is possible that the value of the ETNs could undergo a rapid and substantial decline outside of ordinary market trading hours. You may not be able to accurately assess
the value of the ETNs relative to the trading price during after-hours trading, including any premium or discount thereto, when there is no recent intraday indicative value available.
If you sell your ETNs on the secondary market, you will receive the “trading price” for your ETNs, which may be substantially above or below the principal amount, closing indicative value and/or the intraday indicative value because the trading price reflects investor supply and demand for the ETNs. In addition, if you purchase your ETNs at a price which reflects a premium over the closing indicative value, you may experience a significant loss if you sell or redeem your ETNs at a time when such premium is no longer present in the market place or if we exercise our right to redeem the ETNs. Furthermore, if you sell your ETNs at a price which reflects a discount below the intraday indicative value, you may experience a significant loss.
For more information regarding the intraday indicative value, see “Valuation of the ETNs—Intraday Indicative Value” in this pricing supplement.
The ETN performance is linked to the performance of the Index less an investor fee. There is no minimum limit to the level of the Index. Moreover, the ETNs are not principal protected. Therefore, you could lose up to your entire investment in the ETNs.
Furthermore, because the investor fee reduces the amount of your return at maturity or upon early redemption, the level of the Index will need to increase significantly in order for you to receive at least the amount you invested in the ETNs at maturity or upon early redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the investor fee, or the level of the Index decreases, you will receive less than the amount you invested in the ETNs at maturity or upon early redemption.
How Do You Redeem Your ETNs?
To redeem your ETNs, you must instruct your broker or other person through whom you hold your ETNs to take the following steps:
· | deliver a notice of holder redemption, in proper form, which is attached as Annex A, to us via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable |
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valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of holder redemption, which is attached as Annex B;
· | deliver the signed confirmation of holder redemption to us via facsimile or email in the specified form by 5:00 p.m., New York City time, on the same day. We or our affiliate must acknowledge receipt in order for your confirmation to be effective; |
· | instruct your Depository Trust Company (“DTC”) custodian to book a delivery vs. payment trade with respect to your ETNs on the valuation date at a price equal to the applicable closing indicative value per ETN, facing Barclays DTC 229; and |
· | cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable redemption date (the third business day following the applicable valuation date). |
Different brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the ETNs in respect of such deadlines. If we do not receive your notice of holder redemption by 4:00 p.m., New York City time, or your confirmation of holder redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your ETNs on the applicable redemption date. Any redemption instructions for which we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable.
The redemption value is determined according to a formula which relies upon the closing indicative value and will be calculated on a valuation date that will occur after the redemption notice is submitted. It is not possible to publicly disclose, or for you to determine, the precise redemption value prior to your election to redeem. The redemption value may be below the most recent intraday indicative value or closing indicative value of your ETNs at the time when you submit your redemption notice.
What Are Some of the Risks of the ETNs?
An investment in the ETNs involves risks. Some of these risks are summarized here, but we urge you to read the more detailed explanation
of risks in “Risk Factors” in this pricing supplement.
· | Uncertain Principal Repayment — There is no minimum limit to the level of the Index. Moreover, the ETNs are not principal protected. Therefore, a decrease in the level of the Index could cause you to lose up to your entire investment in the ETNs. Furthermore, because the investor fee reduces the amount of your return at maturity or upon early redemption, the level of the Index will need to increase significantly in order for you to receive at least the amount you invested in the ETNs at maturity or upon early redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the investor fee, or if the Index level decreases, you will receive less than the amount you invested in the ETNs at maturity or upon early redemption. |
· | Credit of Issuer — The ETNs are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the ETNs, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the ETNs and, in the event Barclays Bank PLC were to default on its obligations, you might not receive any amount owed to you under the terms of the ETNs. |
· | Issuer Redemption — Subject to the procedures described in this pricing supplement, we have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without your consent on any business day on or after the inception date until and including maturity. |
· | Commodity Market Risk — The return on the ETNs is linked to the performance of the Index which, in turn, is linked to the prices of the natural gas futures contracts that compose the Index. See “The Index” below for more information. Commodity prices may change unpredictably and, as a result, affect the level of the Index and the value of your ETNs in unforeseeable ways. |
· | Limited or Lack of Portfolio Diversification — The index components |
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of the Index are concentrated in one commodity. Your investment may therefore carry risks similar to a concentrated securities investment in one industry or sector.
· | No Interest Payments — You will not receive any periodic interest payments on the ETNs. |
· | A Trading Market for the ETNs May Not Exist — Although we have listed the ETNs on NYSE Arca, a trading market for the ETNs may not exist at any time. Even if there is a secondary market for the ETNs, whether as a result of any listing of the ETNs or on an over-the-counter basis, it may not provide enough liquidity to trade or sell your ETNs easily. Certain affiliates of Barclays Bank PLC intend to engage in limited purchase and resale transactions. If they do, however, they are not required to do so and may stop at any time. We are not required to maintain any listing of the ETNs on NYSE Arca or any other securities exchange and may cause the ETNs to be de-listed at our discretion. |
Is This the Right Investment for You?
The ETNs may be a suitable investment for you if:
· | You do not seek a guaranteed return of principal and you are willing to risk losing up to your entire investment in the ETNs; |
· | You intend to regularly monitor your investment in the ETNs to ensure that it remains consistent with your market views and investment strategies; |
· | You do not seek current income from your investment; |
· | You seek an investment with a return linked to the performance of the Index; |
· | You are willing to accept the risk of fluctuations in the prices of the futures contracts on natural gas that compose the Index in particular; |
· | You are willing to accept the risks of an investment linked to the Index, which tracks a rolling position in futures contracts on natural gas, and in particular risks associated with roll costs reflected in the level of the Index; |
· | You believe the level of the Index will increase by an amount sufficient to offset the investor fee during the term of the ETNs; |
· | You are willing to hold securities that are subject to the issuer redemption right on or after the inception date; and |
· | You are willing and able to assume the credit risk of Barclays Bank PLC, as issuer of the ETNs, for all payments under the ETNs and understand that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power, you might not receive any amounts due to you under the ETNs, including any repayment of principal. |
The ETNs may not be a suitable investment for you if:
· | You seek a guaranteed return of principal and you are not willing to risk losing up to your entire investment in the ETNs; |
· | You seek current income from your investment; |
· | You do not intend to regularly monitor your investment in the ETNs to ensure that it remains consistent with your market views and investment strategies; |
· | You are not willing to be exposed to fluctuations in the prices of the futures contracts on natural gas that compose the Index in particular; |
· | You are not willing to accept the risks of an investment linked to the Index, which tracks a rolling position in futures contracts on natural gas, and in particular risks associated with roll costs reflected in the level of the Index; |
· | You believe the level of the Index will decrease or will not increase by an amount sufficient to offset the investor fee during the term of the ETNs; |
· | You are not willing to hold securities that are subject to the issuer redemption right on or after the inception date; |
· | You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings; or |
· | You are unwilling or unable to assume the credit risk of Barclays Bank PLC, as issuer of the ETNs, for all payments under the ETNs or you are not willing to be exposed to the risk that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power, you might not receive any amounts due to you under the ETNs, |
PS-5
including any repayment of principal.
What Are the Tax Consequences?
Absent a change in law or an administrative or judicial ruling to the contrary, in the opinion of our special tax counsel, Davis Polk & Wardwell LLP, the ETNs should be treated for U.S. federal income tax purposes as prepaid forward contracts with respect to the Index that are not debt instruments, as discussed further in the section below entitled “Material U.S. Federal Income Tax Considerations.” If the ETNs are so treated, you should generally recognize capital gain or loss upon the sale, exchange, early redemption or maturity of your ETNs in an amount equal to the difference between the amount you receive at such time and your tax basis in the ETNs.
However, the U.S. federal income tax consequences of your investment in the ETNs are uncertain. It is possible that the Internal Revenue Service (the “IRS”) may assert an alternative treatment. Because of this uncertainty, we urge you to consult your own tax advisor as to the tax consequences of your investment in the ETNs.
For a more complete discussion of the U.S. federal income tax consequences of your investment in the ETNs, including possible alternative treatments for the ETNs, see “Material U.S. Federal Income Tax Considerations” in this pricing supplement.
Additional Documents Related to the Offering of the ETNs
You should read this pricing supplement together with the prospectus dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series A, of which these ETNs are a part. This pricing supplement, together with the documents listed below, contains the terms of the ETNs 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 this pricing supplement, as the ETNs 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 ETNs.
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 May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
· | Prospectus Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
Our SEC file number is 1-10257. As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
Conflicts of Interest
Barclays Capital Inc. is an affiliate of Barclays Bank PLC and, as such, has a “conflict of interest” in this offering within the meaning of Rule 5121 of Financial Industry Regulatory Authority, Inc. (“FINRA”). Consequently, this offering is being conducted in compliance with the provisions of FINRA Rule 5121 (or any successor rule thereto). In addition, Barclays Capital Inc. will not sell the ETNs to a discretionary account without specific written approval from the account holder. For more information, please refer to “Plan of Distribution (Conflicts of Interest)—Conflicts of Interest” in the accompanying prospectus supplement.
PS-6
Hypothetical Examples |
The following hypothetical examples show how the ETNs would perform in hypothetical circumstances, assuming a starting level of 100.000.
Because the investor fee is calculated and subtracted from the closing indicative value on a daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.45% per year. The figures in these examples use the annualized effect of the investor fee for convenience.
The hypothetical examples in this section do not take into account the effects of applicable taxes. The after-tax return you receive on your ETNs will depend on the U.S. tax treatment of your ETNs and on your particular circumstances. Accordingly, the after-tax rate of return of your ETNs could be different than the after-tax return of a direct investment in the Index components or the Index.
Figures for year 30 are as of the final valuation date, and figures for each year prior to year 30 represent the hypothetical amount that would be paid upon early redemption at each anniversary of the issue date, assuming that the relevant valuation date for each early redemption occurs on each anniversary of the inception date.
These hypothetical examples are provided for illustrative purposes only. Past performance of the Index and the hypothetical performance of the ETNs are not indicative of the future results of the Index or the ETNs. The actual performance of the Index and the ETNs will vary, perhaps significantly, from the examples illustrated below.
A | B | C | D | E | F | |
Year | Index Level | Annualized Index Return | Yearly Investor Fee | Total | Closing Indicative Value | |
A | B | C | C x Previous CINV x 0.45% | Running total of D | C x Previous CINV – D | |
0 | 100.0000 | - | - | - | $50.0000 | |
1 | 103.0000 | 3.00% | $0.2318 | $0.4378 | $51.2683 | |
2 | 106.0900 | 3.00% | $0.2376 | $0.4378 | $52.5687 | |
3 | 109.2727 | 3.00% | $0.2437 | $0.8848 | $53.9021 | |
4 | 112.5509 | 3.00% | $0.2498 | $1.3413 | $55.2693 | |
5 | 115.9274 | 3.00% | $0.2562 | $1.8076 | $56.6712 | |
6 | 119.4052 | 3.00% | $0.2627 | $2.2837 | $58.1087 | |
7 | 122.9874 | 3.00% | $0.2693 | $2.7700 | $59.5826 | |
8 | 126.6770 | 3.00% | $0.2762 | $3.2666 | $61.0939 | |
9 | 130.4773 | 3.00% | $0.2832 | $3.7738 | $62.6436 | |
10 | 134.3916 | 3.00% | $0.2904 | $4.2917 | $64.2325 | |
11 | 138.4234 | 3.00% | $0.2977 | $4.8206 | $65.8618 | |
12 | 142.5761 | 3.00% | $0.3053 | $5.3608 | $67.5324 | |
13 | 146.8534 | 3.00% | $0.3130 | $5.9124 | $69.2453 | |
14 | 151.2590 | 3.00% | $0.3210 | $6.4758 | $71.0017 | |
15 | 155.7967 | 3.00% | $0.3291 | $7.0511 | $72.8027 | |
16 | 160.4706 | 3.00% | $0.3374 | $7.6387 | $74.6493 | |
17 | 165.2848 | 3.00% | $0.3460 | $8.2387 | $76.5428 | |
18 | 170.2433 | 3.00% | $0.3548 | $8.8515 | $78.4843 | |
19 | 175.3506 | 3.00% | $0.3638 | $9.4773 | $80.4751 | |
20 | 180.6111 | 3.00% | $0.3730 | $10.1164 | $82.5163 | |
21 | 186.0295 | 3.00% | $0.3825 | $10.7690 | $84.6093 | |
22 | 191.6103 | 3.00% | $0.3922 | $11.4356 | $86.7554 | |
23 | 197.3587 | 3.00% | $0.4021 | $12.1163 | $88.9560 | |
24 | 203.2794 | 3.00% | $0.4123 | $12.8114 | $91.2124 | |
25 | 209.3778 | 3.00% | $0.4228 | $13.5214 | $93.5260 | |
26 | 215.6591 | 3.00% | $0.4335 | $14.2464 | $95.8983 | |
27 | 222.1289 | 3.00% | $0.4445 | $14.9868 | $98.3307 | |
28 | 228.7928 | 3.00% | $0.4558 | $15.7429 | $100.8249 | |
29 | 235.6566 | 3.00% | $0.4673 | $16.5151 | $103.3823 | |
30 | 242.7262 | 3.00% | $0.4792 | $17.3038 | $106.0046 |
PS-7
Annualized Index Return | 3.00% | ||||||||||||||
Annualized ETN Return | 2.54% | ||||||||||||||
A | B | C | D | E | F | ||||||||||
Year | Index Level | Annualized Index Return | Yearly Investor Fee | Total | Closing Indicative Value | ||||||||||
A | B | C | C x Previous CINV x 0.45% | Running total of D | C x Previous CINV – D | ||||||||||
0 | 100.0000 | - | - | - | $50.0000 | ||||||||||
1 | 100.4000 | 0.40% | $0.2259 | $0.2259 | $49.9741 | ||||||||||
2 | 100.8016 | 0.40% | $0.2258 | $0.4517 | $49.9482 | ||||||||||
3 | 101.2048 | 0.40% | $0.2257 | $0.6773 | $49.9223 | ||||||||||
4 | 101.6096 | 0.40% | $0.2255 | $0.9029 | $49.8965 | ||||||||||
5 | 102.0161 | 0.40% | $0.2254 | $1.1283 | $49.8706 | ||||||||||
6 | 102.4241 | 0.40% | $0.2253 | $1.3536 | $49.8448 | ||||||||||
7 | 102.8338 | 0.40% | $0.2252 | $1.5788 | $49.8190 | ||||||||||
8 | 103.2452 | 0.40% | $0.2251 | $1.8039 | $49.7932 | ||||||||||
9 | 103.6581 | 0.40% | $0.2250 | $2.0289 | $49.7674 | ||||||||||
10 | 104.0728 | 0.40% | $0.2248 | $2.2537 | $49.7416 | ||||||||||
11 | 104.4891 | 0.40% | $0.2247 | $2.4785 | $49.7158 | ||||||||||
12 | 104.9070 | 0.40% | $0.2246 | $2.7031 | $49.6901 | ||||||||||
13 | 105.3266 | 0.40% | $0.2245 | $2.9276 | $49.6643 | ||||||||||
14 | 105.7480 | 0.40% | $0.2244 | $3.1520 | $49.6386 | ||||||||||
15 | 106.1709 | 0.40% | $0.2243 | $3.3762 | $49.6129 | ||||||||||
16 | 106.5956 | 0.40% | $0.2242 | $3.6004 | $49.5872 | ||||||||||
17 | 107.0220 | 0.40% | $0.2240 | $3.8244 | $49.5615 | ||||||||||
18 | 107.4501 | 0.40% | $0.2239 | $4.0483 | $49.5358 | ||||||||||
19 | 107.8799 | 0.40% | $0.2238 | $4.2721 | $49.5102 | ||||||||||
20 | 108.3114 | 0.40% | $0.2237 | $4.4958 | $49.4845 | ||||||||||
21 | 108.7447 | 0.40% | $0.2236 | $4.7194 | $49.4589 | ||||||||||
22 | 109.1796 | 0.40% | $0.2235 | $4.9429 | $49.4333 | ||||||||||
23 | 109.6164 | 0.40% | $0.2233 | $5.1662 | $49.4077 | ||||||||||
24 | 110.0548 | 0.40% | $0.2232 | $5.3894 | $49.3821 | ||||||||||
25 | 110.4950 | 0.40% | $0.2231 | $5.6125 | $49.3565 | ||||||||||
26 | 110.9370 | 0.40% | $0.2230 | $5.8355 | $49.3309 | ||||||||||
27 | 111.3808 | 0.40% | $0.2229 | $6.0584 | $49.3054 | ||||||||||
28 | 111.8263 | 0.40% | $0.2228 | $6.2812 | $49.2798 | ||||||||||
29 | 112.2736 | 0.40% | $0.2226 | $6.5038 | $49.2543 | ||||||||||
30 | 112.7227 | 0.40% | $0.2225 | $6.7263 | $49.2288 | ||||||||||
Annualized Index Return | 0.40% | ||||||||||||||
Annualized ETN Return | -0.05% | ||||||||||||||
PS-8
A | B | C | D | E | F | |
Year | Index Level | Annualized Index Return | Yearly Investor Fee | Total | Closing Indicative Value | |
A | B | C | C x Previous CINV x 0.45% | Running total of D | C x Previous CINV – D | |
0 | 100.0000 | - | - | - | $50.0000 | |
1 | 103.0000 | 3.00% | $0.2318 | $0.2318 | $51.2683 | |
2 | 106.0900 | 3.00% | $0.2376 | $0.4694 | $52.5687 | |
3 | 109.2727 | 3.00% | $0.2437 | $0.7130 | $53.9021 | |
4 | 112.5509 | 3.00% | $0.2498 | $0.9629 | $55.2693 | |
5 | 115.9274 | 3.00% | $0.2562 | $1.2190 | $56.6712 | |
6 | 119.4052 | 3.00% | $0.2627 | $1.4817 | $58.1087 | |
7 | 122.9874 | 3.00% | $0.2693 | $1.7510 | $59.5826 | |
8 | 126.6770 | 3.00% | $0.2762 | $2.0272 | $61.0939 | |
9 | 130.4773 | 3.00% | $0.2832 | $2.3104 | $62.6436 | |
10 | 134.3916 | 3.00% | $0.2904 | $2.6007 | $64.2325 | |
11 | 138.4234 | 3.00% | $0.2977 | $2.8985 | $65.8618 | |
12 | 142.5761 | 3.00% | $0.3053 | $3.2037 | $67.5324 | |
13 | 146.8534 | 3.00% | $0.3130 | $3.5167 | $69.2453 | |
14 | 151.2590 | 3.00% | $0.3210 | $3.8377 | $71.0017 | |
15 | 155.7967 | 3.00% | $0.3291 | $4.1668 | $72.8027 | |
16 | 151.2590 | -2.91% | $0.3181 | $4.4849 | $70.3641 | |
17 | 146.8534 | -2.91% | $0.3074 | $4.7923 | $68.0073 | |
18 | 142.5761 | -2.91% | $0.2971 | $5.0894 | $65.7294 | |
19 | 138.4234 | -2.91% | $0.2872 | $5.3766 | $63.5278 | |
20 | 134.3916 | -2.91% | $0.2775 | $5.6541 | $61.3999 | |
21 | 130.4773 | -2.91% | $0.2683 | $5.9224 | $59.3433 | |
22 | 126.6770 | -2.91% | $0.2593 | $6.1816 | $57.3556 | |
23 | 122.9874 | -2.91% | $0.2506 | $6.4322 | $55.4344 | |
24 | 119.4052 | -2.91% | $0.2422 | $6.6744 | $53.5777 | |
25 | 115.9274 | -2.91% | $0.2341 | $6.9085 | $51.7831 | |
26 | 112.5509 | -2.91% | $0.2262 | $7.1347 | $50.0486 | |
27 | 109.2727 | -2.91% | $0.2187 | $7.3534 | $48.3722 | |
28 | 106.0900 | -2.91% | $0.2113 | $7.5647 | $46.7520 | |
29 | 103.0000 | -2.91% | $0.2043 | $7.7690 | $45.1860 | |
30 | 100.0000 | -2.91% | $0.1974 | $7.9664 | $43.6725 | |
Annualized Index Return | 0.00% | |||||
Annualized ETN Return | -0.45% |
PS-9
● | changes in the level of industrial and commercial activity with high levels of energy demand; |
● | disruptions in the supply chain or in the production or supply of other energy sources; |
● | price changes in alternative sources of energy; |
● | adjustments to inventory; |
● | variations in production and shipping costs; |
● | costs associated with regulatory compliance, including environmental regulations; and |
● | changes in industrial, government and consumer demand, both in individual consuming nations and internationally. |
“—Discontinuance or Modification of the Index” in this pricing supplement.
● | prevailing spot prices for natural gas and prices of the index components; |
● | supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker and any decision we may make not to issue additional ETNs or to cease or suspend sales of ETNs from inventory; |
● | the level of contango or backwardation in the markets for the relevant natural gas |
● | the time remaining to maturity of the ETNs; |
● | the volatility of the Index, the market prices of the index components and the prices of natural gas; |
● | economic, financial, political, regulatory, geographical or judicial events that affect the level of the Index or the market price of natural gas futures contracts; |
● | the general interest rate environment; |
● | the perceived creditworthiness of Barclays Bank PLC; or |
● | supply and demand as well as hedging activities in the commodity-linked structured product markets. |
● | Economic Significance. A commodity index should fairly represent the importance of a diversified group of commodities to the world economy. To achieve a fair representation, the Commodity Index uses both liquidity data and U.S. dollar-weighted production data in determining the relative quantities of included commodities. The Commodity Index primarily relies on liquidity data, or the relative amount of trading |
activity of a particular commodity, as an important indicator of the value placed on that commodity by financial and physical market participants. The Commodity Index also relies on production data as a useful measure of the importance of a commodity to the world economy. Production data alone, however, may underestimate the economic significance of storable commodities (e.g., gold) relative to non-storable commodities (e.g., live cattle). Production data alone also may underestimate the investment value that financial market participants place on certain commodities, and/or the amount of commercial activity that is centered around various commodities. Accordingly, production statistics alone do not necessarily provide as accurate a blueprint of economic importance as the pronouncements of the markets themselves. The Commodity Index thus relies on data that is both endogenous to the futures markets (liquidity) and exogenous to the futures markets (production) in determining relative weightings. |
● | Diversification. A second major goal of the Commodity Index is to provide diversified exposure to commodities as an asset class. Disproportionate weightings of any particular commodity or sector increase volatility and negate the concept of a broad-based commodity index. Instead of diversified commodities exposure, the investor is unduly subjected to micro-economic shocks in one commodity or sector. As described further below, diversification rules have been established and are applied annually. Additionally, the Commodity Index is rebalanced annually on a price-percentage basis in order to maintain diversified commodities exposure over time. |
● | Continuity. A third goal of the Commodity Index is to be responsive to the changing nature of commodity markets in a manner that does not completely reshape the character of the Commodity Index from year to year. The Commodity Index is intended to provide a stable benchmark, so that end-users may be reasonably confident that historical performance data (including such diverse measures as correlation, spot yield, roll yield and volatility) is based on a structure that bears some resemblance to both the current and future composition of the Commodity Index. |
● | Liquidity. Another goal of the Commodity Index is to provide a highly liquid index. The explicit inclusion of liquidity as a weighting factor helps to ensure that the Commodity Index can accommodate substantial investment flows. The liquidity of an index affects transaction costs associated with current investments. It also may affect the reliability of historical price performance data. |
Commodity Group | Commodity |
Energy | WTI Crude Oil |
Brent Crude Oil | |
Natural Gas | |
RBOB Gasoline | |
Low Sulphur Gas Oil | |
ULS Diesel | |
Grains | Corn |
Soybeans | |
Soybean Oil | |
Soybean Meal | |
Wheat (Chicago) | |
Wheat (KC HRW) | |
Industrial Metals | Aluminum |
Copper | |
Nickel | |
Zinc | |
Lead | |
Precious Metals | Gold |
Silver | |
Softs | Sugar |
Coffee | |
Cotton | |
Livestock | Live Cattle |
Lean Hogs |
Commodity Group | Commodity | Target Weight | Target Group Weight |
Energy | WTI Crude Oil | 7.77% | 29.95% |
Brent Crude Oil | 7.23% | ||
Natural Gas | 7.94% | ||
RBOB Gasoline | 2.20% | ||
Low Sulphur Gas Oil | 2.71% | ||
ULS Diesel | 2.10% | ||
Grains | Corn | 5.51% | 22.64% |
Soybeans | 5.78% | ||
Soybean Oil | 3.26% | ||
Soybean Meal | 3.53% | ||
Wheat (Chicago) | 2.79% | ||
Wheat (KC HRW) | 1.75% | ||
Industrial Metals | Aluminum | 4.09% | 15.94% |
Copper | 5.23% | ||
Nickel | 2.78% | ||
Zinc | 2.91% | ||
Lead | 0.94% | ||
Precious Metals | Gold | 14.85% | 19.44% |
Silver | 4.59% | ||
Softs | Sugar | 2.55% | 6.97% |
Coffee | 2.86% | ||
Cotton | 1.56% | ||
Livestock | Live Cattle | 3.32% | 5.06% |
Lean Hogs | 1.74% |
● | No single commodity (e.g., natural gas or silver) may constitute over 15% of the Commodity Index. |
● | No single commodity, together with its derivatives (e.g., WTI Crude Oil and Brent Crude Oil, together with ULS Diesel, Unleaded Gas and Low Sulfur Gas Oil), may constitute more than 25% of the Commodity Index. |
● | No related group of commodities (e.g., energy, precious metals, livestock or grains) may constitute more than 33% of the Commodity Index. |
● | No single commodity (e.g., natural gas or silver) may constitute less than 2% of the Commodity Index, as liquidity allows. |
● | the termination or suspension of, or material limitation or disruption in the trading of any futures contract used in the calculation of the Commodity Index on that day; |
● | the settlement price of any futures contract used in the calculation of the Commodity Index reflects the maximum permitted price change from the previous day’s settlement price; |
● | the failure of an exchange to publish official settlement prices for any futures contract used in the calculation of the Commodity Index; or |
● | with respect to any futures contract used in the calculation of the Commodity Index that trades on the LME, a BCOM Business Day on which the LME is not open for trading. |
reference only to the contract included in the Index (which, for purposes of the calculation, has a weighting of 100%).
At present, BISL disseminates the Index levels approximately every 15 seconds (assuming the Index levels have changed within such 15-second interval) from 10:00 p.m. to 3:20 p.m., New York City time, and publishes daily levels at approximately 5:00 p.m., New York City time, on Bloomberg page “BCOMNGTR <Index>.”
Hypothetical and Actual Historical Performance of the Index
Since its inception, the Index has experienced significant fluctuations. Any historical upward or downward trend in the level of the Index during any period shown below is not an indication that the level of the Index is more or less likely to increase or decrease at any time during the term of the ETNs. The historical levels do not give an indication of future performance of the Index. There can be no assurance that the future performance of the Index or its index components will result in holders of the ETNs receiving a positive return on their investment.
The Index was launched on February 1, 2006. All data relating to the period prior to the launch of the Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i) | on a hypothetical basis, how the Natural Gas Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and methodology described above; and |
(ii) | on an actual basis, how the Natural Gas Sub-Index has performed from December 29, 2006 onwards. |
December 31, 1991 | 69.376 |
December 31, 1992 | 106.788 |
December 31, 1993 | 116.684 |
December 30, 1994 | 78.231 |
December 29, 1995 | 81.730 |
December 31, 1996 | 126.078 |
December 31, 1997 | 116.435 |
December 31, 1998 | 69.198 |
December 31, 1999 | 71.611 |
December 29, 2000 | 321.190 |
December 31, 2001 | 70.380 |
December 31, 2002 | 98.186 |
December 31, 2003 | 125.137 |
December 31, 2004 | 93.294 |
December 30, 2005 | 147.224 |
December 29, 2006 | 43.043 |
December 31, 2007 | 34.736 |
December 31, 2008 | 21.851 |
December 31, 2009 | 10.586 |
December 31, 2010 | 6.289 |
December 30, 2011 | 3.327 |
December 31, 2012 | 2.308 |
December 31, 2013 | 2.423 |
December 31, 2014 | 1.679 |
December 31, 2015 | 1.008 |
December 30, 2016 | 1.113 |
December 29, 2017 | 0.708 |
December 31, 2018 | 0.707 |
December 31, 2019 | 0.707 |
December 31, 2020 | 0.258 |
December 31, 2021 | 0.330 |
December 31, 2022 | 0.394 |
April 10, 2023 | 0.192 |
Hypothetical and actual historical performance of the Index is not an indication of future performance. Future performance of the Index may differ significantly from hypothetical and actual historical performance, either positively or negatively.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-31
Bloomberg Natural Gas Subindex Total ReturnSM Historical Performance (Normalized)
December 31, 1999 - April 10, 2023
Source: Bloomberg
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
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License Agreement
“Bloomberg®,” “Bloomberg Commodity IndexSM,” “Bloomberg Commodity Index Total ReturnSM,” “Bloomberg Natural Gas Subindex Total ReturnSM” and “BCOM” are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the Index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by Barclays Bank PLC.
Any ETNs based on the Bloomberg Commodity Index are not sponsored, endorsed, sold or promoted by Bloomberg or any of its subsidiaries or affiliates. None of Bloomberg nor any of its subsidiaries or affiliates makes any representation or warranty, express or implied, to the holders of or counterparties to the ETNs or any member of the public regarding the advisability of investing in securities or commodities generally or in the ETNs particularly. The only relationship of Bloomberg or any of its subsidiaries or affiliates to Barclays Bank PLC is the licensing of certain trademarks, trade names and service marks and of the Bloomberg Commodity IndexSM, which is determined, composed and calculated by BISL without regard to Barclays Bank PLC or the ETNs. Bloomberg has no obligation to take the needs of Barclays Bank PLC or the holders of the ETNs into consideration in determining, composing or calculating the Bloomberg Commodity IndexSM. Bloomberg nor any of its subsidiaries or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of the ETNs to be issued or in the determination or calculation of the equation by which the ETNs are to be converted into cash. None of Bloomberg nor any of its subsidiaries or affiliates shall have any obligation or liability, including, without limitation, to securities customers, in connection with the administration, marketing or trading of the ETNs.
Purchasers of the ETNs should not conclude that the inclusion of a futures contract in the Bloomberg Commodity IndexSM is any form of investment recommendation of the futures contract or the underlying exchange-traded physical commodity by Bloomberg or any of its subsidiaries or affiliates. The information in this index supplement regarding the Bloomberg Commodity IndexSM components has been derived solely from publicly available documents. Bloombergnor any of its subsidiaries or affiliates has made any due diligence inquiries with respect to the Bloomberg Commodity IndexSM components in
connection with the ETNs. Bloomberg nor any of its subsidiaries or affiliates makes any representation that these publicly available documents or any other publicly available information regarding the Bloomberg Commodity IndexSM components, including without limitation a description of factors that affect the prices of such components, are accurate or complete.
BLOOMBERG DOES NOT GUARANTEE THE TIMELINESS, ACCURACY OR COMPLETENESS OF ANY DATA OR INFORMATION RELATING TO THE BLOOMBERG COMMODITY INDEXSM. BLOOMBERG MAKES NO WARRANTY, EXPRESSED OR IMPLIED, AS TO THE BLOOMBERG COMMODITY INDEXSM OR ANY DATA OR VALUES RELATING THERETO OR RESULTS TO BE OBTAINED THEREFROM, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT THERETO. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. BACK-TESTING PERFORMANCE IS NOT ACTUAL PERFORMANCE. TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES—WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTIAL, PUNITIVE OR OTHERWISE—ARISING IN CONNECTION WITH THE BLOOMBERG COMMODITY INDEXSM OR ANY DATA OR VALUES RELATING THERETO—WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE. NOTHING IN THE BLOOMBERG COMMODITY INDEXSM SHALL CONSTITUTE OR BE CONSTRUED AS AN OFFERING OF FINANCIAL INSTRUMENTS OR AS INVESTMENT ADVICE OR INVESTMENT RECOMMENDATIONS (I.E., RECOMMENDATIONS AS TO WHETHER OR NOT TO “BUY,” “SELL,” “HOLD” OR TO ENTER OR NOT TO ENTER INTO ANY OTHER TRANSACTION INVOLVING ANY SPECIFIC INTEREST OR INTERESTS) BY BLOOMBERG OR ITS AFFILIATES OR A RECOMMENDATION AS TO AN INVESTMENT OR OTHER STRATEGY BY BLOOMBERG OR ITS AFFILIATES. DATA AND OTHER INFORMATION AVAILABLE VIA THE BLOOMBERG COMMODITY INDEXSM SHOULD NOT BE CONSIDERED AS INFORMATION SUFFICIENT UPON WHICH TO BASE AN INVESTMENT DECISION. ALL
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INFORMATION PROVIDED BY THE BLOOMBERG COMMODITY INDEXSM IS IMPERSONAL AND NOT TAILORED TO NEEDS OF ANY PERSON, ENTITY OR GROUP OF PERSONS. BLOOMBERG AND ITS AFFILIATES DO NOT EXPRESS AN OPINION ON THE FUTURE OR EXPECTED VALUE OF ANY SECURITY OR OTHER INTEREST AND DO NOT EXPLICITLY OR IMPLICITLY RECOMMEND OR SUGGEST AN INVESTMENT STRATEGY OR ANY KIND.
The market value of the ETNs will be affected by several factors, many of which are beyond our control. We expect that generally the level of the Index on any day will affect the market value of the ETNs more than any other factors. Other factors that may influence the market value of the ETNs include, but are not limited to, prevailing spot prices for natural gas and prices of the index components; supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker and any decision we may make not to issue additional ETNs or to cease or suspend sales of ETNs from inventory; the level of contango or backwardation in the markets for the relevant natural gas futures contracts and the roll costs associated with maintaining a rolling position in such futures contracts; the time remaining to maturity of the ETNs; the volatility of the Index, the market prices of the index components and the price of natural gas; economic, financial, political, regulatory, geographical or judicial events that affect the level of the Index or the market price of natural gas futures contracts; the general interest rate environment; the perceived creditworthiness of Barclays Bank PLC; or supply and demand in the listed and over-the-counter commodity derivative markets. See “Risk Factors” in this pricing supplement for a discussion of the factors that may influence the market value of the ETNs prior to maturity.
These factors interrelate in complex ways, and the effect of one factor on the market value of your ETNs may offset or enhance the effect of another factor. See “Risk Factors” in this pricing supplement for a discussion of the factors that may influence the market value of the ETNs prior to maturity.
Intraday Indicative Value
The “intraday indicative value” is intended to provide investors with an approximation of the effect that changes in the level of the Index during the current trading day would have on the closing indicative value of the ETNs from the previous day. Intraday indicative value
differs from closing indicative value in two important respects. First, intraday indicative value is based on the most recent Index level published by the Index Sponsor, which reflects the most recent reported sales prices for the index components, rather than the closing indicative value for the immediately preceding calendar day. Second, the intraday indicative value only reflects the accrued investor fee at the close of business on the preceding calendar day, but does not include any adjustment for the accrued investor fee accruing during the course of the current day.
The intraday indicative value is published as a convenience for reference purposes only and does not represent the actual trading price of the ETNs, which may be influenced by bid-offer spreads, hedging and transaction costs and market liquidity, among other factors.
The intraday indicative value of the ETNs will be calculated by NYSE Euronext (the “IIV calculation agent”) or a successor under the ticker symbol GAZ.IV.
In connection with the ETNs, we use the term “intraday indicative value” to refer to the value at a given time on any trading day determined based on the following equation:
Intraday Indicative Value = Closing Indicative Value on the immediately preceding calendar day Í Current Daily Index Factor
where:
Closing Indicative Value = The closing indicative value of the ETNs as described in this pricing supplement;
Current Daily Index Factor = The most recent published level of the Index as reported by the Index Sponsor / the closing level of the Index on the immediately preceding index business day.
The IIV calculation agent is not affiliated with Barclays Bank PLC and does not approve, endorse, review or recommend Barclays Bank PLC or the ETNs.
The intraday indicative value will be derived from sources deemed reliable, but the IIV calculation agent and its respective suppliers do not guarantee the correctness or completeness of the intraday indicative value or other information furnished in connection with the ETNs. The IIV calculation agent makes no warranty, express or implied, as to results to be obtained by Barclays Bank PLC, Barclays Bank PLC’s customers, holders of the ETNs, or any other person or entity from the use of the intraday indicative value or any data included
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therein. The IIV calculation agent makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect to the intraday indicative value or any data included therein.
The IIV calculation agent and its employees, subcontractors, agents, suppliers and vendors shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of the IIV calculation agent, its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the intraday indicative value of the ETNs, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. The IIV calculation agent shall not be responsible for or have any liability for any injuries or damages caused by errors, inaccuracies, omissions or any other failure in, or delays or interruptions of, the intraday indicative value, from whatever cause. The IIV calculation agent is not responsible for the selection of or use of the Index or the ETNs, the accuracy and adequacy of the Index or information used by Barclays Bank PLC and the resultant output thereof.
The intraday indicative value calculation is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or termination of your ETNs. The actual trading price of the ETNs in the secondary market may vary significantly from their intraday indicative value. See “Risk Factors—Risks Relating to Liquidity and the Secondary Market—The ETNs May Trade at a Substantial Premium to or Discount from the Closing Indicative Value and/or the Intraday Indicative Value” in this pricing supplement.
Furthermore, as the intraday indicative value is calculated using the closing indicative value on the immediately preceding calendar day, the intraday indicative value published at any time during a given trading day will not reflect the investor fee that may have accrued over the course of such trading day. Published Index levels from the Index Sponsor may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current Index level and therefore the intraday indicative value of your ETNs. The actual trading price of the ETNs may be different from their intraday indicative value.
Split or Reverse Split of the ETNs
On any business day we may elect to initiate a split of your ETNs or a reverse split of your ETNs. Such date shall be deemed to be the “announcement date,” and we will issue a
notice to holders of the ETNs and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split and the split or reverse split ratio.
If the ETNs undergo a split, we will adjust the terms of the ETNs accordingly. For example, if the split ratio is 4 and hence the ETNs undergo a 4:1 split, every investor who holds an ETN via DTC on the relevant record date will, after the split, hold four ETNs, and adjustments will be made as described below. The record date for the split will be the 9th business day after the announcement date. The closing indicative value on such record date will be divided by 4 to reflect the 4:1 split of your ETNs. Any adjustment of closing indicative value will be rounded to 8 decimal places. The split will become effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a commercially reasonable manner determined by us in our sole discretion. For example, if the reverse split ratio is 4 and the ETNs undergo a 1:4 reverse split, every investor who holds 4 ETNs via DTC on the relevant record date will, after the reverse split, hold only one ETN and adjustments will be made as described below. The record date for the reverse split will be on the 9th business day after the announcement date. The closing indicative value on such record date will be multiplied by four to reflect the 1:4 reverse split of your ETNs. Any adjustment of closing indicative value will be rounded to 8 decimal places. The reverse split will become effective at the opening of trading of the ETNs on the business day immediately following the record date.
In the case of a reverse split, holders who own a number of ETNs on the record date which is not evenly divisible by the split ratio will receive the same treatment as all other holders for the maximum number of ETNs they hold which is evenly divisible by the split ratio, and we will have the right to compensate holders for their remaining or “partial” ETNs in a commercially reasonable manner determined by us in our sole discretion. Our current intention is to provide holders with a cash payment for their partials on the 17th business day following the announcement date in an amount equal to the appropriate percentage of the closing indicative value of the reverse split-adjusted ETNs on the 14th business day following the announcement date. For example, if the reverse split ratio is 1:4, a holder who held 23 ETNs via DTC on the record date would receive 5 post reverse split
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ETNs on the immediately following business day, and a cash payment on the 17th business day following the announcement date that is equal to 3/4 of the closing indicative value of the reverse split-adjusted ETNs on the 14th business day following the announcement date.
In the event of a reverse split, the redemption amount will be adjusted accordingly by the Issuer, in its sole discretion and in a commercially reasonable manner, to take into account the reverse split.
In this section, references to “holders” mean those who own the ETNs registered in their own names, on the books that we or the Trustee (as defined below), or any successor trustee, as applicable, maintain for this purpose, and not those who own beneficial interests in the ETNs registered in street name or in the ETNs issued in book-entry form through The Depository Trust Company (“DTC”) or another depositary. Owners of beneficial interests in the ETNs should read the section entitled “Description of Debt Securities—Legal Ownership; Form of Debt Securities” in the accompanying prospectus.
The ETNs are part of a series of debt securities entitled “Global Medium-Term Notes, Series A” (the “medium-term notes”) that we may issue under the senior debt securities indenture, dated September 16, 2004 (as may be amended or supplemented from time to time, the “Indenture”), between Barclays Bank PLC and The Bank of New York Mellon, as trustee (the “Trustee”), from time to time. This pricing supplement summarizes specific financial and other terms that apply to the ETNs. Terms that apply generally to all medium-term notes are described in “Summary—Medium-Term Notes” and “Terms of the Notes” in the accompanying prospectus supplement. The terms described in this pricing supplement supplement those described in the accompanying prospectus, prospectus supplement and any related free writing prospectuses and, if the terms described here are inconsistent with those described in those documents, the terms described here are controlling.
Please note that the information about the price to the public and the proceeds to Barclays Bank PLC on the front cover of this pricing supplement relates only to the initial sale of the ETNs. If you have purchased the ETNs in a market-making transaction after the initial sale, information about the price and date of sale to you will be provided in a separate confirmation of sale.
We describe the terms of the ETNs in more detail below.
Inception, Issuance and Maturity
The ETNs were first sold on March 8, 2017, which we refer to as the “inception date.” The ETNs were first issued on March 13, 2017, which we refer to as the “issue date,” and will be due on March 5, 2037.
If the maturity date stated on the cover of this pricing supplement is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed (as described above), the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final valuation date—and therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with respect to that deferred payment.
Coupon
We will not pay you interest during the term of the ETNs.
Denomination
We will offer the ETNs in denominations of $50. We reserve the right to initiate a split or reverse split of the ETNs in our sole discretion.
Payment at Maturity
If you hold your ETNs to maturity, you will receive a cash payment in U.S. dollars per ETN equal to the closing indicative value on the final valuation date.
The “closing indicative value” for each ETN on the initial valuation date was equal to $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value for each ETN will equal (1) the closing indicative value on the immediately preceding calendar day times (2) the daily index factor on such calendar day (or, if such day is not an index business day, one) minus (3) the investor fee on such calendar day. If the ETNs undergo any splits or reverse splits, the closing indicative value will be adjusted accordingly.
An “index business day” is a day on which the Index is calculated and published by the Index Sponsor.
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The “daily index factor” for each ETN on any index business day will equal (1) the closing level of the Index on such index business day divided by (2) the closing level of the Index on the immediately preceding index business day.
The “investor fee” for each ETN on the initial valuation date was equal to zero. On each subsequent calendar day until maturity or early redemption, the investor fee for each ETN will be equal to (1) 0.45% times (2) the closing indicative value on the immediately preceding calendar day times (3) the daily index factor on that day (or, if such day is not an index business day, one) divided by (4) 365. Because the investor fee is calculated and subtracted from the closing indicative value on a daily basis, the net effect of the investor fee accumulates over time and is subtracted at the rate of approximately 0.45% per year. Because the net effect of the investor fee is a fixed percentage of the value of each ETN, the aggregate effect of the investor fee will increase or decrease in a manner directly proportional to the value of each ETN and the amount of ETNs that are held, as applicable.
A “business day” means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City generally are authorized or obligated by law, regulation, or executive order to close.
A “trading day” with respect to the ETNs is a day that is an index business day and a business day and a day on which trading is generally conducted on NYSE Arca, in each case as determined by the calculation agent in its sole discretion.
A “valuation date” means each trading day from March 8, 2017 to March 2, 2037, inclusive, subject to postponement due to the occurrence of a market disruption event, such postponement not to exceed five trading days or, if such date is not a trading day, the next succeeding trading day.
The “initial valuation date” for the ETNs is March 8, 2017.
The “final valuation date” for the ETNs is March 2, 2037.
Maturity Date
If the maturity date stated on the cover of this pricing supplement is not a business day, the maturity date will be the next following business day. If the final valuation date is postponed (as described above), the maturity date will be the fifth business day following the final valuation date, as postponed. The calculation agent may postpone the final valuation date—and
therefore the maturity date—of the ETNs if a market disruption event occurs or is continuing on a day that would otherwise be the final valuation date or if the level of the Index is not available or cannot be calculated.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with respect to that deferred payment.
Payment Upon Holder Redemption and Upon Issuer Redemption
Up to the valuation date immediately preceding the final valuation date and subject to certain restrictions, you may elect to redeem your ETNs on any redemption date during the term of the ETNs, provided that you present at least 50,000 of the ETNs for redemption or your broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) bundles your ETNs for redemption with those of other investors to reach this minimum. We may from time to time, in our sole discretion, reduce this minimum redemption amount on a consistent basis for all holders of the ETNs. If you choose to redeem your ETNs, you will receive a cash payment in U.S. dollars for each ETN on the applicable redemption date equal to the closing indicative value on the applicable valuation date.
Notwithstanding the foregoing, we currently have reduced the minimum redemption amount to 5,000 ETNs. Our reduction of the minimum redemption amount will be available to any and all holders of the ETNs on such early redemption dates and will remain in effect until the waiver is removed by us at our sole discretion. We intend to provide to holders of the ETNs at least ten calendar days’ notice prior to removing any waiver for the reduction of the minimum redemption amount for the ETNs. We may, at any time and in our sole discretion, make further modifications to the minimum redemption amount, including, among others, to reinstate the minimum redemption amount of 50,000 ETNs for all redemption dates after such further modification. Any such modification will be applied on a consistent basis for all holders of the ETNs at the time such modification becomes effective.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any business day on or after the inception date until and including maturity. If we redeem the ETNs, you will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative value on the applicable valuation date.
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A “redemption date” is:
· | in the case of holder redemption, the third business day following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date; and |
· | in the case of issuer redemption, the fifth business day following the valuation date specified by us in the issuer redemption notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice. |
In the event that payment upon early redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable with respect to that deferred payment.
Early Redemption Procedures
Holder Redemption Procedures
You may, subject to the minimum redemption amount described above, elect to redeem your ETNs on any redemption date. To redeem your ETNs, you must instruct your broker or other person through whom you hold your ETNs to take the following steps:
· | deliver a notice of holder redemption, in proper form, which is attached as Annex A, to us via facsimile or email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of holder redemption, which is attached as Annex B; |
· | deliver the signed confirmation of holder redemption to us via facsimile or email in the specified form by 5:00 p.m., New York City time, on the same day. We or our affiliate must acknowledge receipt in order for your confirmation to be effective; |
· | instruct your DTC custodian to book a delivery vs. payment trade with respect to your ETNs on the valuation date at a price equal to the applicable closing indicative value, facing Barclays DTC 229; and |
· | cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable redemption date (the third business day following the valuation date). |
Different brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the ETNs in respect of such deadlines. If we do not receive your notice of holder redemption by 4:00 p.m., New York City time, or your confirmation of holder redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your ETNs on the applicable redemption date. Any redemption instructions for which we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable.
If you elect to redeem your ETNs on a redemption date that is later in time than the redemption date resulting from our subsequent election to exercise our issuer redemption right, your election to redeem your ETNs will be deemed to be ineffective, and your ETNs will instead be redeemed on the redemption date pursuant to such issuer redemption.
The redemption value is determined according to a formula which relies upon the closing indicative value and will be calculated on a valuation date that will occur after the redemption notice is submitted. It is not possible to publicly disclose, or for you to determine, the precise redemption value prior to your election to redeem. The redemption value may be below the most recent intraday indicative value or closing indicative value of your ETNs at the time when you submit your redemption notice.
Issuer Redemption Procedures
We have the right to redeem or “call” the ETNs (in whole but not in part) at our sole discretion without your consent on any business day on or after inception date until and including maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to the holders of such ETNs not less than ten calendar days prior to the redemption date on which we intend to redeem the ETNs. In this scenario, the final valuation date will be the date specified by us as such in such notice (subject to postponement in the event of a market disruption event as described below in this pricing supplement), and the ETNs will be redeemed on the fifth business day following such valuation date, but in no event prior to the tenth calendar day following the date on which we deliver such notice.
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Market Disruption Events
Each valuation date may be postponed and thus the determination of the level of the Index may be postponed if that valuation date is not a trading day or if the calculation agent determines that, on that valuation date, a market disruption event has occurred or is continuing in respect of the Index. Any commodity or commodity futures contract constituting part of the Index is referred to as an “index component” for purposes of this section.
Any of the following will be a “market disruption event”:
· | a material limitation, suspension or disruption of the trading day in any index component included directly or indirectly in the Index; |
· | the settlement price for any index component included directly or indirectly in the Index is a “limit price,” which means that the settlement price for that contract has increased or decreased from the previous day’s settlement price by the maximum amount permitted under the applicable rules or procedures of the relevant trading facility; or |
· | failure by the Index Sponsor to announce or publish the closing level of the Index or of the applicable trading facility or other price source to announce or publish the settlement price or closing level for one or more index components. |
The following events will not be market disruption events:
· | a decision by a trading facility to permanently discontinue trading in any index component. |
If the calculation agent determines that any valuation date (including the final valuation date) is not a trading day for any index component or on any valuation date (including the final valuation date) a market disruption event occurs or is continuing in respect of any index component, that valuation date will be postponed to the earlier of (i) the fifth trading day after the originally scheduled valuation date and (ii) the earliest date that the level, value or price of each index component that is affected by a market disruption event or by the non-trading day can be determined. If such a postponement occurs, the level, value or price of the index components unaffected by the market disruption event or non-trading day will be determined on the scheduled valuation date
and the level, value or price of any affected index component will be determined using the settlement level, value or price of that affected index component on the first trading day following the scheduled valuation date on which no market disruption event occurs or is continuing for that affected index component. In no event, however, will a valuation date be postponed by more than five trading days. If the calculation agent determines that a market disruption event occurs or is continuing in respect of any index component on the fifth trading day after the originally scheduled valuation date, the calculation agent will determine the level, value or price for the affected index component in good faith and in a commercially reasonable manner.
Default Amount on Acceleration
For the purpose of determining whether the holders of our medium-term notes, of which the ETNs are a part, are entitled to take any action under the Indenture, we will treat the principal amount of the ETNs outstanding as their principal amount. Although the terms of the ETNs may differ from those of the other medium-term notes, holders of specified percentages in principal amount of all medium-term notes, together in some cases with other series of our debt securities, will be able to take action affecting all the medium-term notes, including the ETNs. This action may involve changing some of the terms that apply to the medium-term notes, accelerating the maturity of the medium-term notes after a default or waiving some of our obligations under the Indenture. We discuss these matters in the attached prospectus under “Description of Debt Securities—Modification and Waiver” and “—Senior Events of Default; Dated Subordinated Enforcement Events and Remedies; Limitations on Suits.”
If an event of default occurs and the maturity of the ETNs is accelerated, the amount declared due and payable upon any acceleration of the ETNs will be determined by the calculation agent and will equal, for each ETN, the closing indicative value on the date of acceleration.
Further Issuances
We may, without your consent, create and issue additional securities having the same terms and conditions as the ETNs. If there is substantial demand for the ETNs, we may issue additional ETNs frequently. We may consolidate the additional securities to form a single class with the outstanding ETNs. However, we are under no obligation to create or sell additional ETNs at any time, and if we do
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create or sell additional ETNs, we may limit such sales and stop selling additional ETNs at any time.
We also reserve the right to cease or suspend sales of ETNs from inventory held by our affiliate Barclays Capital Inc. at any time. If we limit, restrict or stop sales of ETNs, or if we subsequently resume sales of ETNs, the liquidity and trading price of the ETNs in the secondary market could be materially and adversely affected.
Discontinuance or Modification of the Index
If the Index Sponsor discontinues publication of the Index and the Index Sponsor or any other person or entity publish an index that the calculation agent determines is comparable to the Index and approves as a successor index, then the calculation agent will determine the level of the Index on the applicable valuation date and the amount payable at maturity or upon early redemption by reference to such successor index.
If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing level of the Index is not available because of a market disruption event or for any other reason, on the date on which the level of the Index is required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the Index.
If the calculation agent determines that the Index, the index components or the method of calculating the Index has been changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of index components, and whether the change is made by the Index Sponsor under their existing policies or following a modification of those policies, is due to the publication of a successor index, is due to events affecting one or more of the index components, or is due to any other reason—then the calculation agent will be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the level of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent may be made in the calculation agent’s sole discretion. See “Risk
Factors” in this pricing supplement for a discussion of certain conflicts of interest which may arise with respect to the calculation agent.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated by you and approved by us, or at the office of the Trustee in New York City, but only when the ETNs are surrendered to the Trustee at that office. We also may make any payment or delivery in accordance with the applicable procedures of DTC.
Role of Calculation Agent
Currently, Barclays Bank PLC serves as the calculation agent. We may change the calculation agent after the original issue date of the ETNs without notice. The calculation agent will, in its sole discretion, make all determinations regarding the value of the ETNs, including at maturity or upon early redemption, market disruption events, business days, index business days, trading days, valuation dates, the daily index factor, the investor fee, the default amount, the level of the Index on any valuation date, the closing indicative value of the ETNs on any valuation date, the maturity date, redemption dates, the amount payable in respect of your ETNs at maturity or upon early redemption and any other calculations or determinations to be made by the calculation agent as specified herein. Absent manifest error, all determinations of the calculation agent will be final, conclusive and binding on you and us, without any liability on the part of the calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result of any of the above determinations by the calculation agent.
The calculation agent reserves the right to make adjustments to correct errors contained in previously published information and to publish the corrected information, but is under no obligation to do so and shall have no liability in respect of any errors or omissions contained in any subsequent publication.
DTC participants that hold the ETNs through DTC on behalf of investors will follow the settlement practices applicable to equity securities in DTC’s settlement system with respect to the primary distribution of the ETNs and secondary market trading between DTC participants.
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We will use the net proceeds we receive from the sale of the ETNs for the purposes we describe in the accompanying prospectus supplement under “Use of Proceeds and Hedging.” We or our affiliates may also use those proceeds in transactions intended to hedge our obligations under the ETNs as described below.
In anticipation of the sale of the ETNs, we or our affiliates expect to enter into hedging transactions involving purchases of instruments linked to the Index prior to or on the inception date. In addition, from time to time after we issue the ETNs, we or our affiliates may enter into additional hedging transactions or unwind those hedging transactions we have entered into. In this regard, we or our affiliates may:
· | acquire or dispose of long or short positions in listed or over-the-counter options, futures, or other instruments linked to some or all of the index components (including the underlying physical commodities) or the Index; |
· | acquire or dispose of long or short positions in listed or over-the-counter options, futures, or other instruments linked to the level of other similar market indices, contracts or commodities; or |
· | any combination of the above two. |
We or our affiliates may acquire a long or short position in securities similar to the ETNs from time to time and may, in our or their sole discretion, hold or resell those securities.
Our affiliate, Barclays Capital Inc., may make a market in the ETNs. In connection with any such market making activities, Barclays Capital Inc. may acquire long or short positions in the ETNs, including through options or other derivative financial instruments linked to the ETNs, and may hedge such long or short positions by selling or purchasing the ETNs or entering into options or other derivative financial instruments linked to the ETNs.
We or our affiliates may close out our or their hedge positions on or before the final valuation date. That step may involve sales or purchases of listed or over-the-counter options or futures on index components (including the underlying physical commodities) or listed or over-the-counter options, futures, or other instruments linked to the level of the index components or the Index, as well as other indices designed to track the performance of the Index or other components of the commodities market.
The hedging activity discussed above may adversely affect the level of the Index and, as a consequence, the ETNs from time to time and the amount payable at maturity or upon early redemption. See “Risk Factors” in this pricing supplement for a discussion of possible adverse effects related to our hedging activities.
MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS
The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus supplement and, when read in combination therewith, is the opinion of Davis Polk & Wardwell LLP, our special tax counsel. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith. This section applies to you only if you are a U.S. Holder (as defined below) and you hold your ETNs as capital assets for tax purposes. This discussion does not address all aspects of U.S. federal income taxation that may be relevant to you in light of your particular circumstances, including alternative minimum tax consequences and the application of the “Medicare contribution tax” on investment income. This section does not apply to you if you are a member of a class of U.S. Holders subject to special rules, such as:
· | a dealer in securities; |
· | a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings; |
· | a financial institution; |
· | an insurance company; |
· | a tax-exempt entity, including an “individual retirement account” or “Roth IRA” as defined in Code Section 408 or 408A, respectively; |
· | a “regulated investment company” as defined in Code Section 851; |
· | a “real estate investment trust” as defined in Code Section 856; |
· | a partnership or other pass-through entity; |
· | a person that owns an ETN as part of a straddle or conversion transaction for tax purposes or that has entered into a “constructive sale” with respect to the ETN; or |
· | a person whose functional currency for tax purposes is not the U.S. dollar. |
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If you are a partnership for U.S. federal income tax purposes, the U.S. federal income tax treatment of your partners will generally depend on the status of your partners and your activities.
This section is based on the Code, its legislative history, existing and proposed regulations under the Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis.
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the ETNs in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
You are a U.S. Holder if you are a beneficial owner of an ETN and you are for U.S. federal income tax purposes:
· | a citizen or individual resident of the United States; |
· | a corporation or other entity taxable as a corporation created or organized under the laws of the United States, any state therein or the District of Columbia; |
· | an estate whose income is subject to U.S. federal income tax regardless of its source; or |
· | a trust if a U.S. court can exercise primary supervision over the trust’s administration and one or more U.S. persons are authorized to control all substantial decisions of the trust. |
In the opinion of our special tax counsel, which is based on current market conditions, the ETNs should be treated for U.S. federal income tax purposes as prepaid forward contracts with respect to the Index that are not debt instruments. If the ETNs are so treated, you should not recognize taxable income or loss over the term of the ETNs prior to maturity, other than pursuant to a sale, exchange, early redemption, or “deemed exchange” as described below. You should generally recognize capital gain or loss upon the sale, exchange, early redemption or maturity of your ETNs in an amount equal to the difference between the amount you receive at such time and your tax basis in the ETNs. In general, your tax basis in your ETNs will be equal to the price you paid for your ETNs. This capital gain or loss should be long-term capital gain or loss if you have held the ETN for more than one year at
that time. The deductibility of capital losses is subject to limitations. Unless otherwise indicated, the following discussion assumes that the treatment of the ETNs as prepaid forward contracts that are not debt is correct.
The IRS could assert that a “deemed” taxable exchange has occurred on one or more roll dates or Index rebalance dates under certain circumstances. If the IRS were successful in asserting that a taxable exchange had occurred, you could be required to recognize gain (but probably not loss), which would equal the amount by which the fair market value of the ETN exceeds your tax basis therein on the relevant roll date or Index rebalance date. Any gain recognized on a deemed exchange should be capital gain. You should consult your tax advisor regarding the possible U.S. federal income tax consequences of Index rolls or rebalancings.
Alternative Treatments
There is no judicial or administrative authority discussing how your ETNs should be treated for U.S. federal income tax purposes. Therefore the IRS might assert that your ETNs should be treated in a manner that differs from that described above. For example, the IRS might assert that your ETNs should be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments. If your ETNs were so treated, regardless of whether you are an accrual-method or cash-method taxpayer, you would be required to accrue interest income over the term of your ETNs based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your ETNs. You would recognize gain or loss upon the sale, exchange, early redemption or maturity of your ETNs in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted basis in your ETNs. In general, your adjusted basis in your ETNs would be equal to the amount you paid for your ETNs, increased by the amount of interest you previously accrued with respect to your ETNs. Any gain you recognize upon the sale, exchange, early redemption or maturity of your ETNs would be ordinary income and any loss recognized by you at such time would be ordinary loss to the extent of interest you included in income in the current or previous taxable years in respect of your ETNs, and thereafter, would be capital loss. Additionally, if you recognized a loss above certain thresholds, you might be required to file a disclosure statement with the IRS.
Even if the treatment of the ETNs as prepaid
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forward contracts that are not debt instruments is respected, due to the lack of controlling authority there remain significant additional uncertainties regarding the tax consequences of your ownership and disposition of your ETNs. For instance, you might be required to treat all or a portion of the gain or loss on the sale or exchange of your ETNs as ordinary income or loss or as short-term capital gain or loss, without regard to how long you held your ETNs.
Moreover, it is possible that the IRS could seek to tax your ETNs by reference to your deemed ownership of the Index components. In this case, it is possible that Code Section 1256 could apply to your ETNs, in which case any gain or loss that you recognize with respect to the ETNs that is attributable to the regulated futures contracts represented in the Index would be treated as 60% long-term capital gain or loss and 40% short-term capital gain or loss, without regard to your holding period in the ETNs, and you would be required to mark such portion of the ETNs to market at the end of each taxable year (i.e., recognize gain and loss as if the relevant portion of your ETNs had been sold for fair market value).
In addition, in 2007, the U.S. Treasury Department and the IRS released a notice that may affect the taxation of the ETNs. According to the notice, the U.S. Treasury Department and the IRS are actively considering whether the beneficial owner of an instrument such as the ETNs should be required to accrue ordinary income on a current basis. The notice also states that the U.S. Treasury Department and the IRS are considering other relevant issues, including whether gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. investors in instruments such as the ETNs should be subject to withholding tax on any deemed income accruals, and whether the special “constructive ownership rules” of Code Section 1260 might be applied to such instruments.
It is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the ETNs.
No statutory, judicial or administrative authority directly discusses how your ETNs should be treated for U.S. federal income tax purposes. As a result, the U.S. federal income tax consequences of your investment in the ETNs are uncertain and alternative characterizations are possible. Accordingly, we urge you to consult your tax advisor in determining the tax consequences of an investment in your ETNs in your particular circumstances,
including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
“Specified Foreign Financial Asset” Reporting
Owners of “specified foreign financial assets” with an aggregate value in excess of $50,000 (and in some circumstances, a higher threshold) may be required to file an information report with respect to such assets with their tax returns. “Specified foreign financial assets” may include any financial accounts maintained by foreign financial institutions as well as any of the following (which may include the ETNs), but only if they are held for investment and not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-U.S. persons, (ii) financial instruments and contracts that have non-U.S. issuers or counterparties and (iii) interests in foreign entities. Holders are urged to consult their tax advisors regarding the application of this legislation to their ownership of the ETNs.
Information Reporting and Backup Withholding
Please see the discussion under “Material U.S. Federal Income Tax Consequences—Information Reporting and Backup Withholding” in the accompanying prospectus supplement for a description of the applicability of the information reporting and backup withholding rules to payments made on your ETNs.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We sold a portion of the ETNs on the inception date at 100% of the principal amount through Barclays Capital Inc., our affiliate, as principal, in the initial distribution. Following the inception date, the remainder of the ETNs will be offered and sold from time to time through Barclays Capital Inc., as agent. Sales of the ETNs by us after the inception date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. Barclays Capital Inc. will not receive an agent’s commission in connection with sales of the ETNs.
In connection with this offering, we will sell the ETNs to dealers (including our affiliate Barclays Capital Inc.) as principal, and such dealers may then resell ETNs to the public at varying prices that the dealers will determine at the time of resale. In addition, such dealers may make a market in the ETNs, although none of them is obligated to do so and any of them may stop doing so at any time without notice. This prospectus (including this pricing supplement and the accompanying prospectus and prospectus supplement) may be used by such dealers in connection with market-making
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transactions. In these transactions, dealers may resell an ETN covered by this prospectus that they acquire from us or other holders after the original offering and sale of the ETNs, or they may sell an ETN covered by this prospectus in short sale transactions.
Barclays Capital Inc., or another affiliate of ours, or a third party distributor, may purchase and hold some of the ETNs for subsequent resale at variable prices after the initial issue date of the ETNs. In offering ETNs for sale after the initial issue date of the ETNs, there may be circumstances where investors may be offered ETNs from one distributor (including Barclays Capital Inc. or an affiliate) at a more favorable price than from other distributors. Furthermore, from time to time, Barclays Capital Inc. or an affiliate may offer and sell ETNs to purchasers of a large quantity of the ETNs at a more favorable price than it would offer to a purchaser acquiring a smaller quantity of the ETNs.
Broker-dealers and other persons are cautioned that some of their activities may result in their being deemed participants in the distribution of the ETNs in a manner that would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act of 1933, as amended (the “Securities Act”). Among other activities, broker-dealers and other persons may make short sales of the ETNs and may cover such short positions by borrowing ETNs from us or our affiliates or by purchasing ETNs from us or our affiliates subject to our obligation to repurchase such ETNs at a later date. As a result of these activities, these market participants may be deemed statutory underwriters. A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the activities of the participant in the particular case, and the example mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject a market participant to the prospectus delivery and liability provisions of the Securities Act. This prospectus will be deemed to cover any short sales of ETNs by market participants who cover their short positions with ETNs borrowed or acquired from
us or our affiliates in the manner described above.
VALIDITY OF THE ADDITIONAL ETNS
In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the ETNs expected to be issued on April 12, 2023 (the “Additional ETNs”) have been executed and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the Indenture, and delivered against payment as contemplated herein, such Additional ETNs will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLC’s permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of May 23, 2022, filed as an exhibit to the Registration Statement on Form F-3ASR by Barclays Bank PLC on May 23, 2022, and this opinion is subject to the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the Indenture and its authentication of the Additional ETNs and the validity, binding nature and enforceability of the Indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP, dated May 23, 2022, which has been filed as an exhibit to the Registration Statement referred to above.
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NOTICE OF HOLDER REDEMPTION
Email or Fax to: etndesk@barclays.com or 212-412-1232
Subject: iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM ETN, Notice of Holder Redemption, CUSIP No. 06745T368
[BODY OF EMAIL]
Name of holder: [ ]
Number of ETNs to be redeemed: [ ]
Applicable Valuation Date: [ ], 20[ ]
Contact Name: [ ]
Telephone #: [ ]
Acknowledgement: I acknowledge that the ETNs specified above will not be redeemed unless all of the requirements specified in the pricing supplement relating to the ETNs are satisfied.
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CONFIRMATION OF HOLDER REDEMPTION
Dated:
Barclays Bank PLC
Barclays Bank PLC, as Calculation Agent
Fax: 212-412-1232
Email: etndesk@barclays.com
Dear Sir/Madam:
The undersigned holder of Barclays Bank PLC’s Global Medium-Term Notes, Series A, iPath® Series B Bloomberg Natural Gas Subindex Total ReturnSM ETN (the “ETNs”), CUSIP No. 06745T368, redeemable for a cash amount under the terms of the ETNs, hereby irrevocably elects to exercise, on the redemption date of ____________, with respect to the number of ETNs indicated below, as of the date hereof, the redemption right as described in the pricing supplement relating to the ETNs (the “Pricing Supplement”). Terms not defined herein have the meanings given to such terms in the Pricing Supplement.
The undersigned certifies to you that it will (i) instruct its DTC custodian with respect to the ETNs (specified below) to book a delivery vs. payment trade on the valuation date with respect to the number of ETNs specified below at a price per ETN equal to the closing indicative value on the applicable valuation date, facing Barclays DTC 229 and (ii) cause the DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the redemption date.
Very truly yours,
[NAME OF HOLDER]
______________________________________
Name:
Title:
Telephone:
Fax:
E-mail:
Number of ETNs surrendered for redemption:
____________________________________________
DTC # (and any relevant sub-account): ____________________________________________
Contact Name:
Telephone:
(You must redeem at least 50,000 ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date.)
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