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Barclays Bank PLC – ‘424B2’ on 10/31/14

On:  Friday, 10/31/14, at 5:19pm ET   ·   Accession #:  1193125-14-392227   ·   File #:  333-190038

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

10/31/14  Barclays Bank PLC                 424B2                  1:280K                                   Donnelley … Solutions/FA

Document/Exhibit                   Description                      Pages   Size 

 1: 424B2       Pricing Supplement -- Wo Rty-Efa                    HTML    150K 

CALCULATION OF REGISTRATION FEE

		$3,075,000   Notes due November 3, 2015   Linked to the Lesser Performing Reference Asset of the Russell 2000® Index   and the iShares® MSCI EAFE ETF   Global Medium-Term Notes, Series A

Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.

[Terms of the Notes Continue on the Next Page]

Investing in the Notes involves a number of risks. See “Risk Factors” beginning on page S-4 of the prospectus supplement and “Selected Risk Considerations” beginning on page PS-10 of this pricing supplement.

We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market resale transaction.

The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.

Terms of the Notes, Continued

PS-2

ADDITIONAL TERMS SPECIFIC TO THE NOTES

You should read this pricing supplement together with the prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013 and the index supplement dated July 19, 2013 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement and the index supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.

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

http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm

http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm

http://www.sec.gov/Archives/edgar/data/312070/000119312513295727/d570220d424b3.htm

Our SEC file number is 1-10257. As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to Barclays Bank PLC.

PS-3

ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES

Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates, and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding rates. Our estimated value of the Notes may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.

Our estimated value of the Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.

Our estimated value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.

Assuming that all relevant factors remain constant after pricing date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately one month after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes which we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, including the tenor of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market conditions and other factors that cannot be predicted.

We urge you to read the “Selected Risk Considerations” beginning on page PS-10 of this pricing supplement.

PS-4

HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE ON THE NOTES

The following table illustrates the hypothetical total return on the Notes under various circumstances. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments on the Notes (including the payment at maturity and the interest payments on the Notes) per $1,000 principal amount Note to $1,000. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table have been rounded for ease of analysis and do not take into account any tax consequences of investing the notes. The hypothetical examples below also make the following key assumptions:

The following examples illustrate how the total returns set forth in the table above are calculated.

Example 1: The Index increases from an Initial Level of 100.00 to a Final Level of 105.00 and the ETF increases from an Initial Level of $100.00 to a Final Level of $115.00.

Because the Reference Asset Return of the Index is less than the Reference Asset Return of the ETF, the Index is the Lesser Performing Reference Asset. Because the Reference Asset Return of the Lesser Performing Reference Asset is not less than -15.00%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note (plus the final interest payment on the Notes).

The total return on investment of the Notes is 5.84%.

PS-5

Example 2: The Index increases from an Initial Level of 100.00 to a Final Level of 110.00 and the ETF decreases from an Initial Level of $100.00 to a Final Level of $90.00.

Because the Reference Asset Return of the ETF of is less than the Reference Asset Return of the Index, the ETF is the Lesser Performing Reference Asset. Because the Reference Asset Return of the Lesser Performing Reference Asset is not less than -15.00%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note (plus the final interest payment on the Notes).

The total return on investment of the Notes is 5.84%.

Example 3: The Index decreases from an Initial Level of 100.00 to a Final Level of 50.00 and the ETF increases from an Initial Level of $100.00 to a Final Level of $105.00.

Because the Reference Asset Return of the Index of is less than the Reference Asset Return of the ETF, the Index is the Lesser Performing Reference Asset. Because the Reference Asset Return of the Lesser Performing Reference Asset is less than -15.00%, the investor receives a payment at maturity of $588.24 per $1,000 principal amount Note (plus the final interest payment on the Notes), calculated as follows:

$1,000 + [$1,000 × (Reference Asset Return of the Lesser Performing Reference Asset + Buffer Percentage) × Downside Leverage Factor]

$1,000 + [$1,000 × (-50.00% + 15.00%) × 1.17647] = $588.24

The total return on investment of the Notes is -35.34%.

Example 4: The Index decreases from an Initial Level of 100.00 to a Final Level of 60.00 and the ETF decreases from an Initial Level of $100.00 to a Final Level of $80.00.

Because the Reference Asset Return of the Index of is less than the Reference Asset Return of the ETF, the Index is the Lesser Performing Reference Asset. Because the Reference Asset Return of the Lesser Performing Reference Asset is less than -15.00%, the investor receives a payment at maturity of $705.88 per $1,000 principal amount Note (plus the final interest payment on the Notes), calculated as follows:

$1,000 + [$1,000 × (Reference Asset Return of the Lesser Performing Reference Asset + Buffer Percentage) × Downside Leverage Factor]

$1,000 + [$1,000 × (-40.00% + 15.00%) × 1.17647] = $705.88

The total return on investment of the Notes is -23.57%.

Examples 3 and 4 above demonstrate that the payment at maturity on your Notes (excluding the final interest payment) will be based solely on the Reference Asset Return of the Lesser Performing Reference Asset. Example 3 demonstrates that, if the Reference Asset Return of the Lesser Performing Reference Asset is less than -15.00%, the Notes will be exposed on an accelerated basis to the negative performance of such Reference Asset, even if the Reference Asset Return of the other Reference Asset is positive. Example 4 further demonstrates that if the Reference Asset Returns of both Reference Assets are less than -15.00%, the payment at maturity on the Notes (excluding the final interest payment) the Notes will be exposed on an accelerated basis solely to the negative performance of the Lesser Performing Reference Asset. In either case, the investor will lose some or all of the principal amount of their Notes, and the amount of such loss will not be mitigated in any way by virtue of the fact that the Reference Asset Return of the other Reference Asset is higher than the Reference Asset Return of the Lesser Performing Reference Asset.

PS-6

SELECTED PURCHASE CONSIDERATIONS

Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Valuation Date may be postponed by up to five Reference Asset Business Days (or days that would have been Reference Asset Business Days but for the occurrence of a Market Disruption Event), as described above.

For a description of what constitutes a Market Disruption Event with respect to the Index, see “Reference Assets—Indices—Market Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities” in the accompanying prospectus supplement. For a description of what constitutes a Market Disruption Event with respect to the ETF, see “Reference Assets—Exchange-Traded Funds—Market Disruption Events for Securities with the Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds Comprised of Equity Securities” in the accompanying prospectus supplement.

The U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described below. Pursuant to the terms of the Notes, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or judicial ruling to the contrary, to treat your Notes as an investment unit consisting of (i) a fixed-rate short-term debt obligation that we issued to you for an amount equal to the principal amount of the Notes (the “Deposit”) and (ii) a put option in respect of the Lesser Performing Reference Asset (the “Put Option”) which you sold to us in exchange for a portion of the stated interest on the Notes (the “Put Premium”). On the cover page of this pricing supplement, we have determined the amount of each interest payment that represents interest on the Deposit (this amount is denoted as “Deposit Income”) and the amount that represents Put Premium (this amount is denoted as “Put Premium”). The terms of your Notes require you and us to allocate the interest payments as set forth on the cover page, but this allocation is not binding on the Internal Revenue Service. Except as otherwise noted below, the discussion below assumes that your Notes will be treated in the manner described above.

PS-7

In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described above. This opinion assumes that the description of the terms of the Notes in this pricing supplement is materially correct.

NO STATUTORY, JUDICIAL OR ADMINISTRATIVE AUTHORITY DIRECTLY DISCUSSES HOW YOUR NOTES 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 NOTES ARE UNCERTAIN. ACCORDINGLY, WE URGE YOU TO CONSULT YOUR TAX ADVISOR AS TO THE TAX CONSEQUENCES OF INVESTING IN THE NOTES.

It would generally be reasonable to account for amounts treated as interest on the Deposit as subject to tax as ordinary income at the time you receive or accrue such payments, depending on your method of accounting for tax purposes. The rules governing short-term debt obligations are complex, however, and you should consult your tax advisor in this regard. For a further discussion of the tax considerations applicable to short-term debt obligations, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Short-Term Obligations” in the accompanying prospectus supplement. Amounts treated as Put Premium should generally be deferred and accounted for upon the sale or maturity of the Notes, as discussed below.

The receipt of cash upon the maturity of your Notes (excluding cash attributable to the final monthly interest payment on the Notes) would likely be treated as (i) payment in full of the principal amount of the Deposit, which would likely not result in the recognition of gain or loss, and (ii) the lapse (if you receive the principal amount of the Notes) or the cash settlement (if you receive less than the principal amount of the Notes) of the Put Option. Under such characterization, you should generally recognize short-term capital gain or loss in an amount equal to the difference between (i) the amount of Put Premium paid to you over the term of the Notes (including the Put Premium received at maturity) and (ii) the excess (if any) of (a) the principal amount of your Notes over (b) the amount of cash you receive at maturity (excluding cash attributable to the final monthly interest payment on the Notes).

Upon a sale of your Notes, you should generally recognize short-term capital gain or loss in an amount equal to the difference between (i) the sum of (a) the amount you receive at such time (excluding amounts attributable to accrued or unpaid interest on the Deposit) and (b) any amount of Put Premium previously received and deferred as described above and (ii) the amount you paid for your Notes. Short-term capital gains are generally subject to tax at the marginal tax rates applicable to ordinary income.

Any character mismatch arising from your inclusion of ordinary income in respect of the interest on the Deposit and capital loss (if any) upon the sale or maturity of your Notes may result in adverse tax consequences to you because an investor’s ability to deduct capital losses is subject to significant limitations.

Alternative Treatments. There are no regulations, published rulings or judicial decisions addressing the treatment for U.S. federal income tax purposes of instruments with terms that are substantially the same as the Notes, and the Internal Revenue Service could assert that the Notes should be taxed differently than in the manner described above. For example, it is possible that the Notes could be treated as a contingent short-term debt obligation. If your Notes are so treated, you may be required to include as ordinary income the entire monthly interest payment on the Notes (and not just the interest on the Deposit). However, no specific rules govern contingent short-term debt obligations, and accordingly you should consult your tax advisor regarding this alternative characterization of the Notes.

It is also possible that the Notes could be treated as a pre-paid income-bearing derivative contract in respect of the Reference Assets, in which case you may be required to include the entire monthly interest payment on the Notes in ordinary income (and not just the interest on the Deposit).

Furthermore, it is also possible that the Notes could be treated as notional principal contracts that are comprised of a swap component and a loan component. If the Notes were treated as notional principal contracts, you could in effect be required to include all of the stated interest in income, rather than only the portion thereof denoted as Deposit Income on the cover page of the preliminary pricing supplement, and any gain or loss that you recognize upon the maturity of your Notes would likely be treated as ordinary income or loss.

For a further discussion of the tax treatment of your Notes as well as other possible alternative characterizations, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—Certain Notes Treated as Deposits and Put Options” in the accompanying prospectus supplement. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes. For additional, important considerations related to tax risks associated with investing in the Notes, you should also examine the discussion in “Selected Risk Considerations—Taxes”, in this pricing supplement.

Non-U.S. Holders. Barclays currently does not withhold on payments to non-U.S. holders in respect of instruments such as the Notes. However, if Barclays determines that there is a material risk that it will be required to withhold on any such payments, Barclays may withhold on any interest payments at a 30% rate, unless you have provided to Barclays (i) a valid Internal Revenue Service Form W-8ECI or (ii) a valid Internal Revenue Service Form W-8BEN or Internal Revenue Service Form W-8BEN-E

PS-8

claiming tax treaty benefits that reduce or eliminate withholding. If Barclays elects to withhold and you have provided Barclays with a valid Internal Revenue Service Form W-8BEN or Internal Revenue Service Form W-8BEN-E claiming tax treaty benefits that reduce or eliminate withholding, Barclays may nevertheless withhold up to 30% on any interest payments it makes to you if there is any possible characterization of the payments that would not be exempt from withholding under the treaty. Non-U.S. holders will also be subject to the general rules regarding information reporting and backup withholding as described under the heading “Certain U.S. Federal Income Tax Considerations—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.

The following replaces the discussion of Section 871(m) of the Internal Revenue Code in the accompanying prospectus supplement under “Certain U.S. Federal Income Tax Considerations—Tax Treatment of Non-U.S. Holders.” Under recently proposed regulations, non-U.S. holders will not be subject to the Section 871(m) withholding tax described in the accompanying prospectus supplement under “Certain U.S. Federal Income Tax Considerations—Tax Treatment of Non-U.S. Holders” on payments made prior to January 1, 2016; accordingly, holders of the Notes will not be subject to this tax.

PS-9

SELECTED RISK CONSIDERATIONS

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more detail in the “Risk Factors” section of the accompanying prospectus supplement and index supplement, including the risk factors discussed under the following headings:

In addition to the risks described above, you should consider the following:

PS-10

PS-11

PS-12

PS-13

INFORMATION REGARDING THE REFERENCE ASSETS

The Index

As noted above, the Index is designed to track the performance of the small capitalization segment of the U.S. equity market.

For more details about the Index, the index sponsor and license agreement between the index sponsor and the issuer, as well as certain risk factors that you should consider, see “Reference Assets—Non-Proprietary Indices—Equity Indices—Russell 2000^® Index” and “Risk Factors” on page IS-31 and IS-2, respectively, of the accompanying index supplement.

Historical Performance of the Index

You should not take the historical levels of the Index as an indication of the future performance of the Index. The Closing Level of the Index has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the Closing Level of the Index during any period shown below is not an indication that the Index is more or less likely to increase or decrease at any time during the life of the Notes.

Neither we nor any of our affiliates make any representation to you as to the performance of the Index. The actual performance of the Index over the life of the offered Notes, as well as the payment at maturity, may bear little relation to the historical levels shown below.

The table below shows the high, low and final Closing Level of the Russell 2000 Index for each of the four calendar quarters in 2008, 2009, 2010, 2011, 2012, 2013 and 2014 (through October 28, 2014). We obtained the Closing Levels listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.

PS-14

The following graph sets forth the historical performance of Russell 2000 Index the based on daily Closing Levels from January 1, 2008 through October 29, 2014. The Closing Level of the Russell 2000 Index on October 29, 2014 was 1,146.37.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

PS-15

The ETF

We have derived all information contained in this pricing supplement regarding the ETF, including, without limitation, its make-up, method of calculation and changes in its components, from the ETF’s prospectus dated December 30, 2013 and other publicly available information. We have not independently verified such information. Such information reflects the policies of, and is subject to change by BlackRock Inc. and its affiliates (collectively, “BlackRock”). The ETF is an investment portfolio maintained and managed by iShares^® Trust. BlackRock Fund Advisors (“BFA”) is currently the investment adviser to the ETF. The ETF is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol “EFA.”

iShares^® Trust is a registered investment company that consists of numerous separate investment portfolios, including the ETF. Information provided to or filed with the SEC by iShares^® Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. For additional information regarding iShares^® Trust, BFA and the ETF, please see the ETF’s prospectus. In addition, information about iShares^® and the ETF may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the iShares^® website at www.ishares.com. We have not undertaken any independent review or due diligence of the SEC filings of the iShares^® Trust, any information contained on the iShares^® website or of any other publicly available information about the ETF. Information contained on the iShares^® website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.

Investment Objective and Strategy

The ETF seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in developed European, Australasian and Far Eastern markets, as measured by the MSCI EAFE Index. The MSCI EAFE Index was developed by MSCI Inc. (“MSCI”) as an equity benchmark for international stock performance, and is designed to measure equity market performance in certain developed markets. For additional information about the MSCI EAFE Index, see the information set forth under “Non-Proprietary Indices—Equity Indices—MSCI Indices” in the accompanying index supplement.

As of October 27, 2014, the ETF’s top five holdings by country were Japan (20.80%), the United Kingdom (17.47%), Switzerland (9.73%), France (9.42%) and Germany (8.54%). As of October 27, 2014, the ETF’s top five holdings by sector were Financials (25.98%), Industrials (12.29%), Consumer Discretionary (11.40%), Consumer Staples (9.79%) and Health Care (9.75%).

The ETF uses a representative sampling indexing strategy (as described below under “Representative Sampling”) to try to track the MSCI EAFE Index. The ETF generally invests at least 90% of its assets in securities of the MSCI EAFE Index and depository receipts representing securities of the MSCI EAFE Index. In addition, the ETF may invest up to 10% of its assets in securities not included in the MSCI EAFE Index but which BlackRock believes will help the ETF track the MSCI EAFE Index and in futures contracts, options on futures contracts, options and swaps as well as cash and cash equivalents, including shares of money market funds advised by BlackRock.

Representative Sampling

The ETF pursues a “representative sampling” indexing strategy in attempting to track the performance of the MSCI EAFE Index, and generally does not hold all of the equity securities included in the MSCI EAFE Index. The ETF invests in a representative sample of securities that collectively has an investment profile similar to the MSCI EAFE Index. Securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the MSCI EAFE Index.

Correlation

The MSCI EAFE Index is a theoretical financial calculation, while the ETF is an actual investment portfolio. The performance of the ETF and the MSCI EAFE Index will vary due to transaction costs, foreign currency valuation, asset valuations, corporate actions (such as mergers and spin-offs), timing variances, and differences between the ETF’s portfolio and the MSCI EAFE Index resulting from legal restrictions (such as diversification requirements) that apply to the ETF but not to the MSCI EAFE Index or the use of representative sampling. “Tracking error” is the difference between the performance (return) of the ETF’s portfolio and that of the MSCI EAFE Index. The ETF, using a representative sampling indexing strategy, can be expected to have a greater tracking error than a fund using a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index.

PS-16

Industry Concentration Policy

The ETF will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the MSCI EAFE Index is concentrated. For purposes of this limitation, securities of the U.S. government (including its agencies and instrumentalities) and repurchase agreements collateralized by U.S. government securities are not considered to be issued by members of any industry.

Disclaimer

iShares^® and BlackRock^® are registered trademarks of Blackrock. BlackRock has licensed certain trademarks and trade names of BlackRock to Barclays Bank PLC. The Notes are not sponsored, endorsed, sold or promoted by BlackRock. BlackRock makes no representations or warranties to the owners of the Notes or any member of the public regarding the advisability of investing in the Notes. BlackRock has no obligation or liability in connection with the operation, marketing, trading or sale of the Notes.

PS-17

Historical Performance of the ETF

You should not take the historical prices of the ETF as an indication of the future performance of the ETF. The Closing Level of the ETF has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the Closing Level of the ETF during any period shown below is not an indication that the ETF is more or less likely to increase or decrease at any time during the life of the Notes.

Neither we nor any of our affiliates make any representation to you as to the performance of the ETF. The actual performance of the ETF over the life of the offered Notes, as well as the payment at maturity, may bear little relation to the historical levels shown below.

The table below shows the high, low and final Closing Level of the ETF for each of the four calendar quarters in 2008, 2009, 2010, 2011, 2012, 2013 and 2014 (through October 29, 2014). We obtained the Closing Levels listed in the table below and shown in the graph below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.

PS-18

The following graph sets forth the historical performance of the ETF based on daily Closing Levels from January 1, 2008 through October 29, 2014. The closing price per share of the ETF on October 29, 2014 was $62.34.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

SUPPLEMENTAL PLAN OF DISTRIBUTION

We have agreed to sell to Barclays Capital Inc. (the “Agent”), and the Agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing supplement. The Agent commits to take and pay for all of the Notes, if any are taken.

PS-19

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Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘424B2’ Filing		Date		Other Filings
		1/1/16
		11/3/15		424B2,  6-K,  FWP
		10/29/15		424B2,  6-K,  FWP
		12/3/14		424B2,  6-K,  FWP
		11/3/14		424B2,  6-K,  FWP
Filed on:		10/31/14		424B2,  6-K,  FWP
		10/29/14		424B2,  6-K
		10/28/14		424B2,  6-K
		10/27/14		6-K
		10/1/14		424B2,  FWP
		9/30/14		13F-NT,  424B2,  6-K,  ABS-15G,  CORRESP,  FWP
		6/30/14		13F-NT,  424B2,  6-K,  ABS-15G,  FWP
		3/31/14		13F-NT,  424B2,  6-K,  ABS-15G,  FWP
		12/31/13		13F-NT,  20-F,  424B2,  6-K,  ABS-15G,  FWP
		12/30/13		424B2
		10/29/13		424B2,  6-K,  FWP
		9/30/13		13F-NT,  424B2,  6-K,  ABS-15G
		7/19/13		424B2,  424B3,  6-K,  F-3ASR,  F-N,  FWP
		6/30/13		13F-NT,  ABS-15G
		3/31/13		13F-NT,  ABS-15G
		12/31/12		13F-NT,  20-F,  6-K,  ABS-15G,  FWP
		9/30/12		13F-NT,  6-K,  ABS-15G
		6/30/12		13F-NT,  ABS-15G
		3/31/12		13F-NT
		12/31/11		13F-NT,  20-F
		9/30/11		13F-NT,  424B2,  6-K,  FWP
		6/30/11		13F-NT,  424B2,  6-K
		3/31/11		13F-NT,  424B2,  6-K,  FWP,  UPLOAD
		12/31/10		13F-NT,  20-F,  424B2
		9/30/10		13F-NT,  424B2,  FWP
		6/30/10		13F-NT,  424B2,  6-K,  FWP
		3/31/10		13F-NT,  424B2,  424B3,  6-K,  FWP
		12/31/09		13F-NT,  20-F,  424B2,  FWP
		9/30/09		13F-NT,  424B2,  FWP
		6/30/09		13F-NT,  424B2,  FWP
		3/31/09		13F-NT,  424B2,  6-K,  FWP
		12/31/08		13F-NT,  20-F,  424B2
		9/30/08		13F-NT,  424B2,  424B3,  FWP
		6/30/08		13F-NT,  424B2,  FWP
		3/31/08		13F-NT,  424B2,  6-K,  FWP
		1/1/08
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Filing Submission 0001193125-14-392227   –   Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

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