Barclays PLC — Capital/Financing Update 2017

Oct 16, 2017

Final Terms for the purposes of listing and admittance to trading only

BARCLAYS BANK PLC

(Incorporated with limited liability in England and Wales)

EUR 1,000,000 Warrant Linked Securities due October 2023 (to be listed and admitted to trading with the EUR 2,000,000 Warrant Linked Securities due October 2023 of the same Tranche and Series, listed and admitted to trading on the Issue Date) pursuant to the Global Structured Securities Programme (the "Tranche 1 Securities")

Issue Price: 100 per cent

This document constitutes the final terms of the Securities (the "Final Terms") described herein for the purposes of Article 5.4 of the Prospectus Directive and is prepared in connection with the Global Structured Securities Programme established by Barclays Bank PLC (the "Issuer"). This Final Terms is supplemental to and should be read in conjunction with the GSSP Base Prospectus 5 dated 9 June 2017, as supplemented on 13 July 2017 and 4 August 2017 (the "Base Prospectus"), which constitutes a base prospectus for the purposes of the Prospectus Directive. Full information on the Issuer and the offer of the Securities is only available on the basis of the combination of this Final Terms and the Base Prospectus. A summary of the individual issue of the Securities is annexed to this Final Terms. Words and expressions defined in the Base Prospectus and not defined in the Final Terms shall bear the same meanings when used herein.

The Base Prospectus, and any supplements thereto, are available for viewing at https://www.home.barclays/prospectuses-and-documentation/structured-securities/prospectuses.html and during normal business hours at the registered office of the Issuer and the specified office of the Issue and Paying Agent for the time being in London, and copies may be obtained from such office.

BARCLAYS

Final Terms dated 13 October 2017

PART A – CONTRACTUAL TERMS

1.	(a) Series number:	NX000202043
	(b) Tranche number:	1
2.	Currency:	Euro ("EUR")
3.	Securities:
	(a) Aggregate Nominal Amount as at the Issue Date:
	(i) Tranche:	This Final Terms relates to the listing and admittance to trading of EUR 1,000,000 Securities.
		For the avoidance of doubt, EUR 2,000,000 Securities of the same Tranche and Series were listed and admitted to trading on the Issue Date and the total Aggregate Nominal Amount in respect of this Tranche 1 is EUR 3,000,000.
	(ii) Series:	EUR 3,000,000
	(b) Specified Denomination:	EUR 1.00
	(c) Minimum Tradable Amount:	Not Applicable
	(d) Calculation Amount:	Specified Denomination
4.	Issue Price:	100% of par. The Issue Price includes a fee which will be no more than 1.00% of the Issue Price and relates solely to the initial design, arrangement and manufacture of the Securities by the distributor.
5.	Issue Date:	4 October 2017
6.	Scheduled Redemption Date:	4 October 2023
7.	Warrant linked Securities:
	(a) Underlying Warrant(s) and Underlying Warrant Reference Asset(s):	A Warrant (an "Underlying Warrant") linked to the FTSE® 100 Index, Russell 2000® Index and 50® EURO STOXX Index (the "Underlying Warrant Reference Assets") issued by Barclays Bank PLC (ISIN: GB00B7DVP030; Series number: NX000202044)
	(b) Final Valuation Date:	27 September 2023, subject as specified in General Condition 5.3 (Relevant defined terms)
	(c) Valuation Time:	As specified in General Condition 5.3 (Relevant defined terms)
8.	Additional Disruption Event:
	(a) Change in Law:	Applicable as per General Condition 22.1 (Definitions)
	(b) Currency Disruption Event:	Applicable as per General Condition 22.1

		(Definitions)
	(c) Issuer Tax Event:	Applicable as per General Condition 22.1 (Definitions)
	(d) Extraordinary Market Disruption:	Applicable as per General Condition 22.1 (Definitions)
9.	Form of Securities:	Bearer Securities
		Permanent Global Security
		NGN Form: Applicable
		CGN Form: Not Applicable
		CDIs: Not Applicable
10.	Trade Date:	27 September 2017
11.	871(m) Securities:	The Issuer has determined that Section 871(m) of the US Internal Revenue Code is not applicable to the Warrants.
12.	Prohibition of Sales to EEA Retail Investors:	Not Applicable
13.	Early Redemption Notice Period Number:	As specified in General Condition 22.1 (Definitions)
14.	Additional Business Centre(s):	Not Applicable
15.	Determination Agent:	Barclays Bank PLC
16.	(a) Names of Manager:	Barclays Bank PLC
	(b) Date of underwriting agreement:	Not Applicable

PART B - OTHER INFORMATION

1. LISTING AND ADMISSION TO TRADING

Application is expected to be made by the Issuer (or on its behalf) for the Securities to be listed on the Official List and admitted to trading on the Regulated Market of the London Stock Exchange on or around 13 October 2017.

2. RATINGS

Ratings: The Securities have not been individually rated.

3. INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE

Save for any fees payable to the Manager(s) and save for any trading and market-making activities of the Issuer and/or its affiliates in the Underlying Warrant, the hedging activities of the Issuer and/or its affiliates and the fact that the Issuer is the Determination Agent in respect of the Securities and the determination agent in respect of the Underlying Warrant, so far as the Issuer is aware, no person involved in the offer of the Securities has an interest material to the issue.

4. REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES

• (a) Reasons for the offer: Making profit and/or hedging purposes
• (b) Estimated net proceeds: Not Applicable
• (c) Estimated total expenses: Not Applicable

5. PERFORMANCE OF THE UNDERLYING WARRANTS AND OTHER INFORMATION CONCERNING THE UNDERLYING WARRANTS

The value of the Securities will depend upon the performance of the Underlying Warrant which is: A Warrant linked to the FTSE® 100 Index, the Russell 2000® Index and the EURO STOXX 50® Index issued by Barclays Bank PLC (ISIN: GB00B7DVP030; Series number: NX000202044).

The Warrant Value in respect of each Underlying Warrant will be published on each Business Day on GB00B7DVP030=RIC.

Details of the past performance and volatility of the Underlying Warrant Reference Assets may be obtained from Reuters page .FTSE in respect of the FTSE® 100 Index, Reuters page .RUT in respect of the Russell 2000® Index and Reuters page .STOXX50E in respect of the EURO STOXX 50® Index. The terms and conditions of the Underlying Warrant are available on https://www.home.barclays/prospectuses-and-documentation/structuredsecurities/final-terms.html.

Index disclaimers: FTSE® 100 Index, EURO STOXX 50® Index and see the Annex hereto.

6. OPERATIONAL INFORMATION

• (a) ISIN Code: XS1620603255
• (b) Common Code: 162060325
• (c) Name(s) and address(es) of any clearing system(s) other than Euroclear Bank S.A./N.V. and Clearstream Banking, société anonyme, and the relevant

identification number(s):

(d) Delivery: Delivery free of payment

ANNEX

Russell 2000® Index disclaimer:

The Russell 2000® Index (the "Index") is a trademark of Frank Russell Company ("Russell") and has been licensed for use by Barclays Bank PLC. The Securities are not in any way sponsored, endorsed, sold or promoted by Russell or the London Stock Exchange Group companies ("LSEG") (together the "Licensor Parties") and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the Index (upon which the Securities are based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the Securities. None of the Licensor Parties have provided or will provide any financial or investment advice or recommendation in relation to the Index to Barclays Bank PLC or to its clients. The Index is calculated by Russell or its agent. None of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein.

SUMMARY

	Section A – Introduction and warnings
A.1	Introduction and warnings	This Summary should be read as an introduction to the Base Prospectus. Any decision to invest in Securities should be based on consideration of the Base Prospectus as a whole, including any information incorporated by reference, and read together with the Final Terms.
		Where a claim relating to the information contained in the Base Prospectus is brought before a court, the plaintiff might, under the national legislation of the relevant Member State of the European Economic Area, have to bear the costs of translating the Base Prospectus before the legal proceedings are initiated.
		No civil liability shall attach to any responsible person solely on the basis of this Summary, including any translation thereof, unless it is misleading, inaccurate or inconsistent when read together with the other parts of the Base Prospectus or it does not provide, when read together with the other parts of the Base Prospectus, key information in order to aid holders when considering whether to invest in the Securities.
A.2	Consent by the Issuer to the use of prospectus in subsequent resale or final placement of	The Issuer may provide the consent to the use of the Base Prospectus and Final Terms for subsequent resale or final placement of Securities by financial intermediaries, provided that the subsequent resale or final placement of Securities by such financial intermediaries is made during the offer period specified below. Such consent may be subject to conditions which are relevant for the use of the Base Prospectus.
	Securities	Not Applicable: the Issuer does not consent to the use of the Base Prospectus for subsequent resales.
	Section B – Issuer
B.1	Legal and commercial name of the Issuer	The Securities are issued by Barclays Bank PLC (the "Issuer").
B.2	Domicile and legal form of the Issuer, legislation under which the Issuer operates and country of incorporation of the Issuer	The Issuer is a public limited company registered in England and Wales. The principal laws and legislation under which the Issuer operates are the laws of England and Wales including the Companies Act.
B.4b	Known trends affecting the Issuer and industries in which the Issuer operates	The business and earnings of the Issuer and its subsidiary undertakings (together, the "Bank Group" or "Barclays") can be affected by the fiscal or other policies and other actions of various governmental and regulatory authorities in the UK, EU, US and elsewhere, which are all subject to change. The regulatory response to the financial crisis has led and will continue to lead to very substantial regulatory changes in the UK, EU and US and in other countries in which the Bank Group operates. It has also (amongst other things) led to (i) a more assertive approach being demonstrated by the authorities in many jurisdictions; and (ii) enhanced

		capital, leverage, liquidity and funding requirements (for example, pursuant to the fourth Capital Requirements Directive (CRD IV)). Any future regulatory changes may restrict the Bank Group's operations, mandate certain lending activity and impose other, significant compliance costs.
		Known trends affecting the Issuer and the industry in which the Issuer operates include:
		 continuing political and regulatory scrutiny of the banking industry which is leading to increased or changing regulation that is likely to have a significant effect on the structure and management of the Bank Group;
		 general changes in regulatory requirements, for example, prudential rules relating to the capital adequacy framework and rules designed to promote financial stability and increase depositor protection, increased regulation and procedures for the protection of customers and clients of financial services firms and an increased willingness on the part of regulators to investigate past practices, vigorously pursue alleged violations and impose heavy penalties on financial services firms;
		 increased levels of legal proceedings in jurisdictions in which the Bank Group does business, including in the form of class actions;
		 the US Dodd-Frank Wall Street Reform and Consumer Protection Act, which contains far-reaching regulatory reform (including restrictions on proprietary trading and fund-related activities (the so-called 'Volcker rule');
		 the United Kingdom Financial Services (Banking Reform) Act 2013 which gives United Kingdom authorities powers to implement measures for, among others: (i) the separation of the United Kingdom and EEA retail banking activities of the largest United Kingdom banks into a legally, operationally and economically separate and independent entity (so-called 'ring-fencing'); (ii) statutory depositor preference in insolvency; and (iii) a 'bail-in' stabilisation option; and
		changes in competition and pricing environments. 
B.5	Description of the group and	Barclays is a major global financial services provider.
	the Issuer's position within the group	The whole of the issued ordinary share capital of the Issuer is beneficially owned by Barclays PLC, which is the ultimate holding company of the Bank Group (Barclays PLC, together with its subsidiaries, the "Group").
B.9	Profit forecast or estimate	Not Applicable: the Issuer has chosen not to include a profit forecast or estimate.
B.10	Nature of any qualifications in audit report on historical financial information	Not Applicable: the audit report on the historical financial information contains no such qualifications.
B.12	Selected key financial information; no material	Based on the Bank Group's audited financial information for the year ended 31 December 2016, the Bank Group had total assets of £1,213,955 million (2015: £1,120,727 million), total net loans and advances of £436,417 million (2015: £441,046 million), total deposits of £472,917 million (2015:

	adverse change and no significant change statements	£465,387 million), and total shareholders' equity of £70,955 million (2015: £66,019 million) (including non-controlling interests of £3,522 million (2015: £1,914 million)). The profit before tax from continuing operations of the Bank Group for the year ended 31 December 2016 was £4,383 million (2015: £1,914 million) after credit impairment charges and other provisions of £2,373 million (2015: £1,762 million). The financial information in this paragraph is extracted from the audited consolidated interim financial statements of the Issuer for the year ended 31 December 2016. Based on the Bank Group's unaudited financial information for the six months ended 30 June 2017, the Bank Group had total assets of £1,136,867 million (30 June 2016: £1,351,958 million), total net loans and advances of £427,980 million (30 June 2016: £473,962 million), total deposits of £488,162 million (30 June 2016: £500,919 million), and total shareholders' equity of £66,167 million (30 June 2016: £69,599 million) (including non controlling interests of £84 million (30 June 2016: £2,976 million). The profit before tax from continuing operations of the Bank Group for the six months ended 30 June 2017 was £2,195 million (30 June 2016: £3,017 million) after credit impairment charges and other provisions of £1,054 million (30 June 2016: £931 million). The financial information in this paragraph is extracted from the unaudited consolidated interim financial statements of the Issuer for the six months ended 30 June 2017. Not Applicable: there has been no significant change in the financial or trading position of the Bank Group since 30 June 2017. There has been no material adverse change in the prospects of the Issuer since 31 December 2016.
B.13	Recent events particular to the Issuer which are materially relevant to the evaluation of Issuer's solvency	Not Applicable.
B.14	Dependency of the Issuer on other entities within the group	The whole of the issued ordinary share capital of the Issuer is beneficially owned by Barclays PLC, which is the ultimate holding company of the Bank Group. The financial position of the Issuer is dependent on the financial position of its subsidiary undertakings.
B.15	Description of the Issuer's principal activities	The Bank Group is a major global financial services provider engaged in retail and commercial banking, credit cards, investment banking, wealth management and investment management services with an extensive international presence in Europe, the United States, Africa and Asia.
B.16	Description of whether the Issuer is directly or indirectly owned or controlled and by whom and	The whole of the issued ordinary share capital of the Issuer is beneficially owned by Barclays PLC, which is the ultimate holding company of the Issuer and its subsidiary undertakings.

	nature of such control
Section C – Securities
C.1	Type and class of Securities being offered and/or	Securities described in this Summary (the "Securities") are derivative securities and are issued as notes. The Securities will not bear interest.
	admitted to trading	If the Securities have not redeemed early they will redeem on the scheduled redemption date and the amount paid will be a redemption amount that is linked to the change in value of one or more specified warrants which may fluctuate up or down depending on the performance of the reference asset(s) to which they are linked.
		Securities will be cleared through a clearing system and may be held in bearer form. Certain Securities may be in dematerialised and uncertificated book-entry form. Title to cleared Securities will be determined by the books of the relevant clearing system.
		Securities will be issued in one or more series (each a "Series") and each Series may be issued in tranches (each a "Tranche") on the same or different issue dates. The Securities of each Series are intended to be interchangeable with all other Securities of that Series. Each Series will be allocated a unique Series number and an identification code.
		The Securities are transferable obligations of the Issuer that can be bought and sold by investors in accordance with the terms and conditions set out in the Base Prospectus as completed by the final terms document (the "Final Terms").
		Form: The Securities will initially be issued in global bearer form and may be exchanged for definitive securities if the clearing system ceases doing business, or if the Issuer fails to make payments when due.
		Identification: Series number: NX000202043; Tranche number: 1
		Identification Codes: ISIN Code: XS1620603255; Common Code: 162060325.
		Governing law: The Securities will be governed by English law.
C.2	Currency	Subject to compliance with all applicable laws, regulations and directives, Securities may be issued in any currency.
		The Securities will be denominated in Euro ("EUR").
C.5	Description of restrictions on free transferability of the Securities	Securities are offered and sold outside the United States to non-US persons in reliance on 'Regulation S' and must comply with transfer restrictions with respect to the United States. Securities held in a clearing system will be transferred in accordance with the rules, procedures and regulations of that clearing system.
		Subject to the above, the Securities will be freely transferable.
C.8	Description of rights attached	RIGHTS
	to the Securities and	Each Security includes a right to a potential return and an amount payable on redemption, together with certain ancillary rights such as the right to

	limitations to those rights; ranking of the Securities	receive notice of certain determinations and events and to vote on future amendments. Taxation: All payments in respect of the Securities shall be made without withholding or deduction for or on account of any UK taxes unless such withholding or deduction is required by law. Events of default: If the Issuer fails to make any payment due under the Securities or breaches any other term and condition of the Securities in a way that is materially prejudicial to the interests of the holders (and, in each case, such failure is not remedied within 30 days) or the Issuer is subject to a winding-up order (other than in connection with a scheme of reconstruction, merger or amalgamation), the Securities will become immediately due and payable, upon notice being given by the holder.
		LIMITATION TO RIGHTS
		Notwithstanding that the Securities are linked to the performance of the underlying asset(s), Holders do not have any rights in respect of the underlying assets(s). The terms and conditions of the Securities contain provisions for calling meetings of holders to consider matters affecting their interests generally and these provisions permit defined majorities to bind all holders, including holders who did not attend and vote at the relevant meeting and holders who voted in a manner contrary to the majority. Furthermore, in certain circumstances, the Issuer may amend the terms and conditions of the Securities, without the holders' consent. The terms and conditions of the Securities permit the Issuer and the Determination Agent (as the case may be), on the occurrence of certain events and in certain circumstances, without the holders' consent, to make adjustments to the terms and conditions of the Securities, to redeem the Securities prior to maturity, (where applicable) to postpone valuation of the underlying asset(s) or scheduled payments under the Securities, to change the currency in which the Securities are denominated, to substitute the Issuer with another permitted entity subject to certain conditions, and to take certain other actions with regard to the Securities and the underlying asset(s) (if any).
		RANKING
		The Securities are direct, unsubordinated and unsecured obligations of the Issuer and rank equally among themselves.
C.11	Admission to trading	Securities may be admitted to trading on a regulated market in the United Kingdom.
		Application is expected to be made by the Issuer (or on its behalf) for the Securities to be admitted to trading on the regulated market of the London Stock Exchange with effect from 13 October 2017.
C.15	Description of how the value of the investment is affected by the value of the underlying instrument	The return on, and value of, the Securities will be linked to changes in the value of the Warrants issued by Barclays Bank PLC (ISIN: GB00B7DVP030, Series number: NX000202044), the "Underlying Warrant", the value of which is dependent on the performance of the FTSE® 100 Index, the Russell 2000® Index and the EURO STOXX 50® Index (each an "Underlying Warrant Reference Asset"). Interest
		The Securities will not bear interest.

		Final redemption
		The Securities are scheduled to redeem on 4 October 2023 by payment by the Issuer of an amount in EUR for each EUR 1.00 in nominal amount of the Securities equal to an amount determined by the Determination Agent in good faith and in a commercially reasonable manner as EUR 1.00 multiplied by an amount equal to the value of the Underlying Warrant on 27 September 2023, being the final valuation date, divided by the value of the Underlying Warrant on 4 October 2017, being the initial valuation date, the final valuation date being subject to certain delay provisions if any relevant date for valuation is delayed in accordance with the terms of the Underlying Warrant.
		The greater the value of the Underlying Warrant on the final valuation date (as compared to the value of the Underlying Warrant on the initial valuation date), the greater the redemption amount payable on the Securities. If the value of the Underlying Warrant on the final valuation date is below the value of the Underlying Warrant on the initial valuation date, the final redemption amount will be less than the amount invested and could be as low as zero.
		Early redemption
		Securities may at the option of the Issuer (in the case of (i) or (ii)) or shall (in the case of (iii)) be redeemed earlier than the scheduled redemption date (i) if performance becomes unlawful or physically impracticable, (ii) following the occurrence of a change in applicable law, a currency disruption event, an extraordinary market disruption or a tax event affecting the Issuer's ability to fulfil its obligations under the Securities, or (iii) following the occurrence of (a) the cancellation or termination of the Underlying Warrant (other than by scheduled exercise or automatic exercise pursuant to its terms) or (b) a specified early cancellation event in respect thereof.
		In each case, the amount due in respect of the Calculation Amount for each Security will be an amount determined by the Determination Agent in good faith and in a commercially reasonable manner on the same basis as that which would have determined the amount due on final redemption except that the final value in respect of any Underlying Warrant shall be its value as of the day on which the disruption or termination event, event of default, unlawfulness or physical impracticability, as the case may be, occurs.
		The value of the Underlying Warrant will be published on each Business Day on GB00B7DVP030 =RIC. Details of the past and future performance and the volatility of the Underlying Warrant Reference Assets may be obtained from Reuters page .FTSE in respect of the FTSE® 100 Index, Reuters page .RUT in respect of the Russell 2000® Index and Reuters page .STOXX50E in respect of the EURO STOXX 50® Index.
C.16	Expiration or maturity date of the Securities	The Securities are scheduled to redeem on the scheduled redemption date. Such scheduled redemption date may be delayed if the determination of any value used to calculate an amount payable under the Securities is delayed (including where the valuation of any Underlying Warrant is delayed in accordance with its terms).
		The scheduled redemption date of the Securities will be 4 October 2023.
C.17	Settlement procedure of	Securities will be delivered on the specified issue date either against payment of the issue price or free of payment of the issue price of the

	the derivative securities	Securities. Securities may be cleared and settled through Euroclear, Clearstream or CREST.
		Securities will be delivered on 4 October 2017 (the "Issue Date") free of payment of the issue price of the Securities.
		The Securities are cleared and settled through Euroclear/Clearstream.
C.18	Description of how the return on derivative securities takes place	The value of and return (if any) on the Securities will be linked to changes in the value of the Underlying Warrant, the value of which is dependent on the performance of the Underlying Warrant Reference Assets.
C.19	Final reference price of the underlying	The amount payable in respect of the Securities will be calculated using the value of the Underlying Warrant on 4 October 2017 (the initial valuation date) and the value of the Underlying Warrant on 27 September 2023 (the final valuation date).
		The value of the Underlying Warrant on the final valuation date will be determined by the Determination Agent taking into account the applicable cash or physical settlement amount (as applicable) due on exercise of such Underlying Warrant.
C.20	Type of underlying	Securities issued under the Base Prospectus will be derivative securities, reflecting the fact that the repayment of the Securities will be linked to one or more underlying warrants, the value of which may fluctuate up or down depending on the performance of one or more specified reference assets. Amounts payable on redemption of the Securities will be determined by reference to the Underlying Warrant (ISIN: GB00B7DVP030). Information the Underlying Warrant can be found at https://www.home.barclays/prospectuses-and-documentation/structured
		securities/final-terms.html.
		Section D – Risks
D.2	Key information on the key risks that are specific to the Issuer	Principal Risks relating to the Issuer: Material risks and their impact are described below in two sections: (i) Material existing and emerging risks by Principal Risk and (ii) Material existing and emerging risks potentially impacting more than one Principal Risk. A revised Enterprise Risk Management Framework ("ERMF") was approved by the board of the Issuer in December 2016 and revises the eight risks as follows: (1) Credit Risk of the Issuer; (2) Market Risk; (3) Treasury and Capital Risk; (4) Operational Risk; (5) Model Risk; (6) Conduct Risk; (7) Reputation Risk; and (8) Legal Risk (each a "Principal Risk").
		(i) Material existing and emerging risks by Principal Risk:
		Credit risk: The risk of loss to the Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour their obligations to the Group, including the whole and timely payment of principal, interest, collateral and other receivables. The Group may suffer financial loss if any of its customers, clients or market counterparties fails to fulfil their contractual obligations to the Group. The Group may also suffer loss when the value of its investment in the financial instruments of an entity falls as a result of that entity's credit rating being downgraded. In addition, the Group may incur significant unrealised gains or losses due to changes in the Group's credit spreads or those of third parties, as these changes affect

	the fair value of the Group's derivative instruments, debt securities that the Group holds or issues, and loans held at fair value.
	Market risk: The risk of loss arising from potential adverse changes in the value of the Group's assets and liabilities from fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, credit spreads, implied volatilities and asset correlations. The Group's trading business is generally adversely exposed to a prolonged period of elevated asset price volatility, particularly if it negatively affects the depth of marketplace liquidity.
	Treasury and capital risk: The ability of the Group to achieve its business plans may be adversely impacted due to availability of planned liquidity, a shortfall in capital or a mismatch in the interest rate exposures of its assets and liabilities. The Group may not be able to achieve its business plans due to: (i) being unable to maintain appropriate capital ratios; (ii) being unable to meet its obligations as they fall due; (iii) rating agency downgrades; (iv) adverse changes in foreign exchange rates on capital ratios; (v) negative interest rates; and (vi) adverse movements in the pension fund.
	Operational risk: The risk of loss to the Group from inadequate or failed processes or systems, human factors or due to external events (for example fraud) where the root cause is not due to credit or market risks. The Group is exposed to many types of operational risk. These include: fraudulent and other internal and external criminal activities; breakdowns in processes, controls or procedures (or their inadequacy relative to the size and scope of the Group's business); systems failures or an attempt by an external party to make a service or supporting technological infrastructure unavailable to its intended users, known as a denial of service attack and the risk of geopolitical cyber threat activity which destabilises or destroys the Group's information technology, or critical technological infrastructure the Group depends upon but does not control. The Group is also subject to the risk of business disruption arising from events wholly or partially beyond its control, for example natural disasters, acts of terrorism, epidemics and transport or utility failures, which may give rise to losses or reductions in service to customers and⁄or economic loss to the Group. All of these risks are also applicable where the Group relies on outside suppliers or vendors to provide services to it and its customers. The operational risks that the Group is exposed to could change rapidly and there is no guarantee that the Group's processes, controls, procedures and systems are sufficient to address, or could adapt promptly to, such changing risks to avoid the risk of loss.
	Model risk: The Group uses models to support a broad range of business and risk management activities. Models are imperfect and incomplete representations of reality, and so they may be subject to errors affecting the accuracy of their outputs. Models may also be misused. Model errors or misuse may result in the Group making inappropriate business decisions and being subject to financial loss, regulatory risk, reputational risk and⁄or inadequate capital reporting.
	Conduct risk: The risk of detriment to customers, clients, market integrity, competition or the Group from the inappropriate supply of financial services, including instances of wilful or negligent misconduct. The Group is committed to ensuring that positive customer and client outcomes and protecting market integrity are integral to the way the Group operates. This includes taking reasonable steps to ensure the Group's culture and strategy are appropriately aligned to the objective that: the Group's products and services are reasonably designed and delivered to meet the needs of the Group's customers and clients. The Group has identified six main conduct

	risks, associated with: (i) the execution of strategic divestment in non-core businesses, (ii) product governance and sales practices, (iii) trading controls and benchmark submissions, (iv) the management of financial crime, (v) data protection and privacy, and (vi) regulatory focus on culture and accountability. Certain other risks may result in detriment to customers, clients and market integrity if not managed effectively. These include but are not limited to: cyber risk; infrastructure and technology resilience; ability to hire and retain qualified people; outsourcing; data quality; operational precision and payments; regulatory change; structural reform; change and execution risk; and the exit of the UK from the EU.
	Reputation risk: The risk that an action, transaction, investment or event will reduce trust in the Group's integrity and competence by clients, counterparties, investors, regulators, employees or the public.
	Legal risk: Legal disputes, regulatory investigations, fines and other sanctions relating to conduct of business and financial crime may negatively affect the Group's results, reputation and ability to conduct its business.
	(ii) Material existing and emerging risks potentially impacting more than one Principal Risk:
	Structural Reform (emerging risk):
	The UK Financial Services (Banking Reform) Act 2013 (The UK Banking Reform Act) and associated secondary legislation and regulatory rules require all UK deposit-taking banks with over £25 billion of deposits (from individuals and small businesses) to separate certain day-to-day banking activities (e.g. deposit-taking) offered to retail and smaller business customers from other wholesale and investment banking services.
	Business conditions, general economy and geopolitical issues:
	The Group's performance could be adversely affected in relation to more than one Principal Risk by a weak or deteriorating global economy or political instability. These factors may also occur in one or more of the Group's main countries of operation. The Group offers a broad range of services to retail, institutional and government customers, in a large number of countries. The breadth of these operations means that deterioration in the economic environment, or an increase in political instability in countries where it is active, or any other systemically important economy, could adversely affect the Group's performance and prospects.
	Change and execution:
	The Group continues to drive changes to its functional capabilities and operating environment in order to allow the business to exploit emerging and digital technologies, and improve customer experience whilst also embedding enhanced regulatory requirements, strategic realignment, and business model changes. The complexity, increasing pace, and volume of changes underway simultaneously mean there is heightened execution risk and potential for change not being delivered to plan. Failure to adequately manage this risk could result in extended outages and disruption, financial loss, customer detriment, legal liability, potential regulatory censure and reputational damage.
	Risks arising from regulation of the financial services industry:
	The financial services industry continues to be the focus of significant regulatory change and scrutiny which may adversely affect the Group's

		business, financial performance, capital and risk management strategies.
		Regulatory action in the event a bank in the Group (such as the Issuer) is failing or likely to fail:
		UK resolution authorities have the right under certain circumstances to intervene in the Group pursuant to the stabilisation and resolution powers granted to them under the Banking Act and other applicable legislation. The exercise of any of these actions in relation to the Issuer could materially adversely affect the value of the Warrants.
		EU referendum:
		The UK held a referendum on 23 June 2016 on whether it should remain a member of the EU. This resulted in a vote in favour of leaving the EU. The result of the referendum means that the long-term nature of the UK's relationship with the EU is unclear and there is uncertainty as to the nature and timing of any agreement with the EU on the terms of exit. In the interim, there is a risk of uncertainty for both the UK and the EU, which could adversely affect the economy of the UK and the other economies in which the Group operates.
		Under the terms of the Warrants, investors have agreed to be bound by the exercise of any UK Bail-in Power by the relevant UK resolution authority.
		Impairment:
		The introduction of the impairment requirements of IFRS 9 Financial Instruments, due to be implemented on 1 January 2018, is expected to result in higher impairment loss allowances that are recognised earlier, on a more forward looking basis and on a broader scope of financial instruments than is the case under IAS 39. Measurement will involve increased complexity, judgement and is expected to have a material financial impact and impairment charges will tend to be more volatile. Unsecured products with longer expected lives, such as revolving credit cards, are expected to be most impacted. The capital treatment on the increased reserves is the subject of ongoing discussion with regulators and across the industry, but there is potential for significant adverse impact on regulatory capital ratios. In addition, the move from incurred to expected credit losses has the potential to impact the Group's performance under stressed economic conditions or regulatory stress tests.
		A downgrade of the credit rating assigned by any credit rating agency to the Issuer could adversely affect the liquidity or market value of the Warrants. Credit ratings downgrade could occur as a result of, among other causes, changes in the ratings methodologies used by credit rating agencies. Changes in credit rating agencies' views of the level of implicit sovereign support for European banks and their groups are likely to lead to credit ratings downgrades.
		The Issuer is affected by risks affecting the Bank Group:
		The Issuer is also affected by risks affecting the Bank Group as there is substantial overlap in the businesses of the Issuer and its subsidiaries. Further, the Issuer can be negatively affected by risks and other events affecting its subsidiaries even where the Issuer is not directly affected.
D.6	Key information on the key risks	You may lose up to the entire value of your investment if the Issuer fails or is otherwise unable to meet its payment obligations.

that are specific to the	You may also lose the value of your investment if:
Securities; and risk warning that investors may lose some or all of the value of their	the Underlying Warrant(s) (or the Underlying Warrant Reference  Asset(s) and in turn the Underlying Warrant(s)) perform in such a manner that the redemption amount payable to you (whether at maturity or following an early redemption) is less than the initial purchase price and could be as low as zero;
investment	you sell your Securities prior to maturity in the secondary market (if  any) at an amount that is less than the initial purchase price; and/or
	the Securities are redeemed early following the occurrence of an  extraordinary event in relation to the Underlying Warrant, the Issuer, the relevant currencies or taxation (such as following an additional disruption event) and the amount you receive on such early redemption is less than the initial purchase price.
	Reinvestment risk/loss of yield: Following an early redemption of your Securities for any reason, you may be unable to reinvest the redemption proceeds at an effective yield as high as the yield on the Securities being redeemed.
	Volatile market prices: The market value of the Securities is unpredictable and may be highly volatile, as it can be affected by many unpredictable factors, including: market interest and yield rates; fluctuations in currency exchange rates; exchange controls; the time remaining until the Securities mature; economic, financial, regulatory, political, terrorist, military or other events in one or more jurisdictions; changes in laws or regulations; the Issuer's creditworthiness or perceived creditworthiness; and the performance of the relevant Underlying Warrant(s) (or the Underlying Warrant Reference Asset(s) and in turn the Underlying Warrant(s)).
	Securities are not 'principal protected': Upon maturity of your Securities, you may lose some or all of the capital that you invested, depending on the performance of the Underlying Warrant(s) (or the Underlying Warrant Reference Asset(s) and in turn the Underlying Warrant(s)).
	Securities include embedded derivatives on Underlying Asset(s) that are subject to adjustment: The Securities are linked to the Underlying Warrant(s) which are in turn linked to the Underlying Warrant Reference Asset(s). The Underlying Warrant(s) are subject to provisions which provide for adjustments and modifications of their terms and alternative means of valuation of the Underlying Warrant Reference Asset(s) in certain circumstances (and which could be exercised by the issuer of the Underlying Warrant(s) in a manner which has an adverse effect on the market value and/or amount repayable in respect of your Securities).
	Risks relating to Underlying Warrants: You are exposed to the change in value of the Underlying Warrant(s) which may fluctuate up or down depending on the performance of the Underlying Warrant Reference Asset(s). The performance of the Underlying Warrant Reference Asset(s) may be subject to fluctuations that may not correlate with other similar reference assets. Payments upon redemption will be calculated by the change in value of the Underlying Warrant(s) between 1 June 2017 and 24 May 2023. Any information about the past performance of the Underlying Warrant(s) and/or the Underlying Warrant Reference Asset(s) should not be taken as an indication of how prices will change in the future. You should also note that the market value of both your Securities and the Underlying Warrant(s) will be affected by the ability, and the perceived ability, of the

		Issuer to fulfil its obligations under the instruments. The impact of any inability, or perceived inability, of the Issuer in this regard may be greater in respect of the Securities as the Securities are linked to Underlying Warrant(s) that are issued by the Issuer and it may negatively affect both the value of the Underlying Warrant(s) and the value of your Securities.
		Risks associated with specific Underlying Warrant Reference Asset(s): As the Underlying Warrant Reference Assets are equity indices, the Underlying Warrants may be subject to the risk of fluctuations in market interest rates, currency exchange rates, equity prices, inflation, the value and volatility of the relevant equity index, and also to economic, financial, regulatory, political, terrorist, military or other events in one or more jurisdictions, including factors affecting capital markets generally or the stock exchanges on which any such Underlying Warrant may be traded. This could have an adverse effect on the value of the Underlying Warrant which, in turn, will have an adverse effect on the value of your Securities.
		The capital invested in the Securities is at risk. Consequently, you may lose the value of your entire investment, or part of it.
		US withholding on dividend equivalent amounts: certain deemed payments on the product held by non-US investors generally may be subject to a US withholding tax of 30 per cent. No additional amounts will be payable in respect of such withholding taxes.
	Section E – Offer
E.2b	Reasons for offer and use of proceeds when different from making profit and/or hedging	The net proceeds from each issue of Securities will be applied by the Issuer for its general corporate purposes, which include making a profit and/or hedging certain risks. If the Issuer elects at the time of issuance of Securities to make different or more specific use of proceeds, the Issuer will describe that use in the Final Terms.
	certain risks	Not Applicable: the net proceeds will be applied by the Issuer for making profit and/or hedging certain risks.
E.3	Description of the terms and conditions of the offer	Not Applicable: the Securities have not been offered to the public.
E.4	Description of any interest material to the issue/offer, including conflicting interests	The relevant Manager(s) or authorised offeror(s) may be paid fees in relation to any issue or offer of Securities. Potential conflicts of interest may exist between the Issuer, Determination Agent, relevant Manager(s) or authorised offeror(s) or their affiliates (who may have interests in transactions in derivatives related to the Underlying Asset(s) which may, but are not intended to, adversely affect the market price, liquidity or value of the Securities) and holders.
E.7	Estimated expenses charged to investor by issuer/offeror	Not Applicable: no expenses will be charged to the holder by the issuer or the offeror.