EFTA00597527.pdf

Free Writing Prospectus (To the Prospectus dated July 19, 2013, the Prospectus Supplement dated July 19, 2013 and the Prospectus Addendum dated February 3, 2015) Barclays Bank PLC — Phoenix Autocallable Notes linked to the Common Stock of Apple Inc. Trade Details/Characteristics Issuer: Principal Amount: Initial Issue Price: Reference Asset: Contingent Coupon: Coupon Barrier: Automatic Call Feature: Trigger Value: Payment at Maturfty: U.K. Bail-in Power Acknowledgment: Maximum Potential Loss: Observation Dates: Maturity Date: CUSIP4S1N: (The "Closing Price- for purposes of he final Observation Dale as well as the Final Underher Value will be the usithnrclie avenge of the Closing Prices of the Underlier on the Averaging Dates. as set forth in the accompanying free writing prospectus "FWP- 1 Please see the acco FWP for further detail on how the 'Chinn Pnce" and -Final linderler Value' will be determined. Barclays Bank PLC $1.000 per note $1.000 per note' The common stock of Apple Inc. (the 'Underber) If the Closing Price' of the Underber is greater than or equal to the Coupon Barrier on any Observation Date. the Issuer WI pay a Contingent Coupon of $42.50 (equivalent to a rate ol 17.00% per annum, payable at a rate of 4.25% per quarter) on the related Coupon Payment Date. If the Closing Price ol the Undedier is less than the Coupon Barrier on any Observation Date, the Contingent Coupon applicable to such Observation Date we riot accrue or be payable. 80.00% of the Closing Pnce of the Undedier on the pricing date (the "Initial Undedier Value) (rounded to two decimal places) The notes will be automaticaly called if the Closing Price' of the Underlie( on any Observation Date is greater than or equal to the Initial Underlie, Value. If the notes are automatically called. Barclays Bank PLC will pay on the applicable cal settlement date (as defined in the accompanying FWP) a cash payment per note equal to the principal amount plus the Contingent Coupon otherwise due on the related coupon payment date pursuant to the Contingent Coupon feature. No further amounts will be owed to you under the notes. 80.00% of the Initial Undedier Value (rounded to two decimal places) e the notes are not automatically called and the Anal Undedier Value is greater than or equal to the Trigger Value. Barclays Bank PLC will repay you the principal amount of your notes. plus the Contingent Coupon otherwise due for the final quarter (subject to issuer credit risk). If the notes are not automatically called and the Anal Undedier Value is less than the Trigger Value. you will have full 1.to.1 downside exposure to the negative performance of the Underlier from the Initial Undedier Value to the Final Undedier Value and you will lose some or all of your principal. By acquiring the notes. you acknowledge. agree to be band by and consent to the exercise of. any U.K. Bail-in Power by the relevant U.K. resolution authority. 100% Quarterly (for determining applicability of Contingent Coupon and Automatic Call Feature) 54 weeks 06741UL51 / US06741UL511 Selected Risk Considerations • 100% Principal al Risk. You will lose some or al ol your investment if the Final Underlie, Value is less than the Trigger Value. as measured by determining the arkhmetic average of the Closing Prices of the Undedier on the Averaging Dates. • Any payments on the notes are subject to issuer credit risk. • You may lose some or all of your investment it any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority. • The notes do not guarantee the payment of any coupons over the term of the notes. You we, not receive a coupon payment in respect of any Observation Date where the Closing Price of the Undedier is less than the Coupon Barrier. • The appreciation potential of the notes is limited to the coupon payments. and you will not participate in any appreciation in the value of the Undedier. which may be significant. • Investor does not receive dividends or have any other rights that holders of the Underlier would have. • If the notes are automatically called early. there is no guarantee that you would be able to reinvest the proceeds in a comparable investment. Your hotting period over which you could receive the per annum return could be as short as approximately 3.5 moMhs. There may be no secondary market. Notes should be considered a 'hold until matumy" product. unless automatically called. • Additional risk factors can be found under 'Additional Risk Considerations" below. See also 'Risk Factors' beginning on page S-6 of the accompanying prospectus supplement and "Selected Risk Considerations* beginning on page FW P-7 ol the accompanying FWP. • Barclays Bank PLC. the Issuer. acts as calculation agent. Filed Pursuant to Rule 433 Registration No. 333-190038 September 15.2015 Hypothetical Scenario Analysis for Phoenix Autocallable Notes First Three Observation Dates Compare the Closing Price ol the Undone. on the Observation Dale to the Initial Underlies Value and the Coupon Barrier until the Final Observation Date or any automatic call. II the Closing Price of he Underlie( Is greater than or equal to the Initial Underlie( Value If the Closing Price of the Undertrer Is less than the Initial Underfrer Value Automatic Call The notes wi be autornalicaly called and you will receive (gibe principal amount plus I.) the Contingent Coupon applicable be such Observation Dale. No further amounts will be owed to you under the notes. No Automatic Call the Closing Price of the Underlier Is greater than or equal to the Coupon Barrier the Closing Price of the Underlier Is less than the Coupon Barrier You will receive the COntngeni Coupon abpliCable la Wail Observation Date. Proceed to me next Observation Date. NO Contingent Coupon will accrue Or be payable. PrCeeed 10 lee nest Observation Dale. Payment at Maturity Payment al Maturity (assonant; rotes are not called) If the notes are not earned and the Final Underlier Value is greater than or equal to the Trigger Value. Barclays Bank PLC will repay you the principal amount of your notes (subject to issuer credit Ink) II the notes are not called and he Final Underlier Virtue is less than the Trigger Value. you wit have full 1.1 downside exposure to the negative performance of the Undecier from the Initial Underlier Value to the Foal Underlier Value and you will lose some or all of your principal. Barclays Bank PLC has filed a registration statement (Including a prospectus) with the U.S. Securities and Exchange Commission (the "SEC") for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus dated July 19, 2013, the prospectus supplement dated July 19. 2013. the prospectus addendum dated February 3, 2015 and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively. Barclays Bank PLC or any agent or dealer participating in this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative, such dealer or toll-free 1.888.227- 2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital Inc., 745 Seventh Avenue —Attn: US InvSol Support. New York. NY 10019. 'Our estimated value of the notes on the pricing date. based on our internal pricing models. is expected to be between 3958.20 and 5978.20 per note. price of the notes. See "Additional Information Regarding Our Estimated Value of the Notes" in the accompanying FWP. # BARCLAYS The estimated value is expected to be less than the initial issue IP Morgan EFTA00597527 Additional Risk Considerations Please see the prospectus. prospectus supplement. prospectus addendum. index supplement (if applicable) and the related free writing prospectus for a more detailed discussion of risks, conflicts of interest. and tax consequences associated with an investment in the notes. Credit of the Issuer. The types of notes detailed herein 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 notes. including any repayment of principal, depends on 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 notes and. in the event Barclays Bank PLC was to default on its obligations. you might not receive the amounts owed under the terms of the notes. You may lose some or all of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority. By your acquisition of the notes, you acknowledge. agree to be bound by and consent to the exercise of. any U.K. Bail-in Power by the relevant U.K. resolution authority. No rights to the Underller. As a holder of the notes, you will not have any rights (including any voting rights or rights to receive cash dividends or other distributions) that the holders of any Underlier or components of the Underlier would have. Limited liquidity. You should be willing to hold the notes to maturity. There may be little or no secondary market for the notes. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market in the notes. If they do. however, they are not required to do so and may stop at any time, and there may not be a trading market in the notes. If you sell the notes prior to their maturity. you may have to sell them at a substantial loss. Certain built-In costs are likely to adversely affect the value of the notes prior to maturity. The original issue price of the notes includes the agent's commission and the cost of hedging our obligations under the notes. As a result, assuming no change in market conditions or any other relevant factors. the price. if any. at which Barclays Capital Inc. or other affiliates of Barclays Bank PLC will be willing to purchase notes from you in secondary market transactions may be lower than the original issue price. and any sale prior to the maturity date of the notes could result in a substantial loss to you. Your own evaluation of the merits. In connection with any purchase of the notes, we urge you to consult your own financial, tax and legal advisors as to the risks involved in an investment in the product and to investigate the Underlier and not rely on our views in any respect. You should make a complete investigation as to the merits of an investment in the notes before investing. Historical results not indicative of future performance. The historical or hypothetical performance of the Underlier should not be taken as an indication of the future performance of the Underlier. It is impossible to predict whether the level, value or price of the Underlier will fall or rise during the term of the notes. in particular in the environment in recent periods which has been characterized by unprecedented volatility across a wide range of asset classes. Past fluctuations and trends in the Undertiers are not necessarily indicative of fluctuations or trends that may occur in the future. Market risk. The return, if any. on the notes is dependent on the performance of the Underlier to which it is linked. Thus. changes in the level, value or price of the Underlier will determine the amount payable on the notes. Unless your notes are fully principal protected (in which case. all payments on the notes are subject to the credit risk of Barclays Bank PLC as the issuer). if the level, value or price of the Underlier declines, you may lose some or all of your investment at maturity. Price volatility. Movements in the levels, values or prices of the Underliers and their respective components are unpredictable and volatile, and are influenced by complex and interrelated political, economic, financial, regulatory, geographic, judicial and other factors. As a result. it is impossible to predict whether the levels. values or prices of the Underliers will rise or fall during the term of the notes. Changes in the levels. values or prices of the Underliers will determine the payment on the notes. Therefore, you may receive less, and potentially substantially less. than the amount you initially invested in the notes if the levels. values or prices of the Underliers decline. Unless your notes are fully principal protected (in which case. all payments on the notes are subject to the credit risk of Barclays Bank PLC as the issuer). you should be willing and able to bear the loss of some or all of your investment. Many unpredictable factors, including economic and market factors, will impact the value of the notes. In addition to the level, value or price of the Undedier on any day, the market value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other. including: the expected volatility of the Underlier or its underlying components: the time to maturity of the notes: interest and yield rates in the market generally: a variety of economic. financial, political, regulatory or judicial events: supply and demand for the notes: and the creditworthiness of the issuer, including actual or anticipated downgrades in the credit ratings of the issuer. Potential conflicts of Interest. Barclays Bank PLC and its affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging its obligations under the notes. In performing these duties, the economic interests of the calculation agent and other affiliates of the issuer are potentially adverse to your interests as an investor in the notes. Tax treatment. Significant aspects of the tax treatment of the notes are uncertain. See "Selected Purchase Considerations—Tax Consequences" in the accompanying FWP. An Investment in the notes involves significant risk. You should carefully consider the risks of an investment in the notes, including those discussed above. In addition, you should carefully consider the "Risk Factors" beginning on page S-6 of the prospectus supplement, -Risk Factors" beginning on page PA-1 of the prospectus addendum, -Risk Factors" beginning on page IS-2 of the Index supplement (If applicable) and "Selected Risk Considerations" beginning on page FWP-7 of the related free writing prospectus. EFTA00597528 net Wtnn3 Prospeou.e. (To lite Prospootx. (laeJ July 19. 2013. the Prcepectus &ippkIliC01 dated hly 19.2013 and the Prospectus Addendum doied Fettuory 3.2015) Oil BARCLAYS General • • • Mod Remora to Role433 Regninaton No. 333.190035 &purer 13. 2015 $ Phoenix Autocallable Notes Due October 5, 2016 Linked to the Common Stock of Apple Inc. Global Medium-Term Notes, Series A Unsecured and unsubordinated obligations of Barclays Bank PLC maturing October 5.2016' Minimum denominations of S10.000 and integral multiples of $1.000 in excess thereof The Notes are expected to price on or about September 18.2015' (the "Pricing Date") and am expected to issue on or about September 23.2015' (the "Issue Date"). Key Terms Issuer: Reference Asset: Automatic Call Feature: Contingent Coupon: Payment at Maturity: U.K. Bail-in Power Acknowledgment: Underlier Return: Coupon Barrier: Trigger Value: Final Underlier Value: Maturity Date': (Key Terms continued on the next page) Initial Issue Price" Price to Public Agent's Commission' Proceeds to Barclays Bank PLC Per Note $1.000 100% , 99% Total S• S• S• o Our estimated value of the Notes on the Pricing Date, based on our Internal pricing models. is expected to he between $9ssao and $978.20 per Note. The estimated value is expected to be less than the initial issue price of the Notes. See "Additional Information Regarding Our Estimated Value of the Notes" on page FVNP-12 of this free writing prospectus. Morgan Securities LLC and JPMorgan Chase Bank. will act as placement agents for the Notes. The placement agents will forgo fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates that will not exceed $10.00 per Note. Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-6 of the prospectus supplement and on page PA-I of the prospectus addendum and "Selected Risk Considerations" beginning on page FWP-7 of this free writing prospectus. The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of these Notes or determined that this free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense. The Notes constitute our 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 used in this free writing prospectus. bur not defined herein. shall hare the meanings ascribed to them in the prospectus supplement. Barclays Bank PLC The common stock of Apple Inc. (Bloomberg ticker symbol "AAPL<Equity>") (the "Underlier") The Notes will be automatically called if the Closing Price of the Underlie, on any Observation Date is greater than or equal to the Initial Underlier Value. If the Notes are automatically called. Barclays Bank PLC will pay on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the Contingent Coupon otherwise due on the related Coupon Payment Date pursuant to the Contingent Coupon feature. No further amounts will be owed to you under the Notes. It the Closing Price of the Underlier is greater than or equal to the Coupon Barrier on any Observation Date, Barclays Bank PLC will pay you a Contingent Coupon of $42.50 (equivalent to a rate of 17.00% per annum, payable at a rate of 4.25% per quarter) on the related Coupon Payment Date. If the Closing Price of the Underlier is less than the Coupon Barrier on any Observation Date, the Contingent Coupon applicable to that Observation Date will not accrue or be payable. and Barclays Bank PLC will not make any payment to you on the related Coupon Payment Date. If the Notes are not automatically called and the Final Underlier Value is greater than or equal to the Trigger Value (which equals the Coupon Barrier). you will receive a cash payment on the Maturity Date equal to 51.000 per $1,000 principal amount Note plus the Contingent Coupon otherwise due for the final quarter. If the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, you will lose 1% of the principal amount of your Notes for every I% that the Final Underlier Value is less than the Initial Underlier Value. Under these circumstances. you will receive a cash payment on the Maturity Date per S1.000 principal amount Note calculated as follows: $1.000 x (1 + Underlier Return) If the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, the Notes will be fully exposed to the decline in the value of the Underlier and you will lose some or all of your investment at maturity. Any payment on the Notes, including any repayment of principal, is not guaranteed by any third party and is subject to (a)the creditworthiness of Barclays Bank PLC' and (b) the risk of exercise of any U.K. Bail-in Power (as described on page FWP-3 of this free writing prospectus) by the relevant U.K. resolution authority. See "Selected Risk Considerations—Credit of Issuer,""Selected Risk Considerations—You hay Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority" and "Consent to UK Bail-in Power" in this free writing prospectus and "Risk Factors" in the accompanying prospectus addendum. By acquiring the Notes. you acknowledge. agree to be bound by and consent to the exercise of. any U.K. Bail-in Power by the relevant U.K. resolution authority that may result in the cancellation of all. or a portion. of any amounts payable on or modification of the form of the Notes. In the event of the exercise of any U.K. Bail-in Power. you may lose some or all of your investment in the Notes. See "Consent to U.K. Bail-in Power" in this free writing prospectus and the accompanying prospectus addendum for more information. Final Underlier Value — Initial Underlier Value Initial Underlier Value . which is $0.(X)% of the Initial Underlier Value (rounded to two decimal places) . which is 80.00% of the Initial Underlier Value (rounded to two decimal places) The arithmetic average of the Closing Prices of the Underlier on the Averaging Dates (rounded to two decimal places) October 5. 2016 BARCLAYS JPMorgan Placement Agent EFTA00597529 Initial Underlier Value•: S . which is the Closing Price of the Underher on the Pricing Date Closing Price: Closing Price has the meaning set forth under "Reference Assets—Equity Securities—Special Calculation Provisions" in the prospectus supplement: provided that the "Closing Price- observed for purposes of the Final Observation Date will equal the Final Underlie. Value. which is the arithmetic average of the Closing Prices of the Underlier on the Averaging Dates Observation Dates: December 31.2015. March 31. 2016.1une 30.2016 and September 30. 2016. The final Observation Date. September 30. 2016. is the "Final Observation Date." Averaging Dates': September 26. 2016. September 27. 2016. September 28. 2016. September 29. 2016 and September 30. 2016 Call Settlement Dates': Three (3) business days following the applicable Observation Date: provided that if the Notes are automatically called on the Final Observation Date. the related Call Settlement Date will be the Maturity Date Coupon Payment Dates': Three (3) business days following the applicable Observation Date: provided that the final Coupon Payment Date will be the Maturity Date Calculation Agent: Barclays Bank PLC CUSIP/ISIN: 0674 IUL51 / US0674IUL511 Expected. In the event that we make any change to the expected Pricing Date or Issue Date, the Observation Dates. the Averaging Dates and/or the Maturity Date may be changed so that the stated term of the Notes remains the same. In addition. the Observation Data. the Averaging Dates. the Call Settlement Data. the Coupon Payment Dates and the Maturity Date are subject to postponement. Sec "Reference Assets—Equity Securities—Market Disruption Events Relating to Securities with an Equity Security as the Reference Assn" in the accompanying prospectus supplement. Notwithstanding anything to the contrary in the accompanying prospectus supplement. the Final Observation Date may be postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on that date. • The Initial Underlier Value. Final Underlier Value. Coupon Barrier. Trigger Value and other amounts may change due to stock splits or other corporate actions. See "Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as the Reference Asset" in the accompanying prospectus supplement. FIVP-2 EFTA00597530 Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus dated July 19, 2013, the prospectus supplement dated July 19, 2013, the prospectus addendum dated February 3, 2015 and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative, such dealer or toll-free 1.888-227.2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019. You may revoke your offer to purchase the Notes at any time prior to the pricing as described on the cover of this free writing prospectus. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase. Additional Terms Specific to the Notes You should read this free writing prospectus together with the prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013 and the prospectus addendum dated February 3, 2015 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This free writing prospectus, 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 prospectus addendum, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website): • Prospectus dated July 19, 2013: httplAvww.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm • Prospectus supplement dated July 19, 2013: httplAvww.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm • Prospectus addendum dated February 3, 2015: http:/Avww.sec.eov/Archives/edear/data/312070.1000119312515031134/d864437d424b3.htm Our SEC file number is 1-10257. As used in this free writing prospectus, "we," "us" and "our" refer to Barclays Bank PLC. Consent to U.K. Bail-in Power Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the entity's failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K banking system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent by the winding up of the entity. Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power. The U.K. Bail-in Power includes any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment in the Notes or receive a different security, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes. By your acquisition of the Notes, you acknowledge, agree to be bound by and consent to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. This is only a summary. For more information, please see "Selected Risk Considerations—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority" in this free writing prospectus and the full definition of "U.K. Bail-in Power" as well as the risk factors in the accompanying prospectus addendum. FIVP-3 EFTA00597531 Scenario Analysis and Hypothetical Examples The following examples are hypothetical and provided for illustrative purposes only. They do not purport to be representative of every possible scenario concerning increases or decreases in the value of the Underlier relative to its Initial Underlier Value. We cannot predict the Closing Price of the Underlier on any day during the term of the Notes. including on the Observation Dates or Avenging Dates. You should not take these examples as an indication or assurance of the expected performance of the Underlier. The numbers appearing in the examples below have been rounded for ease of analysis. These examples do not take into account any tax consequences from investing in the Notes. The "total return" as used in this free writing prospectus is the number, expressed as a percentage, that results from comparing the total payment on the Notes per $1.000 principal amount Note to the $1.000 issue price. The following examples illustrate amounts payable on a hypothetical offering of the Notes under various scenarios. based on the following assumptions: Principal Amount: 41.000 Tent: 54 weeks Hypothetical Initial Underlier Value: 4115.31 Contingent Coupon: 442.50 per quarter (equivalent to a rate of 17.00% per annum. payable at a rate of 4.25% per quarter) Observation Dates: Observation Dates will occur quarterly as set forth on the cover of this free writing prospectus. Hypothetical Coupon Barrier: 492.25 (which is 80.00% of the hypothetical Initial Underlie Value) Hypothetical Trigger Value: 492.25 (which is 80.00% of the hypothetical Initial Underlie Value) Example 1- Notes Are Automatically Called on the First Observation Date Date Closing Price Payment (per Note) First Observation Date $126.84 Closing Price of Underlier at or above Initial Underlier Value. Notes are automatically called: Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Call Settlement Date. Total Payment (per $ IMO Note): 41.042.50 (4.25% total return on the Notes) Because the Closing Price of the Underlier is greater than or equal to the Initial Underlier Value on the first Observation Date. the Notes are automatically called on the first Observation Date. The Issuer will pay you on the Call Settlement Date 41.042.50 per $1.000 principal amount Note. which is equal to your principal amount plus the Contingent Coupon payment due in connection with the first Observation Date. Example 2— Notes Are Automatically Called on the Third Observation Date Date Closing Price Payment (per Note) First Observation Date $109.54 Closing Price of Underlier below Initial Underlier Value and above Coupon Barrier. Notes NOT automatically called: Issuer pays Contingent Coupon payment of $42.50 on first Coupon Payment Date. Second Observation Date $86.48 Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on second Coupon Payment Date. Third Observation Date $132.61 Closing Price of Underlier at or above Initial Underlier Value. Notes are automatically called: Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Call Settlement Date. Total Payment (per $1.000 Note): $1,085.00 (8.50% total return on the Notes) Because the Closing Price of the Underlier is greater than or equal to the Initial Underlier Value on the third Observation Date the Notes are automatically called on the third Observation Date. The Issuer will pay you on the Call Settlement Date 41.042.50 per $1.000 principal amount Note. which is equal to your principal amount plus the Contingent Coupon payment due in connection with the third Observation Date. In addition, because the Closing Price of the Underlier was greater than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon payment of $42.50 on the first Coupon Payment Date. However, because the Closing Price of the Underlier was less than the Coupon Barrier on the second Observation Date, the Issuer will not pay any Contingent Coupon payment on the Coupon Payment Date following the second Observation Date. FWP-4 EFTA00597532 Example 3— Notes Are NOT Automatically Called and the Final Underlier Value* Is Above the Trigger Value Date Closing Price Payment (per Note) First Observation Date $98.01 Closing Price of Underlie below Initial Underlier Value and above Coupon Barrier. Notes NOT automatically called: Issuer pays Contingent Coupon payment of $42.50 on first Coupon Payment Date. Second Observation Date $86.48 Closing Price of Underlier below Initial Underlie Value and below Coupon Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on second Coupon Payment Date. Third Observation Date $80.72 Closing Price of Underlier below Initial Underlie Value and below Coupon Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on third Coupon Payment Date. Final Observation Date $103.78 Closing Price* of Underlier below Initial Underlier Value and above Coupon Barrier. Notes NOT automatically called: Final Underlier Value* above Trigger Value. Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Maturity Date. Total Payment (per $1.000 Note): $1.085.00 (8.50% total return on the Notes) Because the Closing Price of the Undedier was less than the Initial Underlier Value on each Observation Date, the Notes are not automatically called. Because the Final Underlier Value* is greater than or equal to the Coupon Barrier and the Trigger Value, at maturity, the Issuer will pay you 51.042.50 per $1,000 principal amount Note which is equal to your principal amount plus the Contingent Coupon payment due in connection with the Final Observation Date. In addition, because the Closing Price of the Underlier was greater than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon payment of $42.50 on the first Coupon Payment Date. However, because the Closing Price of the Underlier was less than the Coupon Barrier on the second Observation Date and on the third Observation Date. the Issuer will not pay any Contingent Coupon payment on the Coupon Payment Dates following the second Observation Date or third Observation Date. *The "Closing Price" for purposes of the Final Observation Date, as well as the Final Underlier Value. is equal to the arithmetic average of the Closing Prices of the Underlier on the Avenging Dates, as set forth on the cover of this free writing prospectus. Example 4 — Notes Are NOT Automatically Called and the Final Underlier Value* Is Below the Trigger Value Date Closing Price Payment (per Note) First Observation Date $86.48 Closing Price of Underlier below Initial Underlier Value and below Coupon Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on first Coupon Payment Date. Second Observation Date $80.72 Closing Price of Underlier below Initial Underlier Value and below Coupon Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on second Coupon Payment Date. Third Observation Date $74.95 Closing Price of Underlier below Initial Underlier Value and below Coupon Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Couponppynai third Coupon Payment aDm. Final Observation Date $57.66 Closing Price* of Underlier below Initial Underlier Value and below Coupon Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on Maturity Date. The Final Underlier Value' is below the Trigger Value and Barclays Bank PLC will repay less than the principal amount resulting in a loss proportionate to the decline of the Underlie. Total Payment (per $1.009 Note): $500.00 (a 50.00% loss on the Notes) Because the Closing Price of the Underlier is less than the Initial Underlier Value on each Observation Date, the Notes are not automatically called. Because the Final Underlier Value' is less than the Trigger Value, at maturity. the Issuer will pay you a total of 4500.00 per $1,000 principal amount. calculated as follows: 51.000 x (I + Underlier Return) = $1.000 x (1 + -50.00%) = $500.00 In addition, because the Closing Price of the Underlier is less than the Coupon Bather on each Observation Date, the Issuer will not pay any Contingent Coupon payments over the term of the Notes. 'The "Closing Price" for purposes of the Final Observation Date, as well as the Final Underlier Value, is equal to the arithmetic average of the Closing Prices of the Underlier on the Avenging Dates, as set forth on the cover of this free writing prospectus. MVP-5 EFTA00597533 Selected Purchase Considerations • Market Disruption Events and Adjustments — The Calculation Agent may adjust any variable described in this free writing prospectus, including but not limited to the Observation Data, the Averaging Dates, the Call Settlement Dates, the Coupon Payment Dates, the Maturity Date, the Underlier, the Closing Price of the Underlier, the Initial Underlier Value, the Final Underlier Value, the Coupon Barrier, the Trigger Value and any combination thereof as described in the following sections of the accompanying prospectus supplement: o For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see "Reference Assets—Equity Securities—Market Disruption Events Relating to Securities with an Equity Security as the Reference Asset." Notwithstanding anything to the contrary in the accompanying prospectus supplement, the Final Observation Date may be postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on that date; and o For a description of further adjustments that may affect the Underlier and events that may result in the acceleration of the Maturity Date, see "Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as the Reference Asset." • Tax Consequences — You should review carefully the sections entitled "Certain U.S. Federal Income Tax Considerations— Certain Notes Treated as Forward Contracts or Derivative Contracts" and, if you are a non-U.S. holder, "—Tax Treatment of Non-U.S. Holders," in the accompanying prospectus supplement. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith. In determining our reporting responsibilities, if any, we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Coupons as ordinary income, as described in the section entitled "Certain U.S. Federal Income Tax Considerations—Certain Notes Treated as Forward Contracts or Derivative Contracts" in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the "IRS") or a court may adopt. Sale, Exchange or Redemption of a Note. Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax advisor regarding this issue. As noted above, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice. Non-U.S. Holders. Insofar as we have responsibility as a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading "— Information Reporting and Backup Withholding" in the accompanying prospectus supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld. Non-U.S. holders should also note that recently proposed Treasury regulations could impose a 30% (or lower treaty rate) withholding tax on amounts paid or deemed paid after December 31, 2015 that are treated as attributable to U.S.-source dividends on equities underlying financial instruments such as the Notes. While it is not clear whether or in what form these regulations will be finalized, under recent Treasury guidance, these regulations would not apply to the Notes. Non-U.S. holders should consult their tax advisors regarding the potential application of these proposed regulations. FWP-6 EFTA00597534 Selected Risk Considerations An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlier. These risks are explained in more detail in the "Risk Factors" sections of the prospectus supplement and the prospectus addendum. including but not limited to the risk factors discussed under the following headings of the prospectus supplement (unless otherwise noted): • "Risk Factors—Risks Relating to All Securities"; • "Risk Factors—Additional Risks Relating to Notes Which Are Not Characterized as Being Fully Principal Protected or Are Characterized as Being Partially Protected or Contingently Protected"; • "Risk Factors—Additional Risks Relating to Securities with a Barrier Percentage or a Barrier Level"; • "Risk Factors—Additional Risks Relating to Securities Which We May Call or Redeem (Automatically or Otherwise)"; • "Risk Factors—Additional Risks Relating to Securities with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds"; and • "Risk Factors—Under the terms of the notes, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority" (in the accompanying prospectus addendum). In addition to the risks discussed under the headings above, you should consider the following: • You May Lose Some or All of Your Principal — The Notes differ from ordinary debt securities in that the Issuer will not necessarily pay the full principal amount at maturity. If the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, you will lose 1% of the principal amount of your Notes for every l% that the Final Underlier Value is less than the Initial Underlier Value. Accordingly, if the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, the Notes will be fully exposed to the decline in the Underlier and you will lose some or all of your investment at maturity. • Credit of Issuer — The Notes 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 Notes, including any repayment of principal, depends on 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 Notes 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 Notes. • You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority — Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the entity's failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K. banking system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent by the winding up of the entity. Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power. The U.K. Bail-in Power includes any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment in the Notes or receive a different security, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes. By your acquisition of the Notes, you acknowledge, agree to be bound by and consent to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each term is defined in the indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. Accordingly, your rights as a holder of the Notes are subject to, and will be varied, if necessary, so as to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. Please see "Consent to U.K. Bail-in Power" in this free writing prospectus and the risk factors in the accompanying prospectus addendum for more information. • You May Not Receive Any Contingent Coupons — Barclays Bank PLC will not necessarily make periodic coupon payments on the Notes. If the Closing Price of the Underlier on an Observation Date is less than the Coupon Barrier, Barclays Bank PLC will not pay you the Contingent Coupon applicable to that Observation Date. If the Closing Price of the Underlier is less than the Coupon Barrier on each of the Observation Dates, Barclays Bank PLC will not pay you any Contingent Coupons during the term of the Notes, and you will not receive a positive return on your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. FIVP-7 EFTA00597535 • Reinvestment Risk — If your Notes are automatically called early, the holding period over which you may receive Contingent Coupons could be as short as approximately 3.5 months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes in a comparable investment with a similar level of risk in the event the Notes are automatically called prior to the Maturity Date. • Contingent Repayment of Principal Applies Only at Maturity — You should be willing to hold your Notes to maturity unless the Notes are automatically called. Although the Notes provide for the repayment of your principal at maturity if the Notes are not automatically called and the Final Underlier Value is greater than or equal to the Trigger Value, if you sell your Notes prior to maturity in the secondary market, if any, you may have to sell your Notes at a loss relative to your initial investment even if the value of the Underlier is above the Trigger Value. See "Many Economic and Market Factors Will Impact the Value of the Notes" below. • Your Potential Return on the Notes Is Limited, and You Will Not Participate in Any Appreciation of the Underlier — The return potential of the Notes is limited to the per annum Contingent Coupon rate, regardless of the appreciation in the value of the Underlier. In addition, any return on the Notes will be based on the number of Observation Dates on which the Closing Price of the Underlier has equaled or exceeded the Coupon Barrier prior to maturity or an automatic call. Further, if the Notes are automatically called due to the automatic call feature, you will not receive any Contingent Coupons or any other payment in respect of any Observation Dates after the applicable Call Settlement Date. Because the Notes could be automatically called as early as the first Observation Date, the total return on the Notes could be minimal. If the Notes are not automatically called, you will not participate in any appreciation in the value of the Underlier even though you will be subject to the Underlier's risk of decline. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Underlier. • Lack of Liquidity — The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. • Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as Calculation Agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the Calculation Agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. • Suitability of the Notes for Investment — You should reach a decision to invest in the Notes only after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this free writing prospectus, the prospectus supplement, the prospectus addendum and the prospectus. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment. • Owning the Notes Is Not the Same as Owning the Underlier — The return on your Notes may not reflect the return you would realize if you actually owned the Underlier. For instance, as a holder of the Notes, you will not have voting rights, rights to receive cash dividends or other distributions, or any other rights that holders of the Underlier would have. Further, you will not participate in any appreciation of the Underlier, which could be significant. • Single Equity Risk — The value of the Underlier can rise or fall sharply due to factors specific to the Underlier and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial and other information filed periodically with the SEC by the issuer of the Underlier. • Antidilution Adjustments — For certain corporate events affecting the Underlier, the Calculation Agent may make adjustments to the amounts payable on the Notes. However, the Calculation Agent will not make such adjustments in response to all events that could affect the Underlier. If an event occurs that does not require the Calculation Agent to make such adjustments, the value of the Notes may be materially and adversely affected. In addition, all determinations and calculations concerning any such adjustments will be made in the sole discretion of the Calculation Agent, which will be binding on you absent manifest error. You should be aware that the Calculation Agent may make any such adjustment. determination or calculation in a manner that differs from that discussed in this free writing prospectus or the prospectus supplement as necessary to achieve an equitable result. • In Some Circumstances, the Payment You Receive on the Notes May Be Based on the Stock of Another Company and Not the Underlier — Following certain corporate events relating to the issuer of the Underlier where the issuer is not the surviving entity, your return on the Notes paid by Barclays Bank PLC may be based on the shares of a successor to the issuer of the Underlier or any cash or any other assets distributed to holders of the Underlier in such corporate event. The occurrence of these corporate events and the consequent adjustments may materially and adversely affect the value of the Notes. For more information, see the section "Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as the Reference Asset" of the prospectus supplement. • Many Economic and Market Factors Will Impact the Value of the Notes — In addition to the value of the Underlier on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including: FIVP-8 EFTA00597536 o the expected volatility of the Underlier; o the time to maturity of the Notes; o the dividend rate on the Underlier; o interest and yield rates in the market generally; o supply and demand for the Notes; o a variety of economic, financial, political, regulatory and judicial events; and o our creditworthiness, including actual or anticipated downgrades in our credit ratings. • The Estimated Value of Your Notes Is Expected to Be Lower Than the Initial Issue Price of Your Notes — The estimated value of your Notes on the Pricing Date is expected to be lower, and may be significantly lower, than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected 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 that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes. • The Estimated Value of Your Notes Might Be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market — The estimated value of your Notes on the Pricing Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated values referenced above might be lower if such estimated values were based on the levels at which our benchmark debt securities trade in the secondary market. • The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different from the Pricing Models of Other Financial Institutions —The estimated value of your Notes on the Pricing Date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions' pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions that may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal pricing models. • The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if Any, and Such Secondary Market Prices, if Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the Estimated Value of Your Notes —The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc.. other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you. • The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer Account Statements, if We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your Notes — Assuming that all relevant factors remain constant after the Pricing Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all. may exceed our estimated value of the Notes on the Pricing Date, as well as the secondary market value of the Notes, for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes. • We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various Ways and Create Conflicts of Interest — We and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation. Additionally, the role played by Barclays Capital Inc., as a dealer in the Notes, could present it with significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell these Notes instead of other investments. We may pay dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the Notes. Furthermore, we and our affiliates make markets in and trade various financial instruments or products for their own accounts and for the account of their clients and otherwise EIVP-9 EFTA00597537 provide investment banking and other financial services with respect to these financial instruments and products. These financial instruments and products may include securities, instruments or assets that may serve as the underliers, basket underliers or constituents of the underliers of the Notes. Such market making, trading activities, other investment banking and financial services may negatively impact the value of the Notes. Furthermore, in any such market making, trading activities, and other services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer. seller or holder of the Notes into account in conducting these activities. • Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor about your tax situation. See "Selected Purchase Considerations—Tax Consequences" above. Information about the Underlier We urge you to read the following section in the accompanying prospectus supplement: "Reference Assets—Equity Securities— Reference Asset Issuer and Reference Asset Information." Companies with securities registered under the Securities Exchange Act of 1934, as amended, are required to file financial and other information specified by the SEC periodically. Information provided to or filed with the SEC by the issuer of the Underlier can be located on a website maintained by the SEC at hnp://www.sec.gov by reference to that issuer's SEC file number provided below. Included below is a brief description of the issuer of the Underlier. This information has been obtained from publicly available sources. Information from outside sources is not incorporated by reference in, and should not be considered part of, this free writing prospectus or the accompanying prospectus, prospectus supplement or prospectus addendum. We have not independently verified the accuracy or completeness of the information contained in outside sources. Apple Inc. According to publicly available information, Apple Inc. (the "Company") designs, manufactures and markets mobile communication and media devices, personal computers and portable digital music players and sells a variety of related software, services, accessories, networking solutions and third-party digital content and applications. Information filed by the Company with the SEC can be located by reference to its SEC file number: 000-10030. The Company's common stock is listed on The NASDAQ Stock Market under the ticker symbol "AAPL." Historical Information The following table sets forth the quarterly high, low and period-end Closing Prices for the Underlier, based on daily Closing Prices of the Underlier. The graph below sets forth the performance of the Underlier from January 2, 2008 to September 14, 2015, based on the daily Closing Prices of the Underlier. The Closing Price of the Underlier on September 14, 2015 was $115.31. We obtained the Closing Prices below from Bloomberg, without independent verification. Historical performance of the Underlier should not be taken as an indication of future performance. Future performance of the Underlier may differ significantly from historical performance, and no assurance can be given as to the Closing Price of the Underlier during the term of the Notes, including on any of the Observation Dates or Avenging Dates. We cannot give you assurance that the performance of the Underlier will result in the return of any of your initial investment. The Closing Prices below may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits. Quarter Begin Quarter End Quarterly High (USD) Quarterly Low (USD) Quarterly Close (USD) 1/1/2008 3/31/2008 27.85 17.02 20.50 4/1/2008 6/30/2008 27.14 21.02 23.92 7/1/2008 9/30/2008 25.67 15.04 16.24 10/1/2008 12/31/2008 1526 11.50 12.19 1/1/2009 3/31/2009 15.70 11.17 15.02 4/1/2009 6/30/2009 20.67 15.53 20.35 7/1/2009 9/30/2009 26.59 19.34 26.48 10/1/2009 12/31/7009 30.23 25.82 30.12 1/1/2010 3/31/2010 33.69 27.43 3356 4/1/2010 6/30/2010 39.17 33.69 35.93 7/1/2010 9/30/2010 41.78 34.31 40.54 10/1/2010 12/31/2010 46.50 39.81 46.08 1/1/2011 3/31/2011 51.88 46.67 49.78 FWP-10 EFTA00597538 4/1/2011 6/30/2011 50.44 45.05 47.95 7/1/2011 9/30/2011 59.06 49.03 54A5 10/1/2011 12/31/2011 6032 51.93 57.86 1/1/2012 3/31/2012 88.23 58.75 85.64 4/1/2012 6/30/2012 90.89 75.73 8143 7/1/2012 9/30/2012 100.30 82.13 95.32 10/1/2012 12/31/2012 95.96 72.71 76.15 1/1/2013 3/31/2013 78.43 60.01 63.23 4/1/2013 6/30/2013 66.26 55.79 5658 7/1/2013 9/30/2013 72.53 58.46 68.11 10/1/2013 12/31/2013 81.44 68.71 80.16 1/1/2014 3/31/2014 79.62 7135 76.68 4/1/2014 6/30/2014 94.25 73.99 92.93 7/1/2014 9/30/2014 103.30 93.08 100.75 10/1/2014 12/31/2014 119.00 96.26 110.38 1/1/2015 3/31/2015 133.00 105.99 124A3 4/1/2015 6/30/2015 132.65 124.25 125.43 7/1/2015 9/14/2015* 132.07 103.12 115.31 * Information for the third calendar quarter of 2015 includes data for the period from July 1, 2015 through September 14, 2015. Accordingly, the "Quarterly High (USD)," "Quarterly Low (USD)," and "Quarterly Close (USD)" data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2015. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. FWP-I I EFTA00597539 Certain Employee Retirement Income Security Ad Considerations Your purchase of a Note in an Individual Retirement Account (an "IRA"), will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the Issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security Act ("ERISA")) with respect to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA will pay no more than "adequate consideration" (within the meaning of Section 408(b)(17) of ERISA) and in connection with any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith. Additional Information Regarding Our Estimated Value of the Notes The final terms for the Notes will be determined on the date the Notes are initially priced for sale to the public (the "Pricing Date") based on prevailing market conditions on the Pricing Date, and will be communicated to investors either orally or in a final pricing supplement. 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 Pricing Date is based on our internal funding rates. Our estimated value of the Notes might 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 Pricing Date is expected to be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected 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 that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes. Our estimated value on the Pricing Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so. Assuming that all relevant factors remain constant after the 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 Pricing Date for a temporary period expected to be approximately three months after the initial Issue Date of the Notes because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes that 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 ow estimated costs that 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 FWP-7 of this free writing prospectus. You may revoke your offer to purchase the Notes at any time prior to the Pricing Date. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their Pricing Date. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase. Supplemental Plan of Distribution Morgan Securities LLC and JPMorgan Chase Bank, M. will act as placement agents for the Notes pursuant to separate placement agency agreements with the Issuer. The placement agents will forgo fees for sales to fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates that will not exceed S10.00 per Note. FWP-I2 EFTA00597540