Pricing Supplement dated July 31, 2020
(To the Prospectus dated August 1, 2019, the Prospectus Supplement
dated August 1, 2019, the Prospectus Addendum dated May 11, 2020
and the Underlying Supplement dated August 1, 2019)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-232144
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$712,000
Autocallable Notes due July 31, 2023
Linked to the Least Performing of the Dow
Jones Industrial Average®, the Nasdaq-100 Index® and the S&P 500® Index
Global Medium-Term Notes,
Series A
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Unlike ordinary debt securities, the Notes do not guarantee the
payment of interest or any return of principal at maturity. Instead, as described below, the Notes will be automatically redeemed
for a Redemption Premium if the Closing Value of each Underlier on any Observation Date is greater than or equal
to its Initial Underlier Value. Investors should be willing to forgo dividend payments and, if the Final Underlier Value of
any Underlier is less than its Barrier Value, be willing to lose a significant portion or all of their investment at maturity.
Investors will be exposed to the market risk of each Underlier and any decline in the value of one Underlier may negatively
affect their return and will not be offset or mitigated by a lesser decline or any potential increase in the values of the other
Underliers.
Terms used in this pricing
supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
Issuer:
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Barclays Bank PLC
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
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Initial Valuation Date:
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July 31, 2020
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Final Valuation Date:†
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July 26, 2023
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Issue Date:
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August 5, 2020
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Maturity Date:†
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July 31, 2023
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Reference Assets:*
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The Dow Jones Industrial Average® (the “INDU Index”), the Nasdaq-100 Index® (the “NDX Index”) and the S&P 500® Index (the “SPX Index”) (each, an “Underlier” and together, the “Underliers”), as set forth in the following table:
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Underliers
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Bloomberg Ticker
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Initial Underlier Value(1)
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Barrier Value(2)
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INDU Index
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INDU<Index>
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26,428.32
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18,499.82
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NDX Index
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NDX<Index>
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10,905.88
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7,634.12
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SPX Index
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SPX<Index>
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3,271.12
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2,289.78
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(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial Valuation Date
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(2) With respect to each Underlier, 70.00% of its Initial Underlier Value (rounded to two decimal places)
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Automatic Redemption:
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The Notes will not be automatically redeemable for approximately
the first year after the Issue Date. If, on any Observation Date, the Closing Value of each Underlier is greater
than or equal to its Initial Underlier Value, the Notes will be automatically redeemed and you will receive on the relevant
Redemption Settlement Date a cash payment per $1,000 principal amount Note that will provide a return equal to the applicable Redemption
Premium, calculated as follows:
$1,000 + ($1,000 × applicable Redemption
Premium)
No further amounts will be payable on the Notes after they
have been automatically redeemed.
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Redemption Premium:
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The Redemption Premium applicable to each Observation Date is set forth in the table below. The Redemption Premiums are set forth in the table below.
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Observation Date
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Redemption Premium
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Observation Date
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Redemption Premium
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First
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14.00%
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Fourth
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35.00%
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Second
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21.00%
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Final
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42.00%
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Third
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28.00%
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Any positive return on the Notes will not exceed the Redemption Premium with respect to the applicable Observation Date, and your return will not be based on the amount of any appreciation in the value of any Underliers, which may be significant.
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Payment at Maturity:
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If the Notes are not automatically redeemed, you will receive
on the Maturity Date a cash payment per $1,000 principal amount Note determined as follows:
§ If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will
receive a payment of $1,000 per $1,000 principal amount Note
§ If
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will receive an amount per
$1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier Return
of the Least Performing Underlier)
If the Notes are not automatically redeemed and the
Final Underlier Value of any Underlier is less than its Barrier Value, your Notes will be fully exposed to the decline of the Least
Performing Underlier from its Initial Underlier Value 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 PS- 4 of this pricing supplement)
by the relevant U.K. resolution authority. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power”
in this pricing supplement and “Risk Factors” in the accompanying prospectus supplement.
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Consent to U.K. Bail-in Power:
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Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement.
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(Terms of the Notes continue on the
next page)
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Initial
Issue Price(1)(2)
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Price to
Public
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Agent’s
Commission(3)
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Proceeds
to Barclays Bank PLC
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Per Note
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$1,000
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100%
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0.80%
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99.20%
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Total
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$712,000.00
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$712,000.00
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$2,886.50
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$709,113.50
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(1)
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Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions,
fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between
$992.00 and $1,000 per Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the
investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes.
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(2)
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Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $963.00 per Note.
The estimated value is less than the initial issue price of the Notes. See “Additional Information Regarding Our Estimated
Value of the Notes” on page PS-5 of this pricing supplement.
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(3)
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Barclays Capital Inc. will receive commissions from the Issuer of up to $8.00 per $1,000 principal amount Note. Barclays Capital
Inc. will use these commissions to pay variable selling concessions or fees (including custodial or clearing fees) to other dealers.
The agent’s commission per Note shown above is the maximum
agent’s commission, and the proceeds to Issuer per Note shown
above is the minimum amount of proceeds that the Issuer receives per $1,000 principal amount Note. The total agent’s
commission and total proceeds to Issuer shown above give effect to the actual amount of the variable agent’s
commission.
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Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-7 of the prospectus supplement and beginning on page
PA-1 of the prospectus addendum and “Selected Risk Considerations” beginning on page PS-10 of this pricing
supplement.
We may use this pricing supplement in the initial sale of the
Notes. In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market resale transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement
is being used in a market resale transaction.
The Notes will not be listed on any U.S. securities exchange
or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities
commission has approved or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation
Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance
agency of the United States, the United Kingdom or any other jurisdiction.
(Terms of the Notes continued from previous page)
Final Underlier Value:
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With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date
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Least Performing Underlier:
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The Underlier with the lowest Underlier Return
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Underlier Return:
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With respect to each Underlier, an amount calculated as follows:
Final Underlier Value – Initial
Underlier Value
Initial Underlier Value
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Observation Dates:†
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The last calendar day of each January and July during the term of the Notes, beginning in July 2021, provided that the final Observation Date will be the Final Valuation Date
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Redemption Settlement Date:†
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With respect to any Observation Date, the fifth business day after such Observation Date, provided that the Redemption Settlement Date with respect to the Final Valuation Date will be the Maturity Date
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Closing Value:*
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Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement, rounded to two decimal places (if applicable).
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Calculation Agent:
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Barclays Bank PLC
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CUSIP / ISIN:
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06747QAW7 / US06747QAW78
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*
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If an Underlier is discontinued or if the sponsor of an Underlier fails to publish that Underlier, the Calculation Agent may
select a successor index or, if no successor index is available, will calculate the value to be used as the Closing Value of that
Underlier. In addition, the Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event
of certain changes in or modifications to that Underlier. For more information, see “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
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†
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Each Observation Date may be postponed if that Observation Date is not a scheduled trading day with respect to any Underlier
or if a market disruption event occurs with respect to any Underlier on that Observation Date as described under “Reference
Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference Asset”
and “Reference Assets—Least or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption Events
for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement. In addition, the Maturity Date will
be postponed if that day is not a business day or if the Final Valuation Date is postponed as described under “Terms of the
Notes—Payment Dates” in the accompanying prospectus supplement.
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ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the prospectus supplement dated August 1, 2019 relating to our Global Medium-Term Notes,
Series A, of which these Notes are a part, the prospectus addendum dated May 11, 2020 and the underlying supplement dated August
1, 2019. This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement
and the prospectus addendum and “Selected Risk Considerations” in this pricing supplement, as the Notes involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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·
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Prospectus dated August 1, 2019:
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http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
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·
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Prospectus Supplement dated August 1, 2019:
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http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
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·
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Prospectus Addendum dated May 11, 2020:
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http://www.sec.gov/Archives/edgar/data/312070/000110465920059376/a20-19169_1424b3.htm
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·
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Underlying Supplement dated August 1, 2019:
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http://www.sec.gov/Archives/edgar/data/312070/000095010319010191/dp110497_424b2-underlying.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
any other agreements, arrangements or understandings between us and any holder or beneficial owner of the Notes, by acquiring the
Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise
of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances
in which the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that
a U.K. bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”)
threshold conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in
the case of a U.K. banking group company that is a European Economic Area (“EEA”) or third country institution or investment
firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect
of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the
reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes;
(ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into
shares or other securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the
holder or beneficial owner of the Notes such shares, securities or obligations); and/or (iii) the amendment or alteration of the
maturity of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest
or any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised
by means of a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority
of such U.K. Bail-in Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the
holders or beneficial owners of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment
is not a waiver of any rights holders or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in
Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
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 pricing supplement as well as “U.K. Bail-in
Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank
or investment firm in the Group is failing or likely to fail could materially adversely affect the value of the securities”
and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities, 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
supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE
NOTES
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables
such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based
on our internal funding rates. Our estimated value of the Notes 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 Initial Valuation Date
is less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated
value of the Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another
affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost
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 Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may
buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another
affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the
Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if
any, and the value that we may initially use for customer account statements, if we provide any customer account statements at
all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months
after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated
cost of hedging our obligations under the Notes and other costs in connection with the Notes 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, which may include the tenor of the Notes and/or any agreement we may have with the distributors of the
Notes. The amount of our 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 PS-10 of this pricing supplement.
Selected Purchase
Considerations
The Notes are not suitable
for all investors. The Notes may be a suitable investment for you if all of the following statements are true:
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·
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You do not seek an investment that produces fixed periodic interest or coupon payments or other sources of current income.
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·
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You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and
that your return potential on the Notes is limited to the Redemption Premium, if any, paid on the Notes.
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·
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You can tolerate a loss of a significant portion or all of your principal amount if the Notes are not automatically redeemed
and the Final Underlier Value of any Underlier is less than its Barrier Value, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Least Performing Underlier.
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·
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You anticipate that the Closing Value of any Underlier will be greater than or equal to its Initial Underlier Value
on at least one Observation Date.
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·
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You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value
of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier.
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|
·
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You understand and accept the risk that, if the Notes are not automatically redeemed, the payment at maturity, if any, will
be based solely on the Underlier Return of the Least Performing Underlier.
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·
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You understand and are willing and able to accept the risks associated with an investment linked to the performance of the
Underliers.
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·
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You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of
the securities composing the Underliers, nor will you have any voting rights with respect to the securities composing the Underliers.
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·
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You are willing and able to accept the risk that the Notes may be automatically redeemed and that you may not be able to reinvest
your money in an alternative investment with comparable risk and yield.
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|
·
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You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underliers.
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·
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You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the
Notes to maturity if the Notes are not automatically redeemed.
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·
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You are willing and able to assume our credit risk for all payments on the Notes.
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·
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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The Notes may not be
a suitable investment for you if any of the following statements are true:
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·
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You seek an investment that produces fixed periodic interest or coupon payments or other sources of current income.
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|
·
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You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment
with a return that is limited to the Redemption Premium, if any, paid on the Notes.
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|
·
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You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to
accept the risk that you may lose some or all of the principal amount of your Notes in the event that the Notes are not automatically
redeemed and the Final Underlier Value of the Least Performing Underlier falls below its Barrier Value.
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|
·
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You anticipate that the Closing Value of at least one Underlier will be less than its Initial Underlier Value on each
Observation Date.
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|
·
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You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline
in the value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any
other Underlier.
|
|
·
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You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance
of the Underliers.
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·
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You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to suffer
a loss of principal at maturity, regardless of the performance of any other Underlier.
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·
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing
the Underliers.
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·
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You are unwilling or unable to accept the risk that the Notes may be automatically redeemed.
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|
·
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You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the
value of the Underliers.
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·
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You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes
to maturity if the Notes are not automatically redeemed.
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|
·
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable
maturities and credit ratings.
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·
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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·
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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You must rely on your own evaluation of the merits of
an investment in the Notes. You should reach a decision whether to invest in the Notes 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 pricing supplement, the prospectus, the prospectus supplement, the prospectus addendum and the underlying
supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF AMOUNTS PAYABLE upon an automatic REDEMPTION
The following examples demonstrate the hypothetical total return
upon an automatic redemption under various circumstances. The examples set forth below are purely hypothetical and are provided
for illustrative purposes only. The numbers appearing in the following tables and examples have been rounded for ease of analysis.
The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the following
key assumptions:
|
§
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Hypothetical Initial Underlier Value of each Underlier: 100.00*
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|
§
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Redemption Premiums equal to the Redemption Premiums set forth on the cover of this pricing supplement*
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*
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The hypothetical Initial Underlier Value of 100.00 for each Underlier has been chosen for illustrative purposes
only and does not represent the actual Initial Underlier Values for the Underliers. The actual Initial Underlier Value for each
Underlier is set forth in the table on the cover of this pricing supplement.
|
For information regarding recent values of the Underliers, please
see “Information Regarding the Underliers” in this pricing supplement.
Example 1: The Notes are automatically redeemed on the first
Observation Date.
Observation Date
|
Underlier
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Closing Value on Observation Date
|
Are the Notes Redeemed?
|
Redemption Premium
|
1
|
INDU Index
|
110.00
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Yes
|
14.00%
|
NDX Index
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120.00
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SPX Index
|
140.00
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Because the Closing Value of each Underlier on the first Observation
Date is greater than or equal to its Initial Underlier Value, the Notes are automatically redeemed on the related Redemption Settlement
Date. You will receive on the relevant Redemption Settlement Date a cash payment of $1,140.00 per $1,000 principal amount Note,
which is equal to your principal amount plus a return equal to the applicable Redemption Premium. No further amounts will
be payable on the Notes after they have been automatically redeemed.
Example 2: The Notes are automatically redeemed on the third
Observation Date.
Observation Date
|
Underlier
|
Closing Value on Observation Date
|
Are the Notes Redeemed?
|
Redemption Premium
|
1
|
INDU Index
|
90.00
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No
|
N/A
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NDX Index
|
110.00
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SPX Index
|
100.00
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2
|
INDU Index
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85.00
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No
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N/A
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NDX Index
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75.00
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SPX Index
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90.00
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3
|
INDU Index
|
115.00
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Yes
|
28.00%
|
NDX Index
|
120.00
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SPX Index
|
105.00
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Because the Closing Value of each Underlier on the third Observation
Date is greater than its Initial Underlier Value, the Notes are automatically redeemed on the related Redemption Settlement Date.
You will receive on the relevant Redemption Settlement Date a cash payment of $1,280.00 per $1,000 principal amount Note, which
is equal to your principal amount plus a return equal to the applicable Redemption Premium. No further amounts will be payable
on the Notes after they have been automatically redeemed.
If the Closing Value of any Underlier is below its Initial
Underlier Value on each Observation Date, the Notes will not be automatically called and you may lose some or all of your investment
at maturity. See “Hypothetical Examples of Amounts Payable at Maturity” below.
Hypothetical EXAMPLES
OF AMOUNTS PAYABLE at Maturity
The following table illustrates
the hypothetical payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are
provided for illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of
analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the
following key assumptions:
|
§
|
Hypothetical Initial Underlier Value of each Underlier: 100.00*
|
|
§
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Hypothetical Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)*
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|
§
|
You hold the Notes to maturity, and the Notes are NOT automatically redeemed.
|
|
*
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The hypothetical Initial Underlier Value
of 100.00 and the hypothetical Barrier Value of 70.00 for each Underlier have been
chosen for illustrative purposes only and do not represent the actual Initial Underlier Values or Barrier Values for the Underliers.
The actual Initial Underlier Value and Barrier Value for each Underlier are set forth in the table on the cover of this pricing
supplement.
|
For information regarding recent values of the Underliers, please
see “Information Regarding the Underliers” in this pricing supplement.
Final Underlier Value of
the Least Performing Underlier
|
Underlier Return of
the Least Performing Underlier
|
Payment at Maturity**
|
Total Return on the Notes
|
150.00
|
50.00%
|
N/A
|
N/A
|
140.00
|
40.00%
|
N/A
|
N/A
|
130.00
|
30.00%
|
N/A
|
N/A
|
120.00
|
20.00%
|
N/A
|
N/A
|
110.00
|
10.00%
|
N/A
|
N/A
|
100.00
|
0.00%
|
N/A
|
N/A
|
99.99
|
-0.01%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
70.00
|
-30.00%
|
$1,000.00
|
0.00%
|
69.99
|
-30.01%
|
$699.90
|
-30.01%
|
60.00
|
-40.00%
|
$600.00
|
-40.00%
|
50.00
|
-50.00%
|
$500.00
|
-50.00%
|
40.00
|
-60.00%
|
$400.00
|
-60.00%
|
30.00
|
-70.00%
|
$300.00
|
-70.00%
|
20.00
|
-80.00%
|
$200.00
|
-80.00%
|
10.00
|
-90.00%
|
$100.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
** per $1,000 principal
amount Note.
The following examples illustrate how the payments at maturity
set forth in the table above are calculated:
Example 1: The Final Underlier Value of the INDU Index
is 150.00, the Final Underlier Value of the NDX Index is 80.00 and the Final Underlier Value of the SPX Index is 140.00.
Because the NDX Index has the lowest Underlier Return, the NDX
Index is the Least Performing Underlier. Because the Notes are not automatically redeemed on any Observation Date and the Final
Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will receive a payment at
maturity of $1,000 per $1,000 principal amount Note that you hold.
Example 2: The Final Underlier Value of the INDU Index
is 80.00, the Final Underlier Value of the NDX Index is 150.00 and the Final Underlier Value of the SPX Index is 40.00.
Because the SPX Index has the lowest Underlier Return, the SPX
Index is the Least Performing Underlier. Because the Notes are not automatically redeemed on any Observation Date, the Final Underlier
Value of the Least Performing Underlier is less than its Barrier Value and the Final Underlier Value of the Least Performing Underlier
is 40.00, you will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Underlier Return
of the Least Performing Underlier)
$1,000 + ($1,000 × -60.00%) = $400.00
Example 2 demonstrates that, if the Notes are not automatically
redeemed, and if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, your investment in
the Notes will be fully exposed to losses based on the depreciation of the Least Performing Underlier from its Initial Underlier
Value. You will not benefit in any way from the Underlier Return of any other Underlier being higher than the Underlier Return
of the Least Performing Underlier.
If the Notes are not automatically redeemed, you
may lose up to 100.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of
principal, is subject to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underliers or their components. Some of the risks that apply to an
investment in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes
generally in the “Risk Factors” sections of the prospectus supplement and the prospectus addendum. You should not purchase
the Notes unless you understand and can bear the risks of investing in the Notes.
|
·
|
Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in
that the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Notes are not automatically
redeemed, and if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, your Notes will be
fully exposed to the decline of the Least Performing Underlier from its Initial Underlier Value. You may lose up to 100.00%
of the principal amount of your Notes.
|
|
·
|
Your Potential Return on the Notes Is Limited to the Redemption Premium, If Any—You will receive a positive return
on the Notes only if the Notes are automatically redeemed. Any positive return on the Notes will be limited to the Redemption Premium
applicable to the relevant Observation Date and will not be based on the amount of any appreciation in the value of any Underliers,
which may be significant.
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|
·
|
Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risk of Sustaining a Significant
Loss of Principal at Maturity Than if the Notes Were Linked to a Single Underlier—The risk that you will lose a significant
portion or all of your principal amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of a single Underlier. With multiple Underliers, it is more likely that the
Closing Value of at least one Underlier will be less than its Barrier Value on the Final Valuation Date, and therefore, it is more
likely that you will suffer a significant loss of principal at maturity. Further, the performance of the Underliers may not be
correlated or may be negatively correlated. The lower the correlation between multiple Underliers, the greater the potential for
one of those Underliers to close below its Barrier Value on the Final Valuation Date.
|
It is impossible to predict what
the correlation among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These
different equity markets may not perform similarly over the term of the Notes.
Although the correlation of the
Underliers’ performance may change over the term of the Notes, the Redemption Premiums are determined, in part, based on
the correlation of the Underliers’ performance calculated using our internal models at the time when the terms of the Notes
are finalized. Higher Redemption Premiums are generally associated with lower correlation of the Underliers, which reflects a greater
potential for a loss of principal at maturity.
|
·
|
You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting
of the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with
a return linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket,
you will be exposed to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively
affect your return and will not be offset or mitigated by any increases or lesser declines in the value of the other Underliers.
If the Notes have not been automatically redeemed, and if the Final Underlier Value of any Underlier is less than its Barrier Value,
you will be exposed to the full decline in the Least Performing Underlier from its Initial Underlier Value. Accordingly, your investment
is subject to the market risk of each Underlier.
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|
·
|
The Notes Are Subject to Volatility Risk— Volatility is a measure of the degree of variation in the price of an
asset (or level of an index) over a period of time. The Redemption Premiums are based on a number of factors, including the expected
volatility of the Underliers. The Redemption Premiums reflect a per annum rate that is higher than the fixed rate that we would
pay on a conventional debt security of the same tenor and is higher than it otherwise would have been had the expected volatility
of the Underliers been lower. As volatility of an Underlier increases, there will typically be a greater likelihood that the Final
Underlier Value of that Underlier will be less than its Barrier Value.
|
Accordingly, you should understand
that higher Redemption Premiums reflect, among other things, an indication of a greater likelihood that you will incur a loss of
principal at maturity than would have been the case had the Redemption Premiums been lower. In addition, actual volatility over
the term of the Notes may be significantly higher than expected volatility at the time the terms of the Notes were determined.
If actual volatility is higher than expected, you will face an even greater risk that you will lose some or all of your principal
at maturity for the reasons described above.
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·
|
Automatic Redemption and Reinvestment Risk—While the original term of the Notes is as indicated on the cover of
this pricing supplement, the Notes may be automatically redeemed prior to maturity for a term that could be as short as approximately
one year. 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 redeemed prior to the Maturity Date.
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|
·
|
If the Notes Are Not Automatically Redeemed, the Payment at Maturity, If Any, Is Based Solely on the Closing Value
of the Least Performing Underlier on the Final Valuation Date—If the Notes are not automatically redeemed, the Final
Underlier Values (and resulting Underlier Returns) will be based solely on the Closing Values of the Underliers on the Final Valuation
Date, and your payment at maturity, if any, will be determined based solely on the performance of the Least Performing Underlier.
Accordingly, if the value of the Least Performing Underlier drops on the Final Valuation Date, the payment at maturity on the Notes,
if any, may be significantly less than it would have been had it been linked to the value of the Underlier at any time prior to
such drop. If the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will lose
|
some or all of the principal amount
of your Notes. Your losses will not be offset in any way by virtue of the Underlier Return of any other Underlier being higher
than the Underlier Return of the Least Performing Underlier.
|
·
|
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, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed
by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of
the Notes, and in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under
the terms of the Notes.
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|
·
|
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—Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC
and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority
as set forth under “Consent to U.K. Bail-in Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power
may be exercised in such a manner as to result in you and other holders and beneficial owners of the Notes losing all or a part
of the value of your investment in the Notes or receiving a different security from the Notes, 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 the U.K. Bail-in Power without providing any advance notice to, or requiring
the consent of, the holders and beneficial owners of the Notes. 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 senior debt securities
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. See
“Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the
Group is failing or likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks
Relating to the Securities Generally—Under the terms of the securities, 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 supplement.
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|
·
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Contingent Repayment of the Principal Amount Applies Only at Maturity or upon Any Automatic Redemption—You should
be willing to hold your Notes to maturity or any automatic redemption. Although the Notes provide for the contingent repayment
of the principal amount of your Notes at maturity, provided the Final Underlier Value of the Least Performing Underlier
is greater than or equal to its Barrier Value, or upon any automatic redemption, if you sell your Notes prior to such time in the
secondary market, if any, you may have to sell your Notes at a price that is less than the principal amount even if at that time
the value of each Underlier has increased from its Initial Underlier Value. See “Many Economic and Market Factors Will Impact
the Value of the Notes” below.
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|
·
|
Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may
not reflect the return you would realize if you actually owned the securities composing the Underliers. As a holder of the Notes,
you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the securities
composing the Underliers would have.
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|
·
|
Each Underlier Reflects the Price Return of the Securities Composing that Underlier, Not the Total Return—The
return on the Notes is based on the performance of the Underliers, which reflect changes in the market prices of the securities
composing each Underlier. Each Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the
Notes will not include such a total return feature.
|
|
·
|
Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add,
delete, substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that
could affect its performance. The Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in
the event of certain material changes in or modifications to that Underlier. In addition, the sponsor of an Underlier may also
discontinue or suspend calculation or publication of that Underlier at any time. Under these circumstances, the Calculation Agent
may select a successor index that the Calculation Agent determines to be comparable to the discontinued Underlier or, if no successor
index is available, the Calculation Agent will determine the value to be used as the Closing Value of that Underlier. Any of these
actions could adversely affect the value of the relevant Underlier and, consequently, the value of the Notes. See “Reference
Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus
supplement.
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|
·
|
There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities with Respect
to the NDX Index—Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home
countries of the issuers of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal
policies and currency exchange laws.
|
|
·
|
Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers
Over the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience
significant fluctuations. The historical performance of an Underlier is not an indication of the future performance of
|
that Underlier over the term of
the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the
term of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the
Notes may bear no relation or resemblance to the historical performance of any Underlier.
|
·
|
The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated value of your
Notes on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue
price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid
to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or
paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with
structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development
and other costs which we may incur in connection with the Notes.
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|
·
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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 Initial Valuation 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 value referenced above might be lower if
such estimated value were based on the levels at which our benchmark debt securities trade in the secondary market.
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|
·
|
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 Initial
Valuation 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 which
may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially
different from the estimated value of the Notes determined by reference to our internal pricing models.
|
|
·
|
The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market,
if Any, and Such Secondary Market Prices, if Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and 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.
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|
·
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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 Initial Valuation 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 Initial Valuation 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.
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|
·
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We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in
Various Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance
of the Notes, as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse
to your interests as an investor in the Notes.
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In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various
financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking
and other financial services with respect to these financial instruments and products. These financial instruments and products
may include securities, derivative instruments or assets that may relate to the Underliers or their components. In any such market
making, trading and hedging activity, and other financial 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. Such market making,
trading and hedging activity, investment banking and other financial services may negatively impact the value of the Notes.
In addition, the role played by
Barclays Capital Inc., as the agent for the Notes, could present 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 the Notes instead
of other investments. Furthermore, 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.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the
Underliers and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
we may be required to make discretionary judgments, including determining whether a market disruption event has occurred on any
date that the value of an Underlier is to be determined; if an Underlier is discontinued or if the sponsor of an Underlier fails
to publish that Underlier, selecting a successor index or, if no successor index is available, determining any value necessary
to calculate any payments on the Notes; and calculating the value of an Underlier on any date of determination in the event of
certain changes in or modifications to that Underlier. In making these discretionary judgments, our economic interests are potentially
adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments on the
Notes.
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·
|
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.
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|
·
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The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain—There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the
Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Notes are uncertain,
and the IRS or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described below under “Tax
Considerations.” If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of
the ownership and disposition of the Notes could be materially and adversely affected. In addition, in 2007 the Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive
effect. You should review carefully the sections of the accompanying prospectus supplement entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts”
and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor regarding
the U.S. federal tax consequences of an investment in the Notes (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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|
·
|
Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by
a number of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each
other, including:
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|
o
|
the market prices of, dividend rate on and expected volatility of the Underliers and the components of each Underlier;
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|
o
|
correlation (or lack of correlation) of the Underliers;
|
|
o
|
the time to maturity of the Notes;
|
|
o
|
interest and yield rates in the market generally;
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|
o
|
a variety of economic, financial, political, regulatory or judicial events;
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|
o
|
supply and demand for the Notes; and
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|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Information Regarding
the UNDERLIERS
Dow Jones Industrial Average®
The INDU Index is a price-weighted index that seeks to measure
the performance of 30 U.S. blue-chip companies. The INDU Index covers all industries with the exception of transportation and utilities.
For more information about the INDU Index, see “Indices—The Dow Jones Industrial Average®” in
the accompanying underlying supplement.
Historical Performance of the INDU Index
The graph below sets forth the historical performance of the
INDU Index based on the daily Closing Values from January 2, 2015 through July 31, 2020. We obtained the Closing Values shown in
the graph below from Bloomberg Professional® service (“Bloomberg”). We have not independently verified
the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Dow Jones
Industrial Average®
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted index
of stocks of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For more information about the NDX Index,
see “Indices—The Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical performance of the
NDX Index based on the daily Closing Values from January 2, 2015 through July 31, 2020. We obtained the Closing Values shown in
the graph below from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from
Bloomberg.
Historical Performance of the Nasdaq-100
Index®
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
S&P 500® Index
The SPX Index consists of stocks of 500 companies selected to
provide a performance benchmark for the U.S. equity markets. For more information about the SPX Index, see “Indices—The
S&P U.S. Indices” in the accompanying underlying supplement.
Historical Performance of the SPX Index
The graph below sets forth the historical performance of the
SPX Index based on the daily Closing Values from January 2, 2015 through July 31, 2020. We obtained the Closing Values shown in
the graph below from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from
Bloomberg.
Historical Performance of the S&P
500® Index
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
Tax Considerations
You should review carefully the sections in the accompanying
prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to
Non-U.S. Holders.” The following discussion, when read in combination with those sections, constitutes the full opinion of
our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and
disposing of the Notes. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent
it is inconsistent therewith.
Based on current market conditions, in the opinion of our special
tax counsel, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward contracts with respect
to the Underliers. Assuming this treatment 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. This gain or loss on
your Notes should be treated as long-term capital gain or loss if you hold your Notes for more than a year, whether or not you
are an initial purchaser of Notes at the original issue price. However, the IRS or a court may not respect this treatment, in which
case the timing and character of any income or loss on the Notes could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. 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 and adversely 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.
Treasury regulations under Section 871(m) generally impose a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta of
one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one” within
the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the Notes
with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of
Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the “agent”),
and the agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this
pricing supplement. The agent commits to take and pay for all of the Notes, if any are taken.
VALIDITY OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special
United States products counsel to Barclays Bank PLC, when the Notes offered by this pricing supplement have been executed and issued
by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such Notes will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith) and possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors’
rights, provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited
to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell
LLP has relied, with Barclays Bank PLC’s permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of
June 14, 2019, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on June 14, 2019, and this opinion is subject to
the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition,
this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture
and its authentication of the Notes and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of Davis Polk & Wardwell LLP, dated June 14, 2019, which has been filed as an exhibit to the report
on Form 6-K referred to above.
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