Because the Closing Price of the Underlier is less than the
Initial Underlier Value on each Observation Date prior to the Final 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
$1,059.25 per $1,000 principal amount Note, which is equal to your principal amount plus the Contingent Coupon for the Final Observation
Date and the Unpaid Contingent Coupons for the second and third Observation Dates.
In addition, because the Closing Price of the Underlier is greater
than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon of $19.75 on the first
Coupon Payment Date. Because the Closing Price of the Underlier is less than the Coupon Barrier on the second Observation Date
and on the third Observation Date, the Issuer will not pay any Contingent Coupon on the Coupon Payment Dates following the second
Observation Date or third Observation Date; however, because the Closing Price of the Underlier on the Final Observation Date is
greater than the Coupon Barrier, the Contingent Coupon that would have been paid on each of the second and third Coupon Payment
Dates had the Closing Price of the Underlier been greater than or equal to the Coupon Barrier on the second and third Observation
Dates will be paid on the Maturity Date. Accordingly, the Issuer will have paid a total of $1,079.00 per Note for a total return
of 7.90% on the Notes.
Example 4 — Notes Are NOT Automatically Called and
the Final Underlier Value Is Below the Trigger Value
Date
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Closing Price
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Payment (per Note)
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First Observation Date
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$65.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
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Second Observation Date
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$60.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
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Third Observation Date
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$55.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
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Final Underlier Value
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Final Observation Date
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$60.00
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Final Underlier Value below Trigger Value (which equals Coupon Barrier); Issuer DOES NOT pay Contingent Coupon on Maturity Date and will repay less than the principal amount resulting in a loss of 1.00% of the principal amount of the Notes for every 1% that the Final Underlier Value is less than the Initial Underlier Value.
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Total Payment (per $1,000 Note):
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$600.00 (a 40.00% loss on the Notes)
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Because the Closing Price of the Underlier is less than the
Initial Underlier Value on each Observation Date prior to the Final 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 a total of $600.00 per $1,000 principal
amount, calculated as follows:
$1,000 × (1 + Underlier Return)
= $1,000 × (1 + -40.00%) = $600.00
In addition, because the Closing Price of the Underlier is less
than the Coupon Barrier on each Observation Date prior to the Final Observation Date and the Final Underlier Value is less than
the Coupon Barrier on the Final Observation Date, the Issuer will not pay any Contingent Coupons over the term of the Notes.
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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You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income.
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You do not anticipate that the Final Underlier Value will be less than the Trigger Value on the Final Observation Date, and
you are willing and able to accept the risk that, if it is, you will lose a significant portion or all of the stated principal
amount of your Notes.
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You do not anticipate that the Closing Price of the Underlier will be less than the Coupon Barrier on any Observation Date
(other than the Final Observation Date) or that the Final Underlier Value will be less than the Coupon Barrier on the Final Observation
Date, and you are willing and able to accept the risk that, if it is, you may receive few or no Contingent Coupons over the term
of the Notes.
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You are willing and able to forgo participation in any appreciation of the Underlier, and you understand that any return on
your investment will be limited to the Contingent Coupons that may be payable on the Notes.
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You are willing and able to accept the risks associated with an investment linked to the performance of the Underlier, as explained
in more detail in the “Selected Risk Considerations” section of this pricing supplement.
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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 Underlier, nor will you have any voting rights with respect to the Underlier.
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You are willing and able to accept the risk that the Notes may be automatically called prior to scheduled maturity and that
you may not be able to reinvest your money in an alternative investment with comparable risk and yield.
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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 called.
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You are willing and able to assume our credit risk for all payments on the Notes.
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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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You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income.
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You seek an investment that provides for the full repayment of principal at maturity.
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You anticipate that the Final Underlier Value will be less than the Trigger Value on the Final Observation Date, or you are
unwilling or unable to accept the risk that, if it is, you will lose a significant portion or all of the stated principal amount
of your Notes.
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You anticipate that the Closing Price of the Underlier will be less than the Coupon Barrier on one or more Observation Dates
(other than the Final Observation Date) or that the Final Underlier Value will be less than the Coupon Barrier on the Final Observation
Date, or you are unwilling or unable to accept the risk that, if it is, you may receive few or no Contingent Coupons over the term
of the Notes.
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You seek exposure to any upside performance of the Underlier or you seek an investment with a return that is not limited to
the Contingent Coupons that may be payable on the Notes.
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You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Underlier, as
explained in more detail in the “Selected Risk Considerations” section of this pricing supplement.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Underlier.
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You are unwilling or unable to accept the risk that the Notes may be automatically called prior to scheduled maturity.
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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 they are not automatically called.
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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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 forth in this pricing supplement, the prospectus, the prospectus supplement and the prospectus addendum. Neither the Issuer
nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
Tax Consequences
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 with Associated Contingent Coupons” and, if you
are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” 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 “Material U.S. Federal Income
Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” 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.
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, we expect that these regulations will 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. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the Notes. You should consult your tax advisor regarding the potential application of Section 871(m) to the Notes.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlier. 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.
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You May Lose a Significant Portion 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 1% 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 value of the Underlier
and you will lose a significant portion or all of your investment at maturity.
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You May Not Receive Any Contingent Coupons — The Notes differ from ordinary debt securities in that they do not
provide for regular interest payments. If the Closing Price of the Underlier is less than the Coupon Barrier on any Observation
Date (other than the Final Observation Date) or if the Final Underlier Value is less than the Coupon Barrier on the Final Observation
Date, Barclays Bank PLC will not pay the Contingent Coupon applicable to that Observation Date or any Unpaid Contingent Coupons.
If a Contingent Coupon is not paid on any Coupon Payment Date because the Closing Price of the Underlier is less than the Coupon
Barrier on the related Observation Date, that Contingent Coupon will be paid as an Unpaid Contingent Coupon on a later Coupon Payment
Date only if the Closing Price of the Underlier or the Final Underlier Value, as applicable, on the Observation Date related to
that later Coupon Payment Date is greater than or equal to the Coupon Barrier. You will not receive any Unpaid Contingent Coupons
if the Closing Price of the Underlier or the Final Underlier Value, as applicable, on each subsequent Observation Date is less
than the Coupon Barrier. If the Closing Price of the Underlier is less than the Coupon Barrier on each Observation Date prior to
the Final Observation Date and the Final Underlier Value is less than the Coupon Barrier on the Final Observation Date, Barclays
Bank PLC will not pay 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.
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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 might not receive any amount owed to you
under the terms of the Notes.
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·
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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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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. For the avoidance of doubt, the fees and commissions described on the cover page of this pricing
supplement will not be rebated if the Notes are automatically called.
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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 at that time the value of the Underlier is greater than or equal to the Trigger Value. See “Many Economic and Market
Factors Will Impact the Value of the Notes” below.
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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 Contingent Coupons, regardless of the appreciation in the value of the Underlier.
In addition, any return on the Notes will be based on the number and sequence of Observation Dates on which the Closing Price of
the Underlier or the Final Underlier Value, as applicable, 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.
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Your Potential Return on the Notes Will Be Different Depending on the Sequence of Closing Prices on Different Observation
Dates and the Final Underlier Value on the Final Observation Date — Depending on the sequence in which the Closing Price
of the Underlier or the Final Underlier Value, as applicable, is greater than or equal to the Coupon Barrier on specific Observation
Dates (if at all), you could receive a lesser or greater return regardless of the number of Observation Dates on which the Closing
Price of the Underlier or the Final Underlier Value, as applicable, is greater than or equal to the Coupon Barrier. For example,
if the Closing Price of the Underlier is less than the Coupon Barrier on each of the first three Observation Dates but the Final
Underlier Value is greater than or equal to the Coupon Barrier on the Final Observation Date, you will receive four Contingent
Coupons (three in the form of Unpaid Contingent Coupons). However, if the Closing Price of the Underlier or the Final Underlier
Value, as applicable, is greater than or equal to the Coupon Barrier on each of the first two Observation Dates but on no subsequent
Observation Dates, you will receive only two Contingent Coupons, even though the Closing Price of the Underlier or the Final Underlier
Value, as applicable, was greater than or equal to the Coupon Barrier on twice as many Observation Dates as in the previous example.
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The Notes are Subject to Volatility Risk — Volatility is a measure of the degree of variation in the price of
the Underlier over a period of time. The Contingent Coupon was determined based on a number of factors, including the expected
volatility of the Underlier. The Contingent Coupon will be paid at 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 will be higher than it otherwise would have been had the expected
volatility of the Underlier, calculated at the time the terms of the Notes were set, been lower. As volatility of an Underlier
increases, there will typically be a greater likelihood that (a) the Closing Price of that Underlier or the Final Underlier Value,
as applicable, will be less than its Coupon Barrier on one or more Observation Dates and (b) the Final Underlier Value of that
Underlier will be less than its Trigger Value.
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Accordingly, you should understand that a higher Contingent
Coupon will reflect, among other things, an indication of a greater likelihood that you will (a) not receive a Contingent Coupon
with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case had
the Contingent Coupons been lower. In addition, actual volatility over the term of the Notes may be significantly higher than the
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 not receive Contingent Coupons and/or that you will lose a significant portion or all of
your principal at maturity for the reasons described above.
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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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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.
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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.
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Anti-dilution Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-dilution Adjustments —The
Calculation Agent may in its sole discretion make adjustments affecting the amounts payable on the Notes upon the occurrence of
certain corporate events (such as stock splits or extraordinary or special dividends) that the Calculation Agent determines have
a diluting or concentrative effect on the theoretical value of the Underlier. However, the Calculation Agent might not make such
adjustments in response to all events that could affect the Underlier. The occurrence of any such event and any adjustment made
by the Calculation Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely affect the market
price of, and any amounts payable on, the Notes. See “Reference Assets—Equity
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Securities—Share Adjustments
Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement.
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Reorganization or Other Events Could Adversely Affect the Value of the Notes or Result in the Notes Being Accelerated
— Upon the occurrence of certain reorganization events or a nationalization, expropriation, liquidation, bankruptcy, insolvency
or de-listing of the Underlier, the Calculation Agent will make adjustments to the Underlier that may result in payments on the
Notes being based on the performance of shares, cash or other assets distributed to holders of the Underlier upon the occurrence
of such event or, in some cases, the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation
Agent. Any of these actions could adversely affect the value of the Underlier and, consequently, the value of the Notes. Any amount
payable upon acceleration could be significantly less than the amount(s) that would be due on the Notes if they were not accelerated.
See “Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as a
Reference Asset” in the accompanying prospectus supplement.
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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:
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the expected volatility of the Underlier;
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the time to maturity of the Notes;
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o
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the dividend rate on the Underlier;
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interest and yield rates in the market generally;
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o
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the existence of any Unpaid Contingent Coupons;
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supply and demand for the Notes;
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a variety of economic, financial, political, regulatory and judicial events; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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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.
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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 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.
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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 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.
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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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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.
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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 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 Underlier. In any such market making, trading and
hedging activity, investment banking 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 Underlier
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 the Underlier is to be determined; determining whether to adjust any variable described herein in the case of certain corporate
events related to the Underlier that the Calculation Agent determines have a diluting or concentrative effect on the theoretical
value of the shares of the Underlier; and determining whether to accelerate the Maturity Date upon the occurrence of certain reorganization
events and additional adjustment events. 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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Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax
advisor about your tax situation. See “Tax Consequences” above.
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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 http://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 pricing supplement or the accompanying prospectus or prospectus supplement. We have
not independently verified the accuracy or completeness of the information contained in outside sources.
L3Harris Technologies, Inc.
According to publicly available information, L3Harris Technologies,
Inc. (the “Company”) is an aerospace and defense technology company.
Information filed by the Company with the SEC can be located
by reference to its SEC file number: 001-03863. The Company’s common stock is listed on the New York Stock Exchange under
the ticker symbol “LHX.”
Historical Information
The graph below sets forth the historical performance of the
Underlier from January 2, 2015 to October 23, 2020, based on the daily Closing Prices of the Underlier. The Closing Price of the
Underlier on October 23, 2020 was $171.80.
We obtained the Closing Prices of the Underlier from Bloomberg
Professional® service, 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 Averaging Dates. We cannot give you assurance that the performance of the Underlier will not result in a loss on your
initial investment. The Closing Prices below may have been adjusted to reflect certain corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, extraordinary dividends, delistings and bankruptcy.
* The dotted line indicates a hypothetical Coupon Barrier and
Trigger Value of 70.00% of the Closing Price of the Underlier on October 23, 2020. The actual Coupon Barrier and Trigger Value
will be equal to 70.00% of the Initial Underlier Value.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
Certain Employee Retirement Income Security Act 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 or prior to 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
six 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, 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-9 of this pricing supplement.
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
J.P. Morgan Securities LLC
and JPMorgan Chase Bank, N.A. 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 per Note as specified on the cover of this pricing supplement.
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