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Additional Information about Barclays Bank PLC and the Securities
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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 Securities are a part, the prospectus supplement addendum dated February 18, 2021 and the
underlying supplement dated August 1, 2019. This pricing supplement, together with the documents listed below, contains the terms of the
Securities 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, as the Securities 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 Securities.
If the terms set forth in this
pricing supplement differ from those set forth in the prospectus, prospectus supplement, prospectus supplement addendum or underlying
supplement, the terms set forth herein will control.
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):
Our SEC file number is 1-10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC. In this pricing
supplement, “Securities” refers to the Capped In-GEARS that are offered hereby, unless the context otherwise requires.
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Additional Information Regarding Our Estimated Value of the Securities
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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 Trade Date is based on our internal funding rates.
Our estimated value of the Securities 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 Securities on the Trade Date is expected
to be less than the initial issue price of the Securities. The difference between the initial issue price of the Securities and our estimated
value of the Securities 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 Securities, the
estimated cost that we may incur in hedging our obligations under the Securities, and estimated development and other costs that we may
incur in connection with the Securities.
Our estimated value on the Trade Date is not a prediction of the price
at which the Securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the
Securities 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 Securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Trade Date,
the price at which Barclays Capital Inc. may initially buy or sell the Securities 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 Trade Date for a temporary period expected to be approximately three months after the initial issue date of the Securities because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Securities and other costs in connection with the Securities that we will no longer expect to incur over the term of the Securities.
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 Securities and/or any agreement we may have with the distributors of the Securities. 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
Securities based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the “Key Risks” beginning on page
PS-8 of this pricing supplement.
You may revoke your offer to purchase the Securities at any time
prior to the Trade Date. We reserve the right to change the terms of, or reject any offer to purchase, the Securities prior to their Trade
Date. In the event of any changes to the terms of the Securities, 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.
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Consent to U.K. Bail-in Power
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Notwithstanding and to the
exclusion of any other term of the Securities or any other agreements, arrangements or understandings between us and any holder or beneficial
owner of the Securities, by acquiring the Securities, each holder and beneficial owner of the Securities 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 Securities; (ii) the conversion of all, or
a portion, of the principal amount of, interest on, or any other amounts payable on, the Securities 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 Securities
such shares, securities or obligations); (iii) the cancellation of the Securities and/or (iv) the amendment or alteration of the maturity
of the Securities, or amendment of the amount of interest or any other amounts due on the Securities, 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 Securities 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 Securities further acknowledges and agrees that the rights of the holders
or beneficial owners of the Securities 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 Securities 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
“Key Risks—Risks Relating to the Issuer—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.
The preceding discussion supersedes
the discussion in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
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The Securities may be suitable for you if:
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The Securities may not be suitable for you if:
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¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of a significant portion or all of your initial investment, and you are willing to make an investment that may have
the full downside market risk of the Underlying.
¨ You
believe the Underlying will appreciate, or will decline by less than 6%, over the term of the Securities and that any appreciation is
unlikely to exceed the Maximum Gain.
¨ You
understand and accept that your potential return is limited by the Maximum Gain.
¨ You
are willing and able to accept that the Initial Underlying Level will be the arithmetic average of the Closing Levels of the Underlying
over the three-month Initial Valuation Period, and that the Initial Underlying Level may be greater than the level of the Underlying at
or near the Trade Date.
¨ You
are willing and able to accept that the Final Underlying Level will be the arithmetic average of the Closing Levels of the Underlying
over the three-month Final Valuation Period, and that the Final Underlying Level may be less than the level of the Underlying at or near
maturity.
¨ You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
¨ You
do not seek current income from this investment, and you are willing to forgo any dividends paid on the securities composing the Underlying.
¨ You
are willing and able to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
¨ You
understand and are willing to accept the risks associated with the Underlying.
¨ You
are willing and able to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments under the Securities
and understand that if Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in
Power, you might not receive any amounts due to you under the Securities, including any repayment of principal.
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¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
t You
cannot tolerate the loss of a significant portion or all of your initial investment, or you are not willing to make an investment that
may have the full downside market risk of the Underlying.
¨ You
believe the Underlying will depreciate over the term of the Securities and that the Underlying Return is likely to be less than -6%, or
you believe the Underlying will appreciate over the term of the Securities by more than the Maximum Gain.
¨ You
seek an investment that has unlimited return potential without a cap on appreciation.
¨ You
are unwilling or unable to accept that the Initial Underlying Level will be the arithmetic average of the Closing Levels of the Underlying
over the three-month Initial Valuation Period, or that the Initial Underlying Level may be greater than the level of the Underlying at
or near the Trade Date.
¨ You
are unwilling or unable to accept that the Final Underlying Level will be the arithmetic average of the Closing Levels of the Underlying
over the three-month Final Valuation Period, or that the Final Underlying Level may be less than the level of the Underlying at or near
maturity.
¨ You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
¨ You
seek current income from this investment, or you would prefer to receive any dividends paid on the securities composing the Underlying.
¨ You
are unable or unwilling to hold the Securities to maturity, or you seek an investment for which there will be an active secondary market.
¨ You
do not understand or are not willing to accept the risks associated with the Underlying.
¨ You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings that bear interest at a prevailing market rate.
¨ You
are not willing or are unable to assume the credit risk of Barclays Bank PLC, as issuer of the Securities, for all payments due to you
under the Securities, including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
beginning on page PS-8 of this pricing supplement and the “Risk Factors” beginning on page S-7 of the prospectus supplement
for risks related to an investment in the Securities. For more information about the Underlying, please see the section titled “Dow
Jones Industrial Average®” below.
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Issuer:
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Barclays Bank PLC
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Principal Amount:
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$10 per Security
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Term2:
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Approximately 57 months
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Reference Asset3:
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Dow Jones Industrial Average® (Bloomberg ticker symbol “INDU<Index>”) (the “Underlying”)
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Payment at Maturity (per Security):
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· If
the Underlying Return is greater than or equal to 44%, the Issuer will pay at maturity a cash payment per Security resulting
in a return equal to the Maximum Gain of 72.00%, calculated as follows:
$10 + ($10 × Maximum Gain)
· If
the Underlying Return is greater than or equal to 19% but less than 44%, the Issuer will pay at maturity a cash payment per
Security resulting in a return equal to (a) 1.98 times the excess of the Underlying Return over 19% plus (b) 22.50%, calculated
as follows:
$10 + ($10 × [1.98 × (Underlying
Return – 19%) + 22.50%])
· If
the Underlying Return is greater than or equal to -6% but less than 19%, the Issuer will pay at maturity a cash payment per
Security resulting in a return equal to 0.90 times the excess of the Underlying Return over -6%, calculated as follows:
$10 + [$10 × 0.90 × (Underlying
Return + 6%)]
· If
the Underlying Return is greater than or equal to -26% but less than -6%,
the Issuer will pay at maturity a cash payment per Security resulting in a loss of 1.30% of your principal
amount for every 1% that the Underlying Return is less than -6%. Accordingly, the payment at maturity per Security would be calculated
as follows:
$10 + [$10 × 1.30 × (Underlying
Return + 6%)]
· If
the Underlying Return is less than -26%, which corresponds to the Downside Threshold,
the Issuer will pay a cash payment at maturity that is less than the full principal amount at maturity,
if anything, resulting in a percentage loss on your investment equal to the decline of the Underlying from the Initial Underlying Level
to the Final Underlying Level. Accordingly, the payment at maturity per Security would be calculated
as follows:
$10 + ($10 × Underlying Return)
If the Underlying Return is less than -26%, which
corresponds to the Downside Threshold, your principal is fully exposed to the decline in the Underlying, and you will lose a significant
portion or all of the principal amount of the Securities at maturity. Any payment on the Securities, including any repayment of principal,
is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
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Maximum Gain:
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72.00%
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Underlying Return:
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Final Underlying Level – Initial Underlying Level
Initial Underlying Level
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Initial Underlying Level:
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The arithmetic average of the Closing Levels of the Underlying over the Initial Valuation Period
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Final Underlying Level:
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The arithmetic average of the Closing Levels of the Underlying over the Final Valuation Period
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Initial Valuation Period2:
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The Initial Valuation Period will consist of each scheduled trading day from and including July 19, 2021 to and including the Initial Valuation Date. Notwithstanding anything to the contrary in the prospectus supplement, if a market disruption event occurs on any scheduled trading day during the Initial Valuation Period prior to the Initial Valuation Date, that day will be disregarded for purposes of determining the Initial Underlying Level.
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Final Valuation Period2:
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The Final Valuation Period will consist of each scheduled trading day from and including January 30, 2026 to and including the Final Valuation Date. Notwithstanding anything to the contrary in the prospectus supplement, if a market disruption event occurs on any scheduled trading day during the Final Valuation Period prior to the Final Valuation Date, that day will be disregarded for purposes of determining the Final Underlying Level.
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Downside Threshold:
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A percentage of the Initial Underlying Level, as specified on the cover of this pricing supplement
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Closing Level3:
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Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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1
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
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2
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In the event that we make any change to the expected Trade Date or Settlement Date, the Initial Valuation Period, the Final Valuation
Period, the Initial Valuation Date, the Final Valuation Date and/or the Maturity Date may be changed to ensure that the stated term of
the Securities remains the same. The Initial Valuation Date and the Final Valuation Date may be postponed if that day is not a scheduled
trading day or if a market disruption event occurs on that day as described under “Reference Assets—Indices—Market Disruption
Events for Securities with an Index of Equity Securities as a Reference Asset” 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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3
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If the Underlying is discontinued or if the sponsor of the Underlying fails to publish the Underlying, 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 Level of the Underlying.
In addition, the Calculation Agent will calculate the value to be used as the Closing Level of the Underlying in the event of certain
changes in or modifications to the Underlying. 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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Initial Valuation Period:
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The Initial Underlying Level is determined.
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Final Valuation Period:
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The Final Underlying Level and Underlying Return are determined.
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Maturity Date:
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If the Underlying
Return is greater than or equal to 44%, the Issuer will pay at maturity a cash payment per Security resulting in a return equal
to the Maximum Gain of 72.00%, calculated as follows:
$10 + ($10 × Maximum Gain)
If the Underlying
Return is greater than or equal to 19% but less than 44%, the Issuer will pay at maturity a cash payment per Security resulting
in a return equal to (a) 1.98 times the excess of the Underlying Return over 19% plus (b) 22.50%, calculated as follows:
$10 + ($10 × [1.98 × (Underlying
Return – 19%) + 22.50%])
If the Underlying
Return is greater than or equal to -6% but less than 19%, the Issuer will pay at maturity a cash payment per Security resulting
in a return equal to 0.90 times the excess of the Underlying Return over -6%, calculated as follows:
$10 + [$10 × 0.90 × (Underlying
Return + 6%)]
If the Underlying Return is greater than or equal to -26% but less
than -6%, the Issuer
will pay at maturity a cash payment per Security resulting in a loss of 1.30% of your principal amount for every 1% that the Underlying
Return is less than -6%. Accordingly, the payment at maturity per Security would be calculated as follows:
$10 + [$10 × 1.30 × (Underlying
Return + 6%)]
If the Underlying Return is less than -26%, which corresponds to
the Downside Threshold, the
Issuer will pay a cash payment at maturity that is less than the full principal amount at maturity, if anything, resulting in a percentage
loss on your investment equal to the decline of the Underlying from the Initial Underlying Level to the Final Underlying Level.
Accordingly, the payment at maturity per Security would be calculated as follows:
$10 + ($10 × Underlying Return)
If the Underlying Return is less than -26%, which corresponds
to the Downside Threshold, your principal is fully exposed to the decline in the Underlying, and you will lose a significant portion
or all of the principal amount of the Securities at maturity. Any payment on the Securities, including any repayment of principal, is
subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
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Investing in the Securities involves significant risks. The Issuer
will not pay any interest on the Securities. You may lose a significant portion or all of your principal. The contingent repayment of
principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is
subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were to default on
its payment obligations or become subject to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority, you might
not receive any amounts owed to you under the Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying or the securities composing the Underlying. Some of the risks
that apply to an investment in the Securities are summarized below, but we urge you to read the more detailed explanation of risks relating
to the Securities generally in the “Risk Factors” section of the prospectus supplement. You should not purchase the Securities
unless you understand and can bear the risks of investing in the Securities.
Risks Relating to the Securities Generally
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¨
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You risk losing a significant portion or all of your principal —
The Securities differ from ordinary debt securities in that the Issuer will not necessarily pay the full principal amount of
the Securities at maturity. The Issuer will repay you the principal amount of your Securities only if the Underlying Return is greater
than or equal to -6%. If the Underlying Return is less than -6% but greater than -26%, the Issuer will repay less than the full principal
amount at maturity, resulting in a loss of 1.30% of your principal amount for every 1% that the Underlying Return is less than -6%. If
the Underlying Return is less than -26%, which corresponds to the Downside Threshold, you will be exposed to the full negative Underlying
Return and the Issuer will repay less than the full principal amount of the Securities at maturity, if anything, resulting in a percentage
loss on your investment equal to the decline of the Underlying from the Initial Underlying Level to the Final Underlying Level. Accordingly,
you may lose a significant portion or all of your principal.
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¨
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The participation in any excess of the Underlying Return over -6% applies
only if you hold the Securities to maturity — You should be willing to hold your Securities to maturity. If you are able
to sell your Securities prior to maturity in the secondary market, if any, the price you receive likely will not reflect the full economic
value of the participation in any excess of the Underlying Return over -6% or the Securities themselves, and the return you realize may
be less than the return calculated under the payment at maturity formula for the Securities based on the value of the Underlying at that
time and may be less than the Underlying’s return itself, even if such return is positive and does not exceed the Maximum Gain.
You can receive the full benefit of the participation in any excess of the Underlying Return over -6% only if you hold your Securities
to maturity.
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¨
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Your maximum return on the Securities is limited by the Maximum Gain —
If the Underlying Return is greater than or equal to 44%, for each Security, the Issuer will pay you at maturity $10 plus an additional
amount that will not exceed a predetermined percentage of the principal amount, regardless of the appreciation of the Underlying, which
may be significant. We refer to this percentage as the Maximum Gain. Therefore, you will not benefit
from any positive Underlying Return in excess of 44%, and your return on the Securities may be less than the return on a direct investment
in the Underlying or its underlying components.
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¨
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No interest payments — The Issuer will not make periodic
interest payments on the Securities.
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¨
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The Initial Underlying Level will be calculated
based on the arithmetic average of the Closing Levels of the Underlying over the three-month Initial Valuation Period —
The Initial Underlying Level will be calculated by reference to an average of the Closing Levels of the Underlying over the three-month
Initial Valuation Period. As a result, the Initial Underlying Level or the Downside Threshold cannot be determined until the Initial Valuation
Date, which occurs approximately three months after the Trade Date. In addition, decreases in the level of the Underlying on one or more
scheduled trading days during the Initial Valuation Period may be moderated, offset or more than offset by lesser decreases or increases
in the level of the Underlying on the other scheduled trading days during the Initial Valuation Period. Therefore, your investment in
the Securities may underperform an alternative investment with an Initial Underlying Level based solely on the performance of the Underlying
on a single date at or near the Trade Date. For example, if the level of the Underlying were to increase suddenly following the Trade
Date such that the Closing Level of the Underlying on the Trade Date was significantly lower than the Closing Levels of the Underlying
over the following three months, the Initial Underlying Level would be significantly greater than the Closing Level of the Underlying
on the Trade Date and the Initial Underlying Level would be more than it would have been if it had been determined based solely on the
Closing Level of the Underlying on the Trade Date.
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¨
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The Final Underlying Level will be calculated
based on the arithmetic average of the Closing Levels of the Underlying over the three-month Final Valuation Period —
The Final Underlying Level will be calculated by reference to an average of the Closing Levels of the Underlying over the three-month
Final Valuation Period. As a result, increases in the level of the Underlying on one or more scheduled trading days during the Final Valuation
Period may be moderated, offset or more than offset by lesser increases or decreases in the level of the Underlying on the other scheduled
trading days during the Final Valuation Period. Therefore, your investment in the Securities may underperform an alternative investment
with a Final Underlying Level based solely on the performance of the Underlying on a single date at or near maturity. For example, if
the level of the Underlying were to increase suddenly such that the Closing Level of the Underlying on the Final Valuation Date was significantly
greater than the Closing Levels of the Underlying over the prior three months, the Final Underlying Level would be significantly less
than the Closing Level of the Underlying on the Final Valuation Date and the payment at maturity would be less than it would have been
if it had been determined based solely on the Closing Level of the Underlying on the Final Valuation Date.
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¨
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Contingent repayment of principal applies only
if you hold the Securities to maturity — You should be willing to hold your Securities
to maturity. The market value of the Securities may fluctuate between the date you purchase them and the Final Valuation Date. If you
are able to sell your Securities prior to maturity in the secondary market, if any, you may have to sell them at a loss relative to your
initial investment even if the percentage change from the Initial Underlying Level to the level of the Underlying at that time is greater
than -6%.
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¨
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The probability that the Underlying Return will be less than -26%, which
corresponds to the Downside Threshold, will depend on the volatility of the Underlying — Volatility is a measure of the
degree of variation in the level of the Underlying over a period of time. The greater the expected volatility at the time the terms of
the Securities are set, the greater the expectation is at that time that the Underlying Return will be less than -26%, which corresponds
to the Downside Threshold, which would result in a loss of a significant portion or all of your principal at maturity. However, the Underlying’s
volatility can change significantly over the term of the Securities. The level of the Underlying could fall sharply, which could result
in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying and the potential loss
of a significant portion or all of your principal at maturity.
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¨
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Owning the Securities is not the same as owning the securities composing
the Underlying — The return on your Securities may not reflect the return you would realize if you actually owned the
securities composing the Underlying. As a holder of the Securities, you
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will not have voting rights or rights to
receive dividends or other distributions or other rights that holders of the securities composing the Underlying would have.
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¨
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The U.S. federal income tax consequences of an investment in the Securities
are uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Securities,
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 Securities are uncertain, and the IRS or a court might not agree with the treatment of the Securities as prepaid
forward contracts, as described under “What Are the Tax Consequences of an Investment in the Securities?” below. If the IRS
were successful in asserting an alternative treatment for the Securities, the tax consequences of the ownership and disposition of the
Securities 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 Securities, 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 Securities (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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Risks Relating to the Issuer
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¨
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Credit of Issuer — The Securities 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 Securities, 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 Securities 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 Securities.
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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 and to the
exclusion of any other term of the Securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any
holder or beneficial owner of the Securities, by acquiring the Securities, each holder and beneficial owner of the Securities 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 Securities losing all or a part of the value of your
investment in the Securities or receiving a different security from the Securities, which may be worth significantly less than the Securities
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 Securities. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Securities
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 Securities. 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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Risks Relating to the Underlying
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The Underlying reflects the price return of the
securities composing the Underlying, not the total return — The return on the Securities
is based on the performance of the Underlying, which reflects changes in the market prices
of the securities composing the Underlying. The Underlying is not a “total return” index that, in addition to reflecting those
price returns, would also reflect dividends paid on the securities composing the Underlying. Accordingly, the return on the Securities
will not include such a total return feature.
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Adjustments to the Underlying could adversely
affect the value of the Securities — The sponsor of the Underlying may add, delete,
substitute or adjust the securities composing the Underlying or make other methodological changes to the Underlying that could affect
its performance. The Calculation Agent will calculate the value to be used as the Closing Level of the Underlying in the event of certain
material changes in or modifications to the Underlying. In addition, the sponsor of the Underlying may also discontinue or suspend calculation
or publication of the Underlying at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the Underlying or, if no successor index is available, the Calculation Agent will determine the value
to be used as the Closing Level of the Underlying. Any of these actions could adversely affect the value of the Underlying and, consequently,
the value of the Securities. See “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference
Asset” in the accompanying prospectus supplement.
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Risks Relating to Conflicts of Interest
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Dealer incentives — We, the Agents and affiliates of the
Agents act in various capacities with respect to the Securities. The Agents and various affiliates may act as a principal, agent or dealer
in connection with the Securities. Such Agents, including the sales representatives of UBS Financial Services Inc., will derive compensation
from the distribution of the Securities and such compensation may serve as an incentive to sell these Securities instead of other investments.
We will pay compensation as specified on the cover of this pricing supplement to the Agents in connection with the distribution of the
Securities, and such compensation may be passed on to affiliates of the Agents or other third party distributors.
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Potentially inconsistent research, opinions or recommendations by Barclays
Capital Inc., UBS Financial Services Inc. or their respective affiliates — Barclays Capital Inc., UBS Financial Services
Inc. or their respective affiliates and agents may publish research from time to time on financial markets and other matters that may
influence the value of the Securities, or express opinions or provide recommendations that are inconsistent with purchasing or holding
the Securities. Any research, opinions or recommendations expressed by Barclays Capital Inc., UBS Financial Services Inc. or their respective
affiliates or agents may not be consistent with each other and may be modified from time to time without notice. You should make your
own independent investigation of the merits of investing in the Securities and the Underlying.
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Potential Barclays Bank PLC impact on the level of the Underlying
— Trading or transactions by Barclays Bank PLC or its affiliates in the securities composing the Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the Underlying or the securities composing the Underlying
may adversely affect the level of the Underlying and, therefore, the market value of the Securities.
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We and our affiliates may engage in various activities or make determinations
that could materially affect your Securities in various ways and create conflicts of interest — We and our affiliates
play a variety of roles in connection with the issuance of the Securities, as described below. In performing these roles, our and our
affiliates’ economic interests are potentially adverse to your interests as an investor in the Securities.
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In connection with our normal business
activities and in connection with hedging our obligations under the Securities, 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 Underlying or its components. 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 Securities. We and our affiliates have no obligation to take the needs of
any buyer, seller or holder of the Securities 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 Securities.
In addition, the role played by Barclays
Capital Inc., as the agent for the Securities, could present significant conflicts of interest with the role of Barclays Bank PLC, as
issuer of the Securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from
the distribution of the Securities and such compensation or financial benefit may serve as an incentive to sell the Securities instead
of other investments. Furthermore, we and our affiliates establish the offering price of the Securities 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 Securities. As Calculation Agent, we will determine any values of the Underlying
and make any other determinations necessary to calculate any payments on the Securities. 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
Underlying is to be determined; if the Underlying is discontinued or if the sponsor of the Underlying fails to publish the Underlying,
selecting a successor index or, if no successor index is available, determining any value necessary to calculate any payments on the Securities;
and calculating the value of the Underlying on any date of determination in the event of certain changes in or modifications to the Underlying.
In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor in the Securities,
and any of these determinations may adversely affect any payments on the Securities.
Risks Relating
to the Estimated Value of the Securities and the Secondary Market
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There may be little or no secondary market for the Securities
— The Securities 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 Securities but are not required to do so, and may discontinue any such secondary market making
at any time, without notice. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the
Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able
to trade your Securities 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 Securities. The Securities are not designed to be short-term trading instruments. Accordingly, you should be
able and willing to hold your Securities to maturity.
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Many economic and market factors will impact the value of the Securities
— Structured notes, including the Securities, can be thought of as securities that combine a debt instrument with one
or more options or other derivative instruments. As a result, the factors that influence the values of debt instruments and options or
other derivative instruments will also influence the terms and features of the Securities at issuance and their value in the secondary
market. Accordingly, in addition to the level of the Underlying on any day, the value of the Securities 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 Underlying and the securities composing the Underlying;
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the time to maturity of the Securities;
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the market prices of, and dividend rates on, the securities composing the Underlying;
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interest and yield rates in the market generally;
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supply and demand for the Securities;
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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 Securities is expected to be lower than the
initial issue price of your Securities — The estimated value of your Securities on the Trade Date is expected to be lower,
and may be significantly lower, than the initial issue price of your Securities. The difference between the initial issue price of your
Securities and the estimated value of the Securities 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 Securities, the estimated cost that we may incur in hedging our obligations under the Securities, and estimated development
and other costs that we may incur in connection with the Securities.
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The estimated value of your Securities 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
Securities on the Trade 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. Also, this difference in funding rate as well as certain factors, such as sales commissions, selling concessions, estimated
costs and profits mentioned below, reduces the economic terms of the Securities to you.
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The estimated value of the Securities 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 Securities on the Trade 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 Securities may not be consistent with those of other financial institutions
that may be purchasers or sellers of Securities in the secondary market. As a result, the secondary market price of your Securities may
be materially different from the estimated value of the Securities determined by reference to our internal pricing models.
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The estimated value of your Securities is not a prediction of the prices
at which you may sell your Securities in the secondary market, if any, and such secondary market prices, if any, will likely be lower
than the initial issue price of your Securities and may be lower than the estimated value of your Securities — The estimated
value of the Securities 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 Securities 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 Securities 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 Securities. Further, as secondary market prices of your Securities 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 Securities such
as fees, commissions, discounts, and the costs of hedging our obligations under the Securities, secondary market prices of your Securities
will likely be lower than the initial issue price of your Securities. As a result, the price at which Barclays Capital Inc., other affiliates
of ours or third parties may be willing to purchase the Securities from you in secondary market transactions, if any, will likely be lower
than the price you paid for your Securities, 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 Securities 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 Securities — Assuming that all relevant factors remain constant after
the Trade Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market (if Barclays
Capital Inc. makes a market in the Securities, 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 Securities on the Trade Date,
as well as the secondary market value of the Securities, for a temporary period after the initial issue date of the Securities. The price
at which Barclays Capital Inc. may initially buy or sell the Securities 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 Securities. Please see “Additional Information Regarding
Our Estimated Value of the Securities” on page PS-3 for further information.
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Hypothetical Examples and Return Table of the Securities at Maturity
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Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples and table below illustrate the payment at maturity for
a $10 principal amount Security on a hypothetical offering of Securities under various scenarios, with the assumptions set forth below.*
You should not take these examples or the table below as an indication or assurance of the expected performance of the Securities. The
examples and table below do not take into account any tax consequences from investing in the Securities. Numbers appearing in the examples
and table below have been rounded for ease of analysis.
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Term:
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Approximately 57 months
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Hypothetical Initial Underlying Level:
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100.00
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Maximum Gain:
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72.00%
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Hypothetical Downside Threshold:
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74.00 (74% of the hypothetical Initial Underlying Level)
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*Terms used for purposes of these hypothetical examples may not represent
the actual Initial Underlying Level, Downside Threshold or Final Underlying Level. The hypothetical Initial Underlying Level of 100.00
has been chosen for illustrative purposes only and may not represent a likely actual Initial Underlying Level. The actual Initial Underlying
Level will be the arithmetic average of the Closing Levels of the Underlying over the Initial Valuation Period, the actual Downside Threshold
will be determined on the Initial Valuation Date, and the actual Final Underlying Level will be the arithmetic average of the Closing
Levels of the Underlying over the Final Valuation Period. For historical Closing Levels of the Underlying, please see the historical information
set forth under the section titled “Dow Jones Industrial Average®” below. We cannot predict the Closing Level
of the Underlying on any day during the term of the Securities, including during the Final Valuation Period.
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Final Underlying Level
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Underlying Return
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Payment
at Maturity
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Total Return on Securities
at Maturity1
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180.00
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80.00%
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$17.200
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72.00%
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170.00
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70.00%
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$17.200
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72.00%
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160.00
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60.00%
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$17.200
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72.00%
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150.00
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50.00%
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$17.200
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72.00%
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144.00
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44.00%
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$17.200
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72.00%
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140.00
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40.00%
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$16.408
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64.08%
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130.00
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30.00%
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$14.428
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44.28%
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120.00
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20.00%
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$12.448
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24.48%
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119.00
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19.00%
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$12.250
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22.50%
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110.00
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10.00%
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$11.440
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14.40%
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105.00
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5.00%
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$10.990
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9.90%
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102.00
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2.00%
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$10.720
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7.20%
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100.00
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0.00%
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$10.540
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5.40%
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95.00
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-5.00%
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$10.090
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0.90%
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94.00
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-6.00%
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$10.000
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0.00%
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90.00
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-10.00%
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$9.480
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-5.20%
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80.00
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-20.00%
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$8.180
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-18.20%
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74.00
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-26.00%
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$7.400
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-26.00%
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70.00
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-30.00%
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$7.000
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-30.00%
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60.00
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-40.00%
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$6.000
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-40.00%
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50.00
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-50.00%
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$5.000
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-50.00%
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40.00
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-60.00%
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$4.000
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-60.00%
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30.00
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-70.00%
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$3.000
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-70.00%
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20.00
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-80.00%
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$2.000
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-80.00%
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10.00
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-90.00%
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$1.000
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-90.00%
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0.00
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-100.00%
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$0.000
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-100.00%
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1
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The “total return” is the number, expressed as a percentage, that results from comparing the payment at maturity per Security to the purchase price of $10 per Security.
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Example 1
— The Closing Level of the Underlying increases 30.00% from the Initial Underlying Level of 100.00 to a Final Underlying Level of
130.00, resulting in an Underlying Return of 30.00%.
Because the Underlying Return is greater than or equal to 19.00% but
less than 44.00%, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × [1.98 × (Underlying Return
– 19%) + 22.50%])
$10 + ($10 × [1.98 × (30.00% –
19%) + 22.50%])
$10 + ($10 × 44.28%) = $10 + $4.428 = $14.428
The payment at maturity of $14.428 per Security represents a total return
on the Securities of 44.28%.
Example 2
— The Closing Level of the Underlying increases 60.00% from the Initial Underlying Level of 100.00 to a Final Underlying Level of
160.00, resulting in an Underlying Return of 60.00%.
Because the Underlying Return is greater than or equal to 44.00%, the
Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × Maximum Gain)
$10 + ($10 × 72.00%) = $10 + $7.20 = $17.200
The payment at maturity of $17.200 per Security, which is the maximum
payment on the Securities, represents a total return on the Securities equal to the Maximum Gain of 72.00%.
Example 3
— The Closing Level of the Underlying decreases 5.00% from the Initial Underlying Level of 100.00 to a Final Underlying
Level of 95.00, resulting in an Underlying Return of -5.00%.
Because the Underlying Return is greater than or equal to -6.00% but
less than 19.00%, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + [$10 × 0.90 × (Underlying Return
+ 6%)]
$10 + [$10 × 0.90 × (-5.00% + 6%)]
$10 + ($10 × 0.90 × 1%) = $10 + $0.09
= $10.090
The payment at maturity of $10.090 per Security represents a total return
on the Securities of 0.90%.
Example 4
— The Closing Level of the Underlying decreases 20.00% from the Initial Underlying Level of 100.00 to a Final Underlying
Level of 80.00, resulting in an Underlying Return of -20.00%.
Because the Underlying Return is greater than or equal to -26.00% but
less than -6.00%, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + [$10 × 1.30 × (Underlying Return
+ 6%)]
$10 + [$10 × 1.30 × (-20.00% + 6%)]
$10 + ($10 × 1.30 × -14%) = $10 + -$1.82
= $8.180
The payment at maturity of $8.180 per Security represents a total loss
on the Securities of 18.20%, which reflects a loss of 1.30% of your principal amount for every 1% that the Underlying Return is less than
-6.00%.
Example 5
— The Closing Level of the Underlying decreases 60.00% from the Initial Underlying Level of 100.00 to a Final Underlying
Level of 40.00, resulting in an Underlying Return of -60.00%.
Because the Underlying Return is less than -26.00%, which corresponds
to the Downside Threshold, the Issuer will pay a payment at maturity calculated as follows per Security:
$10 + ($10 × Underlying Return)
$10 + ($10 × -60.00%) = $10 + -$6 = $4.000
The payment at maturity of $4.000 per Security represents a loss on
the Securities of 60.00%, which reflects the Underlying Return of -60.00%.
If the Underlying
Return is less than -26%, which corresponds to the Downside Threshold,
at maturity the Issuer will repay less than the full principal amount, if anything, resulting in a percentage loss on your investment
equal to the decline of the Underlying from the Initial Underlying Level to the Final Underlying Level.
The Initial Underlying Level will be calculated by reference to an
average of the Closing Levels of the Underlying during a three-month Initial Valuation Period, and the Final Underlying Level will be
calculated by reference to an average of the Closing Levels of the Underlying during a three-month Final Valuation Period. These averaging
features may result in a lower return at maturity than a return based solely on the performance of the Underlying as measured on a single
date at or near the Trade Date to determine the Initial Underlying Level and on a single date at or near maturity to determine the Final
Underlying Level. See “Risk Factors” above.
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What Are the Tax Consequences of an Investment in the Securities?
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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 Securities. 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 Securities for U.S. federal income tax purposes as prepaid forward contracts with respect to the
Underlying. Assuming this treatment is respected, upon a sale or exchange of the Securities (including redemption 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 Securities,
which should equal the amount you paid to acquire the Securities. This gain or loss on your Securities should be treated as long-term
capital gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities 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 Securities 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 Securities, possibly with retroactive effect. You should consult your
tax advisor regarding the U.S. federal income tax consequences of an investment in the Securities, 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 intend to treat payments on the Securities 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 Securities do not have a “delta of one” within the meaning of the regulations, we expect
that these regulations should not apply to the Securities 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 Securities. You should consult your tax
advisor regarding the potential application of Section 871(m) to the Securities.
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Dow Jones Industrial Average®
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The Underlying is a price-weighted index that seeks
to measure the performance of 30 U.S. blue-chip companies. The Underlying covers all industries with the exception of transportation and
utilities. For more information about the Underlying, see “Indices—The Dow Jones Industrial Average®”
in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the Underlying
from January 2, 2008 through July 19, 2021, based on the daily Closing Levels of the Underlying. The Closing Level of the Underlying on
July 19, 2021 was 33,962.04. The dotted line represents a hypothetical Downside Threshold of 25,131.91, which is equal to 74% of the Closing
Level of the Underlying on July 19, 2021. The actual Downside Threshold will be determined on the Initial Valuation Date and will be based
on the Initial Underlying Level, which will be calculated by reference to an average of the Closing Levels of the Underlying during a
three-month Initial Valuation Period.
We obtained the Closing Levels of the Underlying from
Bloomberg Professional® service, without independent verification. Historical performance of the Underlying should not
be taken as an indication of future performance. Future performance of the Underlying may differ significantly from historical performance,
and no assurance can be given as to the Closing Level of the Underlying during the term of the Securities, including on the Final Valuation
Date. We cannot give you assurance that the performance of the Underlying will not result in a loss on your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.