Barclays Bank PLC
Market Linked Securities
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Filed Pursuant to Rule 433
Registration Statement No. 333-232144
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Market Linked Securities – Auto-Callable with Contingent
Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing
of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December
11, 2024
Final Term Sheet dated December 6, 2021 to Pricing Supplement
dated December 6, 2021 (the “PS”)
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Summary of Terms
Issuer
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Barclays Bank PLC
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Term
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Approximately 3 years
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Reference Assets
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Nasdaq-100 Index®, Russell 2000® Index and S&P 500® Index (each, an “Index”)
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Pricing Date
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December 6, 2021
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Issue Date
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December 9, 2021
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Stated Maturity Date
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December 11, 2024
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Original Offering Price1
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$1,000 per security (100% of par)
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Contingent Coupon Payments
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See “How contingent coupon payments are calculated” on page 2
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Contingent Coupon Rate
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9.33% per annum
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Automatic Call
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See “How to determine if the securities will be automatically called” on page 2
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Calculation Days
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Quarterly, on the 6th of each March, June, September and December, commencing March 2022 and ending December 2024, provided that the December 2024 calculation day will be the final calculation day
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Final Calculation Day
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December 6, 2024
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Maturity Payment Amount
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See “How the maturity payment amount is calculated” on page 2
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Lowest Performing Index
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See “How the lowest performing Index is determined” on page 2
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Starting Level
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For the Nasdaq-100 Index®, 15,846.16; for the Russell 2000® Index, 2,203.479; for the S&P 500® Index, 4,591.67 (for each Index, its closing level on the pricing date)
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Ending Level
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For each Index, its closing level on the final calculation day
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Threshold Level
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For the Nasdaq-100 Index®, 11,884.62; for the Russell 2000® Index, 1,652.60925; for the S&P 500® Index, 3,443.7525 (for each Index, 75% of its starting level)
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Calculation Agent
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Barclays Bank PLC
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Denominations
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$1,000 and any integral multiple of $1,000
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CUSIP/ISIN
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06748WWV1 / US06748WWV17
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Agent Discount
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2.125%; dealers, including those using the trade name Wells Fargo Advisors (WFA), will receive a selling concession of 1.50% and WFA will receive a distribution expense fee of 0.075%. Selected dealers may receive a fee of up to 0.35% for marketing and other services.
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Investment Description
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Linked to the lowest performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P
500® Index (each referred to as an “Index”)
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Unlike ordinary debt securities, the securities do not provide for fixed payments of interest, do not guarantee any return of principal
at stated maturity and are subject to potential automatic call prior to stated maturity upon the terms described below. Whether the securities
pay a contingent coupon, whether the securities are automatically called prior to stated maturity and, if the securities are not automatically
called, whether you are repaid the original offering price of your securities at stated maturity will depend in each case on the closing
level of the lowest performing Index on the relevant calculation day. The lowest performing Index on any calculation day is the Index
that has the lowest performance factor on that calculation day, calculated for each Index as the closing level of that Index on that calculation
day divided by its starting level.
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Contingent Coupon. The securities will pay a contingent coupon on a quarterly basis until the earlier of stated maturity or
automatic call if the closing level of the lowest performing Index on the calculation day for the relevant quarter is greater than or
equal to its threshold level. However, if the closing level of the lowest performing Index on a calculation day is less than its threshold
level, you will not receive any contingent coupon for the relevant quarter. The contingent coupon rate is 9.33% per annum.
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Automatic Call. If the closing level of the lowest performing Index on any of the quarterly calculation days from June 2022
to September 2024, inclusive, is greater than or equal to its starting level, the securities will be automatically called for the original
offering price plus the contingent coupon payment otherwise due. The securities will not be subject to automatic call until approximately
six months after their issue date.
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Potential Loss of Principal. If the securities are not automatically called prior to stated maturity, you will receive the
original offering price at stated maturity if the closing level of the lowest performing Index on the final calculation day is greater
than or equal to its threshold level. If the closing level of the lowest performing Index on the final calculation day is less than its
threshold level, you will lose more than 25%, and possibly all, of the original offering price of your securities.
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The threshold level of each Index is equal to 75% of its starting level.
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You will not participate in any appreciation of any Index.
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Your return on the securities will depend solely on the performance of the Index that is the lowest performing Index on each
calculation day. You will not benefit in any way from the performance of the better performing Indices. Therefore, you will be adversely
affected if any Index performs poorly, even if the other Indices perform favorably.
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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 (as described in the PS) by the relevant U.K. resolution authority, you might not receive any amounts owed to you
under the securities. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in the PS and “Risk
Factors” in the accompanying prospectus supplement.
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No periodic interest payments or dividends
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No exchange listing; designed to be held to maturity
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1 The issuer’s estimated value of the securities on the pricing date, based on its internal pricing models, is $954.40 per security. The estimated value is less than the original offering price of the securities. See “Additional Information Regarding Our Estimated Value of the Securities” on page PS-6 of the PS.
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THIS FINAL TERM SHEET SHOULD
BE READ IN CONJUNCTION WITH THE ACCOMPANYING PROSPECTUS, PROSPECTUS SUPPLEMENT, PROSPECTUS SUPPLEMENT ADDENDUM, UNDERLYING SUPPLEMENT
AND PS. The securities will have the terms specified in the prospectus dated August 1, 2019, the prospectus supplement
dated August 1, 2019, the prospectus supplement addendum dated February 18, 2021 and the underlying supplement dated August 1, 2019, as
supplemented or superseded by the PS. The securities have complex features, and investing in the securities involves risks not associated
with an investment in conventional debt securities.
The securities constitute our unsecured and unsubordinated obligations.
The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation Scheme
or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United
States, the United Kingdom or any other jurisdiction.
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. See “Consent to U.K. Bail-in Power”
in the PS.
How the lowest performing Index is determined
The lowest performing Index on any calculation
day is the Index that has the lowest performance factor on that calculation day, calculated for each Index as the closing level of that
Index on that calculation day divided by its starting level.
How contingent coupon payments are calculated
On each contingent coupon payment date, you will
receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if the closing level of the lowest performing
Index on the related calculation day is greater than or equal to its threshold level.
Each “contingent coupon payment,”
if any, will be calculated per security as follows:
($1,000 × contingent coupon rate) / 4
The contingent coupon rate is 9.33% per annum. Any contingent coupon
payments will be rounded to the nearest cent, with one-half cent rounded upward.
If the closing level of the lowest performing
Index on any calculation day is less than its threshold level, you will not receive any contingent coupon payment on the related contingent
coupon payment date. If the closing level of the lowest performing Index is less than its threshold level on all quarterly calculation
days, you will not receive any contingent coupon payments over the term of the securities.
Any return on the securities will be limited
to the sum of your contingent coupon payments, if any, even if the closing level of the lowest performing Index on any call date significantly
exceeds its starting level. You will not participate in any appreciation of any Index.
How to determine if the securities will be automatically
called
If the closing level of the lowest performing
Index on any of the quarterly calculation days from June 2022 to September 2024, inclusive, is greater than or equal to its starting level,
the securities will be automatically called, and on the related call settlement date you will be entitled to receive a cash payment per
security in U.S. dollars equal to the original offering price plus the contingent coupon payment otherwise due. The securities will not
be subject to automatic call until the second quarterly calculation day, which is approximately six months after the issue date.
If the securities are automatically called, they
will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after such call
settlement date. You will not receive any notice from us if the securities are automatically called.
How the maturity payment amount is calculated
If the securities are not automatically called
prior to the stated maturity date, you will receive on the stated maturity date a cash payment per security in U.S. dollars equal to the
maturity payment amount (in addition to any contingent coupon payment otherwise due). The maturity payment amount per security will equal:
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if the ending level of the lowest performing Index on the final calculation day is greater than or equal to its threshold level: $1,000;
or
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if the ending level of the lowest performing Index on the final calculation day is less than its threshold level:
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$1,000 × performance factor of
the lowest performing Index on the final calculation day
If the securities are not automatically called
prior to stated maturity and the ending level of the lowest performing Index on the final calculation day is less than its threshold level,
you will lose more than 25%, and possibly all, of the original offering price of your securities at stated 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.
Hypothetical Payout Profile
The profile to the right illustrates the potential
payment at stated maturity on the securities (excluding any contingent coupon payment otherwise due) for a range of hypothetical performances
of the lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities have
not been automatically called prior to the stated maturity date.
This graph has been prepared for purposes of illustration
only. Your actual return will depend on the actual ending level of the lowest performing Index on the final calculation day and whether
you hold your securities to stated maturity. The performance of the better performing Indices is not relevant to your return on the securities.
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Hypothetical Returns
If the securities are automatically called: If
the securities are automatically called prior to stated maturity, you will receive the original offering price of your securities plus
the contingent coupon payment otherwise due. In the event the securities are automatically called, your total return on the securities
will equal any contingent coupon payments received prior to the call settlement date and the contingent coupon payment received on the
call settlement date.
If the securities are not automatically called: If
the securities are not automatically called prior to stated maturity, the following table illustrates, for a range of hypothetical performance
factors of the lowest performing Index on the final calculation day, the hypothetical maturity payment amount payable at stated maturity
per security (excluding any contingent coupon payment otherwise due). The performance factor of the lowest performing Index on the final
calculation day is calculated as its ending level divided by its starting level.
Hypothetical performance factor of lowest performing Index on final calculation day
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Hypothetical maturity payment amount per security
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175.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
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110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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75.00%
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$1,000.00
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74.00%
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$740.00
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70.00%
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$700.00
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60.00%
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$600.00
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50.00%
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$500.00
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40.00%
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$400.00
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25.00%
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$250.00
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The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity (excluding any contingent coupon payment otherwise due); any positive
return will be based solely on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual
amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Selected Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in any of the Indices or any of the securities composing the
Indices. You should carefully review the risk disclosures set forth under the “Risk Factors” section of the prospectus supplement
and the “Selected Risk Considerations” section in the accompanying PS. The risks set forth below are discussed in detail in
the “Selected Risk Considerations” section in the accompanying PS.
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If The Securities Are Not Automatically Called Prior to Stated Maturity, You May Lose Some Or All Of The Original Offering Price Of
Your Securities At Stated Maturity.
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The Securities Do Not Provide For Fixed Payments Of Interest And You May Receive No Coupon Payments On One Or More Quarterly Contingent
Coupon Payment Dates, Or Even Throughout The Entire Term Of The Securities.
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The Securities Are Subject To The Full Risks Of Each Index And Will Be Negatively Affected If Any Index Performs Poorly, Even If The
Other Indices Perform Favorably.
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You May Be Fully Exposed To The Decline In The Lowest Performing Index On The Final Calculation Day From Its Starting Level, But Will
Not Participate In Any Positive Performance Of Any Index.
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Your Return On The Securities Will Depend Solely On The Performance Of The Index That Is The Lowest Performing Index On Each Calculation
Day, And You Will Not Benefit In Any Way From The Performance Of The Better Performing Indices.
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Higher Contingent Coupon Rates Are Associated With Greater Risk.
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You Will Be Subject To Reinvestment Risk.
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You Will Be Subject To Risks Resulting From The Relationship Between The Indices.
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Any Payment On The Securities Will Be Determined Based On The Closing Levels Of The Indices On The Dates Specified.
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Owning The Securities Is Not The Same As Owning The Securities Composing Any Or All Of The Indices.
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No Assurance That The Investment View Implicit In The Securities Will Be Successful.
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The U.S. Federal Income Tax Consequences Of An Investment In The Securities Are Uncertain.
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The Securities Are Subject To The Credit Risk Of Barclays Bank PLC.
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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.
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There Are Risks Associated With Investments In Securities Linked To The Value Of Non-U.S. Equity Securities With Respect To The Nasdaq-100
Index®.
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The Securities Are Subject To Small-Capitalization Companies Risk With Respect To The Russell 2000® Index.
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Each Index Reflects The Price Return Of The Securities Composing That Index, Not The Total Return.
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We Cannot Control Actions Of Any Of The Unaffiliated Companies Whose Securities Are Included As Components Of The Indices.
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We And Our Affiliates Have No Affiliation With Any Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
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Adjustments To The Indices Could Adversely Affect The Value Of The Securities And The Amount You Will Receive At Maturity.
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The Historical Performance Of The Indices Is Not An Indication Of Their Future Performance.
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Potentially Inconsistent Research, Opinions Or Recommendations By Barclays Capital Inc., Wells Fargo Securities, LLC Or Their Respective
Affiliates.
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We, Our Affiliates And Any Other Agent And/Or Participating Dealer May Engage In Various Activities Or Make Determinations That Could
Materially Affect Your Securities In Various Ways And Create Conflicts Of Interest.
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The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
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The Value Of The Securities Prior To Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
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The Estimated Value Of Your Securities Is Lower Than The Original Offering Price Of Your 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.
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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.
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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 Original Offering Price Of Your Securities And May Be
Lower Than The Estimated Value Of Your Securities.
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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.
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Not suitable for all investors
Investment suitability must be determined individually
for each investor. 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 “Selected
Risk Considerations” beginning on page PS-12 of the accompanying PS 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 Indices, please see the
sections titled “The Nasdaq-100 Index®,” “The Russell 2000® Index” and “The
S&P 500® Index” in the PS.
Barclays Bank PLC has filed a registration statement
(including a prospectus) with the SEC for the offering to which this final term sheet relates. Before you invest, you should read the
prospectus dated August 1, 2019, the prospectus supplement dated August 1, 2019, the prospectus supplement addendum dated February 18,
2021, the underlying supplement dated August 1, 2019, the PS and other documents Barclays Bank PLC has filed with the SEC for more complete
information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed for
free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in this
offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative,
such dealer or toll-free 1-888-227-2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital Inc.,
745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019.
Consult your tax advisor
Investors should review carefully the accompanying
PS, prospectus, prospectus supplement, prospectus supplement addendum and underlying supplement and consult their tax advisors regarding
the application of the U.S. federal tax laws to their particular circumstances, as well as any tax consequences arising under the laws
of any state, local or non-U.S. jurisdiction.
As used in this final term sheet, “we,”
“us” and “our” refer to Barclays Bank PLC. Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services,
LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells
Fargo & Company.
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