The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus and prospectus supplement do not
constitute an offer to sell the Notes and we are not soliciting an offer to buy the Notes in any state where the offer or sale is not
permitted.
Subject to Completion
Preliminary Pricing Supplement dated
August 8, 2024
Pricing Supplement dated August , 2024
(To the Prospectus dated May 23, 2022 and the Prospectus Supplement dated June 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
 |
$●
Autocallable
Contingent Coupon Barrier Notes due August 19, 2027
Linked
to the Common Stock of Amazon.com, Inc., the Class A Common Stock of CrowdStrike Holdings, Inc., the Common Stock of The Walt Disney
Company and the Ordinary Shares of Eaton Corporation plc
Global
Medium-Term Notes, Series A
|
Unlike ordinary debt securities, the Notes do not guarantee the payment
of interest or the return of the full principal amount at maturity. Instead, as described below and subject to automatic redemption, the
Notes offer a Contingent Coupon for each Observation Date on which the Closing Value of each Underlier is greater than or equal to its
Coupon Barrier Value. Investors should be willing to forgo dividend payments and, if the Final Underlier Value of any Underlier is less
than its Barrier Value and the Final Underlier Value of each Underlier is less than its Initial Underlier Value, be willing to lose a
significant portion or all of their investment at maturity. Investors will be exposed to the market risk of each Underlier and any
decline in the value of one Underlier may negatively affect their return and will not be offset or mitigated by a lesser decline or, for
purposes of determining whether a Contingent Coupon is payable, by any potential increase in the values of the other Underliers.
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
| Issuer: |
Barclays Bank PLC |
| Denominations: |
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof |
| Initial Valuation Date: |
August 16, 2024 |
| Issue Date: |
August 21, 2024 |
| Final Valuation Date:† |
August 16, 2027 |
| Maturity Date:† |
August 19, 2027 |
| Reference Assets:* |
The common stock of Amazon.com, Inc. (the “AMZN Underlier”), the Class A common stock of CrowdStrike Holdings, Inc. (the “CRWD Underlier”), the common stock of The Walt Disney Company (the “DIS Underlier”) and the ordinary shares of Eaton Corporation plc (the “ETN Underlier”) (each, an “Underlier” and together, the “Underliers”), as set forth in the following table: |
| |
Underliers |
Bloomberg Ticker |
Initial Underlier Value(1)* |
Coupon Barrier Value(2)* |
Barrier Value(3)* |
| |
AMZN Underlier |
AMZN UW<Equity> |
$● |
$● |
$● |
| |
CRWD Underlier |
CRWD UW<Equity> |
$● |
$● |
$● |
| |
DIS Underlier |
DIS UN<Equity> |
$● |
$● |
$● |
| |
ETN Underlier |
ETN UN<Equity> |
$● |
$● |
$● |
| |
(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial Valuation Date |
| |
(2) With respect to each Underlier, 60.00% of its Initial Underlier
Value (rounded to two decimal places)
(3) With respect to each Underlier, 50.00% of its Initial Underlier
Value (rounded to two decimal places) |
| Automatic Redemption: |
The Notes will not be automatically redeemable for approximately the first six months after the Issue Date. If, on any Redemption Observation Date, the Closing Value of each Underlier is greater than or equal to its Initial Underlier Value, the Notes will be automatically redeemed and you will receive on the immediately following Contingent Coupon Payment Date a cash payment per $1,000 principal amount Note equal to $1,000 plus the Contingent Coupon otherwise due. No further amounts will be payable on the Notes after they have been automatically redeemed. |
| Contingent Coupon: |
$11.292 per $1,000 principal amount Note (based on a rate of 13.55%
per annum or 1.1292% per month, rounded to four decimal places, if applicable)
If the Notes have not been automatically redeemed and the Closing Value
of each Underlier on an Observation Date is greater than or equal to its Coupon Barrier Value, you
will receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Value of any Underlier
on an Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent
Coupon Payment Date.
|
| Payment at Maturity: |
If the Notes are not automatically redeemed, you will receive on the
Maturity Date a cash payment per $1,000 principal amount Note determined as follows:
§ If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will receive
a payment of $1,000 per $1,000 principal amount Note plus any Contingent Coupon otherwise due.
§ If
(a) the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and (b) the Final Underlier Value
of the Best Performing Underlier is greater than or equal to its Initial Underlier Value, you will receive a payment of
$1,000 per $1,000 principal amount Note.
§ If
(a) the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and (b) the Final Underlier Value
of the Best Performing Underlier is less than its Initial Underlier Value, you will receive an amount per $1,000 principal amount
Note calculated as follows:
$1,000 + ($1,000 × Underlier Return of the
Least Performing Underlier)
If the Notes are not automatically redeemed and the Final Underlier
Value of any Underlier is less than its Barrier Value and the Final Underlier Value of each Underlier is less than its Initial Underlier
Value, your Notes will be fully exposed to the decline of the Least Performing Underlier from its Initial Underlier Value and you will
lose a significant portion or all of your investment at maturity. Any payment on the Notes, including any repayment of principal, is not
guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K.
Bail-in Power (as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution authority. See “Selected Risk
Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors” in the
accompanying prospectus supplement.
|
| Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement. |
(Terms of the Notes continue on the next page)
| |
Initial Issue
Price(1)(2)
|
Price to Public
|
Agent’s
Commission(3)
|
Proceeds to
Barclays Bank PLC
|
| Per Note |
$1,000 |
100% |
0.50% |
99.50% |
| Total |
$● |
$● |
$● |
$● |
| (1) | Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions,
fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $995.00
and $1,000 per $1,000 principal amount Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees
by the investment advisor or manager of such account based on the amount of assets held in those accounts, including the Notes. |
| (2) | Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is expected to be between $943.90
and $973.90 per $1,000 principal amount Note. The estimated value is expected to be less than the initial issue price of the Notes. See
“Additional Information Regarding Our Estimated Value of the Notes” on page PS-5 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of up to $5.00 per $1,000 principal amount Note. Barclays Capital Inc.
will use these commissions to pay variable selling concessions or fees (including custodial or clearing fees) to other dealers. The actual
commission received by Barclays Capital Inc. will be equal to the selling concession paid to such dealers. |
Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-9 of the prospectus supplement and “Selected Risk Considerations”
beginning on page PS-12 of this pricing supplement.
The Notes will not be listed on any U.S. securities
exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities
commission has approved or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation
Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance
agency of the United States, the United Kingdom or any other jurisdiction.
(Terms of the Notes continued from previous page)
| Final Underlier Value:* |
With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date |
| Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
| Best Performing Underlier: |
The Underlier with the highest Underlier Return |
| Underlier Return: |
With respect to each Underlier, an amount calculated as follows:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
|
| Observation Dates:† |
September 16, 2024, October 16, 2024, November 18, 2024, December 16, 2024, January 16, 2025, February 18, 2025, March 17, 2025, April 16, 2025, May 16, 2025, June 16, 2025, July 16, 2025, August 18, 2025, September 16, 2025, October 16, 2025, November 17, 2025, December 16, 2025, January 16, 2026, February 17, 2026, March 16, 2026, April 16, 2026, May 18, 2026, June 16, 2026, July 16, 2026, August 17, 2026, September 16, 2026, October 16, 2026, November 16, 2026, December 16, 2026, January 19, 2027, February 16, 2027, March 16, 2027, April 16, 2027, May 17, 2027, June 16, 2027, July 16, 2027 and the Final Valuation Date |
| Contingent Coupon Payment Dates:† |
September 23, 2024, October 23, 2024, November 25, 2024, December 23, 2024, January 24, 2025, February 25, 2025, March 24, 2025, April 23, 2025, May 23, 2025, June 24, 2025, July 23, 2025, August 25, 2025, September 23, 2025, October 23, 2025, November 24, 2025, December 23, 2025, January 26, 2026, February 24, 2026, March 23, 2026, April 23, 2026, May 26, 2026, June 24, 2026, July 23, 2026, August 24, 2026, September 23, 2026, October 23, 2026, November 23, 2026, December 23, 2026, January 26, 2027, February 23, 2027, March 23, 2027, April 23, 2027, May 24, 2027, June 23, 2027, July 23, 2027 and the Maturity Date |
| Redemption Observation Dates: † |
Each Observation Date scheduled to occur in February, May, August and November, from February 2025 to May 2027, inclusive |
| Closing Value:* |
Closing Value has the meaning assigned to “closing price” set forth under “Reference Assets—Equity Securities—Special Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745USL5 / US06745USL51 |
| * | In the case of certain corporate events related to an Underlier, the Calculation Agent may adjust any variable, including but not
limited to, that Underlier and the Initial Underlier Value, Final Underlier Value, Coupon Barrier Value, Barrier Value and Closing Value
of that Underlier if the Calculation Agent determines that the event has a diluting or concentrative effect on the theoretical value of
the shares of that Underlier. The Calculation Agent may accelerate the Maturity Date upon the occurrence of certain reorganization events
and additional adjustment events. For more information, see “Reference Assets—Equity Securities—Share Adjustments Relating
to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement. |
| † | Each Observation Date, including each Redemption Observation Date, may be postponed if that Observation Date is not a scheduled trading
day with respect to any Underlier or if a market disruption event occurs with respect to any Underlier on that Observation Date as described
under “Reference Assets—Equity Securities—Market Disruption Events for Securities with an Equity Security as a Reference
Asset” and “Reference Assets—Least or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption
Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement. In addition, a Contingent Coupon Payment Date
and/or the Maturity Date will be postponed if that day is not a business day or if the relevant Observation Date is postponed as described
under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the terms of the Notes
and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement
and “Selected Risk Considerations” in this pricing supplement, as the Notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| · | Prospectus Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which
the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank
or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K.
banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant
EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities
or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other
amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of
a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—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, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
The final terms for the Notes will be determined on the date the Notes
are initially priced for sale to the public, which we refer to as the Initial Valuation Date, based on prevailing market conditions on
or prior to the Initial Valuation Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such
as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding
rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is expected
to be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value
of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc.
or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated
cost that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection
with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or
sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of
ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial
Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the tenor
of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-12 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Initial Valuation Date. We reserve the right to change the terms of, or reject any offer to purchase, the
Notes prior to the Initial Valuation Date. In the event of any changes to the terms of the Notes, we will notify you and
you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which
case we may reject your offer to purchase.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
| · | You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value of at least
one Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates. |
| · | You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and that your
potential return on the Notes is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Least Performing Underlier. |
| · | You do not anticipate that the Closing Value of any Underlier will fall below its Coupon Barrier Value on any Observation Date. |
| · | You do not anticipate that the Closing Value of any Underlier will fall below its Barrier Value on the Final Valuation Date
or you anticipate that the Closing Value of at least one Underlier will remain at or above its Initial Underlier Value on the Final
Valuation Date. |
| · | You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one
Underlier will not be offset or mitigated by a lesser decline or, for purposes of determining whether a Contingent Coupon is payable,
by any potential increase in the value of any other Underlier. |
| · | You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value of any Underlier
is less than its Coupon Barrier Value on an Observation Date and (b) you will lose a significant portion or all of your principal at maturity
if the Final Underlier Value of any Underlier is less than its Barrier Value and the Final Underlier Value of each Underlier is less than
its Initial Underlier Value. |
| · | You understand and accept the risk that, if the Notes are not automatically redeemed, the Final Underlier Value of any Underlier is
less than its Barrier Value and the Final Underlier Value of each Underlier is less than its Initial Underlier Value, the payment at maturity,
if any, will be based solely on the Underlier Return of the Least Performing Underlier. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the Underliers,
nor will you have any voting rights with respect to the Underliers. |
| · | You are willing and able to accept the risk that the Notes may be automatically redeemed and that you may not be able to reinvest
your money in an alternative investment with comparable risk and yield. |
| · | You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of
the Underliers. |
| · | You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to
maturity if the Notes are not automatically redeemed. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
The Notes may not be an appropriate
investment for you if any of the following statements are true:
| · | You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current income,
and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value of at least
one Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates. |
| · | You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment with a
return that is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose a significant portion or all of the principal amount of your Notes in the event that the Final Underlier Value
of the Least Performing Underlier falls below its Barrier Value and the Final Underlier Value of the Best Performing Underlier falls below
its Initial Underlier Value. |
| · | You anticipate that the Closing Value of at least one Underlier will decline during the term of the Notes such that the Closing
Value of at least one Underlier will fall below its Coupon Barrier Value on one or more Observation Dates. |
| · | You anticipate that the Closing Value of at least one Underlier will fall below its Barrier Value on the Final Valuation Date
and that the Closing Value of each Underlier will fall below its Initial Underlier Value on the Final Valuation Date. |
| · | You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or, for purposes of determining whether a Contingent Coupon
is payable, by any potential increase in the value of any other Underlier. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underliers. |
| · | You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to not receive Contingent
Coupons, regardless of the performance of any other Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Underliers. |
| · | You are unwilling or unable to accept the risk that the Notes may be automatically redeemed. |
| · | You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underliers. |
| · | You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to
maturity if the Notes are not automatically redeemed. |
| · | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings. |
| · | You are unwilling or unable to assume our credit risk for all payments on the Notes. |
| · | You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
You must rely on your own evaluation of the merits of an investment
in the Notes. You should reach a decision whether to invest in the Notes after carefully considering,
with your advisors, the appropriateness of the Notes in light of your investment objectives and the specific information set out in this
pricing supplement, the prospectus and the prospectus supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation
as to the appropriateness of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT coupon PAYMENT DATE
The following examples demonstrate the circumstances under which you
may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. The examples set forth below are purely hypothetical
and are provided for illustrative purposes only. The numbers appearing in the following tables and examples have been rounded for ease
of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the following
key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: $100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: $60.00 (60.00% of the hypothetical Initial Underlier Value set forth
above)* |
| * | The hypothetical Initial Underlier Value of $100.00 and the hypothetical Coupon Barrier Value of $60.00
for each Underlier have been chosen for illustrative purposes only and may not represent likely actual Initial Underlier Values or Coupon
Barrier Values for the Underliers. The actual Initial Underlier Value for each Underlier will be equal to its Closing Value on the Initial
Valuation Date and the actual Coupon Barrier Value for each Underlier will be equal to 60.00% of its Initial Underlier Value. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Example 1: The Closing Value of each Underlier is greater than its
Coupon Barrier Value on the relevant Observation Date.
| Underlier |
Closing Value on Relevant Observation Date |
| AMZN Underlier |
$105.00 |
| CRWD Underlier |
$85.00 |
| DIS Underlier |
$100.00 |
| ETN Underlier |
$150.00 |
Because the Closing Value of each Underlier is greater than its Coupon
Barrier Value, you will receive a Contingent Coupon of $11.292 (1.1292% of the principal amount per Note) on the related Contingent Coupon
Payment Date.
Example 2: The Closing Value of one Underlier is less than its Coupon
Barrier Value on the relevant Observation Date, and the Closing Value of each other Underlier is greater than its Coupon Barrier Value
on the relevant Observation Date.
| Underlier |
Closing Value on Relevant Observation Date |
| AMZN Underlier |
$140.00 |
| CRWD Underlier |
$40.00 |
| DIS Underlier |
$70.00 |
| ETN Underlier |
$85.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 3: The Closing Value of each Underlier is less than its
Coupon Barrier Value on the relevant Observation Date.
| Underlier |
Closing Value on Relevant Observation Date |
| AMZN Underlier |
$45.00 |
| CRWD Underlier |
$55.00 |
| DIS Underlier |
$50.00 |
| ETN Underlier |
$40.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate that you may not receive a Contingent
Coupon on a Contingent Coupon Payment Date. If the Closing Value of at least one Underlier is below its Coupon Barrier Value on
each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE upon an automatic REDEMPTION
The following examples demonstrate the hypothetical total return upon
an automatic redemption under various circumstances. The examples set forth below are purely hypothetical and are provided for illustrative
purposes only. The numbers appearing in the following tables and examples have been rounded for ease of analysis. The hypothetical examples
below do not take into account any tax consequences from investing in the Notes and make the following key assumption:
| § | Hypothetical Initial Underlier Value of each Underlier: $100.00* |
| * | The hypothetical Initial Underlier Value of $100.00 for each Underlier has been chosen for illustrative purposes only
and may not represent likely actual Initial Underlier Values for the Underliers. The actual Initial Underlier Value for each Underlier
will be equal to its Closing Value on the Initial Valuation Date. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Example 1: The Notes are automatically redeemed on the first Redemption
Observation Date.
| Redemption Observation Date |
Underlier |
Closing Value on Redemption Observation Date |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
AMZN Underlier |
$140.00 |
Yes |
$1,011.292 |
| CRWD Underlier |
$135.00 |
| DIS Underlier |
$120.00 |
| ETN Underlier |
$125.00 |
Because the Closing Value of each Underlier on the first Redemption
Observation Date (which is six months after the Issue Date) is greater than its Initial Underlier Value, the Notes are automatically redeemed
on the immediately following Contingent Coupon Payment Date. You will receive on the relevant Contingent Coupon Payment Date a cash payment
of $1,011.292 per $1,000 principal amount Note, which is equal to your principal amount plus the Contingent Coupon otherwise due.
No further amounts will be payable on the Notes after they have been automatically redeemed.
Example 2: The Notes are automatically redeemed on the eighth Redemption
Observation Date.
| Redemption Observation Date |
Underlier |
Closing Value on Redemption Observation Date |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
AMZN Underlier |
$80.00 |
No |
N/A |
| CRWD Underlier |
$115.00 |
| DIS Underlier |
$130.00 |
| ETN Underlier |
$95.00 |
| 2-7 |
AMZN Underlier |
Various (at least one Underlier below Initial Underlier Value) |
No |
N/A |
| CRWD Underlier |
| DIS Underlier |
| ETN Underlier |
| 8 |
AMZN Underlier |
$105.00 |
Yes |
$1,011.292 |
| CRWD Underlier |
$120.00 |
| DIS Underlier |
$110.00 |
| ETN Underlier |
$115.00 |
Because the Closing Value of each Underlier on the eighth Redemption
Observation Date is greater than its Initial Underlier Value, the Notes are automatically redeemed on the immediately following Contingent
Coupon Payment Date. You will receive on the relevant Contingent Coupon Payment Date a cash payment of $1,011.292 per $1,000 principal
amount Note, which is equal to your principal amount plus the Contingent Coupon otherwise due. No further amounts will be payable
on the Notes after they have been automatically redeemed.
If the Closing Value of at least one Underlier is below its Initial
Underlier Value on each Redemption Observation Date, the Notes will not be automatically redeemed and you may lose a significant portion
or all of your investment at maturity. See “Hypothetical Examples of Amounts Payable at Maturity” below.
Hypothetical EXAMPLES OF
AMOUNTS PAYABLE at Maturity
The following table illustrates the
hypothetical payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: $100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: $60.00 (60.00% of the hypothetical Initial Underlier Value set forth
above)* |
| § | Hypothetical Barrier Value for each Underlier: $50.00 (50.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | You hold the Notes to maturity, and the Notes are NOT automatically redeemed. |
| * | The hypothetical Initial Underlier Value of $100.00,
the hypothetical Coupon Barrier Value of $60.00 and the hypothetical Barrier
Value of $50.00 for each Underlier have been chosen for illustrative purposes only and may not represent likely actual Initial Underlier
Values, Coupon Barrier Values or Barrier Values for the Underliers. The actual Initial Underlier Value for each Underlier will be equal
to its Closing Value on the Initial Valuation Date, and the actual Coupon Barrier Value and Barrier Value for each Underlier will be equal
to 60.00% and 50.00%, respectively, of its Initial Underlier Value. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
| Final Underlier Value of the Least Performing Underlier |
Underlier Return of the Least Performing Underlier |
Final Underlier Value of the Best Performing Underlier is less than its Initial Underlier Value |
Final Underlier Value of the Best Performing Underlier is greater than or equal to its Initial Underlier Value |
| Payment at Maturity** |
Total Return on Notes |
Payment at Maturity** |
Total Return on Notes |
| $150.00 |
50.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $140.00 |
40.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $130.00 |
30.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $120.00 |
20.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $110.00 |
10.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $100.00 |
0.00% |
N/A |
N/A |
$1,000.00 |
0.00% |
| $90.00 |
-10.00% |
$1,000.00 |
0.00% |
$1,000.00 |
0.00% |
| $80.00 |
-20.00% |
$1,000.00 |
0.00% |
$1,000.00 |
0.00% |
| $70.00 |
-30.00% |
$1,000.00 |
0.00% |
$1,000.00 |
0.00% |
| $60.00 |
-40.00% |
$1,000.00 |
0.00% |
$1,000.00 |
0.00% |
| $50.00 |
-50.00% |
$1,000.00 |
0.00% |
$1,000.00 |
0.00% |
| $49.99 |
-50.01% |
$499.90 |
-50.01% |
$1,000.00 |
0.00% |
| $40.00 |
-60.00% |
$400.00 |
-60.00% |
$1,000.00 |
0.00% |
| $30.00 |
-70.00% |
$300.00 |
-70.00% |
$1,000.00 |
0.00% |
| $20.00 |
-80.00% |
$200.00 |
-80.00% |
$1,000.00 |
0.00% |
| $10.00 |
-90.00% |
$100.00 |
-90.00% |
$1,000.00 |
0.00% |
| $0.00 |
-100.00% |
$0.00 |
-100.00% |
$1,000.00 |
0.00% |
** per $1,000 principal amount
Note, excluding the final Contingent Coupon that may be payable on the Maturity Date
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The Final Underlier Value of the AMZN Underlier
is $150.00, the Final Underlier Value of the CRWD Underlier is $130.00, the Final Underlier Value of the DIS Underlier is $140.00 and
the Final Underlier Value of the ETN Underlier is $160.00.
Because the CRWD Underlier has the lowest Underlier Return, the CRWD
Underlier is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal
to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the
Contingent Coupon otherwise due), regardless of the Final Underlier Value of any other Underlier.
Example 1 demonstrates that you will not participate in any appreciation
in the value of any Underlier. Even though each Underlier appreciated significantly, the payment at maturity is limited to $1,000 per
$1,000 principal amount Note that you hold (plus the Contingent Coupon otherwise due).
Example 2: The Final Underlier Value of the AMZN Underlier is $55.00,
the Final Underlier Value of the CRWD Underlier is $140.00, the Final Underlier Value of the DIS Underlier is $100.00 and the Final Underlier
Value of the ETN Underlier is $95.00.
Because the AMZN Underlier has the lowest Underlier Return, the AMZN
Underlier is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal
to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold. Because, however,
the Final Underlier Value of at least one Underlier is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on
the Maturity Date.
Example 3: The Final Underlier Value of the
AMZN Underlier is $30.00, the Final Underlier Value of the CRWD Underlier is $90.00, the Final Underlier Value of the DIS Underlier is
$100.00 and the Final Underlier Value of the ETN Underlier is $105.00.
Because the AMZN Underlier has the lowest Underlier
Return, the AMZN Underlier is the Least Performing Underlier. Because the ETN Underlier has the highest Underlier Return, the ETN Underlier
is the Best Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and
the Final Underlier Value of the Best Performing Underlier is greater than or equal to its Initial Underlier Value, you will receive a
payment at maturity of $1,000 per $1,000 principal amount Note that you hold. However, because the Final Underlier Value of at least one
Underlier is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 3 demonstrates that you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold (plus any Contingent Coupon otherwise due) if the Final Underlier Value
of any Underlier is greater than or equal to its Initial Underlier Value, regardless of the Final Underlier Value of any other Underlier.
Example 4: The Final Underlier Value of the AMZN Underlier is $30.00,
the Final Underlier Value of the CRWD Underlier is $40.00, the Final Underlier Value of the DIS Underlier is $80.00 and the Final Underlier
Value of the ETN Underlier is $95.00.
Because the AMZN Underlier has the lowest Underlier Return, the AMZN
Underlier is the Least Performing Underlier. Because the ETN Underlier has the highest Underlier Return, the ETN Underlier is the Best
Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and the
Final Underlier Value of the Best Performing Underlier is less than its Initial Underlier Value, you will receive a payment at maturity
of $300.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Underlier Return of the
Least Performing Underlier)
$1,000 + ($1,000 × -70.00%) = $300.00
In addition, because the Final Underlier Value of at least one Underlier
is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 4 demonstrates that, if the Notes are not automatically redeemed,
and if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and the Final Underlier Value of the
Best Performing Underlier is less than its Initial Underlier Value, your investment in the Notes will be fully exposed to the decline
of the Least Performing Underlier from its Initial Underlier Value. Under these circumstances, you will not benefit in any way from the
Underlier Return of any other Underlier being higher than the Underlier Return of the Least Performing Underlier.
If the Notes are not automatically redeemed, you
may lose up to 100.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of principal, is
subject to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underliers. Some of the risks that apply to an investment in the Notes are summarized
below, but we urge you to read the more detailed explanation of risks relating to the Notes generally in the “Risk Factors”
section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear the risks of investing in the
Notes.
Risks Relating to the Notes Generally
| · | Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in that
the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Notes are not automatically redeemed,
and if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and the Final Underlier Value of the
Best Performing Underlying is less than its Initial Underlier Value, your Notes will be fully exposed to the decline of the Least Performing
Underlier from its Initial Underlier Value. You may lose up to 100.00% of the principal amount of your Notes. |
| · | You May Not Receive Any Contingent Coupon Payments on the Notes—The Issuer will not necessarily make periodic coupon
payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the Closing Value of each
Underlier on the related Observation Date is greater than or equal to its Coupon Barrier Value. If the Closing Value of any Underlier
on an Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date. If the Closing Value of at least one Underlier is less than its Coupon Barrier Value on each Observation Date, you will
not receive any Contingent Coupons during the term of the Notes. |
| · | Your Potential Return on the Notes Is Limited to the Contingent Coupons, If Any, and You Will Not Participate in Any Appreciation
of Any Underlier—The potential positive return on the Notes is limited to the Contingent Coupons, if any, that may be payable
during the term of the Notes. You will not participate in any appreciation in the value of any Underlier, which may be significant, even
though you will be exposed to the depreciation in the value of the Least Performing Underlier if the Notes are not automatically redeemed,
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value and the Final Underlier Value of the Best Performing
Underlying is less than its Initial Underlier Value. |
| · | Because the Notes Are Linked to Multiple Underliers Individually, You Are Exposed to Greater Risks of No Contingent Coupons and
Sustaining a Significant Loss of Principal at Maturity Than If the Notes Were Linked to a Single Underlier—The risk that you
will not receive any Contingent Coupons and lose a significant portion or all of your principal amount in the Notes at maturity is greater
if you invest in the Notes as opposed to substantially similar securities that are linked to the performance of a single Underlier. With
multiple Underliers, it is more likely that the Closing Value of at least one Underlier will be less than its Coupon Barrier Value on
the specified Observation Dates or less than its Barrier Value on the Final Valuation Date, and therefore, it is more likely that you
will not receive any Contingent Coupons and that you will suffer a significant loss of principal at maturity. Further, the performance
of the Underliers may not be correlated or may be negatively correlated. The lower the correlation between multiple Underliers, the greater
the potential for one of those Underliers to close below its Coupon Barrier Value or Barrier Value on an Observation Date or the Final
Valuation Date, respectively. |
It is impossible to predict what the correlation
among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
Although the correlation of the Underliers’
performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on the correlation of the
Underliers’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Contingent
Coupon is generally associated with lower correlation of the Underliers, which reflects a greater potential for missed Contingent Coupons
and for a loss of principal at maturity.
| · | You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting of
the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with a return linked
to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed
to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively affect your return
and will not be offset or mitigated by a lesser decline or, for purposes of determining whether a Contingent Coupon is payable, by any
potential increase in the values of the other Underliers. To receive a Contingent Coupon, the Closing Value of each Underlier must be
greater than or equal to its Coupon Barrier Value on the applicable Observation Date. In addition, if the Notes have not been automatically
redeemed, and if the Final Underlier Value of any Underlier is less than its Barrier Value and the Final Underlier Value of the Best Performing
Underlier is less than its Initial Underlier Value, you will be fully exposed to the decline of the Least Performing Underlier from its
Initial Underlier Value. Accordingly, your investment is subject to the market risk of each Underlier. |
| · | Automatic Redemption and Reinvestment Risk—If the Notes are automatically redeemed, the holding period over which you
may receive Contingent Coupons could be as short as approximately six months. The payment upon an automatic redemption, together with
any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than the aggregate amount of payments
that you would have received had the Notes not been automatically |
redeemed. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the Notes in a comparable investment with a similar level of risk in
the event the Notes are automatically redeemed prior to the Maturity Date. No additional payments will be due after an automatic redemption.
The automatic redemption feature of the Notes may also adversely impact your ability to sell your Notes and the price at which they may
be sold.
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified—Any
payment on the Notes will be determined based on the Closing Values of the Underliers on the dates specified. You will not benefit from
any more favorable values of the Underliers determined at any other time. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity or upon Any Automatic Redemption—You should be
willing to hold your Notes to maturity or any automatic redemption. If you sell your Notes prior to such time in the secondary market,
if any, you may have to sell your Notes at a price that is less than the principal amount even if at that time the value of each Underlier
has increased from its Initial Underlier Value. See “—Risks Relating to the Estimated Value of the Notes and the Secondary
Market—Many Economic and Market Factors Will Impact the Value of the Notes” below. |
| · | The Notes Are Subject to Volatility Risk—Volatility is a measure of the degree of variation in the price of an asset
(or level of an index) over a period of time. The Contingent Coupon is determined based on a number
of factors, including the expected volatility of the Underliers. The Contingent Coupon will be paid at a per annum rate that is higher
than the fixed rate that we would pay on a conventional debt security of the same tenor and is higher than it otherwise would be if the
level of expected volatility of the Underliers taken into account in determining the terms of the Notes were lower. As volatility of an
Underlier increases, there will typically be a greater likelihood that (a) the Closing Value of that Underlier on one or more Observation
Dates will be less than its Coupon Barrier Value and (b) the Final Underlier Value of that Underlier will be less than its Barrier Value. |
Accordingly, you should understand that
a higher Contingent Coupon reflects, among other things, an indication of a greater likelihood that you will (a) not receive Contingent
Coupons with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case had
the Contingent Coupon been lower. In addition, actual volatility over the term of the Notes may be significantly higher than expected
volatility at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will face an even greater
risk that you will not receive Contingent Coupons and/or that you will lose a significant portion or all of your principal at maturity
for the reasons described above.
| · | Owning the Notes Is Not the Same as Owning the Underliers—The return on the Notes may not reflect the return you would
realize if you actually owned the Underliers. As a holder of the Notes, you will not have voting rights or rights to receive dividends
or other distributions or other rights that holders of the Underliers would have. |
| · | Tax Treatment—Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor
about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | 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 Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of
the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents
to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in
Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and
other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in
the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution
powers, could materially adversely affect the value of any 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.
Risks Relating to the Underliers
| · | There Are Risks Associated with Single Equities—The price of each Underlier can
rise or fall sharply due to factors specific to that Underlier and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial
and other information filed periodically with the SEC by the issuer of each Underlier. |
| · | Anti-dilution Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-dilution
Adjustments—The Calculation Agent may in its sole discretion make adjustments affecting the amounts payable on the Notes upon
the occurrence of certain corporate events (such as stock splits or extraordinary or special dividends) that the Calculation Agent determines
have a diluting or concentrative effect on the theoretical value of an Underlier. However, the Calculation Agent might not make such adjustments
in response to all events that could affect an Underlier. The occurrence of any such event and any adjustment made by the Calculation
Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely affect the market price of, and any amounts
payable on, the Notes. See “Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity
Security as a Reference Asset” in the accompanying prospectus supplement. |
| · | The ETN Underlier Has Risks Associated with Non-U.S. Companies—An investment linked
to the value of securities issued by non-U.S. companies, such as the ETN Underlier, which is issued by a company incorporated under the
laws of Ireland with its principal executive office located in Ireland, involves risks associated with Ireland. The prices of such company’s
securities may be affected by political, economic, financial and social factors in Ireland, including changes in Irish government, economic
and fiscal policies, currency exchange laws or other laws or restrictions. |
| · | Reorganization or Other Events Could Adversely Affect the Value of the Notes or Result in
the Notes Being Accelerated—Upon the occurrence of certain reorganization events or a nationalization, expropriation, liquidation,
bankruptcy, insolvency or de-listing of an Underlier, the Calculation Agent will make adjustments to that Underlier that may result in
payments on the Notes being based on the performance of shares, cash or other assets distributed to holders of that Underlier upon the
occurrence of such event or, in some cases, the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation
Agent. Any of these actions could adversely affect the value of the relevant Underlier and, consequently, the value of the Notes. Any
amount payable upon acceleration could be significantly less than the amount(s) that would be due on the Notes if they were not accelerated.
However, if we elect not to accelerate the Notes, the value of, and any amount payable on, the Notes could be adversely affected, perhaps
significantly. See “Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security
as a Reference Asset” in the accompanying prospectus supplement. |
| · | Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over
the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant
fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term
of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term
of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the Notes may
bear no relation or resemblance to the historical performance of any Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underliers. In any such market making, trading and hedging activity, and other financial
services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives
of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the Notes into
account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial services
may negatively impact the value of the Notes.
In addition, the role played by Barclays
Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may
serve as an incentive to sell the Notes
instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the public,
and the offering price is not based upon any independent verification or valuation.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an
Underlier is to be determined; determining whether to adjust any variable described herein in the case of certain corporate events related
to an Underlier that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the shares of
that Underlier; and determining whether to accelerate the Maturity Date upon the occurrence of certain reorganization events and additional
adjustment events. In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor
in the Notes, and any of these determinations may adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the market prices of, dividend rate on and expected volatility of the Underliers; |
| o | correlation (or lack of correlation) of the Underliers; |
| o | the time to maturity of the Notes; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is Expected to Be Lower Than the Initial Issue Price of Your Notes—The estimated value
of your Notes on the Initial Valuation Date is expected to be lower, and may be significantly lower, than the initial issue price of your
Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of
our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations
under the Notes, and estimated development and other costs which we may incur in connection with the Notes. |
| · | The Estimated Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade
in the secondary market. As a result of this difference, the estimated values referenced above might be lower if such estimated values
were based on the levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which
may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing
models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value
of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary
market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined
by reference to our internal pricing models. |
| · | The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, If
Any, and Such Secondary Market Prices, If Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they
are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market
at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take
into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs
related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market
prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss
to you. |
| · | The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not
obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements
at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes,
for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the
Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future
prices of your Notes.
|
Information Regarding
the UNDERLIERS
We urge you to read the following
section in the accompanying prospectus supplement: “Reference Assets—Equity Securities—Reference Asset Issuer and Reference
Asset Information.” Companies with securities registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), are required to file financial and other information specified by the SEC periodically. Information provided to or filed
with the SEC by the issuer of each Underlier can be located on a website maintained by the SEC at http://www.sec.gov by reference to that
issuer’s SEC file number provided below.
Included below is a brief description
of the issuer of each Underlier. This information has been obtained from publicly available sources. Information from outside sources
is not incorporated by reference in, and should not be considered part of, this pricing supplement or the accompanying prospectus or prospectus
supplement. We have not independently verified the accuracy or completeness of the information contained in outside sources.
Amazon.com, Inc.
According to publicly available information, Amazon.com, Inc. serves
consumers through its online and physical stores; manufactures and sells electronic devices; develops and produces media content; offers
subscription services; offers programs that enable sellers to sell their products in its stores and to fulfill orders using its services;
offers developers and enterprises a set of technology services, including compute, storage, database, analytics and machine learning,
and other services; offers programs that allow authors, independent publishers, musicians, filmmakers, Twitch streamers, skill and app
developers and others to publish and sell content; and provides advertising services to sellers, vendors, publishers, authors and others,
through programs such as sponsored ads, display and video advertising. Information filed by Amazon.com, Inc. with the SEC under the Exchange
Act can be located by reference to its SEC file number: 000-22513. The common stock of Amazon.com, Inc. is listed on The Nasdaq Stock
Market under the ticker symbol “AMZN.”
Historical Performance of the AMZN Underlier
The graph below sets forth the historical performance of the AMZN Underlier
based on the daily Closing Values from January 2, 2019 through August 6, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg Professional® service (“Bloomberg”). We have not independently verified the accuracy or completeness
of the information obtained from Bloomberg. The Closing Values below may have been adjusted to reflect certain corporate actions, such
as stock splits, public offerings, mergers and acquisitions, spin-offs, extraordinary dividends, delistings and bankruptcy.
Historical Performance of the AMZN Underlier
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
CrowdStrike Holdings, Inc.
According to publicly available information, CrowdStrike Holdings,
Inc. is a cybersecurity company that provides cloud-delivered protection of endpoints, cloud workloads, identity and data via a software
as a service subscription-based model to security markets, including corporate workload security, security and vulnerability management,
managed security services, IT operations management, threat intelligence services, identity protection and log management. Information
filed by CrowdStrike Holdings, Inc. with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-38933.
The Class A common stock of CrowdStrike Holdings, Inc. is listed on The Nasdaq Stock Market under the ticker symbol “CRWD.”
Historical Performance of the CRWD Underlier
The graph below sets forth the historical performance of the CRWD Underlier
based on the daily Closing Values from June 12, 2019 through August 6, 2024. The Class A common stock of CrowdStrike Holdings, Inc. began
trading on The Nasdaq Stock Market on June 12, 2019 and therefore has limited performance history. We obtained the Closing Values shown
in the graph below from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
The Closing Values below may have been adjusted to reflect certain corporate actions, such as stock splits, public offerings, mergers
and acquisitions, spin-offs, extraordinary dividends, delistings and bankruptcy.
Historical Performance of the CRWD Underlier
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
The Walt Disney Company
According to publicly available information, The Walt Disney Company
is an entertainment company with operations in media networks; parks, experiences and consumer products; studio entertainment; and direct-to-consumer
and international products. On March 20, 2019, The Walt Disney Company acquired all of the outstanding shares of Twenty-First Century
Fox, Inc. and TWDC Enterprises 18 Corp. (formerly known as The Walt Disney Company) (“Legacy Disney”), and The Walt Disney
Company became the successor SEC registrant to Legacy Disney. The DIS Underlier began trading on the New York Stock Exchange on March
20, 2019 under the ticker symbol “DIS,” the same symbol under which Legacy Disney’s common stock (the “Legacy
DIS Underlier”) previously traded. Information filed by The Walt Disney Company with the SEC under the Exchange Act can be located
by reference to its SEC file number: 001-38842. The common stock of The Walt Disney Company is listed on the New York Stock Exchange under
the ticker symbol “DIS.”
Historical Performance of the Legacy DIS Underlier and the DIS Underlier
The graph below sets forth the historical performance of the Legacy
DIS Underlier and the DIS Underlier based on the daily Closing Values from January 2, 2019 through August 6, 2024. The data in the graph
prior to March 20, 2019 reflects the performance of the Legacy DIS Underlier, and the data in the graph on and after March 20, 2019 reflects
the performance of the DIS Underlier. We obtained the Closing Values shown in the graph below from Bloomberg. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg. The Closing Values below may have been adjusted to
reflect certain corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, extraordinary dividends,
delistings and bankruptcy.
Historical Performance of the Legacy DIS Underlier
and the DIS Underlier*
* The vertical red line indicates March 20, 2019. The performance to
the left of the vertical red line reflects the Legacy DIS Underlier and the performance to the right of the vertical red line reflects
the DIS Underlier.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Eaton Corporation plc
According to publicly available information, Eaton Corporation plc,
an Irish company, is a power management company that offers a range of power products for the data center, utility, industrial, commercial,
machine building, residential, aerospace and mobility markets. Information filed by Eaton Corporation plc with the SEC under the Exchange
Act can be located by reference to its SEC file number: 000-54863. The ordinary shares of Eaton Corporation plc are listed on the New
York Stock Exchange under the ticker symbol “ETN.”
Historical Performance of the ETN Underlier
The graph below sets forth the historical performance of the ETN Underlier
based on the daily Closing Values from January 2, 2019 through August 6, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg. The Closing
Values below may have been adjusted to reflect certain corporate actions, such as stock splits, public offerings, mergers and acquisitions,
spin-offs, extraordinary dividends, delistings and bankruptcy.
Historical Performance of the ETN Underlier
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tax Considerations
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any
Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons”
in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment
to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, exchange or redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,
which should equal the amount you paid to acquire the Notes (assuming Contingent Coupon payments are properly treated as ordinary income,
consistent with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes
for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser
of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time
your right to a Contingent Coupon payment is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary
income equal to the Contingent Coupon payment. Although uncertain, it is possible that proceeds received from the sale or exchange of
your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary
income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the IRS
or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the
Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an
investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility as a withholding
agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying prospectus supplement)
as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8
or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information
Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required
to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, we expect that
these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding
the potential application of Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We will agree to sell to Barclays Capital Inc. (the “agent”),
and the agent will agree to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing
supplement. The agent will commit to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment for
the Notes on the Issue Date, which is more than one business day following the Initial Valuation Date. Notwithstanding anything to the
contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective May
28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly
agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to one business day before delivery will be required
to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
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