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
October 10, 2024
Pricing Supplement dated October
, 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
Variable Coupon Notes due October 25, 2029
Linked to
the Least Performing of the Common Stock of The Walt Disney Company, the Common Stock of NVIDIA Corporation and the Common Stock
of Tesla, Inc.
Global Medium-Term
Notes, Series A |
The Notes do not provide for the payment of interest at a fixed rate.
Instead, as described below and subject to automatic redemption, the Notes offer a Coupon equal to the Higher Coupon Amount for each
Observation Date on which the Closing Value of each Underlier is greater than or equal to its Coupon Barrier Value and a Coupon equal
to the Lower Coupon Amount for each Observation Date on which the Closing Value of any Underlier is less than its Coupon Barrier Value.
Investors should be willing to forgo dividend payments and, if the Closing Value of at least one Underlier is less than its Coupon
Barrier Value on one or more Observation Dates, be willing to receive only the Lower Coupon Amount on some or all Coupon Payment Dates.
Investors will be exposed to the market risk of each Underlier and any decline in the value of one Underlier may negatively affect their
return and will not be offset or mitigated by a lesser decline or any potential increase in the values of the other Underliers.
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
| Issuer: |
Barclays Bank PLC |
| Denominations: |
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof |
| Initial Valuation Date: |
October 22, 2024 |
Final Valuation Date:† |
October 22, 2029 |
| Issue Date: |
October 25, 2024 |
Maturity Date:† |
October 25, 2029 |
| Reference Assets:* |
The common stock of The Walt Disney Company (the “DIS Underlier”), the common stock of NVIDIA Corporation (the “NVDA Underlier”) and the common stock of Tesla, Inc. (the “TSLA 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)* |
| |
DIS Underlier |
DIS UN<Equity> |
$● |
$● |
| |
NVDA Underlier |
NVDA UW<Equity> |
$● |
$● |
| |
TSLA Underlier |
TSLA UW<Equity> |
$● |
$● |
| |
(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial
Valuation Date |
| |
(2) With respect to each Underlier, 75.00% of its Initial Underlier Value (rounded to
two decimal places) |
| Automatic Redemption: |
The Notes will not be automatically redeemable for approximately the first year after the Issue Date. Beginning with the twelfth Observation Date, if, on any Observation Date (other than the Final Valuation 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 Coupon Payment Date a cash payment per $1,000 principal amount Note equal to $1,000 plus the Coupon otherwise due. No further amounts will be payable on the Notes after they have been automatically redeemed. |
| Coupon: |
If the Notes have not previously been automatically redeemed,
you will receive a Coupon on each Coupon Payment Date determined as follows:
§
If the Closing Value of each Underlier on an Observation Date is greater than or equal to its
Coupon Barrier Value, you will receive the Higher Coupon Amount on the related Coupon Payment Date.
§
If the Closing Value of any Underlier on an Observation Date is less than its Coupon Barrier Value,
you will receive the Lower Coupon Amount on the related Coupon Payment Date. |
| Higher Coupon Amount: |
$7.333 per $1,000 principal amount Note (based on a rate of 8.80% per annum or 0.7333% per month, rounded to four decimal places, if applicable) |
| Lower Coupon Amount: |
$0.208 per $1,000 principal amount Note (based on a rate of 0.25% per annum or 0.0208% per month, rounded to four decimal places, if applicable) |
| 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 equal to $1,000 plus the Coupon otherwise due.
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% |
3.40% |
96.60% |
| 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 $966.00 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 $920.00
and $958.20 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 $34.00 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-9 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)
| Observation Dates:† |
November 22, 2024, December 23, 2024, January 22, 2025, February 24, 2025, March 24, 2025, April 22, 2025, May 22, 2025, June 23, 2025, July 22, 2025, August 22, 2025, September 22, 2025, October 22, 2025, November 24, 2025, December 22, 2025, January 22, 2026, February 23, 2026, March 23, 2026, April 22, 2026, May 22, 2026, June 22, 2026, July 22, 2026, August 24, 2026, September 22, 2026, October 22, 2026, November 23, 2026, December 22, 2026, January 22, 2027, February 22, 2027, March 22, 2027, April 22, 2027, May 24, 2027, June 22, 2027, July 22, 2027, August 23, 2027, September 22, 2027, October 22, 2027, November 22, 2027, December 22, 2027, January 24, 2028, February 22, 2028, March 22, 2028, April 24, 2028, May 22, 2028, June 22, 2028, July 24, 2028, August 22, 2028, September 22, 2028, October 23, 2028, November 22, 2028, December 22, 2028, January 22, 2029, February 22, 2029, March 22, 2029, April 23, 2029, May 22, 2029, June 22, 2029, July 23, 2029, August 22, 2029, September 24, 2029 and the Final Valuation Date |
| Coupon Payment Dates:† |
December 2, 2024, December 31, 2024, January 29, 2025, March 3, 2025, March 31, 2025, April 29, 2025, May 30, 2025, June 30, 2025, July 29, 2025, August 29, 2025, September 29, 2025, October 29, 2025, December 2, 2025, December 30, 2025, January 29, 2026, March 2, 2026, March 30, 2026, April 29, 2026, June 1, 2026, June 29, 2026, July 29, 2026, August 31, 2026, September 29, 2026, October 29, 2026, December 1, 2026, December 30, 2026, January 29, 2027, March 1, 2027, March 29, 2027, April 29, 2027, June 1, 2027, June 29, 2027, July 29, 2027, August 30, 2027, September 29, 2027, October 29, 2027, November 30, 2027, December 29, 2027, January 31, 2028, February 29, 2028, March 29, 2028, May 1, 2028, May 30, 2028, June 29, 2028, July 31, 2028, August 29, 2028, September 29, 2028, October 30, 2028, November 30, 2028, January 2, 2029, January 29, 2029, March 1, 2029, March 29, 2029, April 30, 2029, May 30, 2029, June 29, 2029, July 30, 2029, August 29, 2029, October 1, 2029 and the Maturity Date |
| 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: |
06745YD58 / US06745YD586 |
| * | 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, Coupon 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 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 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-9 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 only the Lower Coupon Amount on some or all Coupon Payment Dates 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 Coupons paid on the Notes. |
| · | You do not anticipate that the Closing Value of any Underlier will fall below its Coupon Barrier Value on any Observation 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 any potential increase in the value of any other Underlier. |
| · | You understand and accept the risk that you will receive only the Lower Coupon Amount if the Closing Value of any Underlier
is less than its Coupon Barrier Value on an Observation Date. |
| · | 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 only the Lower Coupon Amount on some or all Coupon Payment Dates 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 Coupons paid on the Notes. |
| · | 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 are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | 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 receive only
the Lower Coupon Amount, 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 coupon PAYMENT DATE
The following examples demonstrate the circumstances under which you
may receive the Higher Coupon Amount or the Lower Coupon Amount on a hypothetical 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: $75.00 (75.00% of the hypothetical Initial Underlier Value set forth
above)* |
| * | The hypothetical Initial Underlier
Value of $100.00 and the hypothetical Coupon Barrier Value of $75.00 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 75.00% 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 |
| DIS Underlier |
$105.00 |
| NVDA Underlier |
$90.00 |
| TSLA Underlier |
$150.00 |
Because the Closing Value of each Underlier is greater than its Coupon
Barrier Value, you will receive the Higher Coupon Amount of $7.333 (0.7333% of the principal amount per Note) on the related 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 |
| DIS Underlier |
$140.00 |
| NVDA Underlier |
$40.00 |
| TSLA Underlier |
$90.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value, you will receive the Lower Coupon Amount of $0.208 (0.0208% of the principal amount per Note) on the related 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 |
| DIS Underlier |
$45.00 |
| NVDA Underlier |
$55.00 |
| TSLA Underlier |
$40.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value, you will receive the Lower Coupon Amount of $0.208 (0.0208% of the principal amount per Note) on the related Coupon
Payment Date.
Examples 2 and 3 demonstrate that you may receive only the Lower
Coupon Amount on a Coupon Payment Date. If the Closing Value of at least one Underlier is below its Coupon Barrier Value on each
Observation Date, you will receive only the Lower Coupon Amount on each Coupon Payment Date 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 assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: $100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: $75.00 (75.00% of the hypothetical Initial Underlier Value set forth
above)* |
| * | The hypothetical Initial Underlier
Value of $100.00 and the hypothetical Coupon Barrier Value of $75.00 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 75.00% 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 Notes are automatically redeemed on the twelfth Observation
Date.
| Observation Date |
Underlier |
Closing Value on Observation Date |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
DIS Underlier |
$140.00 |
N/A |
N/A |
| NVDA Underlier |
$135.00 |
| TSLA Underlier |
$120.00 |
| 2-11 |
DIS Underlier |
Various |
N/A |
N/A |
| NVDA Underlier |
| TSLA Underlier |
| 12 |
DIS Underlier |
$150.00 |
Yes |
$1,007.333 |
| NVDA Underlier |
$115.00 |
| TSLA Underlier |
$130.00 |
Because the Closing Value of each Underlier on the twelfth Observation
Date (which is one year after the Issue Date and is the first Observation Date on which the Notes may be automatically redeemed) is greater
than its Initial Underlier Value, the Notes are automatically redeemed on the immediately following Coupon Payment Date. You will receive
on the relevant Coupon Payment Date a cash payment of $1,007.333 per $1,000 principal amount Note, which is equal to your principal amount
plus the 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 fifty-ninth
Observation Date.
| Observation Date |
Underlier |
Closing Value on Observation Date |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
DIS Underlier |
$80.00 |
N/A |
N/A |
| NVDA Underlier |
$115.00 |
| TSLA Underlier |
$95.00 |
| 2-11 |
DIS Underlier |
Various |
N/A |
N/A |
| NVDA Underlier |
| TSLA Underlier |
| 12-58 |
DIS Underlier |
Various (at least one Underlier below Initial Underlier Value) |
No |
N/A |
| NVDA Underlier |
| TSLA Underlier |
| 59 |
DIS Underlier |
$105.00 |
Yes |
$1,007.333 |
| NVDA Underlier |
$120.00 |
| TSLA Underlier |
$115.00 |
Because the Closing Value of each Underlier on the fifty-ninth Observation
Date is greater than its Initial Underlier Value, the Notes are automatically redeemed on the immediately following Coupon Payment Date.
You will receive on the relevant Coupon Payment Date a cash payment of $1,007.333 per $1,000 principal amount Note, which is equal to
your principal amount plus the 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 Observation Date, the Notes will not be automatically redeemed. If the Notes are not automatically redeemed, you
will receive on the Maturity Date a cash payment per $1,000 principal amount Note equal to $1,000 plus the Coupon otherwise due.
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
| · | You May Receive Only the Lower Coupon Amount on Each Coupon
Payment Date Over the Term of the Notes—You will receive the Higher Coupon Amount on a 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 receive on the related Coupon Payment Date
only the Lower Coupon Amount. If the Closing Value of at least one Underlier is less than its Coupon Barrier Value on each Observation
Date, you will receive only the Lower Coupon Amount on each Coupon Payment Date during the term of the Notes. Under these circumstances,
the return on the Notes may be less than the amount that would be paid on a conventional debt security of the Issuer of comparable maturity. |
| · | Your Potential Return on the Notes Is Limited to the Coupons
Payable, and You Will Not Participate in Any Appreciation of Any Underlier—The potential positive return on the Notes is limited
to the Coupons 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. |
| · | Because the Notes Are Linked to Multiple Underliers Individually,
You Are Exposed to Greater Risks of Receiving Only the Lower Coupon Amount Than If the Notes Were Linked to a Single Underlier—The
risk that you will receive only the Lower Coupon Amount on some or all Coupon Payment Dates 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, and therefore, it is more likely that you will receive only the Lower Coupon Amount on the related Coupon Payment Dates. 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 on an Observation Date. |
It is impossible to predict what the correlation
among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
Although the correlation of the Underliers’
performance may change over the term of the Notes, the Higher Coupon Amount 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 larger Higher Coupon Amount
is generally associated with lower correlation of the Underliers, which reflects a greater potential for receiving only the Lower Coupon
Amount on some or all Coupon Payment Dates.
| · | You Are Exposed to the Market Risk of Each Underlier—Your
return on the Notes is not linked to a basket consisting of the Underliers. Rather, it will be contingent upon the independent performance
of each Underlier. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and diversified
among all the components of the basket, you will be exposed to the risks related to each Underlier. Poor performance by any Underlier
over the term of the Notes may negatively affect your return and will not be offset or mitigated by any increases or lesser declines
in the values of the other Underliers. To receive the Higher Coupon Amount on a Coupon Payment Date, the Closing Value of each Underlier
must be greater than or equal to its Coupon Barrier Value on the applicable Observation Date. 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 Coupons could be as short as approximately one year.
The payment upon an automatic redemption, together with any Coupons that you may have received on prior 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. |
| · | 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 Higher Coupon Amount
is determined based on a number of factors, including the expected volatility of the Underliers.
The Higher Coupon Amount 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 the Closing Value of that Underlier on one or more Observation Dates will be less than its Coupon Barrier Value. |
Accordingly, you should understand that
a larger Higher Coupon Amount reflects, among other things, an indication of a greater likelihood that you will receive only the Lower
Coupon Amount with respect to one or more Observation Dates. 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 receive only the Lower Coupon Amount with respect to one or more Observation Dates 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—As discussed further below under
“Tax Considerations” and in the accompanying prospectus supplement, if you are a U.S. individual or taxable entity, under
our intended treatment of the Notes, you will be required to accrue interest on a current basis in respect of the Notes over their term
based on the comparable yield for the Notes and pay tax accordingly. This comparable yield is determined solely to calculate the amount
on which you will be taxed prior to maturity and is neither a prediction nor a guarantee of what the actual yield will be. |
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.
| · | 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 rates 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.
The Walt Disney Company
According to publicly available information, The Walt Disney Company
is an entertainment company with operations in three segments: Entertainment, which encompasses non-sports focused global film, television
and direct-to-consumer (DTC) video streaming content production and distribution activities; Sports, which encompasses sports-focused
global television and DTC video streaming content production and distribution; and Experiences, which includes parks and experiences and
consumer 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 October 8, 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 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 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
NVIDIA Corporation
According to publicly available information, NVIDIA Corporation is
a full-stack computing infrastructure company with data-center-scale offerings whose full-stack includes the CUDA programming model that
runs on all of its graphics processing units (GPUs), as well as domain-specific software libraries, software development kits and Application
Programming Interfaces and whose data-center-scale offerings include compute and networking solutions that can scale to tens of thousands
of GPU-accelerated servers interconnected to function as a single computer. Information filed by NVIDIA Corporation with the SEC under
the Exchange Act can be located by reference to its SEC file number: 000-23985. The common stock of NVIDIA Corporation is listed on The
Nasdaq Stock Market under the ticker symbol “NVDA.”
Historical Performance of the NVDA Underlier
The graph below sets forth the historical performance of the NVDA Underlier
based on the daily Closing Values from January 2, 2019 through October 8, 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 NVDA Underlier
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tesla, Inc.
According to publicly available information, Tesla, Inc. designs, develops,
manufactures, sells and leases electric vehicles and energy generation and storage systems and offers services related to its products.
Information filed by Tesla, Inc. with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-34756. The
common stock of Tesla, Inc. is listed on The Nasdaq Stock Market under the ticker symbol “TSLA.”
Historical Performance of the TSLA Underlier
The graph below sets forth the historical performance of the TSLA Underlier
based on the daily Closing Values from January 2, 2019 through October 8, 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 TSLA 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
Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders.” The discussion below applies to you only if you are an initial purchaser of the Notes; if you are a secondary purchaser
of the Notes, the tax consequences to you may be different. In the opinion of our special tax counsel, Davis Polk & Wardwell LLP,
the Notes should be treated as debt instruments for U.S. federal income tax purposes. The remainder of this discussion assumes that this
treatment is correct. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is
inconsistent therewith.
Because the Notes will be offered to initial purchasers at varying
prices, it is expected that the "issue price" of the Notes for U.S. federal income tax purposes will be uncertain. We currently
intend to treat the issue price as $1,000 for each $1,000 principal amount Note, and the remainder of this discussion so assumes, unless
otherwise indicated. Our intended treatment will affect the amounts you will be required to include in income for U.S. federal income
tax purposes. You should consult your tax advisor regarding the uncertainty with respect to the Notes' issue price, including the tax
consequences to you if the actual issue price of the Notes for U.S. federal income tax purposes is not $1,000 per Note.
We intend to treat the Notes as “contingent payment debt instruments”
for U.S. federal income tax purposes, as described under “—Contingent Payment Debt Instruments” in the accompanying
prospectus supplement.
Assuming that our treatment of the Notes as contingent payment debt
instruments is correct, regardless of your method of accounting for U.S. federal income tax purposes, you generally will be required to
accrue taxable interest income in each year on a constant yield to maturity basis at the “comparable yield,” as determined
by us, with certain adjustments in each year to reflect the difference, if any, between the actual and the projected amounts of the interest
payments on the Notes in that year according to the “projected payment schedule” determined by us (and the projected amounts
of the periodic payments will not be separately includible in your income). Although it is not entirely clear how the comparable yield
should be determined when a debt instrument may be called prior to maturity, we will determine the comparable yield based upon the term
to maturity of the Notes assuming no automatic call occurs. For U.S. federal income tax purposes, you are required to use our determination
of the comparable yield and projected payment schedule in determining interest accruals and adjustments in respect of your Notes, unless
you timely disclose and explain the use of other estimates to the Internal Revenue Service (the “IRS”). Any income recognized
upon a sale or exchange of a Note (including redemption upon automatic call or at maturity), will be treated as interest income for U.S.
federal income tax purposes. You generally will recognize taxable income or loss equal to the difference between the amount received from
the sale or exchange and your adjusted tax basis in the Notes. You generally must treat any income as interest income and any loss as
ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject
to limitations. Special rules may apply if the remaining Coupons are treated as becoming fixed prior to maturity. You should consult your
tax advisor concerning the application of these rules.
The discussions herein and in the accompanying prospectus supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
After the original issue date, you may obtain the comparable yield
and the projected payment schedule by requesting them from Barclays Cross Asset Sales Americas, at (212) 528-7198. Neither the comparable
yield nor the projected payment schedule constitutes a representation by us regarding the actual amounts or timing of payments that we
will make on the Notes.
If you purchase Notes at their original issuance for an amount that
is different from their issue price, you will be required to account for this difference, generally by allocating it reasonably among
projected payments on the Notes and treating these allocations as adjustments to your income when the payment is made. You should consult
your tax advisor regarding the treatment of the difference between your basis in your Notes and their issue price.
You should consult your tax advisor regarding the U.S. federal tax
consequences of an investment in the Notes, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing
jurisdiction.
Non-U.S. holders. We do not believe that non-U.S. holders should
be required to provide a Form W-8 in order to avoid 30% U.S. withholding tax with respect to interest payments on the Notes, although
the IRS could challenge this position. 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, 2025 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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