The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus supplement and underlying
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 March 7, 2024
Pricing Supplement dated March , 2024
(To the Prospectus dated May 23, 2022, the Prospectus Supplement
dated
June 27, 2022 and the Underlying Supplement dated June 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
|
$●
Digital
Bearish Knock-In Notes due March 30, 2026
Linked
to the S&P 500® Index
Global
Medium-Term Notes, Series A |
Unlike ordinary debt securities, the Notes do not pay interest. Instead,
as described below, if a Knock-In Event has occurred, the Notes offer a fixed return at maturity. A Knock-In Event occurs if, on any
scheduled trading day during the Monitoring Period, the Closing Value of the Underlier is less than the Knock-In Value. Investors should
be willing to forgo dividend payments and, if a Knock-In Event has not occurred, be willing to receive no more than their investment
at maturity.
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: |
March 25, 2024 |
Final Valuation Date:† |
March 25, 2026 |
Issue Date: |
March 28, 2024 |
Maturity Date:† |
March 30, 2026 |
Reference Asset:* |
The S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”) (the “Underlier”) |
Payment at Maturity: |
You will receive on the Maturity Date a cash payment per $1,000
principal amount Note determined as follows:
§ If
a Knock-In Event has occurred, you will receive a payment per $1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Digital
Percentage)
§ If
a Knock-In Event has not occurred, you will receive a payment of $1,000 per $1,000 principal amount Note.
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-3 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-3 of this pricing supplement. |
Digital Percentage: |
15.25%. Accordingly, if a Knock-In Event has occurred, you will receive the Digital Return of 15.25%, which entitles you to the fixed payment at maturity of $1,152.50 per $1,000 principal amount Note. |
Knock-In Event: |
A Knock-In Event occurs if, on any scheduled trading day during the Monitoring Period, the Closing Value of the Underlier is less than the Knock-In Value. Notwithstanding the foregoing, if a market disruption event occurs on any scheduled trading day (other than the Final Valuation Date), the Closing Level of the Underlying on that day will be disregarded for purposes of determining whether a Knock-In Event has occurred. |
Monitoring Period: |
The period from but excluding the Initial Valuation Date to and including the Final Valuation Date |
Knock-In Value: |
, which is 85.00% of the Initial Underlier Value (rounded to two decimal places) |
Initial Underlier Value: |
, the Closing Value of the Underlier on the Initial Valuation Date |
Closing Value:* |
Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
Calculation Agent: |
Barclays Bank PLC |
CUSIP / ISIN: |
06745Q6Y0 / US06745Q6Y05 |
| * | If the Underlier is discontinued or if the sponsor of the Underlier fails to publish the Underlier, the Calculation Agent may select
a successor index or, if no successor index is available, will calculate the value to be used as the Closing Value of the Underlier. In
addition, the Calculation Agent will calculate the value to be used as the Closing Value of the Underlier in the event of certain changes
in or modifications to the Underlier. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities
with an Index as a Reference Asset” in the accompanying prospectus supplement. |
| † | The Final Valuation Date may be postponed if the Final Valuation Date is not a scheduled trading day or if a market disruption event
occurs on the Final Valuation Date as described under “Reference Assets—Indices—Market Disruption Events for Securities
with an Index of Equity Securities as a Reference Asset” in the accompanying prospectus supplement. In addition, the Maturity Date
will be postponed if that day is not a business day or if the Final Valuation Date is postponed as described under “Terms of the
Notes—Payment Dates” in the accompanying prospectus supplement. |
|
Initial
Issue Price(1)(2) |
Price
to Public |
Agent’s
Commission(3) |
Proceeds
to Barclays Bank PLC |
Per Note |
$1,000 |
100% |
3.00% |
97.00% |
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 $970.00
and $1,000 per 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 $952.10 per 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-4 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of up to $30.00 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-7 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.
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, and the underlying supplement dated June 27, 2022. 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):
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-7 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 periodic interest or coupon payments or other sources of current income. |
| · | You are willing and able to accept that, if a Knock-In Event does not occur, you will receive only the principal amount of your Notes
at maturity. |
| · | You are willing and able to accept that, if a Knock-In Event does occur, you will receive a return equal to the Digital Percentage
of 15.25%, regardless of any depreciation of the Underlier, which may be significant. |
| · | You anticipate that the Closing Value of the Underlier will fall below the Knock-In Value on at least one scheduled trading day during
the Monitoring Period. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underlier. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Underlier, nor will you have any voting rights with respect to the securities composing the Underlier. |
| · | 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. |
| · | 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 periodic interest or coupon payments or other sources of current income. |
| · | You are unwilling or unable to accept that, if a Knock-In Event does not occur, you will receive only the principal amount of your
Notes at maturity. |
| · | You are unwilling and unable to accept that, if a Knock-In Event does occur, you will receive a return equal to the Digital Percentage
of 15.25%, regardless of any depreciation of the Underlier, which may be significant. |
| · | You do not anticipate that the Closing Value of the Underlier will fall below the Knock-In Value on at least one scheduled trading
day during the Monitoring Period. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Underlier. |
| · | 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. |
| · | 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, the prospectus supplement and the underlying 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 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: 100.00* |
| § | Hypothetical Knock-In Value: 85.00 (85.00% of the hypothetical Initial Underlier Value set forth above)* |
| * | The hypothetical Initial Underlier Value of 100.00
and the hypothetical Knock-In Value of 85.00 have been chosen for illustrative purposes
only and do not represent a likely actual Initial Underlier Value or Knock-In Value. The actual Initial Underlier Value will be equal
to the Closing Value of the Underlier on the Initial Valuation Date, and the actual Knock-In Value will be equal to 85.00% of the Initial
Underlier Value. |
For information regarding recent values of the Underlier, please see
“Information Regarding the Underlier” in this pricing supplement.
Lowest Closing Value of the Underlier During the Monitoring Period |
Payment at Maturity per $1,000 Principal Amount Note |
Total Return on Notes |
100.00 |
$1,000.00 |
0.00% |
97.50 |
$1,000.00 |
0.00% |
95.00 |
$1,000.00 |
0.00% |
90.00 |
$1,000.00 |
0.00% |
85.00 |
$1,000.00 |
0.00% |
84.99 |
$1,152.50 |
15.25% |
80.00 |
$1,152.50 |
15.25% |
70.00 |
$1,152.50 |
15.25% |
60.00 |
$1,152.50 |
15.25% |
50.00 |
$1,152.50 |
15.25% |
40.00 |
$1,152.50 |
15.25% |
30.00 |
$1,152.50 |
15.25% |
20.00 |
$1,152.50 |
15.25% |
10.00 |
$1,152.50 |
15.25% |
0.00 |
$1,152.50 |
15.25% |
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The lowest Closing Value of the Underlier on any scheduled
trading day during the Monitoring Period is 100.00.
Because the lowest Closing Value of the Underlier on any scheduled
trading day during the Monitoring Period is greater than or equal to the Knock-In Value, a Knock-In Event has not occurred.
Because a Knock-In Event has not occurred, you will receive a payment
at maturity of $1,000.00 per $1,000 principal amount Note that you hold.
Example 2: The lowest Closing Value of the Underlier on any scheduled
trading day during the Monitoring Period is 90.00.
Because the lowest Closing Value of the Underlier on any scheduled
trading day during the Monitoring Period is greater than or equal to the Knock-In Value, a Knock-In Event has not occurred.
Because a Knock-In Event has not occurred, you will receive a payment
at maturity of $1,000.00 per $1,000 principal amount Note that you hold.
Example 3: The lowest Closing Value of the Underlier on any
scheduled trading day during the Monitoring Period is 50.00.
Because the lowest Closing Value of the Underlier on any scheduled
trading day during the Monitoring Period is less than the Knock-In Value, a Knock-In Event has occurred.
Because a Knock-In Event has occurred, you will receive a payment at
maturity of $1,152.50 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Digital Percentage)
$1,000 + ($1,000 × 15.25%) = $1,152.50
Example 3 demonstrates that you will not participate in any depreciation
of the Underlier.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underlier or its components. 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 No More Than the Principal Amount of Your Notes—If the lowest Closing Value on any scheduled trading
day during the Monitoring Period is greater than or equal to the Knock-In Value, a Knock-In Event will not have occurred, and you will
receive only the principal amount of your Notes at maturity. Therefore, you may not receive a return on the Notes. |
| · | Your Potential Return on the Notes Is Limited to the Digital Percentage—If a Knock-In Event occurs, for each $1,000 principal
amount Note, you will receive at maturity $1,000 plus a predetermined percentage of the principal amount. We refer to this percentage
as the Digital Percentage, which is equal to 15.25%. If a Knock-In Event occurs, you will receive the maximum payment at maturity of $1,152.50
per $1,000 principal amount Note regardless of any depreciation of the Underlier, which may be significant. |
| · | No Interest Payments—As a holder of the Notes, you will not receive interest payments. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the Dates Specified—Any payment
on the Notes will be determined based on the Closing Values of the Underlier on the dates
specified. You will not benefit from any more favorable value of the Underlier determined at any other time. |
| · | Repayment of the Principal Amount Applies Only at Maturity—You should be willing to hold your Notes to maturity. 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 regardless of whether a Knock-In Event has occurred. 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. |
| · | Owning the Notes Is Not the Same as Owning (or Holding a Short Position in) the Securities Composing the Underlier—The
return on the Notes may not reflect the return you would realize if you actually owned (or held a short position in) the securities composing
the Underlier. 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 securities composing the Underlier 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, even though
you will not receive any payments from us until maturity. 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 Underlier
| · | The Underlier Reflects the Price Return of the Securities Composing the Underlier,
Not the Total Return—The return on the Notes is based on the performance of the Underlier, which reflects changes in the market
prices of the securities composing the Underlier. The Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing the Underlier. Accordingly, the return on the Notes
will not include such a total return feature. |
| · | Adjustments to the Underlier Could Adversely Affect the Value of the Notes—The sponsor of the Underlier may add, delete,
substitute or adjust the securities composing the Underlier or make other methodological changes to the Underlier that could affect its
performance. The Calculation Agent will calculate the value to be used as the Closing Value of the Underlier in the event of certain material
changes in or modifications to the Underlier. In addition, the sponsor of the Underlier may also discontinue or suspend calculation or
publication of the Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the Underlier or, if no successor index is available, the Calculation Agent will determine the value
to be used as the Closing Value of the Underlier. Any of these actions could adversely affect the value of the Underlier and, consequently,
the value of the Notes. See “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference
Asset” in the accompanying prospectus supplement. |
| · | Historical Performance of the Underlier Should Not Be Taken as Any Indication of the Future Performance of the Underlier Over the
Term of the Notes—The value of the Underlier has fluctuated in the past and may, in the future, experience significant fluctuations.
The historical performance of the Underlier is not an indication of the future performance of the Underlier over the term of the Notes.
Therefore, the performance of the Underlier over the term of the Notes may bear no relation or resemblance to the historical performance
of the 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 Underlier or its components. 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 Underlier and
make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required to
make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of the Underlier
is to be determined; if the Underlier is discontinued or if the sponsor of the Underlier fails to publish the Underlier, selecting a successor
index or, if no successor index is available, determining any value necessary to calculate any payments on the Notes; and calculating
the value of the Underlier on any date of determination in the event of certain changes in or modifications to the Underlier. 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 values and expected volatility of the Underlier and the components of the Underlier; |
| o | the time to maturity of the Notes; |
| o | whether a Knock-In Event has occurred; |
| o | dividend rates on the components of the Underlier; |
| 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 UNDERLIER
The Underlier consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the Underlier, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Performance of the Underlier
The graph below sets forth the historical performance of the Underlier
based on the daily Closing Values from January 2, 2019 through March 1, 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.
Historical Performance of the S&P 500®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tax Considerations
There is uncertainty regarding the U.S. federal income tax consequences
of an investment in the Notes due to the lack of governing authority. 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.
Based on current market conditions, 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. 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 Notes, 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.
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, even though we will not be required to make any payment with respect to the Notes prior to maturity. Upon a sale or exchange (including
redemption at maturity), 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 amount payable at maturity is treated as becoming fixed prior to maturity. You should consult
your tax advisor concerning the application of these rules.
Notwithstanding the foregoing, if a Knock-In Event occurs prior to
the issue date, the notes will not be treated as “contingent payment debt instruments” for U.S. federal income tax purposes.
In this event, the Notes should be treated as debt instruments issued with original issue discount (“OID”) in an amount equal
to the excess of the fixed payment at maturity over the “issue price” of each Note. You will be required to include OID in
income for U.S. federal income tax purposes as it accrues, in accordance with a constant-yield method based on a compounding of interest,
regardless of your method of accounting. Gain or loss realized on the sale, exchange or maturity of a Note generally will be capital gain
or loss and will be long-term capital gain or loss if you have held the Note for more than one year.
Because our intended treatment of the Notes as CPDIs is based on current
market conditions, we may determine an alternative treatment is more appropriate based on circumstances at the time of pricing. Our ultimate
determination will be binding on you, unless you properly disclose to the Internal Revenue Service (the “IRS”) an alternative
treatment. Also, the IRS may challenge the treatment of the Notes as CPDIs. If we determine not to treat the Notes as CPDIs, or if the
IRS successfully challenges the treatment of the Notes as CPDIs, then the Notes should be treated as debt instruments that are not CPDIs
and, unless treated as issued with less than a specified de minimis amount of original issue discount, could (depending on the
facts at the time of pricing) require the accrual of original issue discount as ordinary interest income based on a yield to maturity
different from (and possibly higher than) the comparable yield. Accordingly, under this treatment, your annual taxable income from (and
adjusted tax basis in) the Notes could be higher or lower than if the Notes were treated as CPDIs, and any loss recognized upon a disposition
of the Notes (including upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly, this
alternative treatment could result in adverse tax consequences to you.
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 amount that we will pay 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 by making adjustments to your income when the
payment at maturity 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 the excess (if any) of the payment at maturity
over the face amount of 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.” In light of the fact that the
Notes have a bearish exposure to equities, payment on the Notes to Non-U.S. Holders will not be subject to Section 871(m).
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.
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