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 these Notes, and we are not soliciting an offer to buy these
Notes in any state where the offer or sale is not permitted.
Subject to Completion
Preliminary Pricing Supplement dated July 19, 2024
|
Preliminary Pricing Supplement
(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 |
 |
$[●]
Phoenix AutoCallable Notes due July 22,
2027
Linked to the Least Performing of the
Nasdaq-100 Index® , the Russell 2000® Index and the Utilities Select Sector SPDR® Fund
Global Medium-Term Notes, Series A |
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: |
July 19, 2024 |
| Issue Date: |
July 24, 2024 |
| Final Valuation Date:* |
July 19, 2027 |
| Maturity Date:* |
July 22, 2027 |
| Reference Assets: |
The Nasdaq-100 Index® (the
“NDX Index”), the Russell 2000® Index (the “RTY Index”) and the Utilities Select Sector SPDR®
Fund (the “XLU Fund”), as set forth in the following table: |
| |
Reference Asset |
Bloomberg Ticker |
Initial Value |
Call Value |
Coupon Barrier Value |
Barrier Value |
|
| |
NDX Index |
NDX <Index> |
[●] |
[●] |
[●] |
[●] |
|
| |
RTY Index |
RTY <Index> |
[●] |
[●] |
[●] |
[●] |
|
| |
XLU Fund |
XLU UP <Equity> |
[●] |
[●] |
[●] |
[●] |
|
| |
The NDX Index and the RTY Index are each referred to herein as an “Index” and, collectively, as the “Indices”. The Indices and the XLU Fund are each referred to herein as a “Reference Asset” and, collectively, as the “Reference Assets.” |
| Payment at Maturity: |
If the Notes are not redeemed prior to scheduled
maturity, and if you hold the Notes to maturity, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note
that you hold (in each case, in addition to any Contingent Coupon that may be payable on such date) determined as follows:
§ If
the Final Value of the Least Performing Reference Asset is greater than or equal to its Barrier Value, you will receive a payment
of $1,000 per $1,000 principal amount Note.
§ If
the Final Value of the Least Performing Reference Asset is less than its Barrier Value, you will receive an amount per $1,000
principal amount Note calculated as follows:
$1,000 + [$1,000 × Reference
Asset Return of the Least Performing Reference Asset]
If the Notes are not redeemed prior
to scheduled maturity, and if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your Notes will
be fully exposed to the decline of the Least Performing Reference Asset from its Initial Value. You may lose up to 100.00% of the principal
amount of your Notes at maturity.
Any payment on the Notes, including
any repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and
(b) the risk of exercise of any U.K. Bail-in Power (as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution
authority. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power
(or any other resolution measure) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the
Notes. See “Consent to U.K. Bail-in Power” and “Selected Risk Considerations” in this pricing supplement and
“Risk Factors” in the accompanying prospectus supplement for more information. |
| 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 |
100.00% |
2.75% |
97.25% |
| 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 $972.50 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 $919.50 and $949.50 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–5 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of up to $27.50 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-14 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 |
|
| Automatic Call: |
The Notes cannot be redeemed for approximately the first six months after the Issue Date. If, on any Call Valuation Date, the Closing Value of each Reference Asset is greater than or equal to its Call Value, the Notes will be automatically redeemed for a cash payment per $1,000 principal amount Note equal to the Redemption Price payable on the Call Settlement Date. No further amounts will be payable on the Notes after the Call Settlement Date. |
| Contingent Coupon: |
$7.375 per $1,000 principal amount Note, which is 0.7375% of the principal
amount per Note (rounded to four decimal places, as applicable) (based on 8.85% per annum rate)
If the Closing Value of each Reference Asset on an Observation
Date is greater than or equal to its respective Coupon Barrier Value, you will receive a Contingent Coupon on the related Contingent
Coupon Payment Date. If the Closing Value of any Reference Asset on an Observation Date is less than its Coupon Barrier Value, you will
not receive a Contingent Coupon on the related Contingent Coupon Payment Date. |
| Observation Dates:* |
August 19, 2024, September 19, 2024, October 21, 2024, November 19, 2024, December 19, 2024, January 21, 2025, February 19, 2025, March 19, 2025, April 21, 2025, May 19, 2025, June 20, 2025, July 21, 2025, August 19, 2025, September 19, 2025, October 20, 2025, November 19, 2025, December 19, 2025, January 20, 2026, February 19, 2026, March 19, 2026, April 20, 2026, May 19, 2026, June 22, 2026, July 20, 2026, August 19, 2026, September 21, 2026, October 19, 2026, November 19, 2026, December 21, 2026, January 19, 2027, February 19, 2027, March 19, 2027, April 19, 2027, May 19, 2027, June 21, 2027 and the Final Valuation Date |
| Contingent Coupon Payment Dates:* |
August 26, 2024, September 26, 2024, October 28, 2024, November 26, 2024, December 27, 2024, January 28, 2025, February 26, 2025, March 26, 2025, April 28, 2025, May 27, 2025, June 27, 2025, July 28, 2025, August 26, 2025, September 26, 2025, October 27, 2025, November 26, 2025, December 29, 2025, January 27, 2026, February 26, 2026, March 26, 2026, April 27, 2026, May 27, 2026, June 29, 2026, July 27, 2026, August 26, 2026, September 28, 2026, October 26, 2026, November 27, 2026, December 29, 2026, January 26, 2027, February 26, 2027, March 26, 2027, April 26, 2027, May 26, 2027, June 28, 2027 and the Maturity Date |
| Call Valuation Dates:* |
January 21, 2025, February 19, 2025, March 19, 2025, April 21, 2025, May 19, 2025, June 20, 2025, July 21, 2025, August 19, 2025, September 19, 2025, October 20, 2025, November 19, 2025, December 19, 2025, January 20, 2026, February 19, 2026, March 19, 2026, April 20, 2026, May 19, 2026, June 22, 2026, July 20, 2026, August 19, 2026, September 21, 2026, October 19, 2026, November 19, 2026, December 21, 2026, January 19, 2027, February 19, 2027, March 19, 2027, April 19, 2027, May 19, 2027 and June 21, 2027. |
| Call Settlement Date:* |
The Contingent Coupon Payment Date following the Call Valuation Date on which an Automatic Call occurs. |
| Initial Value: |
With respect to each Reference Asset, the Closing Value on the Initial Valuation Date, as set forth in the table above |
| Call Value: |
With respect to each Reference Asset, 100.00% of its Initial Value, as set forth in the table above |
| Coupon Barrier Value: |
With respect to each Reference Asset, 75.00% of its Initial Value (rounded to two decimal places), as set forth in the table above |
| Barrier Value: |
With respect to each Reference Asset, 70.00% of its Initial Value (rounded to two decimal places), as set forth in the table above |
| Final Value: |
With respect to each Reference Asset, the Closing Value on the Final Valuation Date |
| Redemption Price: |
$1,000 per $1,000 principal amount Note that you hold, plus the Contingent Coupon that will otherwise be payable on the Call Settlement Date |
| Reference Asset Return: |
With respect to each Reference Asset, the performance of such Reference
Asset from its Initial Value to its Final Value, calculated as follows:
Final Value – Initial Value
Initial Value |
| Least Performing Reference Asset: |
The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth above |
| Closing Value: |
All references in this pricing supplement to the Closing Value of the NDX Index and the RTY Index mean the closing level of the NDX Index and the RTY Index, as further described under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement and all references in this pricing supplement to the Closing Value of the XLU Fund mean the closing price of one share of the XLU Fund, as further described under “Reference Assets—Exchange-Traded Funds—Special Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745UJH4 / US06745UJH41 |
| * | Subject to postponement, as described under “Additional Terms of the Notes” in this pricing 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 documents listed below, 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
| · | Underlying Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011304/dp169384_424b2-underl.htm
Our SEC file number is 1–10257. As used
in this pricing supplement, “we,” “us” or “our” refers 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 range of the estimated values of the Notes
referenced above may not correlate on a linear basis with the range of any other term of the Notes as may be set forth in this pricing
supplement. We determined the size of such range based on prevailing market conditions, as well as the anticipated duration of the marketing
period for 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 may 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 a result of several factors, including any sales commissions to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees (including any structuring or other distribution
related fees) 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.
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 which 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
which 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-14 of this pricing supplement.
You may revoke your offer to purchase the
Notes at any time prior to the Initial Valuation Date. We reserve the right to change the terms of, or reject any offer to purchase, the
Notes prior to the Initial Valuation Date. In the event of any changes to the terms of the Notes, we will notify you and you will be asked
to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer
to purchase.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
| · | You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent
sources of current income, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing
Value of any Reference Asset 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 Reference Asset, which
may be significant, and that your return potential on the Notes is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You can tolerate a loss of a significant portion or all of the principal amount of your Notes, and you
are willing and able to make an investment that may have the full downside market risk of an investment in the Least Performing Reference
Asset. |
| · | You do not anticipate that the Closing Value of any Reference Asset will fall below its Coupon Barrier
Value on any Observation Date or below its Barrier Value on the Final Valuation Date. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may
be paid to holders of any Reference Asset or any securities to which any Reference Asset provides exposure, nor will you have any voting
rights with respect to any Reference Asset or any securities to which any Reference Asset provides exposure. |
| · | You are willing and able to accept the individual market risk of each Reference Asset and understand that
any decline in the value of one Reference Asset will not be offset or mitigated by a lesser decline or any potential increase in the value
of any other Reference Asset. |
| · | You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value
of any Reference Asset is less than its Coupon Barrier Value on an Observation Date and (b) you will lose some or all of your principal
at maturity if the Final Value of any Reference Asset is less than its Barrier Value. |
| · | You understand and accept the risk that, if the Notes are not redeemed prior to scheduled maturity, the
payment at maturity, if any, will be based solely on the Reference Asset Return of the Least Performing Reference Asset. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the
performance of the Reference Assets. |
| · | You are willing and able to accept the risk that the Notes may be redeemed prior to scheduled maturity
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 prior to scheduled maturity that may be similar
to or exceed the downside fluctuations in the values of the Reference Assets. |
| · | 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 redeemed. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution
authority. |
The Notes may not be an appropriate investment
for you if any of the following statements are true:
| · | You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent
sources of current income, and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the
Closing Value of any Reference Asset 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 Reference Assets
rather than an investment with a return that is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling
or unable to accept the risk that you may lose some or all of the principal amount of the Notes in the event that the Final Value of the
Least Performing Reference Asset falls below its Barrier Value. |
| · | You anticipate that the Closing Value of at least one Reference Asset will decline during the term of
the Notes such that the Closing Value of at least one Reference Asset will fall below its Coupon Barrier Value on one or more Observation
Dates and/or the Final Value of at least one Reference Asset will fall below its Barrier Value. |
| · | You are unwilling or unable to accept the individual market risk of each Reference Asset and/or do not
understand that any decline in the value of one Reference Asset will not be offset or mitigated by a lesser decline or any potential increase
in the value of any other Reference Asset. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment
linked to the performance of the Reference Assets. |
| · | You are unwilling or unable to accept the risk that the negative performance of only one Reference Asset
may cause you to not receive Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of any other
Reference Asset. |
| · | You are unwilling or unable to accept the risk that the Notes may be redeemed prior to scheduled maturity. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to
any Reference Asset or any securities to which any Reference Asset provides exposure. |
| · | You cannot tolerate fluctuations in the price of the Notes prior to scheduled maturity that may be similar
to or exceed the downside fluctuations in the values of the Reference Assets. |
| · | 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 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 and the documents referenced under “Additional Documents Related to the Offering of the Notes” in this
pricing supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the appropriateness of the Notes for investment.
ADDITIONAL TERMS OF THE NOTES
The Observation Dates (including the Final Valuation
Date), the Contingent Coupon Payment Dates, any Call Settlement Date and the Maturity Date are subject to postponement in certain circumstances,
as described under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities
as a Reference Asset,” “Reference Assets—Exchange-Traded Funds—Market Disruption Events for Securities with an
Exchange-Traded Fund that Holds Equity Securities as a Reference Asset,” “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” and “Terms
of the Notes—Payment Dates” in the accompanying prospectus supplement.
In addition, the Reference Assets and the Notes
are subject to adjustment by the Calculation Agent under certain circumstances, as described under “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” and “Reference Assets—Exchange-Traded Funds—Adjustments
Relating to Securities with an Exchange-Traded Fund as a Reference Asset” in the accompanying prospectus supplement.
HYPOTHETICAL EXAMPLES OF
AMOUNTS PAYABLE ON A SINGLE CONTINGENT COUPON PAYMENT DATE
The following examples demonstrate the circumstances
under which you may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. The numbers appearing in these tables
are purely hypothetical and are provided for illustrative purposes only. These examples do not take into account any tax consequences
from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Value of each Reference Asset: 100.00* |
| § | Hypothetical Coupon Barrier Value for each Reference Asset: 75.00 (75.00% of the hypothetical Initial Value set forth above)* |
| § | Hypothetical Call Value for each Reference Asset: 100.00 (100.00% of the hypothetical Initial Value set forth above)* |
* The
hypothetical Initial Value of 100.00, the hypothetical Coupon Barrier Value of 75.00 and the hypothetical
Call Value of 100.00 for each Reference Asset have been chosen for illustrative purposes only and do not represent a likely Initial Value,
Coupon Barrier Value or Call Value for any Reference Asset. The actual Initial Value for each Reference Asset will be equal to its Closing
Value on the Initial Valuation Date and the actual Coupon Barrier Value and Call Value for each Reference Asset will be equal to 75.00%
and 100.00%, respectively, of its Initial Value.
Example 1: The Closing Value of each Reference
Asset is greater than its Coupon Barrier Value on the relevant Observation Date.
| Reference Asset |
Closing Value on Relevant Observation Date |
| NDX Index |
99.00 |
| RTY Index |
80.00 |
| XLU Fund |
$85.00 |
Because the Closing Value of each Reference Asset
is greater than its respective Coupon Barrier Value, you will receive a Contingent Coupon of $7.375 (0.7375% of the principal amount per
Note) on the related Contingent Coupon Payment Date.
Example 2: The Closing Value of one Reference
Asset is greater than its Coupon Barrier Value on the relevant Observation Date and the Closing Value of at least one Reference Asset
is less than its Coupon Barrier Value on the relevant Observation Date.
| Reference Asset |
Closing Value on Relevant Observation Date |
| NDX Index |
85.00 |
| RTY Index |
74.00 |
| XLU Fund |
$55.00 |
Because the Closing Value of at least one Reference
Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 3: The Closing Value of each Reference
Asset is less than its Coupon Barrier Value on the relevant Observation Date.
| Reference Asset |
Closing Value on Relevant Observation Date |
| NDX Index |
73.00 |
| RTY Index |
55.00 |
| XLU Fund |
$50.00 |
Because the Closing Value of at least one Reference
Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate that you may not
receive a Contingent Coupon on a Contingent Coupon Payment Date. If the Closing Value of any Reference Asset is below its Coupon Barrier
Value on each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.
In each of the examples above, because the
Closing Value of at least one Reference Asset is below its Call Value on the relevant Call Valuation Date, the Notes will not be redeemed
on such date. The Notes will be redeemed only if the Closing Value of each Reference Asset on any Call Valuation Date is greater than
or equal to its respective Call Value.
HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE UPON
AUTOMATIC CALL
The following examples demonstrate the hypothetical
total return upon an Automatic Call under various circumstances. The “total return” as used in these examples is the number,
expressed as a percentage, that results from comparing the aggregate payments per $1,000 principal amount Note to $1,000. The hypothetical
total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of
the Notes. The numbers appearing in the following tables and examples have been rounded for ease of analysis. The hypothetical examples
below do not take into account any tax consequences from investing in the Notes and make the following key assumption:
| § | For each Observation Date that is not also a Call Valuation Date, the Closing Value of at least one Reference Asset is less than its
Coupon Barrier Value. Accordingly, you will NOT receive Contingent Coupons on those Observation Dates, unless indicated otherwise
below. |
Example 1: The Notes are redeemed on the
first Call Valuation Date.
| Call Valuation Date |
Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value? |
Is the Closing Value of any Reference Asset Less Than its Call Value? |
Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note) |
| 1 |
No |
No |
$1,007.375 |
Because the Closing Value of each Reference Asset
on the first Call Valuation Date is greater than or equal to its Call Value, the Notes are redeemed and you will receive the Redemption
Price on the related Call Settlement Date.
The Notes will cease to be outstanding after the
Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the Notes is
0.7375%.
Example 2: The Notes are redeemed on the
third Call Valuation Date.
| Call Valuation Date |
Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value? |
Is the Closing Value of any Reference Asset Less Than its Call Value? |
Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note) |
| 1 |
No |
Yes |
$7.375 |
| 2 |
Yes |
Yes |
$0.00 |
| 3 |
No |
No |
$1,007.375 |
Because the Closing Value of each Reference Asset
on the third Call Valuation Date is greater than or equal to its Call Value, the Notes are redeemed and you will receive the Redemption
Price on the related Call Settlement Date.
The Notes will cease to be outstanding after the
Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the Notes is
1.475%.
Example 3: The Notes are redeemed on the
final Call Valuation Date.
| Call Valuation Date |
Is the Closing Value of any Reference Asset Less Than its Coupon Barrier Value? |
Is the Closing Value of any Reference Asset Less Than its Call Value? |
Payment on Contingent Coupon Payment Date (per $1,000 principal amount Note) |
| 1 |
Yes |
Yes |
$0.00 |
| 2 - 29 |
With respect to each Call Valuation Date, Yes |
With respect to each Call Valuation Date, Yes |
$0.00 |
| 30 |
No |
No |
$1,007.375 |
Because the Closing Value of each Reference Asset
on the final Call Valuation Date is greater than or equal to its Call Value, the Notes are redeemed and you will receive the Redemption
Price on the related Call Settlement Date. Example 3 demonstrates that the Closing Value of at least one Reference Asset is less than
its Coupon Barrier Value on each Observation Date prior to the final Call Valuation Date. Accordingly, no Contingent Coupons are payable
on the Notes until the final Call Valuation Date.
The Notes will cease to be outstanding after the
Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the Notes is
0.7375%.
Each of the examples above demonstrate that the
return on the Notes upon an Automatic Call will be limited to the Contingent Coupons, if any, that may be payable on the Notes up to and
including the applicable Call Settlement Date.
Each of the examples also demonstrate that a Contingent
Coupon will be payable on a Contingent Coupon Payment Date only if the Closing Value of each Reference Asset is greater than or equal
to its respective Coupon Barrier Value on an Observation Date. If the Closing Value of any Reference Asset on an Observation Date is less
than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing
Value of any Reference Asset is less than its Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons
during the term of the Notes.
HYPOTHETICAL EXAMPLES OF AMOUNTS PAYABLE 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 Value of each Reference Asset: 100.00* |
| § | Hypothetical Coupon Barrier Value for each Reference Asset: 75.00 (75.00% of the hypothetical Initial Value set forth above)* |
| § | Hypothetical Barrier Value for each Reference Asset: 70.00 (70.00% of the hypothetical Initial Value set forth above)* |
| § | You hold the Notes to maturity, and the Notes are NOT redeemed prior to scheduled maturity. |
* The hypothetical Initial Value
of 100.00, the hypothetical Coupon Barrier Value of 75.00 and the hypothetical Barrier Value of 70.00 for
each Reference Asset have been chosen for illustrative purposes only and do not represent a likely Initial Value, Coupon Barrier Value
or Barrier Value for any Reference Asset. The actual Initial Value for each Reference Asset will be equal to its Closing Value on the
Initial Valuation Date, and the actual Coupon Barrier Value and Barrier Value for each Reference Asset will be equal to 75.00% and 70.00%,
respectively, of its Initial Value.
For information regarding recent values of the Reference Assets, please
see “Information Regarding the Reference Assets” in this pricing supplement.
| Final Value |
|
Reference Asset Return |
|
|
|
NDX Index
(Reference Asset A)
|
RTY Index
(Reference Asset B)
|
XLU Fund
(Reference Asset C)
|
|
NDX Index
(Reference Asset A)
|
RTY Index
(Reference Asset B)
|
XLU Fund
(Reference Asset C)
|
|
Reference Asset Return of the Least Performing Reference Asset |
Payment at Maturity** |
| 140.00 |
145.00 |
$150.00 |
|
40.00% |
45.00% |
50.00% |
|
40.00% |
$1,000.00 |
| 135.00 |
130.00 |
$140.00 |
|
35.00% |
30.00% |
40.00% |
|
30.00% |
$1,000.00 |
| 120.00 |
125.00 |
$122.00 |
|
20.00% |
25.00% |
22.00% |
|
20.00% |
$1,000.00 |
| 112.00 |
110.00 |
$115.00 |
|
12.00% |
10.00% |
15.00% |
|
10.00% |
$1,000.00 |
| 100.00 |
105.00 |
$120.00 |
|
0.00% |
5.00% |
20.00% |
|
0.00% |
$1,000.00 |
| 140.00 |
90.00 |
$105.00 |
|
40.00% |
-10.00% |
5.00% |
|
-10.00% |
$1,000.00 |
| 80.00 |
102.00 |
$105.00 |
|
-20.00% |
2.00% |
5.00% |
|
-20.00% |
$1,000.00 |
| 80.00 |
75.00 |
$70.00 |
|
-20.00% |
-25.00% |
-30.00% |
|
-30.00% |
$1,000.00 |
| 60.00 |
120.00 |
$100.00 |
|
-40.00% |
20.00% |
0.00% |
|
-40.00% |
$600.00 |
| 135.00 |
50.00 |
$110.00 |
|
35.00% |
-50.00% |
10.00% |
|
-50.00% |
$500.00 |
| 150.00 |
40.00 |
$100.00 |
|
50.00% |
-60.00% |
0.00% |
|
-60.00% |
$400.00 |
| 40.00 |
30.00 |
$90.00 |
|
-60.00% |
-70.00% |
-10.00% |
|
-70.00% |
$300.00 |
| 20.00 |
55.00 |
$50.00 |
|
-80.00% |
-45.00% |
-50.00% |
|
-80.00% |
$200.00 |
| 50.00 |
10.00 |
$55.00 |
|
-50.00% |
-90.00% |
-45.00% |
|
-90.00% |
$100.00 |
| 0.00 |
105.00 |
$80.00 |
|
-100.00% |
5.00% |
-20.00% |
|
-100.00% |
$0.00 |
** per $1,000 principal amount Note, excluding the final Contingent
Coupon that may be payable on the Maturity Date.
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The Final Value of Reference Asset
A is 135.00, the Final Value of Reference Asset B is 130.00 and the Final Value of Reference Asset C is $140.00.
Because Reference Asset B has the lowest Reference
Asset Return, Reference Asset B is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset
is greater than or equal to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that
you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).
Example 2: The Final Value of Reference Asset
A is 140.00, the Final Value of Reference Asset B is 90.00 and the Final Value of Reference Asset C is $105.00.
Because Reference Asset B has the lowest Reference
Asset Return, Reference Asset B is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset
is greater than or equal to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that
you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).
Example 3: The Final Value of Reference Asset
A is 80.00, the Final Value of Reference Asset B is 75.00 and the Final Value of Reference Asset C is $70.00.
Because Reference Asset C has the lowest Reference
Asset Return, Reference Asset C is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset
is greater than or equal to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that
you hold. Because, however, the Final Value of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive
a Contingent Coupon on the Maturity Date.
Example 4: The Final Value of Reference Asset
A is 60.00, the Final Value of Reference Asset B is 120.00 and the Final Value of Reference Asset C is $100.00.
Because Reference Asset A has the lowest Reference
Asset Return, Reference Asset A is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference Asset
is less than its Barrier Value, you will receive a payment at maturity of $600.00 per $1,000 principal amount Note that you hold, calculated
as follows:
$1,000 + [$1,000 × Reference Asset Return
of the Least Performing Reference Asset]
$1,000 + [$1,000 × -40.00%] = $600.00
In addition, because the Final Value of at least
one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 4 demonstrates that if the Notes are not
redeemed prior to scheduled maturity, and if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your
investment in the Notes will be fully exposed to the decline of the Least Performing Reference Asset from its Initial Value. You will
not benefit in any way from the Reference Asset Return of any other Reference Asset being higher than the Reference Asset Return of the
Least Performing Reference Asset.
If the Notes are not redeemed prior to scheduled
maturity, you may lose up to 100.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of principal,
is subject to the credit risk of Barclays Bank PLC.
Selected Risk Considerations
An investment in the Notes involves significant
risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets or their components, if any. Some of the
risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating
to the Notes generally in the “Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless
you understand and can bear the risks of investing in the Notes.
Risks Relating to the Notes Generally
| · | Your Investment in the Notes May Result in a Significant Loss — The Notes differ from ordinary
debt securities in that the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Notes are not
redeemed prior to scheduled maturity, and if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your
Notes will be fully exposed to the decline of the Least Performing Reference Asset from its Initial Value. You may lose up to 100.00%
of the principal amount of your Notes. |
| · | Potential Return is Limited to the Contingent Coupons, If Any, and You Will Not Participate in Any
Appreciation of Any Reference Asset — The potential positive return on the Notes is limited to the Contingent Coupons, if any,
that may be payable during the term of the Notes. You will not participate in any appreciation in the value of any Reference Asset, which
may be significant, even though you will be exposed to the depreciation in the value of the Least Performing Reference Asset if the Notes
are not redeemed and the Final Value of the Least Performing Reference Asset is less than its Barrier Value. |
| · | You May Not Receive Any Contingent Coupon Payments on the Notes — The Issuer will not necessarily
make periodic coupon payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the
Closing Value of each Reference Asset on the related Observation Date is greater than or equal to its respective Coupon Barrier Value.
If the Closing Value of any Reference Asset on an Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent
Coupon on the related Contingent Coupon Payment Date. If the Closing Value of at least one Reference Asset is less than its respective
Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons during the term of the Notes. |
| · | Because the Notes Are Linked to the Least Performing Reference Asset, You Are Exposed to Greater Risks
of No Contingent Coupons and Sustaining a Significant Loss of Principal at Maturity Than If the Notes Were Linked to a Single Reference
Asset — The risk that you will not receive any Contingent Coupons and lose a significant portion or all of your principal amount
in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance
of a single Reference Asset. With multiple Reference Assets, it is more likely that the Closing Value of at least one Reference Asset
will be less than its Coupon Barrier Value on the specified Observation Dates or less than its Barrier Value on the Final Valuation Date,
and therefore, it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss of principal
at maturity. Further, the performance of the Reference Assets may not be correlated or may be negatively correlated. The lower the correlation
between multiple Reference Assets, the greater the potential for one of those Reference Assets to close below its Coupon Barrier Value
or Barrier Value on an Observation Date or the Final Valuation Date, respectively. |
It is impossible to predict what the
correlation among the Reference Assets will be over the term of the Notes. The Reference Assets represent different equity markets. These
different equity markets may not perform similarly over the term of the Notes.
Although the correlation of the Reference
Assets’ performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on the correlation
of the Reference Assets’ performance calculated using our internal models at the time when the terms of the Notes are finalized.
A higher Contingent Coupon is generally associated with lower correlation of the Reference Assets, which reflects a greater potential
for missed Contingent Coupons and for a loss of principal at maturity.
| · | You Are Exposed to the Market Risk of Each Reference Asset — Your return on the Notes is
not linked to a basket consisting of the Reference Assets. Rather, it will be contingent upon the independent performance of each Reference
Asset. 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 Reference Asset. Poor performance by any Reference Asset
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 value of any other Reference Asset. To receive a Contingent Coupon, the Closing Value of each Reference Asset must be greater than
or equal to its Coupon Barrier Value on the applicable Observation Date. In addition, if the Notes have not been redeemed prior to scheduled
maturity, and if the Final Value of any Reference Asset is less than its Barrier Value, you will be exposed to the full decline in the
Least Performing Reference Asset from its Initial Value. Accordingly, your investment is subject to the market risk of each Reference
Asset. |
| · | 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 amount of any coupon payments that may be payable under the
Notes is based on a number of factors, including the expected volatility of the Reference Assets. The amount of such coupon payments 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 have been had the expected volatility of the Reference Assets been lower. As volatility of a Reference
Asset increases, there will typically be a greater likelihood that (a) the Closing Value of that Reference Asset on one or more Observation
Dates will be less than its Coupon Barrier Value and (b) the Final Value of that Reference Asset will be less than its Barrier Value. |
Accordingly, you should understand that
a higher coupon payment amount reflects, among other things, an indication of a greater likelihood that you will (a) not receive coupon
payments with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case
had the amount of such coupon payments been lower. In addition, actual volatility over the term of the Notes may be significantly higher
than the expected volatility at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will
face an even greater risk that you will not receive coupon payments and/or that you will lose some or all of your principal at maturity
for the reasons described above.
| · | Early Redemption and Reinvestment Risk — While the original term of the Notes is as indicated
on the cover of this pricing supplement, the Notes may be redeemed prior to maturity, as described above, and the holding period over
which you may receive any coupon payments that may be payable under the Notes could be as short as approximately six months. |
The Redemption Price that you would
receive on a Call Settlement Date, together with any coupon payments that you may have received prior to the Call Settlement Date, may
be less than the aggregate amount of payments that you would have received had the Notes not been 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 redeemed prior to the Maturity Date. No additional payments will be due after the relevant Call Settlement Date.
The fact that the Notes may be redeemed prior to maturity 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 Reference Assets on
the Dates Specified— Any payment on the Notes will be determined based on the Closing Values of the Reference Assets on the
dates specified. You will not benefit from any more favorable values of the Reference Assets determined at any other time. |
| · | Contingent Repayment of Any Principal Amount Applies Only at Maturity or upon Any Redemption —
You should be willing to hold your Notes to maturity or any redemption. Although the Notes provide for the contingent repayment of the
principal amount of your Notes at maturity, provided that the Final Value of the Least Performing Reference Asset is greater than or equal
to its Barrier Value, or upon any 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 Reference Asset has increased
from its Initial Value. See “Many Economic and Market Factors Will Impact the Value of the Notes” below. |
| · | Owning the Notes is Not the Same as Owning Any Reference Asset or Any Securities to which Any Reference
Asset Provides Exposure — The return on the Notes may not reflect the return you would realize if you actually owned any Reference
Asset or any securities to which any Reference Asset provides exposure. As a holder of the Notes, you will not have voting rights or rights
to receive dividends or other distributions or any other rights that holders of any Reference Asset or any securities to which any Reference
Asset provides exposure may have. |
| · | Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You
should consult your tax advisor about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | Credit of Issuer — The Notes are unsecured and unsubordinated debt obligations of the Issuer,
Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes,
including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is
not guaranteed by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value
of the Notes, and in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under
the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant
U.K. Resolution Authority — Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the Trustee on behalf of the holders of
the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents
to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in
Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and
other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in
the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution
powers, could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities
Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority” in the accompanying prospectus supplement. |
Risks Relating to the Reference Assets
| · | Historical Performance of the Reference Assets Should Not Be Taken as Any Indication of the Future
Performance of the Reference Assets Over the Term of the Notes — The value of each Reference Asset has fluctuated in the past
and may, in the future, experience significant fluctuations. The historical performance of a Reference Asset is not an indication of the
future performance of that Reference Asset over the term of the Notes. The historical correlation among the Reference Assets is not an
indication of the future correlation among them over the term of the Notes. Therefore, the performance of the Reference Assets 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 Reference
Asset. |
| · | Each Index Reflects the Price Return of the Securities Composing that Index, Not the Total Return
— The return on the Notes is based on the performance of the Indices, which reflects changes in the market prices of the securities
composing that Index. The Indices are not "total return" indices that, in addition to reflecting those price returns, would
also reflect dividends paid on the securities composing that Index. Accordingly, the return on the Notes will not include such a total
return feature. |
| · | Adjustments to Any Index Could Adversely Affect the Value of the Notes — The sponsor of any
Index may add, delete, substitute or adjust the securities composing that Index or make other methodological changes to that Index that
could affect its value. The Calculation Agent will calculate the value to be used as the Closing Value of that Index in the event of certain
material changes in or modifications to that Index. In addition, the sponsor of any Index may also discontinue or suspend calculation
or publication of that Index at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to that Index or, if no successor index is available, the Calculation Agent will determine the value
to be used as the Closing Value of that Index. Any of these actions could adversely affect the value of any Index 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. |
| · | The Notes Are Subject to Risks Associated with Non-U.S. Securities Markets — Certain component
securities of the NDX Index are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to the value
of such non-U.S. equity securities, such as the Notes, involve risks associated with the securities markets in the home countries of the
issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets
and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally
non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules
different from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. |
| · | The Notes Are Subject to Risks Associated with Small Capitalization Stocks — The RTY Index
tracks companies that are considered small-capitalization companies. These companies often have greater stock price volatility, lower
trading volume and less liquidity than large-capitalization companies, and therefore securities linked to the RTY Index may be more volatile
than an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization
companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition,
small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number
of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage
and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse
product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products. |
| · | Certain Features of Exchange-Traded Funds Will Impact the Value of the Notes — The performance
of the XLU Fund will not fully replicate the performance of its Underlying Index (as defined below), and the XLU Fund may hold securities
not included in its Underlying Index. The value of the XLU Fund is subject to: |
| § | Management Risk. This is the risk that the investment strategy for the XLU Fund, the implementation
of which is subject to a number of constraints, may not produce the intended results. However, the XLU Fund is not actively managed and
the investment advisor of the XLU Fund will generally not attempt to take defensive positions in declining markets. |
| § | Derivatives Risk. The XLU Fund may invest in derivatives, including forward contracts, futures
contracts, options on futures contracts, options and swaps. A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset such as a security or an index. Compared to conventional securities, derivatives can be
more sensitive to changes in interest rates or to sudden fluctuations in market prices, and thus the XLU Fund’s losses, and, as
a consequence, the losses on your Notes, may be greater than if the XLU Fund invested only in conventional securities. |
| § | Transaction costs and fees. Unlike its Underlying Index, the XLU Fund will reflect transaction
costs and fees that will reduce its performance relative to its Underlying Index. |
Generally, the longer the time remaining
to maturity, the more the market price of the Notes will be affected by the factors described above. In addition, the XLU Fund may diverge
significantly from the performance of its Underlying Index due to differences in trading hours between the XLU Fund and the securities
composing its Underlying Index or other circumstances.
During periods of market volatility,
the component securities held by the XLU Fund may be unavailable in the secondary market, market participants may be unable to calculate
accurately the intraday net asset value per share of the XLU Fund and the liquidity of the XLU Fund may be adversely affected. This kind
of market volatility may also disrupt the ability of market participants to create and redeem shares in the XLU Fund. Further, market
volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the
XLU Fund. As a result, under these circumstances, the market value of the XLU Fund may vary substantially from the net asset value per
share of the XLU Fund. Because the Notes are linked to the performance of the XLU Fund and not its Underlying Index, the return on your
Notes may be less than that of an alternative investment linked directly to its Underlying Index.
| · | Adjustments to the XLU Fund or its Underlying Index Could Adversely Affect the Value of the Notes or
Result in the Notes Being Accelerated — The investment adviser of the XLU Fund may add, delete or substitute the component securities
held by the XLU Fund or make changes to its investment strategy, and the sponsor of the Underlying Index that the XLU Fund is designed
to track may add, delete, substitute or adjust the securities composing its Underlying Index or make other methodological changes to its
Underlying Index that could affect its performance. In addition, if the shares of the XLU Fund are delisted or if the XLU Fund is liquidated
or otherwise terminated, the Calculation Agent may select a successor fund that the Calculation Agent determines to be comparable to the
XLU Fund or, if no successor fund is available, the Maturity Date of the Notes will be accelerated for a payment determined by the Calculation
Agent. Any of these actions could adversely affect the value of the XLU Fund 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 securities if they were not accelerated. See
“Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference
Asset—Discontinuance of an Exchange-Traded Fund” in the accompanying prospectus supplement. |
| · | 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 events that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value
of the shares of the XLU Fund. However, the Calculation Agent might not make such adjustments in response to all events that could affect
the shares of the XLU Fund. 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 any amounts payable on the Notes. See “Reference Assets—Exchange-Traded
Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Anti-dilution Adjustments”
in the accompanying prospectus supplement. |
| · | An Investment in the Notes Involves Industry Concentration Risk — As described below under
“Information Regarding the Reference Assets”, the investment objective of the XLU Fund is to provide investment results that,
before fees and expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in
one particular sector or group of industries. The performance of companies in the relevant sector will be influenced by many complex and
unpredictable factors, including industry competition, interest rates, geopolitical events, government regulation and supply and demand
for the products and services offered by such companies. Any adverse development in the sector tracked by the XLU Fund may have a material
adverse effect on the securities held in the portfolio of the XLU Fund and, as a result, may have a material adverse effect on the value
of the XLU Fund and the value of the Notes. |
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 Reference Assets or their components, if any. 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 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 Reference Assets
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent
may be required to make discretionary judgements relating to the Reference Assets, including determining whether a market disruption event
has occurred or whether certain adjustments to the Reference Assets or other terms of the Notes are necessary, as further described in
the accompanying prospectus
supplement. 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
| · | 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 a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling
concessions, discounts, commissions or fees (including any structuring or other distribution related fees) 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 value referenced above might be
lower if such estimated value 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. |
| · | 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 willing and able 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 price of, dividend rate on and expected volatility of the Reference Assets or the components
of the Reference Assets, if any; |
| o | correlation (or lack of correlation) of the Reference Assets; |
| 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. |
Information Regarding the REFERENCE
ASSETS
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on The Nasdaq Stock Market. For more information about the NDX Index,
see “Indices—The Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical performance
of the NDX Index based on the daily Closing Value from January 4, 2019 through July 16, 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 Nasdaq-100 Index®
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Russell 2000® Index
The RTY Index measures the capitalization-weighted
price performance of 2,000 small-capitalization stocks and is designed to track the performance of the small capitalization segment of
the U.S. equity market. For more information about the RTY Index, see “Indices—The Russell Indices” in the accompanying
underlying supplement.
Historical Performance of the RTY Index
The graph below sets forth the historical performance
of the RTY Index based on the daily Closing Value from January 4, 2019 through July 16, 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.
Historical Performance of the Russell 2000®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Utilities Select Sector SPDR®
Fund
According to publicly available information, the
XLU Fund is an exchange-traded fund of the Select Sector Trust, a registered investment company, that seeks to track investment results
that correspond generally to the price and yield performance, before fees and expenses, of theUtilities Select Sector Index (with respect
to the XLU Fund, its Underlying Index). The Utilities Select Sector Index is a capped modified market capitalization-based index that
measures the performance of the GICS® utilities sector, which currently includes companies in the following industries:
electric utilities, gas utilities, multi-utilities, water utilities, and independent power & renewable electricity producers. For
more information about the XLU Fund, see “Exchange-Traded Funds—The Select Sector SPDR® ETFs” in the
accompanying underlying supplement.
Historical Performance of the XLU Fund
The graph below sets forth the historical performance
of the XLU Fund based on the daily Closing Value from January 4, 2019 through July 16, 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.
Historical Performance of the Utilities Select
Sector SPDR® Fund
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
TAX CONSIDERATIONS
You should review carefully the sections in the
accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities,
if any, we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised
that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the
“IRS”) or a court may adopt.
Sale, exchange or redemption of a Note.
Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call
or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupon payments are
properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain
or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If
you sell your Notes between the time your right to a Contingent Coupon payment is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the Contingent Coupon payment. Although uncertain, it is possible that proceeds
received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment
in the Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences
of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility
as a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading
“—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally
impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one”
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations,
we expect that these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances,
including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding
the potential application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor
regarding the potential application of Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We will agree to sell to Barclays Capital Inc.
(the “Agent”), and the Agent will agree to purchase from us, the principal amount of the Notes, and at the price, specified
on the cover of this pricing supplement. The Agent will commit to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment for
the Notes on the Issue Date, which is more than one business day following the Initial Valuation Date. Notwithstanding anything to the
contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, 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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