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 product supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the securities
in any state where the offer or sale is not permitted.
Subject to Completion. Dated
July 31, 2024
PRICING SUPPLEMENT
dated August , 2024
(To the Prospectus
dated May 23, 2022,
the Prospectus
Supplement dated June 27, 2022 and
the Product Supplement
No. WF-1 dated October 17, 2022)
|
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-265158 |
![barclays PLC logo](https://www.sec.gov/Archives/edgar/data/312070/000095010324011312/image_001.jpg) |
Barclays Bank PLC
Global Medium-Term Notes,
Series A |
Market Linked
Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk
Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation
due August 21, 2029 |
n Linked
to the lowest performing of the common stock of Chevron Corporation and the common stock of Devon Energy Corporation (each referred to
as an “Underlying Stock”)
n Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead,
the securities provide for a maturity payment amount that may be greater than, equal to or less than the principal amount of the securities,
depending on the performance of the lowest performing Underlying Stock. The lowest performing Underlying Stock is the Underlying Stock
that has the lowest stock return (i.e., the lowest percentage change from its starting price to its ending price). The maturity payment
amount will reflect the following terms:
n If the stock closing price of the lowest performing Underlying Stock increases or remains flat, you
will receive the principal amount plus a positive return equal to the greater of (i) a contingent minimum return of at least 75.00% (to
be determined on the pricing date) of the principal amount and (ii) 100% of the percentage increase in the stock closing price of that
Underlying Stock from its starting price to its ending price.
n If the stock closing price of the lowest performing Underlying Stock decreases but the decrease is
not more than 35%, you will receive the principal amount.
n If the stock closing price of the lowest performing Underlying Stock decreases by more than
35%, you will have full downside exposure to the decrease in the stock closing price of that Underlying
Stock, and you will lose more than 35%, and possibly all, of the principal amount of your securities.
n Investors may lose more than 35%, and possibly all, of the principal amount.
n Your return on the securities will depend solely on the performance of the lowest performing Underlying Stock. You will
not benefit in any way from the performance of the better performing Underlying Stock. Therefore, you will be adversely affected if either
Underlying Stock performs poorly, even if the other Underlying Stock performs favorably.
n Any payment on the securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and
is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise
of any U.K. Bail-in Power (as described on page PPS-6 of this pricing supplement) by the relevant U.K. resolution authority, you might
not receive any amounts owed to you under the securities. See “Selected Risk Considerations” and “Consent to U.K. Bail-in
Power” in this pricing supplement and “Risk Factors” in the accompanying prospectus supplement.
n No
periodic interest payments or dividends
n No exchange listing; designed to be held to maturity
|
See “Additional Information about
the Issuer and the Securities” on page PPS-4 of this pricing supplement. The securities will have the terms specified in the prospectus
dated May 23, 2022, the prospectus supplement dated June 27, 2022 and the product supplement no. WF-1 dated October 17, 2022, as supplemented
or superseded by this pricing supplement.
The securities have complex features
and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected
Risk Considerations” on page PPS-9 herein, “Risk Factors” beginning on page PS-3 of the product supplement and “Risk
Factors” beginning on page S-9 of the prospectus supplement.
The securities constitute our unsecured
and unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial
Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit
insurance agency of the United States, the United Kingdom or any other jurisdiction.
Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of these securities or determined
that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
Notwithstanding and to the exclusion of any
other term of the securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial
owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial
owner of the securities acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PPS-6 of this pricing supplement.
|
Original
Offering Price(1) |
Agent
Discount(2), (3) |
Proceeds
to Barclays Bank PLC |
Per Security |
$1,000.00 |
$42.45 |
$957.55 |
Total |
|
|
|
| (1) | Our
estimated value of the securities on the pricing date, based on our internal pricing models,
is expected to be between $880.00 and $930.00 per security. The estimated value is expected
to be less than the original offering price of the securities. See “Additional Information
Regarding Our Estimated Value of the Securities” on page PPS-5 of this pricing supplement. |
| (2) | Wells
Fargo Securities, LLC (“WFS”) and Barclays Capital Inc. are the agents
for the distribution of the securities and are acting as principal. The agent will receive
an underwriting discount of up to $42.45 per security. Barclays Capital Inc. will sell the
securities to WFS at the original offering price of the securities less a concession not
in excess of $42.45 per security. WFS may provide dealers, which may include Wells Fargo
Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s
affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network,
LLC), with a selling concession of $30.00 per security. In addition to the concession allowed
to WFA, WFS may pay $1.20 per security of the agent’s discount to WFA as a distribution
expense fee for each security sold by WFA. See “Terms of the Securities—Supplemental
Plan of Distribution” in this pricing supplement for further information. |
| (3) | In
respect of certain securities sold in this offering, Barclays Capital Inc. may pay a fee
of up to $2.50 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities
dealers. |
Wells
Fargo Securities |
Barclays
Capital Inc. |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Terms
of the Securities
Issuer: |
Barclays Bank PLC |
|
The common stock of Chevron Corporation (the “CVX Stock”) and the common stock of Devon Energy Corporation (the “DVN Stock”) (each referred to as an “Underlying Stock,” and collectively as the “Underlying Stocks”). We refer to the issuers of the Market Measures as the “Underlying Stock Issuers.” |
|
Market Measure |
Bloomberg Ticker Symbol |
Starting Price(a) |
Threshold Price(b) |
Market Measures1:
|
CVX Stock |
CVX UN<Equity> |
$ |
$ |
|
DVN Stock |
DVN UN<Equity> |
$ |
$ |
|
(a)
With respect to each Underlying Stock, the stock closing price of that Underlying Stock on the pricing date
(b)
With respect to each Underlying Stock, 65% of its starting price
|
Pricing Date: |
August 16, 2024 |
Issue Date: |
August 21, 2024 |
Calculation Day2: |
August 16, 2029 |
Stated Maturity Date2: |
August 21, 2029 |
Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
Maturity Payment Amount: |
On the stated maturity date, you
will be entitled to receive a cash payment per security in U.S. dollars equal to the maturity payment amount. The “maturity
payment amount” per security will equal:
· if
the ending price of the lowest performing Underlying Stock is greater than or equal to its starting price: $1,000 plus the greater
of:
(i) the
contingent minimum return; and
(ii)
$1,000 × stock return of the lowest performing Underlying Stock × upside participation rate; or
· if
the ending price of the lowest performing Underlying Stock is less than its starting price, but greater than or equal to its threshold
price: $1,000; or
· if
the ending price of the lowest performing Underlying Stock is less than its threshold price:
$1,000 + ($1,000 × stock return of the lowest
performing Underlying Stock)
If the ending price of the lowest
performing Underlying Stock is less than its threshold price, you will lose more than 35%, and possibly all, of the principal amount
of your securities at maturity. Any payment on the securities, including any repayment of principal, is subject to the creditworthiness
of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations or become
subject to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority, you might not receive any amounts owed to
you under the securities. |
Lowest Performing Underlying Stock: |
The “lowest performing Underlying Stock” will be the Underlying Stock with the lowest stock return.
|
Contingent Minimum Return: |
The “contingent minimum return” will be determined on the pricing date and will be at least 75.00% of the principal amount (at least $750.00 per security). The contingent minimum return is payable only if the ending price of the lowest performing Underlying Stock is greater than or equal to its starting price. |
Upside Participation Rate: |
100% |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Stock Return: |
The “stock return”
with respect to an Underlying Stock is the percentage change from its starting price to its ending price, measured as follows:
ending price – starting price
starting price |
Ending Price: |
The “ending price” of an Underlying Stock will be its stock closing price on the calculation day. |
Stock Closing Price1: |
With respect to each Underlying Stock, “stock closing price” has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Underlying Stock—Certain Definitions” in the product supplement. The stock closing price of each Underlying Stock is subject to adjustment through the adjustment factor as described in the product supplement. |
Additional Terms: |
Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the product supplement, provided that terms used in this pricing supplement, but not defined herein or in the product supplement, will have the meanings ascribed to them in the prospectus supplement. |
Calculation Agent: |
Barclays Bank PLC |
Tax Considerations: |
For a discussion of the tax considerations relating to ownership and disposition of the securities, see “Tax Considerations.” |
Denominations: |
$1,000 and any integral multiple of $1,000 |
CUSIP / ISIN: |
06745UME7 / US06745UME72 |
Supplemental Plan of Distribution: |
Wells Fargo Securities, LLC (“WFS”)
and Barclays Capital Inc. will act as agents for the securities. The agent will receive an underwriting discount of up to $42.45 per
security. Barclays Capital Inc. will sell the securities to WFS at the original offering price of the securities less a concession not
in excess of $42.45 per security. WFS may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade
name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial
Network, LLC), with a selling concession of $30.00 per security. In addition to the concession allowed to WFA, WFS may pay $1.20 per
security of the agent’s discount to WFA as a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities
sold in this offering, Barclays may pay a fee of up to $2.50 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities dealers.
Barclays Bank PLC or its affiliate will enter
into swap agreements or related hedge transactions with one of its other affiliates or unaffiliated counterparties in connection with
the sale of the securities. If WFS, Barclays Capital Inc. or an affiliate of either agent participating as a dealer in the distribution
of the securities conducts hedging activities for Barclays Bank PLC in connection with the securities, such agent or participating dealer
will expect to realize a projected profit from such hedging activities, and this projected profit will be in addition to any discount,
concession or fee received in connection with the sale of the securities to you. This additional projected profit may create a further
incentive for the agents or participating dealers to sell the securities to you.
We expect that delivery of the securities
will be made against payment for the securities on the issue date, which is more than one business day following the pricing date. Notwithstanding
anything to the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended,
effective May 28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any
such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the securities 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. |
1 In
the case of certain corporate events related to an Underlying Stock, the calculation agent may adjust the adjustment factor of that Underlying
Stock if the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of the shares
of that Underlying Stock. Upon the occurrence of certain reorganization events with respect to an Underlying Stock, the calculation agent
will make adjustments to reflect the amount and type of property deliverable for one share of that Underlying Stock as a result of that
reorganization event. An Underlying Stock may be replaced with another stock selected by the calculation agent upon the occurrence of
certain replacement stock events. For more information, see “General Terms of the Securities—Certain Terms for Securities
Linked to an Underlying Stock—Adjustment Events” in the accompanying product supplement.
2 If
the calculation day is not a trading day with respect to either Underlying Stock, the calculation day for each Underlying Stock will
be postponed to the next succeeding day that is a trading day with respect to each Underlying Stock. The calculation day will also be
postponed for either Underlying Stock if a market disruption event occurs with respect to that Underlying Stock on the calculation day
as described under “General Terms of the Securities—Consequences of a Market Disruption Event; Postponement of a Calculation
Day—Securities Linked to Multiple Market Measures” in the accompanying product supplement. In addition, the stated maturity
date will be postponed if that day is not a business day or if the calculation day is postponed as described under “General Terms
of the Securities—Payment Dates” in the accompanying product supplement.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Additional
Information about the Issuer and the Securities
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 securities are a part and the product supplement no. WF-1 dated October 17, 2022. This pricing supplement,
together with the documents listed below, contains the terms of the securities 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 securities 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 securities.
To the extent the information or terms in this
pricing supplement are different from or inconsistent with the information or terms in the prospectus, prospectus supplement or product
supplement, the information and terms in this pricing supplement will control. To the extent the information or terms in the product supplement
are different from or inconsistent with the information or terms in the prospectus or prospectus supplement, the information and terms
in the product supplement will control.
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.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Additional
Information Regarding Our Estimated Value of the Securities
The final terms for the securities will be determined
on the date the securities are initially priced for sale to the public (the “pricing date”) based on prevailing market
conditions on or prior to the pricing date and will be communicated to investors orally and/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 pricing date is based on our internal
funding rates. Our estimated value of the securities 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 securities on the pricing
date is expected to be less than the original offering price of the securities. The difference between the original offering price of
the securities and our estimated value of the securities 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 securities, the estimated cost that we may incur in hedging our obligations under the securities, and estimated development
and other costs that we may incur in connection with the securities.
Our estimated value on the pricing date is not
a prediction of the price at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital
Inc. may buy or sell the securities 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 securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant
after the pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities 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 pricing date for a temporary period expected to be approximately five months after the initial issue
date of the securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost
of hedging our obligations under the securities and other costs in connection with the securities that we will no longer expect to incur
over the term of the securities. 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 securities and/or any agreement we may have with the distributors of the securities.
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 securities 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 PPS-9 of this pricing supplement.
You may revoke your offer to purchase the securities
at any time prior to the pricing date. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior
to their pricing date. In the event of any changes to the terms of the securities, 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.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Consent
to U.K. Bail-in Power
Notwithstanding and to the exclusion of any
other term of the securities or any other agreements, arrangements or understandings between us and any holder or beneficial owner of
the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial owner
of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
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 securities; (ii) the conversion of all, or a portion, of the
principal amount of, interest on, or any other amounts payable on, the securities 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 securities such shares,
securities or obligations); (iii) the cancellation of the securities and/or (iv) the amendment or alteration of the maturity of the securities,
or amendment of the amount of interest or any other amounts due on the securities, 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 securities 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 securities further acknowledges and agrees that the rights of the holders or beneficial owners
of the securities 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 securities 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.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Investor
Considerations
The securities are not appropriate for all
investors. The securities 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 anticipate that the ending price of the lowest performing Underlying Stock will be greater than or
equal to its starting price, and you are willing and able to accept the risk that, if the ending price of the lowest performing Underlying
Stock is less than its starting price by more than 35%, you will lose more than 35%, and possibly all, of the principal amount of your
securities at maturity. |
| § | You are willing and able to accept the individual market risk of each Underlying Stock and you understand
that poor performance by either Underlying Stock over the term of the securities may negatively affect your return and will not be offset
or mitigated by any positive performance by the other Underlying Stock. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of
the lowest performing Underlying Stock, as explained in more detail in the “Selected Risk Considerations” section of this
pricing supplement. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may
be paid to holders of the Underlying Stocks, nor will you have any voting rights with respect to the Underlying Stocks. |
| § | You do not seek an investment for which there will be an active secondary market and you are willing and
able to hold the securities to maturity. |
| § | You are willing and able to assume our credit risk for all payments on the securities. |
| § | 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 securities 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 seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the ending price of the lowest performing Underlying Stock will be less than its starting
price, or you are unwilling or unable to accept the risk that, if the ending price of the lowest performing Underlying Stock is less than
its starting price by more than 35%, you will lose more than 35%, and possibly all, of the principal amount of your securities at maturity. |
| § | You are unwilling or unable to accept the individual market risk of each Underlying Stock or the risk
that poor performance by either Underlying Stock over the term of the securities may negatively affect your return and will not be offset
or mitigated by any positive performance by the other Underlying Stock. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance
of the lowest performing Underlying Stock, as explained in more detail in the “Selected Risk Considerations” section of this
pricing supplement. |
| § | You seek an investment that entitles you to dividends or distributions on, or voting rights related to,
the Underlying Stocks. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or
unable to hold the securities to maturity. |
| § | You are unwilling or unable to assume our credit risk for all payments on the securities. |
| § | You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K.
resolution authority. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Selected Risk Considerations” beginning on page PPS-9 of this pricing supplement and the “Risk Factors” beginning
on page PS-3 of the accompanying product supplement and the “Risk Factors” beginning on page S-9 of the accompanying prospectus
supplement for risks related to an investment in the securities. For more information about the Underlying Stocks, please see the sections
titled “The Common Stock of Chevron Corporation” and “The Common Stock of Devon Energy Corporation” below.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Determining
the Maturity Payment Amount
On the stated maturity date, you will receive
a cash payment per security (the maturity payment amount) calculated as follows:
Step 1: Determine which Underlying Stock is the
lowest performing Underlying Stock. The lowest performing Underlying Stock is the Underlying Stock that has the lowest stock return, calculated
for each Underlying Stock as the percentage change from its starting price to its ending price.
Step 2: Calculate the maturity payment amount
based on the ending price of the lowest performing Underlying Stock, as follows:
![](https://www.sec.gov/Archives/edgar/data/312070/000095010324011312/image_010.jpg)
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in either or both Underlying Stocks. Some of the risks that
apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of risks relating
to the securities generally in the “Risk Factors” sections of the product supplement and prospectus supplement. You should
not purchase the securities unless you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities
Generally
| · | If The Ending Price Of The Lowest Performing Underlying Stock Is Less Than Its Threshold Price, You
Will Lose More Than 35%, And Possibly All, Of The Principal Amount Of Your Securities At Maturity — If the ending price of the
lowest performing Underlying Stock is less than its threshold price, the maturity payment amount will be less than the principal amount
and you will have full downside exposure to the decrease in the price of the lowest performing Underlying Stock from its starting price.
The threshold price for each Underlying Stock is 65% of its starting price. For example, if the lowest performing Underlying Stock has
declined by 35.1% from its starting price to its ending price, you will not receive any benefit of the contingent downside protection
feature and you will lose 35.1% of the principal amount. As a result, you will not receive any protection if the price of the lowest performing
Underlying Stock declines significantly and you may lose more than 35%, and possibly all, of the principal amount at maturity, even if
the price of the lowest performing Underlying Stock is greater than or equal to its starting price or its threshold price at certain times
during the term of the securities. |
| · | You Will Receive The Contingent Minimum Return Only If The Ending Price Of The Lowest Performing Underlying
Stock Is Greater Than Or Equal To Its Starting Price — You will receive the contingent minimum return only if the ending price
of the lowest performing Underlying Stock is greater than or equal to its starting price. If the ending price of the lowest performing
Underlying Stock is less than its starting price, then you will not receive the contingent minimum return, and you may suffer a loss on
the securities. |
| · | No Periodic Interest Will Be Paid On The Securities — No periodic payments of interest will
be made on the securities. |
| · | The Securities Are Subject To The Full Risks Of Each Underlying Stock And Will Be Negatively Affected
If Either Underlying Stock Performs Poorly, Even If The Other Underlying Stock Performs Favorably — You are subject to the full
risks of each Underlying Stock. If either Underlying Stock performs poorly, you will be negatively affected, even if the other Underlying
Stock performs favorably. The securities are not linked to a basket composed of the Underlying Stocks, where the better performance of
one Underlying Stock could offset the poor performance of the other Underlying Stock. Instead, you are subject to the full risks of whichever
Underlying Stock is the lowest performing Underlying Stock. As a result, the securities are riskier than an alternative investment linked
to only one of the Underlying Stocks or linked to a basket composed of both Underlying Stocks. You should not invest in the securities
unless you understand and are willing to accept the full downside risks of each Underlying Stock. |
| · | Your Return On The Securities Will Depend Solely On The Performance Of The Lowest Performing Underlying
Stock, And You Will Not Benefit In Any Way From The Performance Of The Better Performing Underlying Stock — Your return on the
securities will depend solely on the performance of the lowest performing Underlying Stock. Although it is necessary for each Underlying
Stock to close at or above its threshold price on the calculation day in order for you to be repaid the principal amount of your securities
at maturity, you will not benefit in any way from the performance of the better performing Underlying Stock. The securities may underperform
an alternative investment linked to a basket composed of the Underlying Stocks, since in such case the performance of the better performing
Underlying Stock would be blended with the performance of the lowest performing Underlying Stock, resulting in a better return than the
return of the lowest performing Underlying Stock alone. |
| · | You Will Be Subject To Risks Resulting From The Relationship Between The Underlying Stocks —
The correlation of a pair of Underlying Stocks represents a statistical measurement of the degree to which the returns of those Underlying
Stocks are similar to each other over a given period in terms of timing and direction. By investing in the securities, you assume the
risk that the returns of the Underlying Stocks will not be correlated. The less correlated the Underlying Stocks, the more likely it is
that any one of the Underlying Stocks will be performing poorly at any time over the term of the securities. All that is necessary for
the securities to perform poorly is for one of the Underlying Stocks to perform poorly; the performance of the better performing Underlying
Stock is not relevant to your return on the securities. It is impossible to predict what the relationship between the Underlying Stocks
will be over the term of the securities. The Underlying Stocks may represent different equity markets, and those equity markets may not
perform similarly over the term of the securities. |
| · | Any Payment On The Securities Will Be Determined Based On The Stock Closing Prices Of The Underlying
Stocks On The Dates Specified — Any payment on the securities will be determined based on the stock closing prices of the Underlying
Stocks on the dates specified. You will not benefit from any more favorable values of the Underlying Stocks determined at any other time. |
| · | Owning The Securities Is Not The Same As Owning Either Or Both Of The Underlying Stocks —
The return on your securities may not reflect the return you would realize if you actually owned either or both of the Underlying Stocks.
For instance, as |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
a holder of the securities,
you will not have voting rights or rights to receive cash dividends or other distributions or any other rights that holders of either
Underlying Stock would have.
| · | No Assurance That The Investment View Implicit In The Securities Will Be Successful — It
is impossible to predict whether and the extent to which the price of either Underlying Stock will rise or fall. There can be no assurance
that the ending price of either Underlying Stock will not be less than its threshold price. The price of each Underlying Stock will be
influenced by complex and interrelated political, economic, financial and other factors that affect that Underlying Stock. You should
be willing to accept the downside risks associated with equities in general and each Underlying Stock in particular, and the risk of losing
up to 100% of the principal amount. |
| · | The U.S. Federal Income Tax Consequences Of An Investment In The Securities Are Uncertain —
There is no direct legal authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request
a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities
are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts, as described
below under “Tax Considerations.” If the IRS were successful in asserting an alternative treatment for the securities, the
tax consequences of the ownership and disposition of the securities could be materially and adversely affected. |
In addition, in 2007
the Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should review carefully the sections of 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” and, if
you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor regarding the U.S.
federal tax consequences of an investment in the securities (including possible alternative treatments and the issues presented by the
2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Risks Relating to the Issuer
| · | The Securities Are Subject To The Credit Risk Of Barclays Bank PLC — The securities 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 securities, 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 securities and, in the event Barclays Bank PLC were to default on its obligations,
you might not receive any amount owed to you under the terms of the securities. |
| · | 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 securities or any other agreements,
arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities (or the trustee on behalf
of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts,
agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority 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 securities losing all or a part of the value of your
investment in the securities or receiving a different security from the securities, which may be worth significantly less than the securities
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 securities. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the securities
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 securities. 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 Underlying
Stocks
| · | There Are Risks Associated With Single Equities — The price of each Underlying Stock can
rise or fall sharply due to factors specific to that Underlying Stock and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market
factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review
financial and other information filed periodically with the SEC by the issuer of each Underlying Stock. |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
| · | We Cannot Control Actions By An Underlying Stock Issuer — Actions by an Underlying Stock
Issuer may have an adverse effect on the price of such Underlying Stock, the stock closing price of such Underlying Stock on any calculation
day, the ending price of such Underlying Stock, and the value of the securities. We are not affiliated with either Underlying Stock Issuer.
No Underlying Stock Issuer will be involved in the offering of the securities nor will either Underlying Stock Issuer have any obligations
with respect to the securities, including any obligation to take our interests or your interests into consideration for any reason. No
Underlying Stock Issuer will receive any of the proceeds of the offering of the securities nor will be responsible for, or will have participated
in, the determination of the timing of, prices for, or quantities of, the securities to be issued. No Underlying Stock Issuer will be
involved with the administration, marketing or trading of the securities nor will have any obligations with respect to any amounts payable
on the securities. |
| · | We And Our Affiliates Have No Affiliation With Either Underlying Stock Issuer And Have Not Independently
Verified Their Public Disclosure Of Information — We, our affiliates and WFS and its affiliates are not affiliated in any way
with either Underlying Stock Issuer. This pricing supplement relates only to the securities and does not relate to either Underlying Stock.
The material provided in this pricing supplement concerning an Underlying Stock Issuer is derived from publicly available documents without
independent verification. Neither we nor either agent has participated in the preparation of any of those documents or made any “due
diligence” investigation or any inquiry of the Underlying Stock Issuers. Furthermore, neither we nor either agent knows whether
either Underlying Stock Issuer has disclosed all events occurring before the date of this pricing supplement, including events that could
affect the accuracy or completeness of the publicly available documents referred to above. Subsequent disclosure of any event of this
kind or the disclosure of or failure to disclose material future events concerning an Underlying Stock Issuer could affect the value of
the securities and any payments on the securities. You, as an investor in the securities, should make your own investigation into each
Underlying Stock Issuer. |
| · | You Have Limited Anti-dilution Protection — The calculation agent will, in its sole discretion,
adjust the adjustment factor of an Underlying Stock for certain events affecting such Underlying Stock, such as stock splits and stock
dividends, and certain other corporate actions involving the applicable Underlying Stock Issuer, such as mergers. However, the calculation
agent is not required to make an adjustment for every corporate event that can affect an Underlying Stock. For example, the calculation
agent is not required to make any adjustments to the adjustment factor of an Underlying Stock if the applicable Underlying Stock Issuer
or anyone else makes a partial tender or partial exchange offer for such Underlying Stock. Consequently, this could affect the value of
the securities and any payments on the securities. See “General Terms of the Securities—Certain Terms for Securities Linked
to an Underlying Stock—Adjustment Events” in the accompanying product supplement for a description of the general circumstances
in which the calculation agent will make adjustments to the adjustment factor of an Underlying Stock. |
| · | The Securities May Become Linked To The Common Stock Of A Company Other Than An Original Underlying
Stock Issuer — Following certain corporate events relating to an Underlying Stock, such as a stock-for-stock merger where the
applicable Underlying Stock Issuer is not the surviving entity, the shares of a successor corporation to such Underlying Stock Issuer
will be substituted for such Underlying Stock for all purposes of the securities. Following certain other corporate events relating to
an Underlying Stock in which holders of such Underlying Stock would receive all of their consideration in cash and the surviving entity
has no marketable securities outstanding or there is no surviving entity (including, but not limited to, a leveraged buyout or other going
private transaction involving such Underlying Stock Issuer, or a liquidation of such Underlying Stock Issuer), the common stock of another
company in the same industry group as such Underlying Stock Issuer will be substituted for such Underlying Stock for all purposes of the
securities. In any such event, the equity-linked nature of the securities would be significantly altered. See “General Terms of
the Securities—Certain Terms for Securities Linked to an Underlying Stock—Adjustment Events” in the accompanying product
supplement for a description of the specific events that can lead to these adjustments and the procedures for selecting a replacement
stock. The occurrence of such events and the consequent adjustments may materially and adversely affect the value of the securities and
any payments on the securities. |
| · | The Historical Performance Of The Underlying Stocks Is Not An Indication Of Their Future Performance
— The historical performance of the Underlying Stocks should not be taken as an indication of the future performance of the
Underlying Stocks. It is impossible to predict whether the closing prices of the Underlying Stocks will fall or rise during the term of
the securities, in particular in the environment in the last several years, which has been characterized by volatility across a wide range
of asset classes. Past fluctuations and trends in the prices of the Underlying Stocks are not necessarily indicative of fluctuations or
trends that may occur in the future. |
Risks Relating to Conflicts
of Interest
| · | Potentially Inconsistent Research, Opinions Or Recommendations By Barclays Capital Inc., WFS Or Their
Respective Affiliates — Barclays Capital Inc., WFS or their respective affiliates may publish research from time to time on
financial markets and other matters that may influence the value of the securities or express opinions or provide recommendations that
are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by Barclays Capital Inc.,
WFA or their respective affiliates may not be consistent with each other and may be modified from time to time without notice. You should
make your own independent investigation of each Underlying Stock and the merits of investing in the securities. |
| · | We, Our Affiliates And Any Other Agent And/Or Participating Dealer May Engage In Various Activities
Or Make Determinations That Could Materially Affect Your Securities In Various Ways And Create Conflicts Of Interest — We, our
affiliates, WFS and any dealer participating in the distribution of the securities (a “participating dealer”) may play
a variety |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
of roles in connection
with the issuance of the securities, as described below. In performing these roles, our economic interests and the economic interests
of our affiliates, WFS and any participating dealer are potentially adverse to your interests as an investor in the securities.
In connection with
our normal business activities and in connection with hedging our obligations under the securities, 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 Underlying Stocks. In any such market making, trading
and hedging activity, investment banking 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 securities. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the securities 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 securities. Participating
dealers may also engage in such activities that may negatively impact the value of the securities.
In addition, the
role played by Barclays Capital Inc., as the agent for the securities, could present significant conflicts of interest with the role of
Barclays Bank PLC, as issuer of the securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial
benefit from the distribution of the securities and such compensation or financial benefit may serve as an incentive to sell the securities
instead of other investments. Furthermore, we and our affiliates establish the offering price of the securities for initial sale to the
public, and the offering price is not based upon any independent verification or valuation.
Furthermore, if any
dealer participating in the distribution of the securities or any of its affiliates conducts hedging activities for us in connection with
the securities, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities, and
this projected profit will be in addition to any selling concession and/or any fee that the participating dealer realizes for the sale
of the securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities
to you.
In addition to the activities described
above, Barclays Bank PLC will also act as the calculation agent for the securities. As calculation agent, we will determine any prices
of the Underlying Stocks and make any other determinations necessary to calculate any payments on the securities. In making these determinations,
we may be required to make discretionary judgments, including determining the stock closing price
of such Underlying Stock if a calculation day is postponed with respect to such Underlying Stock to the last day to which it may be postponed
and a market disruption event occurs with respect to such Underlying Stock on that day; determining the stock closing price of an Underlying
Stock if it is not otherwise available on any date of determination; adjusting the adjustment factor for an Underlying Stock in certain
circumstances; and if a replacement stock event occurs with respect to an Underlying Stock, selecting a replacement stock to be substituted
for such Underlying Stock and making certain other adjustments to the terms of the securities. In making these discretionary judgments,
our economic interests are potentially adverse to your interests as an investor in the securities, and any of these determinations may
adversely affect any payments on the securities. Absent manifest error, all determinations of the calculation agent will be final and
binding, without any liability on the part of the calculation agent. You will not be entitled to any compensation from Barclays Bank PLC
for any loss suffered as a result of any determinations made by the calculation agent with respect to the securities.
Risks Relating to the Estimated
Value of the Securities and the Secondary Market
| · | The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market
For The Securities To Develop — The securities 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 securities but are not required to do so, and may discontinue
any such secondary market making at any time, without notice. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily. Because other dealers are not likely to make a secondary market for the securities,
the price at which you may be able to trade your securities 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 securities. The securities are not designed to be short-term trading instruments.
Accordingly, you should be willing and able to hold your securities to maturity. |
| · | The Value Of The Securities Prior To Maturity Will Be Affected By Numerous Factors, Some Of Which Are
Related In Complex Ways — Structured notes, including the securities, can be thought of as securities that combine a debt instrument
with one or more options or other derivative instruments. As a result, the factors that influence the values of debt instruments and options
or other derivative instruments will also influence the terms and features of the securities at issuance and their value in the secondary
market. Accordingly, in addition to the prices of the Underlying Stocks on any day, the value of the securities will be affected by a
number of economic and market factors that may either offset or magnify each other, including: |
| · | the expected volatility of the Underlying Stocks; |
| · | correlation (or lack of correlation) of the Underlying Stocks; |
| · | the time to maturity of the securities; |
| · | the market prices of, and dividend rates on, the Underlying Stocks; |
| · | interest and yield rates in the market generally; |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
| · | supply and demand for the securities; |
| · | a variety of economic, financial, political, regulatory and judicial events; and |
| · | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value Of Your Securities Is Expected To Be Lower Than The Original Offering Price Of
Your Securities — The estimated value of your securities on the pricing date is expected to be lower, and may be significantly
lower, than the original offering price of your securities. The difference between the original offering price of your securities and
the estimated value of the securities is expected as a result of certain factors, such as any sales commissions, selling concessions,
discounts, commissions or fees expected to be allowed or paid to Barclays Capital Inc., another affiliate of ours, WFS or its affiliates
or other non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring
the securities, the estimated cost that we may incur in hedging our obligations under the securities, and estimated development and other
costs that we may incur in connection with the securities. |
| · | The Estimated Value Of Your Securities Might Be Lower If Such Estimated Value Were Based On The Levels
At Which Our Debt Securities Trade In The Secondary Market — The estimated value of your securities on the pricing 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 Securities Is Based On Our Internal Pricing Models, Which May Prove To Be
Inaccurate And May Be Different From The Pricing Models Of Other Financial Institutions — The estimated value of your securities
on the pricing 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 securities may not be consistent with those of other financial institutions that may be purchasers
or sellers of securities in the secondary market. As a result, the secondary market price of your securities may be materially different
from the estimated value of the securities determined by reference to our internal pricing models. |
| · | The Estimated Value Of Your Securities Is Not A Prediction Of The Prices At Which You May Sell Your
Securities In The Secondary Market, If Any, And Such Secondary Market Prices, If Any, Will Likely Be Lower Than The Original Offering
Price Of Your Securities And May Be Lower Than The Estimated Value Of Your Securities — The estimated value of the securities
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 securities 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 securities 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 securities. Further, as secondary market prices of your securities 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 securities such as fees, commissions, discounts,
and the costs of hedging our obligations under the securities, secondary market prices of your securities will likely be lower than the
original offering price of your securities. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties
may be willing to purchase the securities from you in secondary market transactions, if any, will likely be lower than the price you paid
for your securities, and any sale prior to the stated maturity date could result in a substantial loss to you. |
| · | The Temporary Price At Which We May Initially Buy The Securities In The Secondary Market And The Value
We May Initially Use For Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative Of Future
Prices Of Your Securities — Assuming that all relevant factors remain constant after the pricing date, the price at which Barclays
Capital Inc. may initially buy or sell the securities in the secondary market (if Barclays Capital Inc. makes a market in the securities,
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 securities on the pricing date, as well as the secondary market value of the
securities, for a temporary period after the initial issue date of the securities. The price at which Barclays Capital Inc. may initially
buy or sell the securities 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 securities. |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Hypothetical
Examples and Returns
The payout profile, return table and examples
below illustrate the maturity payment amount for a $1,000 principal amount security on a hypothetical offering of securities under various
scenarios, with the assumptions set forth in the table below. Terms used for purposes of these hypothetical examples do not represent
the actual starting price, threshold price or ending price of either Underlying Stock applicable to the securities. The actual maturity
payment amount and resulting pre-tax total rate of return will depend on the actual terms of the securities. You should not take these
examples as an indication or assurance of the expected performance of the securities. These examples are for purposes of illustration
only. The values used in the examples may have been rounded for ease of analysis. The examples below do not take into account any tax
consequences from investing in the securities.
Upside Participation Rate: |
100% |
Hypothetical Contingent Minimum Return: |
75.00% or $750.00 per security (the lowest possible contingent minimum return that may be determined on the pricing date) |
Hypothetical Starting Price: |
For each Underlying Stock, $100.00 |
Hypothetical Threshold Price: |
For each Underlying Stock, $65.00 (65% of its hypothetical starting price) |
The hypothetical starting price of $100.00 for
each Underlying Stock has been chosen for illustrative purposes only and does not represent the actual starting price of either Underlying
Stock. For each Underlying Stock, the actual starting price will be the closing price of that Underlying Stock on the pricing date, the
actual threshold price will be 65% of its actual starting price and the actual ending price will be the closing price of that Underlying
Stock on the calculation day. For historical closing prices of the Underlying Stocks, see the historical information set forth under the
sections titled “The Common Stock of Chevron Corporation” and “The Common Stock of Devon Energy Corporation” below.
We cannot predict the closing price of the Underlying Stocks on any day during the term of the securities, including on the calculation
day.
Hypothetical Payout Profile
![](https://www.sec.gov/Archives/edgar/data/312070/000095010324011312/image_003.jpg)
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Hypothetical Returns
Hypothetical
ending price of the lowest performing Underlying Stock |
Hypothetical
stock return of the lowest performing Underlying Stock |
Hypothetical maturity payment amount per security |
Hypothetical pre-tax total rate of return |
$190.00 |
90.00% |
$1,900.00 |
90.00% |
$180.00 |
80.00% |
$1,800.00 |
80.00% |
$175.00 |
75.00% |
$1,750.00 |
75.00% |
$170.00 |
70.00% |
$1,750.00 |
75.00% |
$160.00 |
60.00% |
$1,750.00 |
75.00% |
$150.00 |
50.00% |
$1,750.00 |
75.00% |
$140.00 |
40.00% |
$1,750.00 |
75.00% |
$130.00 |
30.00% |
$1,750.00 |
75.00% |
$120.00 |
20.00% |
$1,750.00 |
75.00% |
$110.00 |
10.00% |
$1,750.00 |
75.00% |
$100.00 |
0.00% |
$1,750.00 |
75.00% |
$99.99 |
-0.01% |
$1,000.00 |
0.00% |
$95.00 |
-5.00% |
$1,000.00 |
0.00% |
$90.00 |
-10.00% |
$1,000.00 |
0.00% |
$80.00 |
-20.00% |
$1,000.00 |
0.00% |
$70.00 |
-30.00% |
$1,000.00 |
0.00% |
$65.00 |
-35.00% |
$1,000.00 |
0.00% |
$64.99 |
-35.01% |
$649.90 |
-35.01% |
$60.00 |
-40.00% |
$600.00 |
-40.00% |
$50.00 |
-50.00% |
$500.00 |
-50.00% |
$40.00 |
-60.00% |
$400.00 |
-60.00% |
$30.00 |
-70.00% |
$300.00 |
-70.00% |
$20.00 |
-80.00% |
$200.00 |
-80.00% |
$10.00 |
-90.00% |
$100.00 |
-90.00% |
$0.00 |
-100.00% |
$0.00 |
-100.00% |
Hypothetical Examples
Example 1. Maturity payment amount is greater
than the principal amount and reflects a return that is greater than the contingent minimum return:
|
CVX Stock |
DVN Stock |
Hypothetical starting price: |
$100.00 |
$100.00 |
Hypothetical ending price: |
$180.00 |
$190.00 |
Hypothetical threshold price: |
$65.00 |
$65.00 |
Hypothetical stock return: |
80.00% |
90.00% |
Step 1: Determine which Underlying Stock
is the lowest performing Underlying Stock.
In this example, the CVX Stock has the lowest
stock return and is, therefore, the lowest performing Underlying Stock.
Step 2: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock.
Because the hypothetical ending price of the lowest
performing Underlying Stock is greater than or equal to its hypothetical starting price, the maturity payment amount per security would
be equal to the principal amount of $1,000 plus a positive return equal to the greater of:
| (i) | the contingent minimum return of $750.00; and |
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
| (ii) | $1,000 × stock return of the lowest performing Underlying Stock × upside participation rate |
= $1,000 × 80.00% × 100%
= $800.00
On the stated maturity date, you would receive
$1,800.00 per security.
Example 2. Maturity payment amount is greater
than the principal amount and reflects a return equal to the contingent minimum return:
|
CVX Stock |
DVN Stock |
Hypothetical starting price: |
$100.00 |
$100.00 |
Hypothetical ending price: |
$130.00 |
$110.00 |
Hypothetical threshold price: |
$65.00 |
$65.00 |
Hypothetical stock return: |
30.00% |
10.00% |
Step 1: Determine which Underlying Stock
is the lowest performing Underlying Stock.
In this example, the DVN Stock has the lowest
stock return and is, therefore, the lowest performing Underlying Stock.
Step 2: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock.
Because the hypothetical ending price of the lowest
performing Underlying Stock is greater than or equal to its hypothetical starting price, the maturity payment amount per security would
be equal to the principal amount of $1,000 plus a positive return equal to the greater of:
| (i) | the contingent minimum return of $750.00; and |
| (ii) | $1,000 × stock return of the lowest performing Underlying Stock × upside participation rate |
= $1,000 × 10.00% × 100%
= $100.00
On the stated maturity date, you would receive
$1,750.00 per security, which is the contingent minimum payment amount.
Example 3. Maturity payment amount is equal
to the principal amount:
|
CVX Stock |
DVN Stock |
Hypothetical starting price: |
$100.00 |
$100.00 |
Hypothetical ending price: |
$120.00 |
$90.00 |
Hypothetical threshold price: |
$65.00 |
$65.00 |
Hypothetical stock return: |
20.00% |
-10.00% |
Step 1: Determine which Underlying Stock
is the lowest performing Underlying Stock.
In this example, the DVN Stock has the lowest
stock return and is, therefore, the lowest performing Underlying Stock.
Step 2: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock.
Because the hypothetical ending price of the lowest
performing Underlying Stock is less than its hypothetical starting price, but not by more than 35%, you would not lose any of the principal
amount of your securities.
On the stated maturity date, you would receive
$1,000.00 per security.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Example 4. Maturity payment amount is less
than the principal amount:
|
CVX Stock |
DVN Stock |
Hypothetical starting price: |
$100.00 |
$100.00 |
Hypothetical ending price: |
$50.00 |
$120.00 |
Hypothetical threshold price: |
$65.00 |
$65.00 |
Hypothetical stock return: |
-50.00% |
20.00% |
Step 1: Determine which Underlying Stock
is the lowest performing Underlying Stock.
In this example, the CVX Stock has the lowest
stock return and is, therefore, the lowest performing Underlying Stock.
Step 2: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock.
Because the hypothetical ending price of the lowest
performing Underlying Stock is less than its hypothetical starting price by more than 35%, you would lose a portion of the principal amount
of your securities and receive the maturity payment amount equal to:
$1,000 + ($1,000 × stock return of the lowest
performing Underlying Stock)
= $1,000 + ($1,000 × -50.00%)
= $500.00
On the stated maturity date, you would receive
$500.00 per security.
This example illustrates that you will be fully
exposed to a decrease in the lowest performing Underlying Stock if the ending price of the lowest performing Underlying Stock is less
than its threshold price, even if the ending price of the other Underlying Stock has appreciated or has not declined below its threshold
price.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
Information
about the Underlying Stocks
We urge you to read the following section in the
accompanying prospectus supplement: “Reference Assets — Equity Securities — Reference Asset Issuer and Reference Asset
Information.” Companies with securities registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”),
are required to file financial and other information specified by the SEC periodically. Such information can be reviewed electronically
through a website maintained by the SEC at http://www.sec.gov. Information filed with the SEC by the issuer of each Underlying Stock can
be located by reference to its SEC file number provided below.
Included below is a brief description of the issuer
of each Underlier. This information has been obtained from publicly available sources. Information from outside sources is not incorporated
by reference in, and should not be considered part of, this pricing supplement or any accompanying prospectus or prospectus supplement.
We have not independently verified the accuracy or completeness of the information contained in outside sources.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
The
Common Stock of Chevron Corporation
According to publicly available information, Chevron
Corporation manages its investments in subsidiaries and affiliates and provides administrative, financial, management and technology support
to U.S. and international subsidiaries that engage in integrated energy and chemicals operations. Information filed by Chevron Corporation
with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-00368. The CVX Stock is listed on the New
York Stock Exchange under the ticker symbol “CVX.”
Historical Information
We obtained the closing prices of the CVX Stock
displayed in the graph below from Bloomberg Professional® service (“Bloomberg”) without independent verification.
The historical performance of the CVX Stock should not be taken as an indication of the future performance of the CVX Stock. Future performance
of the CVX Stock may differ significantly from historical performance, and no assurance can be given as to the closing prices of the CVX
Stock during the term of the securities, including on any calculation day. We cannot give you assurance that the performance of the CVX
Stock will not result in a loss on your initial investment.
The following graph sets forth daily closing prices
of the CVX Stock for the period from January 1, 2019 to July 26, 2024. The closing price on July 26, 2024 was $157.84. The closing
prices below may have been adjusted to reflect certain corporate actions, such as stock splits, public offerings, mergers and acquisitions,
spin-offs, extraordinary dividends, delistings and bankruptcy.
![](https://www.sec.gov/Archives/edgar/data/312070/000095010324011312/image_004.jpg)
* The dotted line indicates a hypothetical threshold
price of 65% of the closing price of the CVX Stock on July 26, 2024. The actual threshold price will be equal to 65% of the starting price
of the CVX Stock.
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
The
Common Stock of Devon Energy Corporation
According to publicly available information, Devon
Energy Corporation is an energy company engaged primarily in the exploration, development and production of oil, natural gas and natural
gas liquids. Information filed by Devon Energy Corporation with the SEC under the Exchange Act can be located by reference to its SEC
file number: 001-32318. The DVN Stock is listed on the New York Stock Exchange under the ticker symbol “DVN.”
Historical Information
We obtained the closing prices of the DVN Stock
displayed in the graph below from Bloomberg without independent verification. The historical performance of the DVN Stock should not be
taken as an indication of the future performance of the DVN Stock. Future performance of the DVN Stock may differ significantly from historical
performance, and no assurance can be given as to the closing prices of the DVN Stock during the term of the securities, including on any
calculation day. We cannot give you assurance that the performance of the DVN Stock will not result in a loss on your initial investment.
The following graph sets forth daily closing prices
of the DVN Stock for the period from January 1, 2019 to July 26, 2024. The closing price on July 26, 2024 was $46.34. The closing prices
below may have been adjusted to reflect certain corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs,
extraordinary dividends, delistings and bankruptcy.
![](https://www.sec.gov/Archives/edgar/data/312070/000095010324011312/image_005.jpg) |
* The dotted line indicates a hypothetical threshold price of 65% of the closing price of the DVN Stock on July 26, 2024. The actual threshold price will be equal to 65% of the starting price of the DVN Stock. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Chevron Corporation and the Common Stock of Devon Energy Corporation due August 21, 2029
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” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders.” The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities.
The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion
of our special tax counsel, it is reasonable to treat the securities for U.S. federal income tax purposes as prepaid forward contracts
with respect to the Underlying Stocks. Assuming this treatment is respected, if you are a U.S. holder, upon a sale or exchange of the
securities (including redemption 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 securities, which should equal the amount you paid to acquire the securities. This gain
or loss on your securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether
or not you are an initial purchaser of the securities at the original issue price. The deductibility of capital losses is subject to limitations.
However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the securities
could be materially and adversely 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; the relevance of
factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. 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 and adversely
affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax advisor
regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the
issues presented by this notice.
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 representation that the securities do not have a “delta of one” within the meaning of the regulations,
our special tax counsel believes that these regulations should not apply to the securities with regard to non-U.S. holders, and we have
determined to treat the securities as not being subject to Section 871(m). 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 securities. You should consult your tax advisor regarding
the potential application of Section 871(m) to the securities.
Non-U.S. holders should also discuss with their
tax advisors the estate tax consequences of investing in the securities.
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