The information in this
preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus,
prospectus supplement and underlying supplement do not constitute an offer to sell the Notes and we are not soliciting an offer to buy
the Notes in any state where the offer or sale is not permitted.
Subject to Completion
Preliminary Pricing Supplement dated
October 11, 2024
Pricing Supplement dated October
, 2024
(To the Prospectus dated May 23,
2022, the Prospectus Supplement dated June 27, 2022
and the Underlying Supplement dated June 27, 2022) |
Filed Pursuant
to Rule 424(b)(2)
Registration No.
333-265158 |
 |
$●
Barrier
Digital Notes due November 21, 2025
Linked to
the Least Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500®
Index
Global Medium-Term
Notes, Series A |
Unlike ordinary debt securities, the Notes do not pay interest and
do not guarantee the return of the full principal amount at maturity. Instead, as described below, the Notes offer a fixed return at
maturity if, from its Initial Underlier Value to its Final Underlier Value, the Least Performing Underlier appreciates, remains flat
or does not decline below its Barrier Value. Investors should be willing to forgo dividend payments and, if the Final Underlier Value
of any Underlier is less than its Barrier Value, be willing to lose a significant portion or all of their investment at maturity. Investors
will be exposed to the market risk of each Underlier and any decline in the value of one Underlier may negatively affect their return
and will not be offset or mitigated by a lesser decline or any potential increase in the values of the other Underliers.
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
| Issuer: |
Barclays Bank PLC |
| Denominations: |
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof |
| Initial Valuation Date: |
October 15, 2024 |
Final Valuation Date:† |
November 18, 2025 |
| Issue Date: |
October 18, 2024 |
Maturity Date:† |
November 21, 2025 |
| Reference Assets:* |
The Nasdaq-100 Index® (the “NDX Index”), the Russell 2000® Index (the “RTY Index”) and the S&P 500® Index (the “SPX Index”) (each, an “Underlier” and together, the “Underliers”), as set forth in the following table: |
| |
Underliers |
Bloomberg Ticker |
Initial Underlier Value(1) |
Barrier Value(2) |
| |
NDX Index |
NDX<Index> |
● |
● |
| |
RTY Index |
RTY<Index> |
● |
● |
| |
SPX Index |
SPX<Index> |
● |
● |
| |
(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial
Valuation Date |
| |
(2) With respect to each Underlier, 70.00% of its Initial Underlier Value (rounded to
two decimal places) |
| Payment at Maturity: |
You will receive on the Maturity Date a cash payment per $1,000
principal amount Note determined as follows:
§ If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will receive
a payment per $1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Digital Percentage)
§ If
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will receive an amount per $1,000
principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier Return
of the Least Performing Underlier)
If the Final Underlier Value of any Underlier is less than
its Barrier Value, your Notes will be fully exposed to the decline of the Least Performing Underlier from its Initial Underlier Value
and you will lose a significant portion or all of your investment at maturity. Any payment on the Notes, including any repayment of principal,
is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of
any U.K. Bail-in Power (as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution authority. See “Selected
Risk Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors”
in the accompanying prospectus supplement. |
| Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement. |
| Digital Percentage: |
10.00% |
| Underlier Return: |
With respect to each Underlier, an amount calculated as follows:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value |
(Terms of the Notes continue on the next page)
| |
Initial
Issue Price(1)(2) |
Price
to Public |
Agent’s
Commission(3) |
Proceeds
to Barclays Bank PLC |
| Per Note |
$1,000 |
100% |
0.22% |
99.78% |
| 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 $997.80 and $1,000 per $1,000 principal amount Note. Investors
that hold their Notes in fee-based advisory or trust accounts may be charged fees by the
investment advisor or manager of such account based on the amount of assets held in those
accounts, including the Notes. |
| (2) | Our estimated value of the Notes on the
Initial Valuation Date, based on our internal pricing models, is expected to be between $967.70
and $987.70 per $1,000 principal amount Note. The estimated value is expected to be less
than the initial issue price of the Notes. See “Additional Information Regarding Our
Estimated Value of the Notes” on page PS-5 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions
from the Issuer of up to $2.20 per $1,000 principal amount Note. Barclays Capital Inc. will
use these commissions to pay variable selling concessions or fees (including custodial or
clearing fees) to other dealers. The actual commission received by Barclays Capital Inc.
will be equal to the selling concession paid to such dealers. |
Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-9 of the prospectus supplement and “Selected Risk Considerations”
beginning on page PS-9 of this pricing supplement.
The Notes will not be listed on any U.S. securities
exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities
commission has approved or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation
Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance
agency of the United States, the United Kingdom or any other jurisdiction.
(Terms of the Notes continued from previous page)
| Final Underlier Value: |
With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date |
| Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
| Closing Value:* |
Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745YDG4 / US06745YDG44 |
| * | If an Underlier is discontinued or if the
sponsor of an Underlier fails to publish that Underlier, the Calculation Agent may select
a successor index or, if no successor index is available, will calculate the value to be
used as the Closing Value of that Underlier. In addition, the Calculation Agent will calculate
the value to be used as the Closing Value of an Underlier in the event of certain changes
in or modifications to that Underlier. For more information, see “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus
supplement. |
| † | The Final Valuation Date
may be postponed if the Final Valuation Date is not a scheduled trading day with respect
to any Underlier or if a market disruption event occurs with respect to any Underlier on
the Final Valuation Date as described under “Reference Assets—Indices—Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset”
and “Reference Assets—Least or Best Performing Reference Asset—Scheduled
Trading Days and Market Disruption Events for Securities Linked to the Reference Asset with
the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement.
In addition, the Maturity Date will be postponed if that day is not a business day or if
the Final Valuation Date is postponed as described under “Terms of the Notes—Payment
Dates” in the accompanying prospectus supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | 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” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which
the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank
or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K.
banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant
EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities
or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other
amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of
a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of
Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as
well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
The final terms for the Notes will be determined on the date the Notes
are initially priced for sale to the public, which we refer to as the Initial Valuation Date, based on prevailing market conditions on
or prior to the Initial Valuation Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such
as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding
rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is expected
to be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value
of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc.
or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated
cost that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection
with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or
sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of
ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial
Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the tenor
of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-9 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Initial Valuation Date. We reserve the right to change the terms of, or reject any offer to purchase, the
Notes prior to the Initial Valuation Date. In the event of any changes to the terms of the Notes, we will notify you and
you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which
case we may reject your offer to purchase.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
| · | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| · | You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and that your
potential return on the Notes is limited to the Digital Percentage. |
| · | You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Least Performing Underlier. |
| · | You do not anticipate that the Final Underlier Value of any Underlier will fall below its Barrier Value. |
| · | You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one
Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You understand and accept the risk that the payment at maturity, if any, will be based solely on the Underlier Return of the
Least Performing Underlier. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Underliers, nor will you have any voting rights with respect to the securities composing the Underliers. |
| · | You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of
the Underliers. |
| · | You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to
maturity. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
The Notes may not be an appropriate
investment for you if any of the following statements are true:
| · | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| · | You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment with a
return that is limited to the Digital Percentage. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose a significant portion or all of the principal amount of your Notes in the event that the Final Underlier Value
of the Least Performing Underlier falls below its Barrier Value. |
| · | You anticipate that the Final Underlier Value of at least one Underlier will fall below its Barrier Value. |
| · | You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underliers. |
| · | You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to lose a significant
portion or all of your principal at maturity, regardless of the performance of any other Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Underliers. |
| · | You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underliers. |
| · | You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to
maturity. |
| · | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings. |
| · | You are unwilling or unable to assume our credit risk for all payments on the Notes. |
| · | You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
You must rely on your own evaluation of the merits of an investment
in the Notes. You should reach a decision whether to invest in the Notes after carefully considering, with your advisors, the
appropriateness of the Notes in light of your investment objectives and the specific information set out in this pricing supplement,
the prospectus, the prospectus supplement and the underlying supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation
as to the appropriateness of the Notes for investment.
Hypothetical EXAMPLES OF
AMOUNTS PAYABLE at Maturity
The following table illustrates the
hypothetical payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: 100.00* |
| § | Hypothetical Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| * | The
hypothetical Initial
Underlier Value of 100.00 and the hypothetical Barrier
Value of 70.00 for each Underlier have been chosen for illustrative purposes only and may
not represent likely actual Initial Underlier Values or Barrier Values for the Underliers.
The actual Initial Underlier Value for each Underlier will be equal to its Closing Value
on the Initial Valuation Date, and the actual Barrier Value for each Underlier will be equal
to 70.00% of its Initial Underlier Value. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Final Underlier Value of
the Least Performing Underlier |
Underlier Return of
the Least Performing Underlier |
Payment at Maturity per $1,000 Principal Amount Note |
| 200.00 |
100.00% |
$1,100.00 |
| 190.00 |
90.00% |
$1,100.00 |
| 180.00 |
80.00% |
$1,100.00 |
| 170.00 |
70.00% |
$1,100.00 |
| 160.00 |
60.00% |
$1,100.00 |
| 150.00 |
50.00% |
$1,100.00 |
| 140.00 |
40.00% |
$1,100.00 |
| 130.00 |
30.00% |
$1,100.00 |
| 120.00 |
20.00% |
$1,100.00 |
| 110.00 |
10.00% |
$1,100.00 |
| 105.00 |
5.00% |
$1,100.00 |
| 100.00 |
0.00% |
$1,100.00 |
| 95.00 |
-5.00% |
$1,100.00 |
| 90.00 |
-10.00% |
$1,100.00 |
| 80.00 |
-20.00% |
$1,100.00 |
| 70.00 |
-30.00% |
$1,100.00 |
| 69.99 |
-30.01% |
$699.90 |
| 60.00 |
-40.00% |
$600.00 |
| 50.00 |
-50.00% |
$500.00 |
| 40.00 |
-60.00% |
$400.00 |
| 30.00 |
-70.00% |
$300.00 |
| 20.00 |
-80.00% |
$200.00 |
| 10.00 |
-90.00% |
$100.00 |
| 0.00 |
-100.00% |
$0.00 |
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The Final Underlier Value of the NDX Index is 150.00,
the Final Underlier Value of the RTY Index is 130.000 and the Final Underlier Value of the SPX Index is 140.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Barrier Value, you will receive a payment at maturity of $1,100.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Digital Percentage)
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 1 demonstrates that you will not participate in any appreciation
in the value of any Underlier. Even though each Underlier appreciated significantly, the payment at maturity is limited to $1,100.00 per
$1,000 principal amount Note that you hold.
Example 2: The Final Underlier Value of the NDX Index is 95.00,
the Final Underlier Value of the RTY Index is 140.000 and the Final Underlier Value of the SPX Index is 105.00.
Because the NDX Index has the lowest Underlier Return, the NDX Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Barrier Value, you will receive a payment at maturity of $1,100.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Digital Percentage)
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 3: The Final Underlier Value of the NDX Index is 80.00,
the Final Underlier Value of the RTY Index is 50.000 and the Final Underlier Value of the SPX Index is 150.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value,
you will receive a payment at maturity of $500.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Underlier Return of the
Least Performing Underlier)
$1,000 + ($1,000 × -50.00%) = $500.00
Example 3 demonstrates that, if the Final Underlier Value of the Least
Performing Underlier is less than its Barrier Value, your investment in the Notes will be fully exposed to the decline of the Least Performing
Underlier from its Initial Underlier Value. You will not benefit in any way from the Underlier Return of any other Underlier being higher
than the Underlier Return of the Least Performing Underlier.
You may lose up to 100.00% of the principal amount of your Notes.
Any payment on the Notes, including the repayment of principal, is subject to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underliers or their components. Some of the risks that apply to an investment
in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes generally in the
“Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear
the risks of investing in the Notes.
Risks Relating to the Notes Generally
| · | 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 Final Underlier Value of the Least Performing
Underlier is less than its Barrier Value, your Notes will be fully exposed to the decline of the Least Performing Underlier from its Initial
Underlier Value. You may lose up to 100.00% of the principal amount of your Notes. |
| · | Your Potential Return on the Notes Is Limited to the Digital Percentage—If the Final Underlier Value of the Least Performing
Underlier is greater than or equal to its Barrier Value, for each $1,000 principal amount Note, you will receive at maturity $1,000 plus
a predetermined percentage of the principal amount. We refer to this percentage as the Digital Percentage, which is equal to 10.00%. If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will receive the maximum
payment at maturity of $1,100.00 per $1,000 principal amount Note regardless of any appreciation of any Underlier, which may be significant.
Your return on the Notes will be less than the percentage change in the Least Performing Underlier from its Initial Underlier Value to
its Final Underlier Value if such percentage is greater than the Digital Percentage. |
| · | No Interest Payments—As a holder of the Notes, you will not receive interest payments. |
| · | Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risk of Sustaining a Significant Loss
of Principal at Maturity Than If the Notes Were Linked to a Single Underlier—The risk that you will lose a significant portion
or all of your principal amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities
that are linked to the performance of a single Underlier. With multiple Underliers, it is more likely that the Final Underlier Value of
at least one Underlier will be less than its Barrier Value, and therefore, it is more likely that you will suffer a significant loss of
principal at maturity. Further, the performance of the Underliers may not be correlated or may be negatively correlated. The lower the
correlation between multiple Underliers, the greater the potential for one of those Underliers to close below its Barrier Value on the
Final Valuation Date. |
It is impossible to predict what the correlation
among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
| · | You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting of
the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with a return linked
to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed
to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively affect your return
and will not be offset or mitigated by any increases or lesser declines in the values of the other Underliers. If the Final Underlier
Value of any Underlier is less than its Barrier Value, you will be fully exposed to the decline of the Least Performing Underlier from
its Initial Underlier Value. Accordingly, your investment is subject to the market risk of each Underlier. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified—Any
payment on the Notes will be determined based on the Closing Values of the Underliers on the dates specified. You will not benefit from
any more favorable values of the Underliers determined at any other time. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity—You should be willing to hold your Notes to maturity.
If you sell your Notes prior to such time in the secondary market, if any, you may have to sell your Notes at a price that is less than
the principal amount even if at that time the value of each Underlier has increased from its Initial Underlier Value. See “—Risks
Relating to the Estimated Value of the Notes and the Secondary Market—Many Economic and Market Factors Will Impact the Value of
the Notes” below. |
| · | Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may not reflect
the return you would realize if you actually owned the securities composing the Underliers. As a holder of the Notes, you will not have
voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing the Underliers
would have. |
| · | The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain— There is no direct legal authority
regarding the proper U.S. federal income tax treatment of the Notes, 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 Notes are uncertain, and the IRS or a court
might not agree with the treatment of the Notes as prepaid forward contracts, as described below under “Tax Considerations.”
If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition
of the Notes 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 Notes, 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 Notes (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
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of
the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents
to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in
Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and
other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in
the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution
powers, could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities
Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority” in the accompanying prospectus supplement. |
Risks Relating to the Underliers
| · | Each Underlier Reflects the Price Return of the Securities Composing That Underlier, Not the Total Return—The return
on the Notes is based on the performance of the Underliers, which reflects changes in the market prices of the securities composing each
Underlier. Each Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the Notes
will not include such a total return feature. |
| · | Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add, delete,
substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that could affect
its performance. The Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event of certain
material changes in or modifications to that Underlier. In addition, the sponsor of an Underlier may also discontinue or suspend calculation
or publication of that Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the discontinued Underlier or, if no successor index is available, the Calculation Agent will determine
the value to be used as the Closing Value of that Underlier. Any of these actions could adversely affect the value of the relevant Underlier
and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments Relating to Securities with an
Index as a Reference Asset” in the accompanying prospectus supplement. |
| · | There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities with Respect to the
NDX Index—Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home countries of the issuers
of those non-U.S. equity securities. 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 Small-Capitalization Companies Risk with Respect to the RTY Index—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 Notes 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.
| · | Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over
the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant
fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term
of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term
of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the Notes may
bear no relation or resemblance to the historical performance of any Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underliers or their components. In any such market making, trading and hedging activity,
and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the
Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In addition, the role played by Barclays
Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments. Furthermore,
we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon
any independent verification or valuation.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an
Underlier is to be determined; if an Underlier is discontinued or if the sponsor of an Underlier fails to publish that Underlier, selecting
a successor index or, if no successor index is available, determining any value necessary to calculate any payments on the Notes; and
calculating the value of an Underlier on any date of determination in the event of certain changes in or modifications to that Underlier.
In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor in the Notes,
and any of these determinations may adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the values and expected volatility of the Underliers and the components of each Underlier; |
| o | correlation (or lack of correlation) of the Underliers; |
| o | the time to maturity of the Notes; |
| o | dividend rates on the components of each Underlier; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is Expected to Be Lower Than the Initial Issue Price of Your Notes—The estimated value
of your Notes on the Initial Valuation Date is expected to be lower, and may be significantly lower, than the initial issue price of your
Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of
our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations
under the Notes, and estimated development and other costs which we may incur in connection with the Notes. |
| · | The Estimated Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade
in the secondary market. As a result of this difference, the estimated values referenced above might be lower if such estimated values
were based on the levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which
may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing
models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value
of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary
market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined
by reference to our internal pricing models. |
| · | The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, If
Any, and Such Secondary Market Prices, If Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they
are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market
at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take
into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs
related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market
prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss
to you. |
| · | The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not
obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements
at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes,
for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the
Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future
prices of your Notes. |
Information Regarding
the UNDERLIERS
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted index that
is designed to measure the performance of 100 of the 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 Values from January 2, 2019 through October 10, 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 U.S. small-capitalization stocks listed on eligible U.S. exchanges 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 Values from January 2, 2019 through October 10, 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
S&P 500® Index
The SPX Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the SPX Index, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Performance of the SPX Index
The graph below sets forth the historical performance of the SPX Index
based on the daily Closing Values from January 2, 2019 through October 10, 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 S&P 500®
Index
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” 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 Notes. 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 Notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Underliers.
Assuming this treatment is respected, upon a sale or exchange of the Notes (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 Notes, which should
equal the amount you paid to acquire the Notes. This gain or loss on your Notes should be treated as long-term capital gain or loss if
you hold your Notes for more than a year, whether or not you are an initial purchaser of Notes at the original issue price. 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 Notes 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 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.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, we expect that
these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding
the potential application of Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We will agree to sell to Barclays Capital Inc. (the “agent”),
and the agent will agree to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing
supplement. The agent will commit to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment for
the Notes on the Issue Date, which is more than one business day following the Initial Valuation Date. Notwithstanding anything to the
contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective May
28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly
agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to one business day before delivery will be required
to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
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