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PRICING SUPPLEMENT dated November 13, 2024
(To the Prospectus dated May 23, 2022,
the Prospectus Supplement dated June 27, 2022,
the Product Supplement No. WF-1 dated October 17, 2022 and
the Underlying Supplement dated June 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-265158 |
 |
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Barclays Bank PLC
Global Medium-Term Notes, Series A |
|
$776,000 Market Linked Securities—Auto-Callable
with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest
Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and
the Health Care Select Sector SPDR® Fund due October 18, 2027 |
|
n Linked
to the lowest performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund
and the Health Care Select Sector SPDR® Fund (each referred to as a “Fund”)
n Unlike
ordinary debt securities, the securities do not provide for fixed payments of interest, do not guarantee any return of principal at stated
maturity and are subject to potential automatic call prior to stated maturity upon the terms described below. Whether the securities
pay a contingent coupon, whether the securities are automatically called prior to stated maturity and, if the securities are not automatically
called, whether you are repaid the principal amount of your securities at stated maturity will depend in each case on the fund closing
price of the lowest performing Fund on the relevant calculation day. The lowest performing Fund on any calculation day is the Fund that
has the lowest performance factor on that calculation day, calculated for each Fund as the fund closing price of that Fund on that calculation
day divided by its starting price.
n Contingent
Coupon. The securities will pay a contingent coupon on a monthly basis until the earlier of stated maturity or automatic call if
the fund closing price of the lowest performing Fund on the calculation day for the relevant month is greater than or equal to its coupon
threshold price. However, if the fund closing price of the lowest performing Fund on a calculation day is less than its coupon threshold
price, you will not receive any contingent coupon for the relevant month. If the fund closing price of the lowest performing Fund on
each calculation day is less than its coupon threshold price, you will not receive any contingent coupons throughout the entire term
of the securities. The contingent coupon rate is 10.75% per annum.
n Automatic
Call. If the fund closing price of the lowest performing Fund on any of the calculation days scheduled to occur from May 2025 to
September 2027, inclusive, is greater than or equal to its starting price, the securities will be automatically called for the principal
amount plus the contingent coupon payment otherwise due. The securities will not be subject to automatic call until approximately six
months after their issue date.
n Potential
Loss of Principal. If the securities are not automatically called prior to stated maturity, you will receive the principal amount
at stated maturity if the fund closing price of the lowest performing Fund on the final calculation day is greater than or equal to its
downside threshold price. If the fund closing price of the lowest performing Fund on the final calculation day is less than its downside
threshold price, you will lose more than 30%, and possibly all, of the principal amount of your securities.
n The
coupon threshold price of each Fund is equal to 75% of its starting price, and the downside threshold price of each Fund is equal to
70% of its starting price.
n You
will not participate in any appreciation of any Fund.
n Your
return on the securities will depend solely on the performance of the Fund that is the lowest performing Fund on each calculation
day. You will not benefit in any way from the performance of the better performing Funds. Therefore, you will be adversely affected if
any Fund performs poorly, even if the other Funds perform 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 PS-7 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
fixed 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 PS-5 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, the product supplement no. WF-1 dated October 17, 2022 and the underlying
supplement dated June 27, 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 PS-12 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.
We may use this pricing supplement in the
initial sale of the securities. In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market
resale transactions in any of the securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation
of sale, this pricing supplement is being used in a market resale transaction.
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 PS-7 of this pricing supplement.
| |
Original Offering Price(1) |
Agent Discount(2), (3) |
Proceeds to Barclays Bank PLC |
| Per Security |
$1,000.00 |
$23.25 |
$976.75 |
| Total |
$776,000 |
$18,042 |
$757,958 |
| (1) | Our estimated value of the securities on the pricing date, based
on our internal pricing models, is $957.20 per security. The estimated value is less than the original offering price of the securities.
See “Additional Information Regarding Our Estimated Value of the Securities” on page PS-6 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 $23.25 per security. Barclays Capital Inc. will sell the securities to WFS at the original offering price of the securities less a
concession of $23.25 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 $17.50 per security. In addition to the concession allowed to WFA, WFS may pay $0.75 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 $3.00 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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Terms
of the Securities
| Issuer: |
Barclays Bank PLC |
| Market Measures1: |
The Energy Select Sector SPDR® Fund
(the “XLE Fund”), the Technology Select Sector SPDR® Fund (the “XLK Fund”)
and the Health Care Select Sector SPDR® Fund (the “XLV Fund”) (each referred to as a “Fund,”
and collectively as the “Funds”)
|
| |
Market Measure |
Bloomberg Ticker Symbol |
Starting Price(a) |
Coupon Threshold Price(b) |
Downside Threshold Price(c) |
| |
XLE Fund |
XLE UP<Equity> |
$94.51 |
$70.8825 |
$66.157 |
| |
XLK Fund |
XLK UP<Equity> |
$235.33 |
$176.4975 |
$164.731 |
| |
XLV Fund |
XLV UP<Equity> |
$146.83 |
$110.1225 |
$102.781 |
| |
(a)
With respect to each Fund, the fund closing price of that Fund on the pricing date
(b)
With respect to each Fund, 75% of its starting price
(c)
With respect to each Fund, 70% of its starting price
|
| Pricing Date: |
November 13, 2024 |
| Issue Date: |
November 18, 2024 |
| Final Calculation Day2: |
October 13, 2027 |
| Stated Maturity Date2: |
October 18, 2027 |
| 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. |
| Contingent Coupon Payment: |
On each contingent coupon payment date, you will
receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if the fund closing price of the lowest performing
Fund on the related calculation day is greater than or equal to its coupon threshold price.
Each “contingent coupon payment,”
if any, will be calculated per security as follows:
($1,000 × contingent coupon rate) /
12
Any contingent coupon payments will be rounded
to the nearest cent, with one-half cent rounded upward.
If the fund closing price of the lowest performing
Fund on any calculation day is less than its coupon threshold price, you will not receive any contingent coupon payment on the related
contingent coupon payment date. If the fund closing price of the lowest performing Fund on each calculation day is less than its coupon
threshold price, you will not receive any contingent coupon payments over the term of the securities.
Any return on the securities will be limited
to the sum of your contingent coupon payments, if any, even if the fund closing price of the lowest performing Fund on any calculation
day significantly exceeds its starting price. You will not participate in any appreciation of any Fund.
|
| Contingent Coupon Payment Dates2: |
Monthly, on the third business day following each calculation day, provided that the contingent coupon payment date with respect to the final calculation day will be the stated maturity date. If a calculation day is postponed with respect to one or more Funds, the related contingent coupon payment date will be three business days after the latest calculation day as postponed. |
| Contingent Coupon Rate: |
The “contingent coupon rate” is 10.75% per annum. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
| Automatic Call: |
If the fund closing price of the lowest performing
Fund on any of the calculation days scheduled to occur from May 2025 to September 2027, inclusive, is greater than or equal to its starting
price, the securities will be automatically called, and on the related call settlement date you will be entitled to receive a cash payment
per security in U.S. dollars equal to the principal amount plus the contingent coupon payment otherwise due. The securities will not be
subject to automatic call until the sixth calculation day, which is approximately six months after the issue date.
If the securities are automatically called, they
will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after that call
settlement date. You will not receive any notice from us if the securities are automatically called.
|
| Calculation Days2: |
Monthly, on the 13th day of each month, commencing December 2024 and ending October 2027, provided that the October 2027 calculation day will be the final calculation day |
| Call Settlement Date: |
The contingent coupon payment date immediately following the applicable calculation day |
| Maturity Payment Amount: |
If the securities are not automatically called
prior to the stated maturity date, you will be entitled to receive on the stated maturity date a cash payment per security in U.S. dollars
equal to the maturity payment amount (in addition to any contingent coupon payment otherwise due). The “maturity payment amount”
per security will equal:
· if
the ending price of the lowest performing Fund on the final calculation day is greater than or equal to its downside threshold price:
$1,000; or
· if
the ending price of the lowest performing Fund on the final calculation day is less than its downside threshold price:
$1,000
× performance factor of the lowest performing Fund on the final calculation day
If the securities are not automatically called
prior to stated maturity and the ending price of the lowest performing Fund on the final calculation day is less than its downside threshold
price, you will lose more than 30%, and possibly all, of the principal amount of your securities at stated 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 Fund: |
For any calculation day, the “lowest performing Fund” will be the Fund with the lowest performance factor on that calculation day. |
| Performance Factor: |
With respect to a Fund on any calculation day, its fund closing price on such calculation day divided by its starting price. |
| Fund Closing Price1: |
With respect to each Fund, “fund closing price” has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to a Fund—Certain Definitions” in the product supplement. The fund closing price of each Fund is subject to adjustment through the adjustment factor as described in the product supplement. |
| Ending Price1: |
The “ending price” of a Fund will be its fund closing price on the final calculation day. |
| 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 |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
| CUSIP / ISIN: |
06745YJM5 / US06745YJM57 |
| 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 $23.25 per security.
Barclays Capital Inc. will sell the securities to WFS at the original offering price of the securities less a concession of $23.25 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 $17.50 per security. In addition to the concession allowed to WFA, WFS may pay $0.75 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 $3.00 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 If the shares of a Fund are de-listed
or if a Fund is liquidated or otherwise terminated, the calculation agent may select a successor fund or, if no successor fund is available,
will calculate the value to be used as the fund closing price of that Fund. In addition, in the case of certain events related to a Fund,
the calculation agent may adjust any variable, including but not limited to, the starting price, ending price, threshold price and fund
closing price of that Fund if the calculation agent determines that the event has a diluting or concentrative effect on the theoretical
value of the shares of that Fund. For more information, see “General Terms of the Securities—Certain Terms for Securities
Linked to a Fund—Anti-dilution Adjustments Relating to a Fund; Alternate Calculation” in the accompanying product supplement.
2 If any calculation day is not a trading
day with respect to any Fund, that calculation day for each Fund will be postponed to the next succeeding day that is a trading day with
respect to each Fund. A calculation day will also be postponed for any Fund if a market disruption event occurs with respect to that Fund
on that 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 final calculation day is postponed as described under
“General Terms of the Securities—Payment Dates” in the accompanying product supplement.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
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, the product supplement no. WF-1 dated October 17, 2022 and the underlying supplement
dated June 27, 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, product
supplement or underlying 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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Additional
Information Regarding Our Estimated Value of the Securities
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 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 results from several factors, including any sales commissions to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees 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 three 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 PS-12 of this pricing supplement.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
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 fixed periodic interest or coupon
payments or other non-contingent sources of current income. |
| · | You do not anticipate that the ending price of the lowest performing Fund
on the final calculation day will be less than its downside threshold price, and you are willing and able to accept the risk that, if
it is, you will lose more than 30%, and possibly all, of the principal amount of your securities at stated maturity. |
| · | You do not anticipate that the fund closing price of the lowest performing
Fund will be less than its coupon threshold price on any calculation day, and you are willing and able to accept the risk that, if it
is, you may receive few or no contingent coupon payments over the term of the securities. |
| · | You are willing and able to accept the individual market risk of each Fund
and you understand that poor performance by any Fund 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 Funds. |
| · | You are willing and able to forgo participation in any appreciation of any
Fund, and you understand that any return on your investment will be limited to the contingent coupon payments that may be payable on the
securities. |
| · | You are willing and able to accept the risks associated with an investment
linked to the performance of the lowest performing Fund, 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 Funds or the securities held by the Funds, nor will you have any voting rights with
respect to the Funds or the securities held by the Funds. |
| · | You are willing and able to accept the risk that the securities may be automatically
called prior to stated maturity and that you may not be able to reinvest your money in an alternative investment with comparable risk
and yield. |
| · | 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 stated maturity if the securities are not automatically called. |
| · | 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 fixed periodic interest or coupon payments or other non-contingent
sources of current income. |
| · | You seek an investment that provides for the full repayment of principal at stated maturity. |
| · | You anticipate that the ending price of the lowest performing Fund on the final calculation day will be
less than its downside threshold price, or you are unwilling or unable to accept the risk that, if it is, you will lose more than 30%,
and possibly all, of the principal amount of your securities at stated maturity. |
| · | You anticipate that the fund closing price of the lowest performing Fund will be less than its coupon
threshold price on any calculation day, or you are unwilling or unable to accept the risk that, if it is, you may receive few or no contingent
coupon payments over the term of the securities. |
| · | You are unwilling or unable to accept the individual market risk of each Fund or the risk that poor performance
by any Fund 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 Funds. |
| · | You seek exposure to any upside performance of the Funds or you seek an investment with a return that
is not limited to the contingent coupon payments that may be payable on the securities. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
| · | You are unwilling or unable to accept the risks associated with an investment linked to the performance
of the lowest performing Fund, 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 Funds or the securities held by the Funds. |
| · | You are unwilling or unable to accept the risk that the securities may be automatically called prior to
stated maturity and that you may not be able to reinvest your money in an alternative investment with comparable risk and yield. |
| · | 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 stated maturity if they are not automatically called. |
| · | 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 PS-12 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 Funds, please see the sections titled
“The Energy Select Sector SPDR® Fund,” “The Technology Select Sector SPDR® Fund”
and “The Health Care Select Sector SPDR® Fund” below.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Determining
Payment on a Contingent Coupon Payment Date and at Maturity
On each contingent coupon payment date prior to
the stated maturity date, whether you receive a contingent coupon payment and, if the contingent coupon payment date is also a potential
call settlement date, whether the securities are automatically called will each be determined based on the fund closing price of the lowest
performing Fund on the related calculation day.
Step 1: Determine which Fund is the lowest
performing Fund on the relevant calculation day prior to the final calculation day. The lowest performing Fund on any calculation day
is the Fund that has the lowest performance factor on that calculation day, calculated for each Fund as the fund closing price of that
Fund on that calculation day divided by its starting price.
Step 2: Determine if the securities are
automatically called and whether a contingent coupon payment is paid on the applicable contingent coupon payment date prior to the stated
maturity date, based on the fund closing price of the lowest performing Fund on the relevant calculation day, as follows:
On the stated maturity date, if the securities
have not been automatically called prior to the stated maturity date, you will receive a cash payment per security (the maturity payment
amount) calculated as described below.
Step 1: Determine which Fund is the lowest
performing Fund on the final calculation day. The lowest performing Fund on the final calculation day is the Fund that has the lowest
performance factor on the final calculation day, calculated for each Fund as its ending price divided by its starting price.
Step 2: Calculate the maturity payment
amount based on the ending price of the lowest performing Fund on the final calculation day, as follows:
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Hypothetical
Payout Profile
The following profile illustrates the potential
maturity payment amount on the securities (excluding any contingent coupon payment otherwise due) for a range of hypothetical performances
of the lowest performing Fund on the final calculation day from its starting price to its ending price, assuming the securities have not
been automatically called prior to the stated maturity date. As this profile illustrates, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon
payments, if any, received during the term of the securities. This graph has been prepared for purposes of illustration only. Your actual
return will depend on the actual ending price of the lowest performing Fund on the final calculation day and whether you hold your securities
to stated maturity. The performance of the better performing Funds is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in any or all of the Funds or the securities held by the Funds
or composing the underlying indices (as defined under “The Energy Select Sector SPDR® Fund,” “The Technology
Select Sector SPDR® Fund” and “The Health Care Select Sector SPDR® Fund” below). 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 Securities Are Not Automatically Called Prior to Stated Maturity, You May Lose Some Or All Of
The Principal Amount Of Your Securities At Stated Maturity — We will not repay you a fixed amount on your securities at stated
maturity. If the securities are not automatically called prior to stated maturity, you will receive a maturity payment amount that will
be equal to or less than the principal amount, depending on the ending price of the lowest performing Fund on the final calculation day. |
If the ending price
of the lowest performing Fund on the final calculation day is less than its downside 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 Fund
from its starting price. The downside threshold price for each Fund is 70% of its starting price. For example, if the securities are not
automatically called and the lowest performing Fund on the final calculation day has declined by 30.1% from its starting price to its
ending price, you will not receive any benefit of the contingent downside protection feature and you will lose 30.1% of the principal
amount. As a result, you will not receive any protection if the price of the lowest performing Fund on the final calculation day declines
significantly and you may lose some, and possibly all, of the principal amount of your securities at stated maturity, even if the price
of the lowest performing Fund is greater than or equal to its starting price or its downside threshold price at certain times during the
term of the securities.
Even if the ending
price of the lowest performing Fund on the final calculation day is greater than its downside threshold price, the maturity payment amount
will not exceed the principal amount, and your yield on the securities, taking into account any contingent coupon payments you may have
received during the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt
security of Barclays Bank PLC or another issuer with a similar credit rating.
| · | The Securities Do Not Provide For Fixed Payments Of Interest And You May Receive No Contingent Coupon
Payments On One Or More Contingent Coupon Payment Dates, Or Even Throughout The Entire Term Of The Securities — On each contingent
coupon payment date you will receive a contingent coupon payment if the fund closing price of the lowest performing Fund on the related
calculation day is greater than or equal to its coupon threshold price. If the fund closing price of the lowest performing Fund on any
calculation day is less than its coupon threshold price, you will not receive any contingent coupon payment on the related contingent
coupon payment date, and if the fund closing price of at least one Fund is less than its coupon threshold price on each calculation day
over the term of the securities, you will not receive any contingent coupon payments over the entire term of the securities. |
| · | The Securities Are Subject To The Full Risks Of Each Fund And Will Be Negatively Affected If Any Fund
Performs Poorly, Even If The Other Funds Perform Favorably — You are subject to the full risks of each Fund. If any Fund performs
poorly, you will be negatively affected, even if the other Funds perform favorably. The securities are not linked to a basket composed
of the Funds, where the better performance of some Funds could offset the poor performance of others. Instead, you are subject to the
full risks of whichever Fund is the lowest performing Fund on each calculation day. As a result, the securities are riskier than an alternative
investment linked to only one of the Funds or linked to a basket composed of each Fund. You should not invest in the securities unless
you understand and are willing to accept the full downside risks of each Fund. |
| · | You May Be Fully Exposed To The Decline In The Lowest Performing Fund On The Final Calculation Day
From Its Starting Price, But Will Not Participate In Any Positive Performance Of Any Fund — Even though you will be fully exposed
to a decline in the price of the lowest performing Fund on the final calculation day if its ending price is below its downside threshold
price, you will not participate in any increase in the price of any Fund over the term of the securities. Your maximum possible return
on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently, your return on the securities
may be significantly less than the return you could achieve on an alternative investment that provides for participation in an increase
in the price of any or each Fund. |
| · | Your Return On The Securities Will Depend Solely On The Performance Of The Fund That Is The Lowest
Performing Fund On Each Calculation Day, And You Will Not Benefit In Any Way From The Performance Of The Better Performing Funds —
Your return on the securities will depend solely on the performance of the Fund that is the lowest performing Fund on each calculation
day. Although it is necessary for each Fund to close at or above its coupon threshold price on |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
the relevant calculation day in order
for you to receive a contingent coupon payment and at or above its downside threshold price on the final calculation day 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
Funds. The securities may underperform an alternative investment linked to a basket composed of the Funds, since in such case the performance
of the better performing Funds would be blended with the performance of the lowest performing Fund, resulting in a better return than
the return of the lowest performing Fund alone.
| · | Higher Contingent Coupon Rates Are Associated With Greater Risk — The securities offer contingent
coupon payments at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These
higher potential contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to
conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the principal amount at maturity. The
volatility of the Funds and the correlation among the Funds are important factors affecting this risk. Volatility is a measure of the
degree of variation in the prices of the Funds over a period of time. Volatility can be measured in a variety of ways, including on a
historical basis or on an expected basis as implied by option prices in the market. The correlation of a pair of Funds represents a statistical
measurement of the degree to which the returns of those Funds are similar to each other over a given period in terms of timing and direction.
Greater expected volatility of the Funds or lower expected correlation among the Funds as of the pricing date may result in a higher contingent
coupon rate, but it also represents a greater expected likelihood as of the pricing date that the fund closing price of at least one Fund
will be less than its coupon threshold price on one or more calculation days, such that you will not receive one or more, or any, contingent
coupon payments during the term of the securities, and that the fund closing price of at least one Fund will be less than its downside
threshold price on the final calculation day such that you will lose a substantial portion, and possibly all, of the principal amount
at maturity. In general, the higher the contingent coupon rate is relative to the fixed rate we would pay on conventional debt securities,
the greater the expected risk that you will not receive one or more, or any, contingent coupon payments during the term of the securities
and that you will lose a substantial portion, and possibly all, of the principal amount at maturity. |
| · | You Will Be Subject To Reinvestment Risk — If your securities are automatically called, the
term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the securities are automatically
called prior to maturity. |
| · | You Will Be Subject To Risks Resulting From The Relationship Between The Funds — The correlation
of a pair of Funds represents a statistical measurement of the degree to which the returns of those Funds 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 Funds will
not be correlated. The less correlated the Funds, the more likely it is that any one of the Funds 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 Funds to perform poorly;
the performance of the better performing Funds is not relevant to your return on the securities. It is impossible to predict what the
relationship between the Funds will be over the term of the securities. The Funds 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 Fund Closing Prices Of The Funds On The
Dates Specified — Any payment on the securities will be determined based on the fund closing prices of the Funds on the dates
specified. You will not benefit from any more favorable values of the Funds determined at any other time. |
| · | Owning The Securities Is Not The Same As Owning Any Or All Of The Funds, The Securities Held By The
Funds Or The Securities Composing The Underlying Indices — The return on your securities may not reflect the return you would
realize if you actually owned any or all of the Funds, the securities held by the Funds or the securities composing the underlying indices.
For instance, as 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 any or all of the Funds, the securities held by the Funds or the securities composing the underlying
indices 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 any Fund will rise or fall. There can be no assurance that the price
of any Fund will not close below its coupon threshold price on any calculation day or below its downside threshold price on the final
calculation day. The price of each Fund will be influenced by complex and interrelated political, economic, financial and other factors
that affect that Fund and the securities held by that Fund. You should be willing to accept the downside risks associated with equities
in general and each Fund in particular, and the risk of losing a significant portion or all of the principal amount. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
| · | Tax Treatment — Significant aspects of the tax treatment of the securities are uncertain.
You should consult your tax advisor about your tax situation. See “Tax Considerations” below. |
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 Funds
| · | The Equity Securities Held By The XLE Fund Are Concentrated In The Energy Sector — All or
substantially all of the equity securities held by the XLE Fund are issued by companies whose primary line of business is directly associated
with the energy sector. Because the value of the securities is determined, in part, by the performance of the XLE Fund, an investment
in the securities will be concentrated in this sector. As a result, the value of the securities may be subject to greater volatility and
be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment
linked to securities of a more broadly diversified group of issuers. Issuers in energy-related industries can be significantly affected
by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant
volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make
substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration
and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation,
world events and economic conditions. These companies may be at risk for environmental damage claims. |
These or other factors
or the absence of such factors could cause a downturn in the energy sector generally or regionally and could cause the value of some or
all of the securities held by the XLE Fund to decline during the term of the securities.
| · | The Equity Securities Held By The XLK Fund Are Concentrated In The Technology Industry —
All or substantially all of the equity securities held by the XLK Fund are issued by companies whose primary line of business is directly
associated with the technology industry. Because the value of the securities is determined, in part, by the performance of the XLK Fund,
an investment in the securities will be concentrated in this industry. As a result, the value of the securities may be subject to greater
volatility and may be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a
different investment linked to securities of a more broadly diversified group of issuers or issuers in a less volatile industry. Technology
companies and companies that rely heavily on technology are vulnerable to rapid changes in technology product cycles, rapid product obsolescence,
government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower
production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned
companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual property
rights, the loss or impairment of which may adversely affect profitability. Additionally, |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
companies in the
technology sector may face unpredictable changes in growth rates and competition for the services of qualified personnel.
These or other factors
or the absence of such factors could cause a downturn in the technology industry generally or regionally and could cause the value of
some or all of the securities held by the XLK Fund to decline during the term of the securities.
| · | The Equity Securities Held By The XLV Fund Are Concentrated In The Health Care Sector — All
or substantially all of the equity securities held by the XLV Fund are issued by companies whose primary line of business is directly
associated with the health care sector. Because the value of the securities is determined, in part, by the performance of the XLV Fund,
an investment in the securities will be concentrated in this sector. As a result, the value of the securities may be subject to greater
volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different
investment linked to securities of a more broadly diversified group of issuers. Companies in the health care sector are subject to extensive
government regulation and their profitability can be significantly affected by restrictions on government reimbursement for medical expenses,
rising costs of medical products and services, pricing pressure (including price discounting), limited product lines and an increased
emphasis on the delivery of health care through outpatient services. Companies in the health care sector are heavily dependent on obtaining
and defending patents, which may be time consuming and costly, and the expiration of patents may also adversely affect the profitability
of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition,
their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products
in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be
time consuming and costly with no guarantee that any product will come to market. |
These or other factors
or the absence of such factors could cause a downturn in the health care sector generally or regionally and could cause the value of some
or all of the securities held by the XLV Fund to decline during the term of the securities.
| · | Certain Features Of The Funds Will Impact The Value Of The Securities
— The performance of each Fund will not fully replicate
the performance of its underlying index, and each Fund may hold securities or other assets not included in its underlying index. The value
of each Fund is subject to: |
| · | Management risk. This is the risk that the investment strategy
for a Fund, the implementation of which is subject to a number of constraints, may not produce the intended results. Each Fund’s
investment adviser may have the right to use a portion of that Fund’s assets to invest in shares of equity securities that are not
included in its underlying index. Each Fund is not actively managed, and each Fund’s investment adviser will generally not attempt
to take defensive positions in declining markets. |
| · | Derivatives risk. Each Fund may invest in derivatives, including forward contracts, futures contracts,
options on futures contracts, options and swaps. A derivative is a financial contract, the value of which depends on, or is derived from,
the value of an underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive
to changes in interest rates or to sudden fluctuations in market prices, and thus a Fund’s losses may be greater than if that Fund
invested only in conventional securities. |
| · | Transaction costs and fees. Unlike its underlying index, each Fund will reflect transaction costs
and fees that will reduce its performance relative to its underlying index. |
Generally, the longer the time remaining
to maturity, the more the market price of the securities will be affected by the factors described above. In addition, a Fund may diverge
significantly from the performance of its underlying index due to differences in trading hours between that Fund and the securities composing
its underlying index or other circumstances. During periods of market volatility, the component securities held by a Fund may be unavailable
in the secondary market, market participants may be unable to calculate accurately the intraday net asset value per share of that Fund
and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants
to create and redeem shares in a Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market value of a Fund may vary
substantially from the net asset value per share of that Fund. Because the securities are linked to the performance of the Funds and not
the underlying indices, the return on your securities may be less than that of an alternative investment linked directly to the underlying
indices.
| · | Adjustments To A Fund Or An Underlying Index Could Adversely Affect The Value Of The Securities And
The Amount You Will Receive At Maturity — The investment adviser of a Fund (a “fund sponsor”) may add, delete or
substitute the component securities held by that Fund or make changes to its investment strategy, and the sponsor of an underlying index
may add, delete, substitute or adjust the securities composing that underlying index or make other methodological changes to that underlying
index that could affect its performance. In addition, if the shares of a Fund are de-listed or if a Fund is liquidated or otherwise terminated,
the calculation agent may select a successor fund that the calculation agent determines to be comparable to that Fund or, if no successor
fund is available, the calculation agent will calculate the value to be used as the fund closing price of that Fund. |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Any of these actions
could adversely affect the value of the relevant Fund and, consequently, the value of the securities. See “General Terms of the
Securities—Certain Terms for Securities Linked to a Fund—Anti-dilution Adjustments Relating to a Fund; Alternate Calculation—Liquidation
Events” in the product supplement.
| · | Anti-Dilution Protection Is Limited, And The Calculation Agent Has Discretion To Make Anti-Dilution
Adjustments — The calculation agent may in its sole discretion make adjustments affecting the amounts payable on the securities
upon the occurrence of certain events with a view to preserving the relative investment risks of the securities. However, the calculation
agent might not make such adjustments in response to all events that could affect the shares of a Fund. The occurrence of any such event
and any adjustment made by the calculation agent (or a determination by the calculation agent not to make any adjustment) may adversely
affect the market price of, and any amounts payable on, the securities. See “General Terms of the Securities—Certain Terms
for Securities Linked to a Fund—Anti-dilution Adjustments Relating to a Fund; Alternate Calculation” in the product supplement. |
| · | We Cannot Control Actions Of Any Of The Unaffiliated Companies Whose Securities Are Included In Any
Fund Or Underlying Index — Actions by any company whose securities are included in any Fund or underlying index may have an
adverse effect on the price of its security, the closing price of such Fund on any calculation day, the ending price of such Fund and
the value of the securities. These unaffiliated companies will not be involved in the offering of the securities and will have no obligations
with respect to the securities, including any obligation to take our or your interests into consideration for any reason. These companies
will not receive any of the proceeds of the offering of the securities and will not be responsible for, and will not have participated
in, the determination of the timing of, prices for, or quantities of, the securities to be issued. These companies will not be involved
with the administration, marketing or trading of the securities and will have no obligations with respect to any amounts to be paid to
you on the securities. |
| · | We And Our Affiliates Have No Affiliation With Any Fund Sponsor Or Underlying Index Sponsor 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 any Fund sponsor or underlying index sponsor (collectively, the “sponsors”) and have no ability to control
or predict their actions, including any errors in or discontinuation of disclosure regarding the methods or policies relating to the management
or calculation of the applicable Fund or underlying index. We have derived the information about the sponsors, the Funds and the underlying
indices contained in this pricing supplement and the accompanying underlying supplement from publicly available information, without independent
verification. You, as an investor in the securities, should make your own investigation into each Fund, each underlying index and the
sponsors. The sponsors will not be involved in the offering of the securities made hereby in any way, and the sponsors do not have any
obligation to consider your interests as an owner of the securities in taking any actions that might affect the value of the securities. |
| · | The Historical Performance Of The Funds Is Not An Indication Of Their Future Performance —
The historical performance of the Funds should not be taken as an indication of the future performance of the Funds. It is impossible
to predict whether the fund closing prices of the Funds 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 Funds 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 Fund 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 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 Funds or the securities held by the Funds. 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
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 Funds 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 whether a market disruption event has occurred
on any date that the price of a Fund is to be determined; if the shares of the Fund are de-listed or if the Fund is liquidated or otherwise
terminated, selecting a successor fund or, if no successor fund is available, determining any value necessary to calculate any payments
on the securities; and determining whether to adjust any variable described herein in the case of certain events related to the Fund that
the calculation agent determines have a diluting or concentrative effect on the theoretical value of the shares of the Fund. 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 Funds 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 Funds and the securities held by the Funds; |
| · | correlation (or lack of correlation) of the Funds; |
| · | the time to maturity of the securities; |
| · | the market prices of, and dividend rates on, the Funds and the securities held by the Funds; |
| · | interest and yield rates in the market generally; |
| · | supply and demand for the securities; |
| · | a variety of economic, financial, political, regulatory and judicial events; and |
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
| · | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value Of Your Securities Is Lower Than The Original Offering Price Of Your Securities
— The estimated value of your securities on the pricing date is 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 a result of certain factors, such
as any sales commissions, selling concessions, discounts, commissions or fees 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 value referenced above might be lower if
such estimated value were based on the levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value Of The 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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Hypothetical
Returns
If the securities are automatically called:
If the securities are automatically called prior
to stated maturity, you will receive the principal amount of your securities plus the contingent coupon payment otherwise due on the applicable
call settlement date. In the event the securities are automatically called, your total return on the securities will equal any contingent
coupon payments received prior to the call settlement date and the contingent coupon payment received on the call settlement date.
If the securities are not automatically called:
If the securities are not automatically called
prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Fund
on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding any contingent
coupon payment otherwise due). The performance factor of the lowest performing Fund on the final calculation day is calculated as its
ending price divided by its starting price.
| Hypothetical performance factor of lowest performing Fund on final calculation day |
Hypothetical maturity payment amount per security |
| 175.00% |
$1,000.00 |
| 150.00% |
$1,000.00 |
| 140.00% |
$1,000.00 |
| 130.00% |
$1,000.00 |
| 120.00% |
$1,000.00 |
| 110.00% |
$1,000.00 |
| 100.00% |
$1,000.00 |
| 90.00% |
$1,000.00 |
| 80.00% |
$1,000.00 |
| 70.00% |
$1,000.00 |
| 69.00% |
$690.00 |
| 60.00% |
$600.00 |
| 50.00% |
$500.00 |
| 40.00% |
$400.00 |
| 25.00% |
$250.00 |
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity (excluding any contingent coupon payment otherwise due); any positive
return will be based solely on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual
amount you will receive at stated maturity will depend on the actual ending price of the lowest performing Fund on the final calculation
day. The performance of the better performing Funds is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Hypothetical
Automatic Calls and Contingent Coupon Payments
Set forth below are examples that illustrate how
to determine whether the securities will be automatically called and whether a contingent coupon payment will be paid on a contingent
coupon payment date prior to the stated maturity date. The examples do not reflect any specific contingent coupon payment date but assume
that the securities are subject to automatic call on the applicable calculation day. The securities will not be subject to automatic call
until the sixth calculation day, which is approximately six months after the issue date. The following examples assume the hypothetical
starting price, coupon threshold price and fund closing prices for each Fund indicated in the examples. The terms used for purposes of
these hypothetical examples do not represent any actual starting price or coupon threshold price. The hypothetical starting price of $100.00
for each Fund has been chosen for illustrative purposes only and does not represent the actual starting price for any Fund. The actual
starting price and coupon threshold price for each Fund are set forth under “Terms of the Securities” above. For historical
closing prices of the Funds, see the historical information set forth under the sections titled “The Energy Select Sector SPDR® Fund,”
“The Technology Select Sector SPDR® Fund” and “The Health Care Select Sector SPDR® Fund”
below. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The fund closing price of the
lowest performing Fund on the relevant calculation day is greater than or equal to its coupon threshold price and less than its starting
price. As a result, the securities are not automatically called and investors receive a contingent coupon payment on the applicable contingent
coupon payment date.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical fund closing price on relevant calculation day: |
$95.00 |
$115.00 |
$90.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Performance factor (fund closing price on calculation day divided by starting price): |
95.00% |
115.00% |
90.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the relevant calculation day.
In this example, the XLV Fund has the
lowest performance factor and is, therefore, the lowest performing Fund on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable contingent coupon payment
date.
Since the hypothetical fund closing price
of the lowest performing Fund on the relevant calculation day is greater than or equal to its hypothetical coupon threshold price, but
less than its hypothetical starting price, the securities would not be automatically called and you would receive a contingent coupon
payment on the applicable contingent coupon payment date. The contingent coupon payment would be equal to $8.96 per security, determined
as follows: (i) $1,000 multiplied by 10.75% per annum divided by (ii) 12, rounded to the nearest cent.
Example 2. The fund closing price of the
lowest performing Fund on the relevant calculation day is less than its coupon threshold price. As a result, the securities are not automatically
called and investors do not receive a contingent coupon payment on the applicable contingent coupon payment date.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical fund closing price on relevant calculation day: |
$125.00 |
$55.00 |
$105.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Performance factor (fund closing price on calculation day divided by starting price): |
125.00% |
55.00% |
105.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the relevant calculation day.
In this example, the XLK Fund has
the lowest performance factor and is, therefore, the lowest performing Fund on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable contingent coupon payment
date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
The securities would not be automatically
called, even though the fund closing prices of the better performing Funds on the relevant calculation day are greater than their hypothetical
starting prices. In addition, since the hypothetical fund closing price of the lowest performing Fund on the relevant calculation day
is less than its hypothetical coupon threshold price, you would not receive a contingent coupon payment on the applicable contingent coupon
payment date. As this example illustrates, whether the securities are automatically called and whether you receive a contingent coupon
payment on a contingent coupon payment date will depend solely on the fund closing price of the lowest performing Fund on the relevant
calculation day. This will be the case even if the better performing Funds perform favorably. The performance of the better performing
Funds is not relevant to your return on the securities.
Example 3. The fund closing price of the
lowest performing Fund on the relevant calculation day is greater than or equal to its starting price. As a result, the securities are
automatically called on the applicable contingent coupon payment date for the principal amount plus the contingent coupon payment otherwise
due.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical fund closing price on relevant calculation day: |
$105.00 |
$115.00 |
$130.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Performance factor (fund closing price on calculation day divided by starting price): |
105.00% |
115.00% |
130.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the relevant calculation day.
In this example, the XLE Fund has the
lowest performance factor and is, therefore, the lowest performing Fund on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable contingent coupon payment
date.
Since the hypothetical fund closing price
of the lowest performing Fund on the relevant calculation day is greater than or equal to its hypothetical starting price, the securities
would be automatically called and you would receive the principal amount plus the contingent coupon payment otherwise due on the call
settlement date. On the call settlement date, you would receive $1,008.96 per security.
If the securities are automatically called prior
to maturity, you will not receive any further payments after the call settlement date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Hypothetical
Maturity Payment Amount
Set forth below are examples of calculations of
the maturity payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated
maturity and assuming the hypothetical starting price, coupon threshold price, downside threshold price and ending prices for each Fund
indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting price, coupon
threshold price or downside threshold price. The hypothetical starting price of $100.00 for each Fund has been chosen for illustrative
purposes only and does not represent the actual starting price for any Fund. The actual starting price, coupon threshold price and downside
threshold price for each Fund are set forth under “Terms of the Securities” above. For historical closing prices of the Funds,
see the historical information set forth under the sections titled “The Energy Select Sector SPDR® Fund,”
“The Technology Select Sector SPDR® Fund” and “The Health Care Select Sector SPDR® Fund”
below. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending price of the lowest
performing Fund on the final calculation day is greater than its starting price, the maturity payment amount is equal to the principal
amount of your securities at maturity and you receive the contingent coupon payment otherwise due.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$135.00 |
$145.00 |
$125.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Hypothetical downside threshold price: |
$70.00 |
$70.00 |
$70.00 |
| Performance factor (ending price divided by starting price): |
135.00% |
145.00% |
125.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the final calculation day.
In this example, the XLV Fund has the
lowest performance factor and is, therefore, the lowest performing Fund on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of
the lowest performing Fund on the final calculation day is greater than its hypothetical downside threshold price, the maturity payment
amount would equal the principal amount. Although the hypothetical ending price of the lowest performing Fund on the final calculation
day is significantly greater than its hypothetical starting price in this scenario, the maturity payment amount will not exceed the principal
amount.
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000.00 per security as well as the
contingent coupon payment otherwise due because the hypothetical ending price of the lowest performing Fund on the final calculation day
is greater than its hypothetical coupon threshold price.
Example 2. The ending price of the lowest
performing Fund on the final calculation day is less than its starting price and its coupon threshold price but greater than its downside
threshold price and the maturity payment amount is equal to the principal amount of your securities at maturity, but you will not receive
a final contingent coupon payment.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$115.00 |
$72.50 |
$110.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Hypothetical downside threshold price: |
$70.00 |
$70.00 |
$70.00 |
| Performance factor (ending price divided by starting price): |
115.00% |
72.50% |
110.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the final calculation day.
In this example, the XLK Fund has the
lowest performance factor and is, therefore, the lowest performing Fund on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of
the lowest performing Fund on the final calculation day is not less than its hypothetical downside threshold price, you would be repaid
the principal amount of your securities at maturity.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000.00 per security. However, because
the hypothetical ending price of the lowest performing Fund is less than its hypothetical coupon threshold price, you will not receive
a final contingent coupon payment.
Example 3. The ending price of the lowest
performing Fund on the final calculation day is less than its coupon threshold price and its downside threshold price, the maturity payment
amount is less than the principal amount of your securities at maturity and you do not receive a contingent coupon payment at maturity.
| |
XLE Fund |
XLK Fund |
XLV Fund |
| Hypothetical starting price: |
$100.00 |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$45.00 |
$120.00 |
$90.00 |
| Hypothetical coupon threshold price: |
$75.00 |
$75.00 |
$75.00 |
| Hypothetical downside threshold price: |
$70.00 |
$70.00 |
$70.00 |
| Performance factor (ending price divided by starting price): |
45.00% |
120.00% |
90.00% |
Step 1: Determine which Fund
is the lowest performing Fund on the final calculation day.
In this example, the XLE Fund has the
lowest performance factor and is, therefore, the lowest performing Fund on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price
of the lowest performing Fund on the final calculation day is less than its hypothetical downside threshold price, you would lose a portion
of the principal amount of your securities and receive the maturity payment amount equal to $450.00 per security, calculated as follows:
$1,000 × performance factor of the lowest
performing Fund on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $450.00 per security, but no contingent
coupon payment because the hypothetical ending price of the lowest performing Fund on the final calculation day is less than its hypothetical
coupon threshold price.
These examples illustrate that you will not participate
in any appreciation of any Fund, but will be fully exposed to a decrease in the lowest performing Fund if the ending price of the lowest
performing Fund on the final calculation day is less than its downside threshold price, even if the ending prices of the other Funds have
appreciated or have not declined below their respective downside threshold prices.
To the extent that the starting price, coupon
threshold price, downside threshold price and ending price of the lowest performing Fund on the final calculation day differ from the
values assumed above, the results indicated above would be different.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
The
Energy Select Sector SPDR® Fund
According to publicly available information, the
Energy Select Sector SPDR® Fund is an exchange-traded fund of the Select Sector Trust,
a registered investment company, that seeks to provide investment results that, before expenses, correspond generally to the price
and yield performance of the Energy Select Sector Index (with respect to the XLE Fund, the “underlying index”). The underlying
index is a capped modified market capitalization-based index that measures the performance of the GICS® energy sector,
which currently includes companies in the following industries: oil, gas and consumable fuels; and energy equipment and services. For
more information about the XLE Fund, see “Exchange-Traded Funds—The Select Sector SPDR® ETFs” in the
accompanying underlying supplement.
Historical Information
We obtained the closing prices of the XLE Fund
displayed in the graph below from Bloomberg Professional® service (“Bloomberg”) without independent verification.
The historical performance of the XLE Fund should not be taken as an indication of the future performance of the XLE Fund. Future performance
of the XLE Fund may differ significantly from historical performance, and no assurance can be given as to the closing prices of the XLE
Fund during the term of the securities, including on any calculation day. We cannot give you assurance that the performance of the XLE
Fund will not result in a loss on your initial investment. The closing prices below may have been adjusted to reflect certain actions,
such as stock splits and reverse stock splits.
The following graph sets forth daily closing prices
of the XLE Fund for the period from January 1, 2019 to November 13, 2024. The closing price on November 13, 2024 was $94.51.
 |
| * The dotted lines indicate the coupon threshold price and downside threshold price of 75% and 70%, respectively, of the starting price of the XLE Fund. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
The
Technology Select Sector SPDR® Fund
According to publicly available information, the
Technology Select Sector SPDR® Fund is an exchange-traded fund of the Select Sector
Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond generally to
the price and yield performance of the Technology Select Sector Index (with respect to the
XLK Fund, the “underlying index”). The underlying index is a capped modified market capitalization-based index that measures
the performance of the GICS® information technology sector, which currently includes companies in the following industries:
technology hardware, storage and peripherals; software; communications equipment; semiconductors and semiconductor equipment; IT services;
and electronic equipment, instruments and components. For more information about the XLK Fund, see “Exchange-Traded Funds—The
Select Sector SPDR® ETFs” in the accompanying underlying supplement.
Historical Information
We obtained the closing prices of the XLK Fund
displayed in the graph below from Bloomberg without independent verification. The historical performance of the XLK Fund should not be
taken as an indication of the future performance of the XLK Fund. Future performance of the XLK Fund may differ significantly from historical
performance, and no assurance can be given as to the closing prices of the XLK Fund during the term of the securities, including on any
calculation day. We cannot give you assurance that the performance of the XLK Fund will not result in a loss on your initial investment.
The closing prices below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.
The following graph sets forth daily closing prices
of the XLK Fund for the period from January 1, 2019 to November 13, 2024. The closing price on November 13, 2024 was $235.33.
 |
| * The dotted lines indicate the coupon threshold price and downside threshold price of 75% and 70%, respectively, of the starting price of the XLK Fund. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
The
Health Care Select Sector SPDR® Fund
According to publicly available information, the
Health Care Select Sector SPDR® Fund is an exchange-traded fund of the Select Sector
Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond generally to
the price and yield performance of the Health Care Select Sector Index (with respect to the
XLV Fund, the “underlying index”). The underlying index is a capped modified market capitalization-based index that measures
the performance of the GICS® health care sector, which currently includes companies in the following industries: pharmaceuticals;
health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care
technology. For more information about the XLV Fund, see “Exchange-Traded Funds—The Select Sector SPDR® ETFs”
in the accompanying underlying supplement.
Historical Information
We obtained the closing prices of the XLV Fund
displayed in the graph below from Bloomberg without independent verification. The historical performance of the XLV Fund should not be
taken as an indication of the future performance of the XLV Fund. Future performance of the XLV Fund may differ significantly from historical
performance, and no assurance can be given as to the closing prices of the XLV Fund during the term of the securities, including on any
calculation day. We cannot give you assurance that the performance of the XLV Fund will not result in a loss on your initial investment.
The closing prices below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.
The following graph sets forth daily closing prices
of the XLV Fund for the period from January 1, 2019 to November 13, 2024. The closing price on November 13, 2024 was $146.83.
 |
| * The dotted lines indicate the coupon threshold price and downside threshold price of 75% and 70%, respectively, of the starting price of the XLV Fund. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Tax
Considerations
You should review carefully the sections in the
accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities,
if any, we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any contingent coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised
that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the
“IRS”) or a court may adopt.
Sale, exchange or redemption of a security.
Assuming the treatment described above is respected, if you are a U.S. holder, upon a sale or exchange of the securities (including redemption
upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized
on the sale or exchange and your tax basis in the securities, which should equal the amount you paid to acquire the securities (assuming
contingent coupon payments are properly treated as ordinary income, consistent with the position referred to above). This gain or loss
should be short-term capital gain or loss unless you hold the securities for more than one year, in which case the gain or loss should
be long-term capital gain or loss, whether or not you are an initial purchaser of the securities at the issue price. The deductibility
of capital losses is subject to limitations. If you sell your securities between the time your right to a contingent coupon payment is
fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the contingent coupon payment.
Although uncertain, it is possible that proceeds received from the sale or exchange of your securities prior to a calculation day but
that can be attributed to an expected contingent coupon payment could be treated as ordinary income. You should consult your tax advisor
regarding this issue.
As noted above, there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income or loss on the securities could be materially
affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require
investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying
property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the 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.
Non-U.S. holders. Insofar as we have responsibility
as a withholding agent, we do not currently intend to treat contingent coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading
“—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally
impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one”
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on our 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. 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
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Energy Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund due October 18, 2027
Validity
of the Securities
In the opinion of Davis Polk & Wardwell LLP,
as special United States products counsel to Barclays Bank PLC, when the securities offered by this pricing supplement have been executed
and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such securities will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable
principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and
possible judicial or regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’
rights, provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws
of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied,
with Barclays Bank PLC’s permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of July 12, 2024, filed as
an exhibit to a report on Form 6-K by Barclays Bank PLC on July 12, 2024, and this opinion is subject to the same assumptions, qualifications
and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary
assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the securities
and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis
Polk & Wardwell LLP, dated July 12, 2024, which has been filed as an exhibit to the report on Form 6-K referred to above.
Exhibit
107.1
Calculation
of Filing Fee Table
F-3
(Form Type)
Barclays
Bank PLC
(Exact Name of Registrant as Specified in its Charter)
Table
1—Newly Registered Securities
| |
Security
Type |
Security
Class Title |
Fee
Calculation or Carry Forward Rule |
Amount
Registered |
Proposed
Maximum Offering Price Per Unit |
Maximum
Aggregate Offering Price |
Fee
Rate |
Amount
of Registration Fee |
| Fees
to be Paid |
Debt |
Global
Medium-Term Notes, Series A |
457(r) |
776 |
$1,000 |
$776,000 |
0.0001531 |
$118.81 |
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering.
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