Pricing
Supplement dated May 22, 2024
(To the
Prospectus dated May 23, 2022, the Prospectus Supplement dated June 27, 2022
and the Underlying Supplement dated June 21, 2023)
|
Filed
Pursuant to Rule 424(b)(2)
Registration
No. 333-265158
|
|
$685,000
Autocallable Notes due May 25, 2029
Linked to the Barclays Trailblazer Switch Index
Global Medium-Term Notes,
Series A
|
Unlike ordinary
debt securities, the Notes do not pay interest. Instead, as described below, the Notes will be automatically redeemed for a Redemption
Premium if the Closing Value of the Underlier on any Observation Date (other than the Final Valuation Date) is greater than or
equal to the Call Value. If the Notes are not automatically redeemed, the Notes offer unleveraged exposure to potential appreciation
of the Underlier from the Initial Underlier Value to the Final Underlier Value. Investors should be willing to forgo dividend payments
and, if the Notes are not automatically redeemed and the Final Underlier Value is less than or equal to the Initial Underlier
Value, be willing to receive no more than their investment at maturity.
Terms
used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
Issuer: |
Barclays Bank PLC |
Denominations: |
Minimum denomination of $1,000, and integral
multiples of $1,000 in excess thereof |
Initial Valuation Date: |
May 22, 2024 |
Final Valuation Date:† |
May 22, 2029 |
Issue Date: |
May 28, 2024 |
Maturity Date:† |
May 25, 2029 |
Reference Asset:* |
The Barclays Trailblazer
Switch Index (Bloomberg ticker symbol “BXIITBS5<Index>”) (the “Underlier” or the “Index”) |
Automatic Redemption: |
The
Notes will not be automatically redeemable for approximately the first year after the Issue Date. If, on any Observation
Date (other than the Final Valuation Date), the Closing Value of the Underlier is greater than or equal to
the Call Value, the Notes will be automatically redeemed and you will receive on the relevant Redemption Settlement
Date a cash payment per $1,000 principal amount Note that will provide a return equal to the applicable Redemption
Premium, calculated as follows:
$1,000
+ ($1,000 × applicable Redemption Premium)
No further
amounts will be payable on the Notes after they have been automatically redeemed.
|
Call Value: |
192.85, which is 100.25% of the Initial
Underlier Value (rounded to two decimal places) |
Redemption Premium: |
The Redemption Premium applicable to each
Observation Date (other than the Final Valuation Date) is set forth in the table below. |
|
Observation
Date |
Redemption
Premium |
Observation
Date |
Redemption
Premium |
|
First |
8.00% |
Third |
24.00% |
|
Second |
16.00% |
Fourth |
32.00% |
|
If the Notes are automatically
redeemed, your return on the Notes will not exceed the applicable Redemption Premium, and your return will not be based on the amount
of any appreciation in the value of the Underlier, which may be significant. |
Payment at Maturity: |
If
the Notes are not automatically redeemed, you will receive on the Maturity Date a cash payment per $1,000 principal amount Note
determined as follows:
§ If
the Final Underlier Value is greater than the Initial Underlier Value, you will receive an amount per $1,000 principal amount
Note calculated as follows:
$1,000
+ ($1,000 × Underlier Return)
§ If
the Final Underlier Value is less than or equal to the Initial Underlier Value, you will receive a payment of $1,000
per $1,000 principal amount Note
Any
payment on the Notes, including any repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness
of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power (as described on page PS-5 of this pricing supplement)
by the relevant U.K. resolution authority. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power”
in this pricing supplement and “Risk Factors” in the accompanying prospectus supplement.
|
Index Fee and Costs: |
The Underlier
includes an index fee of 0.85% per annum. In addition, the Underlier is an “excess return” index, meaning that it tracks
the performance of the Index Components (as defined under “Information Regarding the Underlier” in this pricing supplement)
minus a synthetic borrowing cost (represented by the Effective Federal Funds Rate plus a fixed spread of 0.25%).
The Index
Components must perform sufficiently well to offset the effect of such index fee and such borrowing cost in order for the Underlier
to appreciate in value and, accordingly, for you to earn any positive return on your Notes. See “Information Regarding the
Underlier” in this pricing supplement and “Selected Risk Considerations—Risks Relating to the Underlier Generally—The
Deduction of Synthetic Financing Costs and an Index Fee Will Adversely Affect Index Performance” in this pricing supplement
for additional information.
|
Index Sponsor: |
The Underlier was created by Barclays Bank PLC, which
is the owner of the intellectual property and licensing rights relating to the Underlier. The Underlier is operated by Barclays Index
Administration, a distinct function within Barclays Bank PLC (in such capacity, the “Index Sponsor” and as described
under “Information Regarding the Underlier” in this pricing supplement). |
Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term
of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner
of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of
the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K.
resolution authority. See “Consent to U.K. Bail-in Power” on page PS-5 of this pricing supplement. |
(Terms
of the Notes continue on the next page)
|
|
Initial
Issue Price(1)(2) |
Price
to Public |
Agent’s
Commission(3) |
Proceeds
to Barclays Bank PLC |
|
Per Note |
$1,000 |
100% |
3.675% |
96.325% |
|
Total |
$685,000.00 |
$685,000.00 |
$25,173.75 |
$659,826.25 |
| (1) | Because dealers
who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or
all selling concessions, fees or commissions, the public offering price for investors purchasing
the Notes in such fee-based advisory accounts may be between $963.25 and $1,000 per Note.
Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees
by the investment advisor or manager of such account based on the amount of assets held in
those accounts, including the Notes. |
| (2) | Our estimated
value of the Notes on the Initial Valuation Date, based on our internal pricing models, is
$942.00 per Note. The estimated value is less than the initial issue price of the Notes.
See “Additional Information Regarding Our Estimated Value of the Notes” on page
PS-6 of this pricing supplement. |
| (3) | Barclays Capital
Inc. will receive commissions from the Issuer of $36.75 per $1,000 principal amount Note.
Barclays Capital Inc. will use these commissions to pay selling concessions or fees (including
custodial or clearing fees) to other dealers. |
Investing
in the Notes involves a number of risks. See “Risk Factors” beginning on page S-9 of the prospectus
supplement and “Selected Risk Considerations” beginning on page PS-13 of this pricing supplement.
We may
use this pricing supplement in the initial sale of the Notes. In addition, Barclays Capital Inc. or any other of our affiliates may use
this pricing supplement in market resale transactions in any Notes 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.
The Notes
will not be listed on any U.S. securities exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the
“SEC”) nor any state securities commission has approved or disapproved of these Notes or determined that this pricing supplement
is truthful or complete. Any representation to the contrary is a criminal offense.
The
Notes constitute our unsecured and unsubordinated obligations. The Notes are not deposit liabilities of Barclays Bank PLC and are not
covered by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance
Corporation or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction.
(Terms
of the Notes continued from previous page)
Underlier Return: |
Final Underlier
Value – Initial Underlier Value
Initial Underlier Value |
Initial Underlier Value: |
192.3679, the Closing Value of the Underlier on the
Initial Valuation Date |
Final Underlier Value: |
The Closing Value of the Underlier on the Final Valuation
Date |
Observation Dates:† |
May 22, 2025, May 22, 2026, May 24, 2027, May 22, 2028
and the Final Valuation Date |
Redemption Settlement Dates:† |
May 30, 2025, June 1, 2026, June 1, 2027 and May 30,
2028 |
Closing Value:* |
Closing Value means, with respect to the Underlier
on any date, the official closing level of the Underlier with respect to that date, as calculated and published by the Index Sponsor
and displayed on Bloomberg Professional® service (“Bloomberg”) page “BXIITBS5 <Index>”
or any successor page on Bloomberg or any successor service, as applicable. |
Calculation Agent: |
Barclays Bank PLC |
CUSIP / ISIN: |
06745QVQ9 / US06745QVQ99 |
| * | If the Underlier
is discontinued or if the sponsor of the Underlier fails to publish the Underlier, the Calculation
Agent may select a successor index or, if no successor index is available, may calculate
the value to be used as the Closing Value of the Underlier. In addition, the Calculation
Agent may calculate the value to be used as the Closing Value of the Underlier in the event
of certain changes in or modifications to the Underlier. For more information, see “Supplemental
Terms of the Notes—Discontinuation of the Underlier; Alteration of Methodology or Calculation
of the Underlier” in this pricing supplement. |
| † | Each
Observation Date may be postponed if a Market Disruption Event occurs on that Observation
Date as described under “Supplemental Terms of the Notes—Market Disruption Events”
in this pricing supplement. In addition, a Redemption Settlement Date and/or the Maturity
Date will be postponed if that day is not a business day as described under “Terms
of the Notes—Payment Dates” in the accompanying prospectus supplement or if the
relevant Observation Date is postponed as described under “Supplemental Terms of the
Notes—Market Disruption Events” in this pricing supplement. |
ADDITIONAL
DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should
read this pricing supplement together with the prospectus dated May 23, 2022, as supplemented by the prospectus supplement dated June
27, 2022 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part, and the underlying supplement dated June
21, 2023. This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement and “Selected
Risk Considerations” in this pricing supplement, as the Notes involve risks not associated with conventional debt securities. We
urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access
these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant
date on the SEC website):
| • | Prospectus
dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| • | Prospectus
Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
| • | Underlying
Supplement dated June 21, 2023: |
Our SEC file
number is 1–10257. As used in this pricing supplement, “we,” “us”
and “our” refer to Barclays Bank PLC.
SUPPLEMENTAL
TERMS OF THE NOTES
Notwithstanding
anything to the contrary in the accompanying prospectus supplement, the following provisions will apply for purposes of the Notes.
Market
Disruption Events
If
the Calculation Agent determines that, on any Observation Date, a Market Disruption Event occurs or is continuing with respect to the
Underlier, that Observation Date will be postponed to the immediately succeeding Index Business Day (as defined under “Information
Regarding the Underlier” in this pricing supplement) on which no Market Disruption Event occurs or is continuing. In no event,
however, will an Observation Date be postponed by more than five scheduled Index Business Days. If the Calculation Agent determines that
a Market Disruption Event occurs or is continuing with respect to the Underlier on that fifth day, the Calculation Agent will determine
the Closing Value of the Underlier for that fifth day in good faith and in a commercially reasonable manner.
If
the Final Valuation Date is postponed, the Maturity Date will be postponed such that the number of business days from the Final Valuation
Date to the Maturity Date remains the same.
With
respect to the Notes, a “Market Disruption Event” means:
| • | the
occurrence of a Trading Disruption Event, an Index Market Disruption Event or an Index Disruption
Event (each as defined under “The Barclays Trailblazer Switch Index—Additional
Index Determinations” in the accompanying underlying supplement); or |
| • | the
failure of the Index Sponsor to calculate and publish the official closing level of the Underlier
on an Index Business Day |
in
each case as determined by the Calculation Agent in its sole discretion.
Discontinuation
of the Underlier; Alteration of Methodology or Calculation of the Underlier
If
the Index Sponsor discontinues publication of the Underlier and the Index Sponsor or another entity publishes a successor or substitute
index that the Calculation Agent determines, in its sole discretion, to be comparable to the discontinued Index (such index being referred
to herein as a “Successor Index”), then the Closing Value of the Underlier on the Final Valuation Date, or any other relevant
date on which the Closing Value of the Underlier is to be determined, will be determined by reference to the level of that Successor
Index at the time of daily final publication, or close of trading on the relevant exchange or market for that Successor Index, as applicable,
on that date. If a Successor Index is selected by the Calculation Agent, the Successor Index will be used as a substitute for the Underlier
for all purposes under the Notes, and the Calculation Agent may in its sole discretion adjust any variable described in this pricing
supplement, including but not limited to any level (including but not limited to the Initial Underlier Value, the Final Underlier Value
and the Closing Value on any relevant date), or any combination thereof. The Calculation Agent will make any such adjustment with a view
to offsetting, to the extent practicable, any difference in the relative levels of the Index and the Successor Index at the time the
Index is replaced by the Successor Index.
If an Index
Cancellation occurs on or prior to any Observation Date or any other relevant date on which the Closing Value of the Underlier is to
be determined and is continuing on that date, then the Calculation Agent may in its sole discretion determine to compute the Closing
Value of the Underlier in accordance with the formula for and method of calculating the Underlier or Successor Index, as applicable,
last in effect prior to that Index Cancellation.
An “Index
Cancellation” will occur if (a) the Index Sponsor discontinues publication of the Closing Value of the Underlier on or prior to
any Observation Date (or any other relevant date on which the Closing Value of the Underlier is to be determined) and that discontinuation
is continuing on that Observation Date (or other relevant date) and the Calculation Agent determines that no Successor Index is available
at that time or (b) the Calculation Agent has previously selected a Successor Index and publication of that Successor Index is discontinued
prior to, and that discontinuation is continuing on, that Observation Date or that other relevant date.
If at any
time the method of calculating the Underlier or a Successor Index, or the level thereof, is changed in a material respect, or if the
Underlier or a Successor Index is in any other way modified such that the Underlier or that Successor Index does not, in the opinion
of the Calculation Agent, fairly represent the level of the Underlier or that Successor Index had those changes or modifications not
been made, then the Calculation Agent may in its sole discretion determine to make such calculations and adjustments as the Calculation
Agent determines may be necessary in order to arrive at a level for the Underlier or Successor Index comparable to the Underlier or Successor
Index, as the case may be, as if those changes or modifications had not been made, and determine whether the Notes are automatically
redeemed and calculate the payment at maturity or any other payment to be made on the Notes with reference to the Underlier (or Successor
Index), as adjusted.
consent
to u.k. bail-in
power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which
the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank
or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K.
banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the
relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities
or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other
amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of
a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K.
resolution authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of
Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as
well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL
INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
Our internal
pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize,
typically including volatility, interest rates and our internal funding rates. Our internal funding rates (which are our internally published
borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity)
may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation
Date is based on our internal funding rates. Our estimated value of the Notes might be lower if such valuation were based on the levels
at which our benchmark debt securities trade in the secondary market.
Our estimated
value of the Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between the initial
issue price of the Notes and our estimated value of the Notes 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 Notes, the estimated cost that we may incur in hedging our obligations under the Notes, and estimated development and other costs
that we may incur in connection with the Notes.
Our estimated
value on the Initial Valuation Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it
be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions,
Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated
to do so.
Assuming that
all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or
sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide
any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary period expected
to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse to investors a
portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the Notes that we will no
longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary reimbursement period
on the basis of a number of factors, which may include the tenor of the Notes and/or any agreement we may have with the distributors
of the Notes. The amount of our estimated costs that we effectively reimburse to investors in this way may not be allocated ratably throughout
the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after
the initial Issue Date of the Notes based on changes in market conditions and other factors that cannot be predicted.
We urge
you to read the “Selected Risk Considerations” beginning on page PS-13 of this pricing supplement.
Selected
Purchase Considerations
The
Notes are not appropriate for all investors. The Notes may be an appropriate investment for you if all of the following statements are
true:
| • | You
do not seek an investment that produces periodic interest or coupon payments or other sources
of current income. |
| • | You
understand and accept that, if the Notes are automatically redeemed, you will not participate
in any appreciation of the Underlier, which may be significant, and that your return potential
on the Notes is limited to the applicable Redemption Premium. |
| • | You
anticipate that the Closing Value of the Underlier will be greater than or equal to the Call
Value or Initial Underlier Value, as applicable, on at least one Observation Date. |
| • | You
understand and accept that you may not earn any positive return on your Notes. |
| • | You
understand and accept that the performance of the Underlier will be affected by an index
fee of 0.85% per annum and by the reduction of a synthetic financing cost. |
| • | You
understand and accept that the investment strategy used to construct the Index may not be
successful and may underperform any alternative portfolio or strategy that might be constructed
from the Index Components. |
| • | You
understand and accept that the realized volatility of the Index may not approximate its target
volatility and that the realized volatility of the Index may be greater or less than its
target volatility, perhaps significantly. |
| • | You
understand and are willing and able to accept the other risks associated with an investment
linked to the performance of the Underlier, 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 Index Components or the component securities held by the
Index Components, nor will you have any voting rights with respect to the Index Components
or the component securities held by the Index Components. |
| • | You
are willing and able to accept the risk that the Notes may be automatically redeemed 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 Notes to maturity if the Notes are not automatically redeemed. |
| • | You
are willing and able to assume our credit risk for all payments on the Notes. |
| • | You
are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant
U.K. resolution authority. |
The
Notes may not be an appropriate investment for you if any of the following statements are true:
| • | You
seek an investment that produces periodic interest or coupon payments or other sources of
current income. |
| • | You
seek an investment that, if the Notes are automatically redeemed, participates in the full
appreciation of the Underlier rather than an investment with a return that is limited to
the applicable Redemption Premium. |
| • | You
anticipate that the Closing Value of the Underlier will be less than the Call Value or Initial
Underlier Value, as applicable, on each Observation Date. |
| • | You
do not understand and/or are unable to accept that you may not earn any positive return on
your Notes. |
| • | You
are unwilling or unable to accept that the performance of the Underlier will be affected
by an index fee of 0.85% per annum and by the reduction of a synthetic financing cost. |
| • | You
are unwilling or unable to accept that the investment strategy used to construct the Index
may not be successful and may underperform any alternative portfolio or strategy that might
be constructed from the Index Components. |
| • | You
are unwilling or unable to accept that the realized volatility of the Index may not approximate
its target volatility and that the realized volatility of the Index may be greater or less
than its target volatility, perhaps significantly. |
| • | You
are unwilling or unable to accept the other risks associated with an investment linked to
the performance of the Underlier, 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 Index Components or the component securities held by the Index Components. |
| • | You
are unwilling or unable to accept the risk that the Notes may be automatically redeemed. |
| • | You
seek an investment for which there will be an active secondary market, and/or you are unwilling
or unable to hold the Notes to maturity if the Notes are not automatically redeemed. |
| • | You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed-income
investments with comparable maturities and credit ratings. |
| • | You
are unwilling or unable to assume our credit risk for all payments on the Notes. |
| • | You
are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant
U.K. resolution authority. |
You
must rely on your own evaluation of the merits of an investment in the Notes. You should reach
a decision whether to invest in the Notes after carefully considering, with your advisors, the appropriateness of the Notes in light
of your investment objectives and the specific information set out in this pricing supplement, the prospectus, the prospectus supplement
and the underlying supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the appropriateness of the
Notes for investment.
HYPOTHETICAL
EXAMPLES OF AMOUNTS PAYABLE upon an automatic REDEMPTION
The following
examples demonstrate the hypothetical total return upon an automatic redemption under various circumstances. The examples set forth below
are purely hypothetical and are provided for illustrative purposes only. The numbers appearing in the following tables and examples have
been rounded for ease of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the
Notes and make the following key assumptions:
| • | Hypothetical
Initial Underlier Value: 100.0000* |
| • | Hypothetical
Call Value: 100.25* |
| • | Redemption
Premiums equal to the Redemption Premiums set forth on the cover of this pricing supplement* |
| * | The
hypothetical Initial
Underlier Value of 100.0000 and the hypothetical Call
Value specified above have been chosen for illustrative purposes only and do not represent
the actual Initial Underlier Value or actual Call Value. The actual Initial Underlier Value
and Call Value are set forth on the cover of this pricing supplement. |
For information
regarding recent values of the Underlier, please see “Information Regarding the Underlier” in this pricing supplement.
Example
1: The Notes are automatically redeemed on the first Observation Date.
Observation
Date |
Closing
Value of the Underlier on the Observation Date |
Are
the Notes Redeemed? |
Redemption
Premium |
1 |
110.0000 |
Yes |
8.00% |
Because the
Closing Value of the Underlier on the first Observation Date is greater than or equal to the Call Value, the Notes are automatically
redeemed on the related Redemption Settlement Date. You will receive on the relevant Redemption Settlement Date a cash payment of $1,080.00
per $1,000 principal amount Note, which is equal to your principal amount plus a return equal to the applicable Redemption Premium.
No further amounts will be payable on the Notes after they have been automatically redeemed.
Example
2: The Notes are automatically redeemed on the fourth Observation Date.
Observation
Date |
Closing
Value of the Underlier on the Observation Date |
Are
the Notes Redeemed? |
Redemption
Premium |
1 |
99.0000 |
No |
N/A |
2 |
90.0000 |
No |
N/A |
3 |
100.0000 |
No |
N/A |
4 |
104.0000 |
Yes |
32.00% |
Because the
Closing Value of the Underlier on the fourth Observation Date is greater than the Call Value, the Notes are automatically redeemed on
the related Redemption Settlement Date. You will receive on the relevant Redemption Settlement Date a cash payment of $1,320.00 per $1,000
principal amount Note, which is equal to your principal amount plus a return equal to the applicable Redemption Premium. No further
amounts will be payable on the Notes after they have been automatically redeemed.
If the
Closing Value of the Underlier is below the Call Value on each Observation Date, the Notes will not be automatically redeemed and you
may receive no more than your principal at maturity. See “Hypothetical Examples of Amounts Payable at Maturity” below.
Hypothetical
EXAMPLES OF AMOUNTS PAYABLE at Maturity
The
following table illustrates the hypothetical payment at maturity under various circumstances. The examples set forth below are purely
hypothetical and are provided for illustrative purposes only. The numbers appearing in the following table and examples have been rounded
for ease of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make
the following key assumptions:
| • | Hypothetical
Initial Underlier Value: 100.0000* |
| • | You
hold the Notes to maturity, and the Notes are NOT automatically redeemed. |
| * | The
hypothetical Initial
Underlier Value of 100.0000 has been chosen for illustrative purposes only and does not represent
the actual Initial Underlier Value. The actual Initial Underlier Value is set forth on the
cover of this pricing supplement. |
For information
regarding recent values of the Underlier, please see “Historical and Hypothetical Historical Performance of the Underlier”
in this pricing supplement.
Final
Underlier Value |
Underlier
Return |
Payment
at Maturity per $1,000 Principal Amount Note |
150.0000 |
50.00% |
$1,500.00 |
140.0000 |
40.00% |
$1,400.00 |
130.0000 |
30.00% |
$1,300.00 |
120.0000 |
20.00% |
$1,200.00 |
110.0000 |
10.00% |
$1,100.00 |
105.0000 |
5.00% |
$1,050.00 |
100.0000 |
0.00% |
$1,000.00 |
90.0000 |
-10.00% |
$1,000.00 |
80.0000 |
-20.00% |
$1,000.00 |
70.0000 |
-30.00% |
$1,000.00 |
60.0000 |
-40.00% |
$1,000.00 |
50.0000 |
-50.00% |
$1,000.00 |
40.0000 |
-60.00% |
$1,000.00 |
30.0000 |
-70.00% |
$1,000.00 |
20.0000 |
-80.00% |
$1,000.00 |
10.0000 |
-90.00% |
$1,000.00 |
0.0000 |
-100.00% |
$1,000.00 |
The following
examples illustrate how the payments at maturity set forth in the table above are calculated:
Example
1: The value of the Underlier increases from an Initial Underlier Value of 100.0000 to a Final Underlier Value of 105.0000.
Because
the Final Underlier Value is greater than the Initial Underlier Value, you will receive a payment at maturity of $1,050.00 per $1,000
principal amount Note that you hold, calculated as follows:
$1,000
+ ($1,000 × Underlier Return)
$1,000
+ ($1,000 × 5.00%) = $1,050.00
Example
2: The value of the Underlier decreases from an Initial Underlier Value of 100.0000 to a Final Underlier Value of 40.0000.
Because
the Final Underlier Value is less than or equal to the Initial Underlier Value, you will receive a payment at maturity of $1,000 per
$1,000 principal amount Note that you hold.
If
the Notes are not automatically redeemed, you may receive no more than your principal at maturity. Any payment on the Notes, including
the repayment of principal, is subject to the credit risk of Barclays Bank PLC.
Information
Regarding the UNDERLIER
The Index
is a rules-based proprietary index created and owned by Barclays Bank PLC. The Index is operated by Barclays Index Administration, a
distinct function within Barclays Bank PLC (in such capacity, the “Index Sponsor”). The Index Sponsor has appointed
a third party, MerQube, Inc. (together with any successor thereto, the “Index Calculation Agent”), to calculate and
maintain the Index. The Index is reported by Bloomberg under the ticker symbol “BXIITBS5.”
The Index
applies a rules-based methodology to track a dynamic synthetic portfolio (the “Index Portfolio”) selected from a universe
of 14 exchange-traded funds that provide exposure to U.S. equity sectors or fixed-income assets (each, an “Index Component”).
The Index generally seeks to maintain diversified exposure to the Index Components over time, except that under market conditions potentially
indicative of declining bond prices, the Index will seek to eliminate exposure to fixed-income assets. The Index targets a realized volatility
of approximately 5% over time. Each day, a synthetic financing cost is deducted in calculating the value of each Index Component and
an index fee of 0.85% per annum is deducted in calculating the level of the Index.
Index Portfolio
rebalancing. The Index Portfolio is not rebalanced according to a predetermined schedule. Instead, on each Index Business Day (as
defined below), the Index uses its Index Portfolio selection methodology to determine a new synthetic portfolio of Index Components,
but the Index will rebalance into that new synthetic portfolio only if the composition of that synthetic portfolio differs sufficiently
from its current Index Portfolio. Otherwise, the Index will maintain its synthetic position in its current Index Portfolio. In addition,
the Index will rebalance its current Index Portfolio back to the target weights implemented in the immediately preceding rebalancing
(i.e., a new Index Portfolio will not be selected) if the realized volatility of its current Index Portfolio falls outside specified
parameters and the Portfolio Exposure (as defined below) is adjusted.
Index Portfolio
selection methodology. Under the Index Portfolio selection methodology, the Index uses third-party optimization software to identify
on each Index Business Day the synthetic portfolio, composed of the Index Components, that has the highest expected return with a recent
realized volatility of 5% or less, subject to the weighting constraints set forth below. For purposes of estimating the expected returns
of the Index Components, the selection methodology assumes that the expected return of each Index Component is proportional to the risk
associated with that Index Component, as measured by its recent realized volatility, and that the proportion is the same for each of
the Index Components.
The weighting
constraints applied by the selection methodology provide a minimum target weight and maximum target weight for each Index Component that
are set so as to prevent (i) short exposure to any Index Component, (ii) excessive concentration in any Index Component and (iii) a change
of 10% or more from one Index Business Day to the next Index Business Day in the target weight of any Index Component in the Index Portfolio.
In addition, subject to the foregoing, when the fixed-income signal described below is negative, the maximum target weights of the fixed-income
Index Components are set so as to seek to eliminate exposure to those Index Components. Finally, the sum of the target weights of the
Index Components in the synthetic portfolio must be greater than or equal to 0% and less than or equal to 100%.
The fixed-income
signal is determined on each Index Business Day by reference to the level of the Barclays Switch USD Signal Index (the “Switch
Signal Index”). The Switch Signal Index references trends in expectations for short-term rates, trends in expected inflation
and risk aversion levels indicated by trends in broad-based U.S. equity markets and will yield a negative fixed-income signal if (a)
at least two of those three trends indicate a likelihood that bond prices may decline or (b) one of those trends indicates a likelihood
that bond prices may decline and the other two trends are inconclusive. For additional information about the Switch Signal Index, see
“Background on the Barclays Switch USD Signal Index” in the accompanying underlying supplement.
The Index
will generally determine whether to rebalance into a new synthetic portfolio on an Index Business Day by determining the difference between
the target weight of each Index Component in that new synthetic portfolio and the target weight of that Index Component in the current
Index Portfolio. In general, the Index will rebalance into the new synthetic portfolio only if the square root of the sum of the squares
of those differences in target weights is greater than or equal to 10%. However, in consequence of an amendment to the Index methodology,
for any Index Business Day on or after February 16, 2024, the Index will also rebalance into the new synthetic portfolio if the fixed-income
signal is negative and the target weight of any fixed-income Index Component in the current Index Portfolio is positive, regardless of
the differences between the target weights of the Index Components in the new synthetic portfolio and the current Index Portfolio.
Volatility
targeting. In addition to referencing the target volatility of 5% in the Index Portfolio selection methodology described above, the
Index also adjusts its synthetic exposure to the Index Portfolio through two layers of volatility targeting in order to target a realized
volatility of approximately 5% over time.
Under the
first layer of volatility targeting, the Index applies an exposure (the “Portfolio Exposure”) of between 0% and 150%
to the Index Portfolio with the aim of targeting a realized volatility of approximately 5%. The Portfolio Exposure will be set so as
to increase exposure to the Index Portfolio if its realized volatility is less than 5% and decrease exposure to the Index Portfolio if
its realized volatility is greater than 5%. The Portfolio Exposure is adjusted only when rebalancing into a new Index Portfolio or when
the realized volatility of the current Index Portfolio changes sufficiently from the time the Portfolio Exposure was last established.
We refer to the synthetic portfolio represented by the Index Portfolio with its weights adjusted by the Portfolio Exposure as the “Volatility-Adjusted
Portfolio.”
Under the
second layer of volatility targeting, the Index applies an exposure (the “Index Exposure”) of between 0% and 100%
to the Volatility-Adjusted Portfolio with the aim of targeting a realized volatility of approximately 5%. The Index Exposure will be
set so as to decrease exposure to the Volatility-Adjusted Portfolio if its realized volatility is greater than 5%. The Index Exposure
is adjusted only when the realized volatility of the current Volatility-Adjusted Portfolio changes sufficiently from the time the Index
Exposure was last established.
The effective
exposure provided by the Index to the Index Portfolio on any Index Business Day is equal to the Portfolio Exposure on that Index Business
Day multiplied by the Index Exposure on that Index Business Day. The effective exposure provided by the Index to the Index Portfolio
on any Index Business Day may be significantly less than 100%, and any such difference will be synthetically uninvested and will earn
no return. The index fee is not reduced when the Index is partially uninvested.
Index Components.
The table below lists the Index Components. For additional information about the Index Components, see “Background on the Index
Components” in the accompanying underlying supplement.
Asset
Class |
Index
Component |
Ticker |
Equity |
Materials
Select Sector SPDR® Fund |
XLB
UP |
Energy
Select Sector SPDR® Fund |
XLE
UP |
Financial
Select Sector SPDR® Fund |
XLF
UP |
Industrial
Select Sector SPDR® Fund |
XLI
UP |
Technology
Select Sector SPDR® Fund |
XLK
UP |
Consumer
Staples Select Sector SPDR® Fund |
XLP
UP |
Utilities
Select Sector SPDR® Fund |
XLU
UP |
Health
Care Select Sector SPDR® Fund |
XLV
UP |
Consumer
Discretionary Select Sector SPDR® Fund |
XLY
UP |
Communication
Services Select Sector SPDR® Fund |
XLC
UP |
Vanguard®
Real Estate ETF |
VNQ
UP |
Fixed
Income |
iShares®
20+ Year Treasury Bond ETF |
TLT
UQ |
iShares®
iBoxx $ Investment Grade Corporate Bond ETF |
LQD
UP |
iShares®
iBoxx $ High Yield Corporate Bond ETF |
HYG
UP |
Index calculation
and publication. On any given day, the closing level of the Index (the “Index Level”) reflects (a) the performance
of its Index Portfolio, as adjusted by the Portfolio Exposure and the Index Exposure, less (b) the index fee of 0.85% per annum. The
performance of the Index Portfolio reflects the weighted excess-return performance of the Index Components. The amount deducted as a
result of the index fee is not affected by the Portfolio Exposure or the Index Exposure, and the index fee is not reduced when the Index
is partially uninvested.
The performance
of each Index Component is calculated on an excess-return basis, which means that the value of each Index Component for purposes of the
Index reflects the reinvestment of distributions and the deduction of a synthetic financing cost equal to (a) the Effective Federal
Funds Rate (Bloomberg Code: FEDL01 Index) plus (b) 0.25%. The Effective Federal Funds Rate is a measure of the interest rate
at which depository institutions lend balances at the Federal Reserve to other depository institutions overnight, calculated as the volume-weighted
median of overnight federal funds transactions reported by U.S. banks and U.S. branches and agencies of non-U.S. banks, and is quoted
on the basis of an assumed year of 360 days.
The Index
Sponsor publishes the Index Level on each Index Business Day as soon as reasonably practical following its calculation, subject to Index
Market Disruption Events and Index Disruption Events, both as defined and described under “The Barclays Trailblazer Switch Index—Additional
Index Determinations” in the accompanying underlying supplement. The Index Sponsor may at any time change the place, time and frequency
of the publication of the Index Level. The Index Calculation Agent began calculating the Index on a live basis on June 12, 2023.
“Index
Business Day” means a day on which the New York Stock Exchange (or any successor thereto) is scheduled to be open for business.
The Index
is described as tracking a synthetic portfolio of assets because there is no actual portfolio of assets to which any person is entitled
or in which any person has any ownership interest. The Index merely references certain assets, the performance of which will be used
in determining the composition of the Index and calculating the Index in accordance with its methodology.
No assurance
can be given that the investment strategy used to construct the Index will be successful or that the Index will outperform any alternative
portfolio or strategy that might be constructed from the Index Components. In addition, no assurance can be given that the realized volatility
of the Index will approximate its target volatility. The realized volatility of the Index may be greater or less than its target volatility,
perhaps significantly. Furthermore, no assurance can be given that the Switch Signal Index will accurately indicate price momentum in
U.S. dollar bond markets.
For more information
about the Index, see “The Barclays Trailblazer Switch Index” in the accompanying underlying supplement, subject to the changes
set forth above relating to the amendment to the Index methodology that became effective on February 16, 2024.
Selected
Risk Considerations
An investment
in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlier or the Index
Components. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed
explanation of risks relating to the Notes generally in the “Risk Factors” section of the prospectus supplement. You should
not purchase the Notes unless you understand and can bear the risks of investing in the Notes.
Risks Relating
to the Notes Generally
| • | You
May Receive No More Than the Principal Amount of Your Notes—If the Notes are not
automatically redeemed and the Final Underlier Value is less than or equal to the Initial
Underlier Value, you will receive only the principal amount of your Notes. Therefore, you
may not receive a return on the Notes. Even if the Final Underlier Value is greater than
the Initial Underlier Value, the return on the Notes may be less than the amount that would
be paid on a conventional debt security of the Issuer of comparable maturity if the Underlier
does not appreciate sufficiently over the term of the Notes. |
| • | No
Interest Payments—As a holder of the Notes, you will not receive interest payments. |
| • | If
the Notes Are Automatically Redeemed, Your Potential Return on the Notes Is Limited to the
Applicable Redemption Premium—If the Notes are automatically redeemed, your return
on the Notes will be limited to the applicable Redemption Premium and will not be based on
the amount of any appreciation in the value of the Underlier, which may be significant. |
| • | Automatic
Redemption and Reinvestment Risk—While the original term of the Notes is as indicated
on the cover of this pricing supplement, the Notes may be automatically redeemed prior to
maturity for a term that could be as short as approximately one year. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the Notes in a comparable
investment with a similar level of risk in the event the Notes are automatically redeemed
prior to the Maturity Date. No additional payments will be due after an automatic redemption.
The automatic redemption feature of the Notes may also adversely impact your ability to sell
your Notes and the price at which they may be sold. |
| • | The
Call Value Is Greater than the Initial Underlier Value—The Notes will be automatically
redeemed only if the Closing Value of the Underlier increases from the Initial Underlier
Value to be greater than or equal to the Call Value on an Observation Date (other than the
Final Valuation Date). Even if the Closing Value of the Underlier appreciates over the term
of the Notes, it may not appreciate sufficiently for the Notes to be redeemed early. |
| • | Any
Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the
Dates Specified—Any payment on the Notes will be determined based on the Closing
Values of the Underlier on the dates specified. You will not benefit from any more favorable
value of the Underlier determined at any other time. |
| • | Repayment
of the Principal Amount Applies Only at Maturity or upon Any Automatic Redemption—You
should be willing to hold your Notes to maturity or any automatic redemption. If you sell
your Notes prior to such time in the secondary market, if any, you may have to sell your
Notes at a price that is less than the principal amount even if at that time the value of
the Underlier has increased from the Initial Underlier Value. See “—Risks Relating
to the Estimated Value of the Notes and the Secondary Market—Many Economic and Market
Factors Will Impact the Value of the Notes” below. |
| • | Owning
the Notes Is Not the Same as Owning the Index Components or the Component Securities Held
by the Index Components—The return on the Notes may not reflect the return you
would realize if you actually owned the Index Components or the component securities held
by the Index Components. As a holder of the Notes, you will not have voting rights or rights
to receive dividends or other distributions or other rights that holders of the Index Components
or the component securities held by the Index Components would have. |
| • | Tax
Treatment— As discussed further below under “Tax Considerations” and
in the accompanying prospectus supplement, if you are a U.S. individual or taxable entity,
you should be required to accrue interest on a current basis in respect of the Notes over
their term based on the comparable yield for the Notes and pay tax accordingly, even though
you will not receive any payments from us until early redemption or redemption at maturity.
This comparable yield is determined solely to calculate the amount on which you will be taxed
prior to early redemption or redemption at maturity and is neither a prediction nor a guarantee
of what the actual yield will be. |
Risks Relating
to the Issuer
| • | Credit
of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer,
Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third
party. Any payment to be made on the Notes, including any repayment of principal, is subject
to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not
guaranteed by any third party. As a result, the actual and perceived creditworthiness of
Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank
PLC were to default on its obligations, you may not receive any amounts owed to you under
the terms of the Notes. |
| • | You
May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised
by the Relevant U.K. Resolution Authority—Notwithstanding and to
the exclusion of any other term of the Notes or any other agreements, arrangements or understandings
between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee
on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise
of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent
to U.K. Bail-in Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power
may be exercised in such a manner as to result in you and other holders and beneficial owners
of the Notes losing all or a part of the value of your investment |
in
the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes and which may have significantly
fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the
U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes.
The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an
Event of Default (as each term is defined in the senior debt securities indenture) and the trustee will not be liable for any action
that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant
U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well
as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action in
the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
Risks Relating
to the Underlier Generally
| • | The
Index May Not Be Successful and May Underperform Alternative Investment Strategies—There
can be no assurance that the Index will achieve positive returns. The Index applies a rules-based
methodology to track a dynamic synthetic portfolio selected from a universe of 14 exchange-traded
funds that provide exposure to U.S. equity sectors or fixed-income assets. The Index generally
seeks to maintain diversified exposure to the Index Components over time, except that under
market conditions potentially indicative of declining bond prices, will seek to eliminate
exposure to fixed-income assets, as described under “Information Regarding the Underlier”
in this pricing supplement. The Index targets a realized volatility equal to approximately
5% over time. |
There
can be no assurance that a synthetic investment in the Index Portfolio will perform better than an alternative investment portfolio selected
based on different criteria or using any other methodology.
| • | The
Deduction of Synthetic Financing Costs and an Index Fee Will Adversely Affect Index Performance—While
a total return index tracks a synthetic funded investment in its components, with dividends
synthetically reinvested, an excess return index tracks a synthetic investment in its components,
with dividends synthetically reinvested, made through the use of borrowed funds for which
a financing cost is synthetically paid. The Notes are linked to an excess return index and
not a total return index. In the particular case of the Index, the level of each Index Component
is based on a synthetic investment in that Index Component minus a borrowing cost represented
by the Effective Federal Funds Rate plus a fixed spread. Accordingly, each Index Component
will underperform the total return performance of the corresponding exchange-traded fund. |
The
Effective Federal Funds Rate is a measure of the interest rate at which depository institutions lend balances at the Federal Reserve
to other depository institutions overnight. The Effective Federal Funds Rate will be affected by many factors, including, among others,
the monetary policy of the Federal Reserve. The Effective Federal Funds Rate has fluctuated significantly over time. For example, on
May 1, 2020, the Effective Federal Funds Rate was 0.05%, and on May 1, 2023, the Effective Federal Funds Rate was 5.06%. The Federal
Reserve raised its federal funds target rate over periods in the past and may do so again in the future. Any increase in the Effective
Federal Funds Rate, due to the Federal Reserve raising interest rates (specifically, its federal funds target rate) or otherwise, will
increase the adverse effect of the borrowing cost on the excess return performance of each Index Component (and, therefore, the performance
of the Index).
In
addition, the performance of the Index will be reduced by the daily deduction of a fee of 0.85% per annum. As such, the Index performance
will trail that of a hypothetical, identically constituted index from which no such cost is deducted.
The
deduction of the synthetic financing cost and the index fee will place a significant drag on the performance of the Index, offsetting
any positive total return of the Index Components included in the Index Portfolio, exacerbating any negative total return of the Index
Components included in the Index Portfolio and causing the Closing Value of the Index to decline steadily if the total return of the
Index Components included in the Index Portfolio is relatively flat. The Index will not appreciate unless the total return performance
of the Index Components included in the Index Portfolio is sufficient to offset the negative effects of the synthetic financing cost
and the index fee, and then only to the extent that the total return performance of the Index Components included in the Index Portfolio
is greater than the deducted amounts. As a result of these deductions, the Closing Value of the Index may decline even if the total return
of the Index Components included in the Index Portfolio is positive.
| • | The
Index’s Selection Methodology May Not Be Successful—Under the Index’s
portfolio selection methodology, the Index seeks to identify the synthetic portfolio composed
of the Index Components that has the highest expected return with a recent realized volatility
of 5% or less, subject to the weighting constraints. The Index’s selection methodology
uses the recent realized volatility of each Index Component as a proxy for the expected return
of that Index Component. No assurance can be given that the realized volatility of an Index
Component will accurately predict its future performance. Even if the Index allocates exposure
to the Index Components with the highest returns, the Index will decline if there is a decline
in the Index Components that compose the Index. |
| • | The
Fixed-Income Switch Signal Feature of the Index May Not Be Successful—When the
Index’s fixed-income signal is negative, the Index will seek to eliminate exposure
to the fixed-income Index Components. However, no assurance can be given that the Index’s
fixed-income signal will accurately indicate price momentum in U.S. dollar bond markets.
The fixed-income signal may indicate that exposure to fixed-income Index Components should
be eliminated at times when they are outperforming |
other
Index Components or may fail to indicate that exposure to fixed-income Index Components should be eliminated at times when they are underperforming
other Index Components. In addition, even if the fixed-income signal accurately indicates price momentum in U.S. dollar bond markets,
exposure to fixed-income Index Components may be eliminated only after several Index Business Days have elapsed and no assurance can
be given that the Index will adjust its exposure to fixed-income Index Components quickly enough to benefit from that accurate indication.
The Index may underperform a comparable investment portfolio that does not reference a fixed-income signal to adjust its exposure to
fixed-income assets.
| • | The
Index May Not Achieve Its Target Volatility of 5%—The Index seeks to maintain a
realized volatility level of approximately 5% by employing two layers of volatility targeting
to dynamically adjust its exposure to the Index Portfolio at any given time, as described
under “The Barclays Trailblazer Switch Index—Volatility Targeting” in the
accompanying underlying supplement. There can, however, be no assurance that historical trends
in volatility will continue in the future. As a result, the realized volatility of the Index
may be greater or less than its target volatility, perhaps significantly. |
| • | The
Index May Not Be Fully Invested in the Index Components—If the sum of the target
weights of the Index Components in the portfolio selected by the Index is less than 100%,
the difference, which may be significant, will be synthetically uninvested and will earn
no return. In addition, the Index adjusts its synthetic exposure to the Index Portfolio through
two layers of volatility targeting in an attempt to target a realized volatility for the
Index equal to approximately 5%, resulting in an effective exposure to the Index Portfolio
of between 0% and 150%. If the Index’s effective exposure to the Index Portfolio is
less than 100%, the difference, which may be significant, will be synthetically uninvested
and will earn no return. As a result, the Index may underperform a similar index that provides
100% exposure to the Index Components in the Index Portfolio and 100% exposure to the Index
Portfolio. The amount deducted as a result of the index fee is not reduced when the Index
is partially uninvested. |
| • | The
Index May Be Subject to Increased Volatility Due to the Use of Leverage—When the
realized volatility of the Index Portfolio is less than the Target Volatility of 5%, the
Index will employ leverage and the effective exposure of the Index to the Index Portfolio
may be up to 150%. When the effective exposure to the Index Portfolio is greater than 100%,
any movements in values of the Index Components will result in greater changes in the value
of the Index Portfolio than if leverage were not used. In particular, the use of leverage
will magnify any negative performance of the Index Portfolio. Accordingly, the Index may
underperform a comparable investment portfolio that does not employ leverage. |
| • | The
Index’s Target Volatility Feature May Negatively Affect the Appreciation Potential
of the Index—Under ordinary market conditions, equity markets tend to experience
volatility that is significantly above the Index’s target volatility of 5%. As a result,
the Index’s target volatility feature may skew the allocations among the Index Components
in the Index Portfolio toward fixed-income Index Components, which typically have lower volatility
than equity Index Components, or may result in the sum of the target weights of the Index
Components being less than 100%, which will reduce the volatility of the Index Portfolio.
Fixed-income Index Components may have lower return potential than equity Index Components,
and any synthetically uninvested portion of the Index Portfolio will earn no return. Moreover,
if the Index has a relatively high allocation to fixed-income Index Components, it will be
particularly sensitive to factors that adversely affect the value of fixed-income instruments,
such as increases in interest rates or declining perceptions of credit quality. |
In
addition, the volatility targeting feature of the Index may cause the Index to reduce its exposure to the Index Portfolio in periods
of high volatility, even if the Index Portfolio is generally performing positively. The performance of the Index may be negative or less
positive than the performance of the Index Portfolio during such periods. Accordingly, the return on the Index may be less, perhaps significantly,
than the return on an index that does not include a volatility targeting feature.
| • | The
Index Relies on Optimization Software That Is Subject to Inherent Limitations—Under
the Index Portfolio selection methodology, the Index uses third-party optimization software
to identify on each Index Business Day the synthetic portfolio composed of the Index Components
that has the highest expected return with a recent realized volatility of 5% or less, subject
to the relevant weighting constraints. In limited circumstances, the portfolio composition
used as the starting point for the model could theoretically cause the model to produce a
less optimal portfolio or to fail to produce a solution. If the optimization software fails
to identify a synthetic portfolio that satisfies the specified constraints on an Index Business
Day, the Index will make a second attempt to use the optimization software to identify a
synthetic portfolio that satisfies the specified constraints. If the second attempt also
fails, no new target weights will be determined for the Index Components on that Index Business
Day. The Index Sponsor has discretion to modify the settings used with the optimization software
or to modify the starting values for an optimization in order to limit any potential impact
on the Index from numerical accuracy or software issues, but no assurance can be given that
the Index Sponsor will be successful at doing so. |
| • | The
Index Sponsor Will Have the Authority to Make Determinations That Could Materially Affect
the Closing Value of the Index and the Amount Payable on the Notes and Their Market Value
and Create Conflicts of Interest—The Index Sponsor, a distinct function within
Barclays Bank PLC, is responsible for the operation of the Index, and the policies of the
Index Sponsor concerning the calculation of the Closing Value of the Index could affect the
Closing Value of the Index and, therefore, the amount payable on the Notes at maturity and
the market value of the Notes prior to scheduled maturity. |
The
Index Sponsor may modify the methodology for calculating the Closing Value of the Index. In addition, as described in “The Barclays
Trailblazer Switch Index—Additional Index Determinations” in the accompanying underlying supplement, the Index Sponsor may
make certain changes to the way in which the Index is calculated. For example, the Index Sponsor may discontinue or suspend calculation
or publication of the Index upon the occurrence of certain market disruptions or other events, in which case it may become difficult
to determine the Closing Value of the Index and the value of the Notes. In addition, the Index Sponsor may replace an Index Component
if that Index Component ceases to exist or changes in a way that makes the calculation of the
Index
impossible or infeasible. The replacement Index Component may perform significantly worse than the replaced Index Component. Any such
changes could adversely affect the value of the Notes. The circumstances in which the Index Sponsor might make any such a determination
are described more fully under “The Barclays Trailblazer Switch Index—Additional Index Determinations” in the accompanying
underlying supplement.
The
role played by the Index Sponsor, and the exercise of the kinds of discretion described above and in the section entitled “The
Barclays Trailblazer Switch Index—Additional Index Determinations” in the accompanying underlying supplement, could present
it with significant conflicts of interest in light of the fact that Barclays Bank PLC is the issuer of the Notes. The Index Sponsor has
no obligation to take the needs of any buyer, seller or holder of the Notes into consideration at any time.
| • | The
Values of the Index Components That Comprise the Index May Offset Each Other—Price
movements between the Index Components may not correlate with each other. At a time when
the value of certain Index Components increases, the value of the other Index Components
may not increase as much or may decline. Therefore, in calculating the Closing Value of the
Index, increases in the value of one of the Index Components included in the portfolio tracked
by the Index may be moderated, or more than offset, by lesser increases or decreases in the
value of the other Index Components included in the portfolio tracked by the Index. In addition,
high correlation during periods of negative returns among Index Components could have an
adverse effect on the Closing Value of the Index. |
| • | The
Index Has a Limited Performance History—The Index Calculation Agent began calculating
the Index on a live basis on June 12, 2023, and the Index Sponsor has published limited information
about how the Index might have performed had it been calculated in the past. Because the
Index is new and limited historical performance data exists, your investment in the Notes
may involve a greater risk than investing in alternate securities linked to one or more indices
with an established record of performance. A longer history of actual performance would be
helpful in providing more reliable information on which to assess the validity of the methodology
that the Index uses as the basis for an investment decision. |
| • | Hypothetical
Back-Tested Data Relating to the Index Does Not Represent Actual Historical Data and Is Subject
to Inherent Limitations—All data relating to the period prior to the launch date
of the Index, including the table and graphs set forth under “Historical and Hypothetical
Historical Performance of the Underlier” below, is purely theoretical and does not
represent the actual historical performance of the Index and has not been verified by an
independent third party. The information is based on a hypothetical estimate by the Index
Sponsor using available historical data as to how the Index may have performed in the pre-launch
date period. Alternative modeling techniques or assumptions may produce different hypothetical
historical information that might prove to be more appropriate and that might differ significantly
from the hypothetical historical information set forth under “Historical and Hypothetical
Historical Performance of the Underlier” below. In addition, back-tested, hypothetical
historical results have inherent limitations. These back-tested results are achieved by means
of a retroactive application of a back-tested model designed with the benefit of hindsight.
Hypothetical back-tested data should not be taken as an indication of future performance. |
| • | Historical
or Hypothetical Historical Levels of the Index Should Not Be Taken as an Indication of the
Future Performance of the Index During the Term of the Notes—The actual performance
of the Index over the term of the Notes, as well as the amount payable at maturity, may bear
little relation to the historical or hypothetical historical levels of the Index. Past fluctuations
and trends in the Index are not necessarily indicative of fluctuations or trends that may
occur in the future. |
| • | The
Index Is Not Actively Managed—The Index operates by pre-determined rules, as described
under “Information Regarding the Underlier” in this pricing supplement. There
will be no active management of the Index to enhance returns or limit losses. An actively
managed investment may potentially respond more directly and appropriately to immediate market,
political, economic, financial or other factors than the non-actively managed Index, which
may adversely affect the Closing Value of the Index and the value of the Notes. |
| • | The
Index Is Comprised of Synthetic Assets and Liabilities—The exposure to the Index
Components that comprise the Index at any given time is purely synthetic and will exist solely
in the records maintained by or on behalf of the Index Sponsor. There is no actual portfolio
of assets to which any person or entity is entitled or in which any person or entity has
any ownership interest. Consequently, no person or entity will have any claim against any
of the Index Components that comprise the Index at any time. |
Risks Relating
to the Index Components
| • | Certain
Features of the Index Components Will Impact the Value of the Notes—Each Index
Component is an exchange-traded fund, the performance of which will not fully replicate the
performance of the Underlying Index it is meant to track, and each Index Component may hold
securities not included in its Underlying Index. Accordingly, the performance of the Index
is subject to risks associated with investments in exchange-traded funds, including: |
| o | Management
risk. This is the risk that the investment strategy for each Index Component, the implementation
of which is subject to a number of constraints, may not produce the intended results. Each
Index Component’s investment adviser may have the right to use a portion of that Index
Component’s assets to invest in securities that are not included in its Underlying
Index. The Index Components are not actively managed, and each Index Component’s investment
adviser will generally not attempt to take defensive positions in declining markets. |
| o | Derivatives
risk. The Index Components 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 each Index Component’s
losses may be greater than if each Index Component invested only in conventional securities.
| o | Transaction
costs and fees. Unlike its Underlying Index, the Index Components will reflect transaction
costs and fees that will reduce its performance relative to its Underlying Index. |
Generally,
the longer the time remaining to maturity, the more the market price of the Notes will be affected by the factors described above. In
addition, each Index Component may diverge significantly from the performance of its Underlying Index due to differences in trading hours
between that Index Component and the securities composing the Underlying Index it is meant to track or other circumstances. During periods
of market volatility, the component securities held by an Index Component may be unavailable in the secondary market, market participants
may be unable to calculate accurately the intraday net asset value per share of an Index Component and the liquidity of an Index Component
may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares
in an Index Component. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants
are willing to buy and sell shares of an Index Component. As a result, under these circumstances, the market value of an Index Component
may vary substantially from the net asset value per share of that Index Component. Because the Notes are linked to the performance of
the Index Components and not their Underlying Index, the return on your Notes may be less than that of an alternative investment linked
directly to the Underlying Indices.
| • | The
Select Sector Funds Involve Sector Concentration Risk—Each Index Component in the
equity sectors asset class (other than the Vanguard® Real Estate ETF) is a
Select Sector SPDR® Fund (each, a “Select Sector Fund” and collectively,
the “Select Sector Funds”). The Select Sector Indices upon which the Select Sector
Funds are based together comprise all of the companies in the S&P 500®
Index. |
The
investment objective of each Select Sector Fund is to provide investment results that, before expenses, correspond generally to the price
and yield performance of publicly traded equity securities of companies in one particular sector or group of industries, as represented
by a specified Select Sector Index. Accordingly, the performance of each Select Sector Fund will not benefit from the diversification
that could result if such funds held securities issued by companies that operate in multiple sectors.
The
performance of companies that operate in any particular sector is subject to a number of complex and unpredictable factors such as industry
competition, government action and regulation, geopolitical events and supply and demand for the products and services offered by such
company. Any adverse development in the relevant sector tracked by any Select Sector Fund may have a material adverse effect on the securities
held in the portfolio of such Select Sector Fund and, as a result, may have a material adverse effect on the price of such Select Sector
Fund, the Closing Value of the Index and the value of your Notes.
| • | Risks
Associated with the Real Estate Industry Will Affect the Value of the Vanguard®
Real Estate ETF—The Vanguard® Real Estate ETF invests in companies
that invest in real estate, such as real estate investment trusts (or “REITs”)
or real estate holding companies. The value of real estate and, consequently, companies that
invest in real estate may be affected by many factors that interrelate with each other in
complex and unpredictable ways. Such factors may include, but are not limited to, general
economic and political conditions, liquidity in the real estate market, rising or falling
interest rates, governmental actions and the ability of borrowers to obtain financing for
real estate development or to repay their loans. Any negative developments in any such factor
may negatively affect the value of companies that invest in real estate and, consequently,
may adversely affect the Vanguard® Real Estate ETF, the Closing Value of the
Index and the value of your Notes. |
| • | The
Index Components Included in the Fixed-Income Asset Class Are Subject to Interest Rate-Related
Risks—All of the Index Components included in the fixed-income asset class (which
we collectively refer to as the “Fixed-Income ETFs”) are exchange-traded funds
that attempt to track the performance of indices composed of fixed-income securities. Investing
in the Notes linked to the performance of the Index (and, accordingly, indirectly to the
Fixed-Income ETFs) differs significantly from investing directly in bonds to be held to maturity
because the values of the Fixed-Income ETFs change, at times significantly, during each trading
day based upon the current market prices of their underlying bonds. The market prices of
these bonds are volatile and significantly influenced by a number of factors, particularly
the yields on these bonds as compared to current market interest rates and the actual or
perceived credit quality of the issuer of these bonds. |
In
general, fixed-income securities are significantly affected by changes in current market interest rates. As interest rates rise, the
price of fixed-income securities, including those underlying the Fixed-Income ETFs, is likely to decrease. Securities with longer durations
tend to be more sensitive to interest rate changes, usually making them more volatile than securities with shorter durations. The eligibility
criteria for the securities included in the indices that underlie the Fixed-Income ETFs, each of which mandate that each security must
have a minimum term remaining to maturity (ranging from one year to 20 years) for continued eligibility, means that, at any time, only
longer-term securities underlie the Fixed-Income ETFs, which thereby increases the risk of price volatility in the underlying securities
and, consequently, the volatility in the Closing Value of the Index. As a result, rising interest rates may cause the value of the bonds
underlying the Fixed-Income ETFs, the Fixed-Income ETFs and the Index to decline, possibly significantly. While the Index seeks to eliminate
exposure to the Fixed-Income ETFs at times when the fixed-income signal is negative, which may be triggered in part by rising interest
rates, the fixed-income signal is affected by trends in expected inflation and broad-based U.S. equity markets as well, and there is
no assurance that the fixed-income signal will be negative when interest rates are rising. See “—Risks Relating to the Underlier
Generally—The Fixed-Income Switch Signal Feature of the Index May Not Be Successful” above.
Interest
rates are subject to volatility due to a variety of factors that interrelate in complex and unpredictable ways, including, among others:
| o | sentiment
regarding underlying strength in the U.S. economy and global economies; |
| o | expectations
regarding the level of price inflation; |
| o | sentiment
regarding credit quality in the U.S. and global credit markets; |
| o | central
bank policies regarding interest rates; and |
| o | the
performance of U.S. and foreign capital markets. |
| • | The
Index Components Included in the Fixed-Income Asset Class Are Subject to Credit Risk—The
prices of the bonds underlying the Fixed-Income ETFs are significantly influenced by the
creditworthiness of the issuers of the bonds. The issuers of the bonds underlying the Fixed-Income
ETFs may have their credit ratings downgraded, a downgrade from investment grade to non-investment
grade status, or have their credit spreads widen significantly. In the case of the iShares®
20+ Year Treasury Bond ETF, perceptions of the credit quality of the U.S. government
may change. Following a ratings downgrade or the widening of credit spreads, or perceptions
of reduced credit quality of the U.S. government, some or all of the underlying bonds may
suffer significant and rapid price declines. Such events may have material adverse effects
on the value of the Fixed-Income ETFs, the Index and the Notes. |
Further,
the iShares® iBoxx $ High Yield Corporate Bond ETF is designed to provide a representation of the U.S. dollar high-yield
corporate market and is therefore subject to high-yield securities risk. Securities that are rated below investment grade (commonly known
as “junk bonds”) may be more volatile than higher-rated securities of similar maturity. High-yield securities may also be
subject to greater levels of credit or default risk than higher-rated securities. The value of high-yield securities can be adversely
affected by overall economic conditions, such as an economic downturn or a period of rising interest rates, and high-yield securities
may be less liquid and more difficult to sell at an advantageous time or price or to value than higher-rated securities. In particular,
high-yield securities are often issued by smaller, less creditworthy companies or by highly leveraged (indebted) firms, which are generally
less able than more financially stable firms to make scheduled payments of interest and principal.
| • | The
iShares® iBoxx $ Investment Grade Corporate Bond ETF and the iShares®
iBoxx $ High Yield Corporate Bond ETF Are Subject to Risks Associated with Non-U.S.
Securities Markets—The iShares® iBoxx $ Investment Grade Corporate
Bond ETF and the iShares® iBoxx $ High Yield Corporate Bond ETF may include
U.S. dollar-denominated bonds issued by non-U.S. companies. As such, the iShares®
iBoxx $ Investment Grade Corporate Bond ETF and the iShares® iBoxx $
High Yield Corporate Bond ETF are subject to risks associated with the securities markets
in those countries, including risks of volatility in those markets, governmental intervention
in those markets and cross-shareholdings in companies in certain countries. Also, there
is generally less publicly available information about non-U.S. companies than about U.S.
companies that are subject to the reporting requirements of the SEC, and non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements different
from those applicable to U.S. reporting companies. The prices of securities issued in non-U.S.
markets may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency
exchange laws. Some or all of these factors may adversely affect the value of the iShares®
iBoxx $ Investment Grade Corporate Bond ETF and the iShares® iBoxx $
High Yield Corporate Bond ETF, which may adversely affect the Closing Value of the Index. |
Risks Relating
to Conflicts of Interest
| • | We
and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially
Affect the Notes in Various Ways and Create Conflicts of Interest—We and our affiliates
play a variety of roles in connection with the issuance of the Notes, as described below.
In performing these roles, our and our affiliates’ economic interests are potentially
adverse to your interests as an investor in the Notes. |
In
connection with our normal business activities and in connection with hedging our obligations under the Notes, we and our affiliates
make markets in and trade various financial instruments or products for our accounts and for the account of our clients and otherwise
provide investment banking and other financial services with respect to these financial instruments and products. These financial instruments
and products may include securities, derivative instruments or assets that may relate to the Underlier or the Index Components. In any
such market making, trading and hedging activity, and other financial services, we or our affiliates may take positions or take actions
that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such market making, trading
and hedging activity, investment banking and other financial services may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with
the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation
or financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell
the Notes instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale
to the public, and the offering price is not based upon any independent verification or valuation.
In
addition to the activities described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine
any values of the Underlier and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
we may be required to make discretionary judgments, including determining whether a Market Disruption Event has occurred on any date
that the value of the Underlier is to be determined; if the Underlier is discontinued or if the sponsor of the Underlier fails to publish
the Underlier, selecting a successor index or, if no successor index is available, determining any value necessary to calculate any payments
on the Notes; and calculating the value of the Underlier on any date of
determination
in the event of certain changes in or modifications to the Underlier. In making these discretionary judgments, our economic interests
are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments
on the Notes.
Furthermore,
the role played by Barclays Index Administration in its role as Index Sponsor creates additional conflicts of interest. See “—Risks
Relating to the Underlier Generally—The Index Sponsor Will Have the Authority to Make Determinations That Could Materially Affect
the Closing Value of the Index and the Amount Payable on the Notes and their Market Value and Create Conflicts of Interest” above.
Risks Relating
to the Estimated Value of the Notes and the Secondary Market
| • | Lack
of Liquidity—The Notes will not be listed on any securities exchange. Barclays
Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market
for the Notes but are not required to do so, and may discontinue any such secondary market
making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory,
which may inhibit the development of a secondary market for the Notes. Even if there is a
secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Because other dealers are not likely to make a secondary market for the Notes, the
price at which you may be able to trade your Notes is likely to depend on the price, if any,
at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy
the Notes. The Notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your Notes to maturity. |
| • | Many
Economic and Market Factors Will Impact the Value of the Notes—The value of the
Notes will be affected by a number of economic and market factors that interact in complex
and unpredictable ways and that may either offset or magnify each other, including: |
| o | the
value and expected volatility of the Underlier, the
Index Components and the component securities held by the Index Components; |
| o | the
time to maturity of the Notes; |
| o | interest
and yield rates in the market generally; |
| o | dividend
rates on the Index Components and the component securities held by the Index Components; |
| o | a
variety of economic, financial, political, regulatory or judicial events; |
| o | supply
and demand for the Notes; and |
| o | our
creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| • | The
Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The
estimated value of your Notes on the Initial Valuation Date is lower than the initial issue
price of your Notes. The difference between the initial issue price of your Notes and the
estimated value of the Notes is a result of certain factors, such as any sales commissions
to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the
estimated profit that we or any of our affiliates expect to earn in connection with structuring
the Notes, the estimated cost which we may incur in hedging our obligations under the Notes,
and estimated development and other costs which we may incur in connection with the Notes. |
| • | The
Estimated Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels
at Which Our Debt Securities Trade in the Secondary Market—The estimated value
of your Notes on the Initial Valuation Date is based on a number of variables, including
our internal funding rates. Our internal funding rates may vary from the levels at which
our benchmark debt securities trade in the secondary market. As a result of this difference,
the estimated value referenced above might be lower if such estimated value were based on
the levels at which our benchmark debt securities trade in the secondary market. |
| • | The
Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove
to Be Inaccurate and May Be Different from the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the Initial Valuation Date is based on our internal pricing
models, which take into account a number of variables and are based on a number of subjective
assumptions, which may or may not materialize. These variables and assumptions are not evaluated
or verified on an independent basis. Further, our pricing models may be different from other
financial institutions’ pricing models and the methodologies used by us to estimate
the value of the Notes may not be consistent with those of other financial institutions which
may be purchasers or sellers of Notes in the secondary market. As a result, the secondary
market price of your Notes may be materially different from the estimated value of the Notes
determined by reference to our internal pricing models. |
| • | The
Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your
Notes in the Secondary Market, If Any, and Such Secondary Market Prices, If Any, Will Likely
Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the Estimated Value
of Your Notes—The estimated value of the Notes will not be a prediction of the
prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing
to purchase the Notes from you in secondary market transactions (if they are willing to purchase,
which they are not obligated to do). The price at which you may be able to sell your Notes
in the secondary market at any time will be influenced by many factors that cannot be predicted,
such as market conditions, and any bid and ask spread for similar sized trades, and may be
substantially less than our estimated value of the Notes. Further, as secondary market prices
of your Notes take into account the levels at which our debt securities trade in the secondary
market, and do not take into account our various costs related to the Notes such as fees,
commissions, discounts, and the costs of hedging our obligations under the Notes, secondary
market prices of your Notes will likely be lower than the initial issue price of your Notes.
As a result, the price at which Barclays Capital Inc., other affiliates of ours or third
parties may be willing to purchase the Notes from you in secondary market transactions, if
any, will likely be lower than the price you paid for your Notes, and any sale prior to the
Maturity Date could result in a substantial loss to you. |
| • | The
Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value
We May Initially Use for Customer Account Statements, If We Provide Any Customer Account
Statements at All, May Not Be Indicative of Future Prices of Your Notes—Assuming
that all relevant factors remain constant after the Initial Valuation Date, the price at
which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if
Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the
value that we may initially use for customer account statements, if we provide any customer
account statements at all, may exceed our estimated value of the Notes on the Initial Valuation
Date, as well as the secondary market value of the Notes, for a temporary period after the
initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy
or sell the Notes in the secondary market and the value that we may initially use for customer
account statements may not be indicative of future prices of your Notes. |
HISTORICAL
AND HYPOTHETICAL HISTORICAL PERFORMANCE OF THE UNDERLIER
The Index
Calculation Agent began calculating the Index on a live basis on June 12, 2023. All values of the Index prior to that date are calculated
using available data as to how the Index may have performed in the pre-launch date period. Accordingly, the graph below illustrates:
| • | on
a hypothetical basis, how the Index would have performed from January 1, 2014 to June 9,
2023; and |
| • | on
an actual basis, how the Index performed from June 12, 2023 through May 22, 2024. |
The hypothetical
historical performance of the Index shown below was determined using the methodology used to calculate the Index as of its inception,
provided that each Index Component is eligible to be included in the Index Portfolio only from its base date.
The hypothetical
historical performance below does not reflect actual performance of the Index and has not been verified by an independent third party.
Hypothetical historical performance has inherent limitations and is achieved by means of a retroactive setting of the selection criteria
designed with the benefit of hindsight. Alternative selection criteria or assumptions may produce different hypothetical historical performance
that might prove to be more appropriate and that might differ significantly from the hypothetical historical performance provided below.
We obtained
the Closing Values shown in the graph below from Bloomberg Professional® service (“Bloomberg”). We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical
and Hypothetical Historical Performance of the Barclays Trailblazer Switch Index*
*
The vertical red line indicates June 12, 2023. The performance to the left of the vertical red line reflects the hypothetical historical
performance of the Index and the performance to the right of the vertical red line reflects the actual historical performance of the
Index.
HISTORICAL
AND HYPOTHETICAL HISTORICAL PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Tax
Considerations
You should
review carefully the sections in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S.
holder, “—Tax Consequences to Non-U.S. Holders.” The discussion below applies to you only if you are an initial purchaser
of the Notes; if you are a secondary purchaser of the Notes, the tax consequences to you may be different. In the opinion of our special
tax counsel, Davis Polk & Wardwell LLP, the Notes should be treated as debt instruments for U.S. federal income tax purposes. The
remainder of this discussion assumes that this treatment is correct. The following discussion supersedes the discussion in the accompanying
prospectus supplement to the extent it is inconsistent therewith.
Because the
Notes will be offered to initial purchasers at varying prices, it is expected that the "issue price" of the Notes for U.S.
federal income tax purposes will be uncertain. We currently intend to treat the issue price as $1,000 for each $1,000 principal amount
Note, and the remainder of this discussion so assumes, unless otherwise indicated. Our intended treatment will affect the amounts you
will be required to include in income for U.S. federal income tax purposes. You should consult your tax advisor regarding the uncertainty
with respect to the Notes' issue price, including the tax consequences to you if the actual issue price of the Notes for U.S. federal
income tax purposes is not $1,000 per Note.
Assuming the
treatment described above is correct, in the opinion of our special tax counsel, the Notes will be treated as “contingent payment
debt instruments” for U.S. federal income tax purposes, as described under “—Contingent Payment Debt Instruments”
in the accompanying prospectus supplement.
Regardless
of your method of accounting for U.S. federal income tax purposes, you generally will be required to accrue taxable interest income in
each year on a constant yield to maturity basis at the “comparable yield,” as determined by us, even though we will not be
required to make any payment with respect to the Notes prior to early redemption or redemption at maturity. Although it is not entirely
clear how the comparable yield should be determined when a debt instrument may be automatically called prior to maturity, we will determine
the comparable yield based upon the term to maturity of the Notes assuming no automatic call occurs. Upon a sale or exchange (including
early redemption or redemption at maturity), you generally will recognize taxable income or loss equal to the difference between the
amount received from the sale or exchange and your adjusted tax basis in the Notes. You generally must treat any income as interest income
and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital
losses is subject to limitations.
The discussions
herein and in the accompanying prospectus supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b).
After the
original issue date, you may obtain the comparable yield and the projected payment schedule by requesting them from Barclays Cross Asset
Sales Americas, at (212) 528-7198. Neither the comparable yield nor the projected payment schedule constitutes a representation by us
regarding the actual amount that we will pay on the Notes.
If you purchase
Notes at their original issuance for an amount that is different from their issue price, you will be required to account for this difference
by making adjustments to your income when the payment at maturity (or early redemption) is made. You should consult your tax advisor
regarding the treatment of the difference between your basis in your Notes and their issue price.
You should
consult your tax advisor regarding the U.S. federal tax consequences of an investment in the Notes, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Non-U.S.
holders. We do not believe that non-U.S. holders should be required to provide a Form W-8 in order to avoid 30% U.S. withholding
tax with respect to the excess (if any) of the payment on early redemption or the payment at maturity over the face amount of the Notes,
although the Internal Revenue Service (the “IRS”) could challenge this position. However, non-U.S. holders should in any
event expect to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding,
as described under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.
If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations
under Section 871(m) generally impose a withholding tax on certain “dividend equivalents” under certain “equity linked
instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do
not have a “delta of one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income
tax purposes (each an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one”
within the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the Notes
with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of Section 871(m) to
the Notes.
SUPPLEMENTAL
PLAN OF DISTRIBUTION
We have agreed
to sell to Barclays Capital Inc. (the “agent”), and the agent has agreed to purchase from us, the principal amount of the
Notes, and at the price, specified on the cover of this pricing supplement. The agent commits to take and pay for all of the Notes, if
any are taken.
VALIDITY
OF THE NOTES
In the opinion
of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the Notes 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 Notes 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 14, 2023, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on July 14, 2023, 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 Notes 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 14, 2023, 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
Rule
424(b)(2)
(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) |
685 |
$1,000 |
$685,000 |
0.0001476 |
$101.11 |
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering.
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