Unlike ordinary debt securities, the Notes do not pay interest and
do not guarantee any return of principal at maturity. Instead, as described below, the Notes offer a fixed return if, from its Initial
Underlier Value to its Final Underlier Value, the Least Performing Underlier appreciates, remains flat or does not decline below its
Digital Barrier Value. Investors should be willing to forgo dividend payments and, if the Final Underlier Value of any Underlier
is less than its Buffer Value, be willing to lose some or all of their principal at maturity. Investors will be exposed to
the market risk of each Underlier and any decline in the value of one Underlier may negatively affect their return and will not be offset
or mitigated by a lesser decline or any potential increase in the values of the other Underliers.
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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-9 of this pricing supplement.
Selected Purchase Considerations
The Notes are not suitable for all
investors. The Notes may be a suitable investment for you if all of the following statements are true:
| · | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| · | You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and that your
potential return on the Notes is limited to the Digital Percentage. |
| · | You can tolerate a loss of some or all of your principal amount, and you are willing and able to make an investment that may have
downside market risk similar to an investment in the Least Performing Underlier. |
| · | You do not anticipate that the Final Underlier Value of any Underlier will fall below its Buffer Value. |
| · | You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one
Underlier will not be offset or mitigated by a lesser decline or any potential increase in the values of the other Underliers. |
| · | You understand and accept the risks that you will lose some or all of your principal at maturity if the Final Underlier Value of any
Underlier is less than its Buffer Value. |
| · | You understand and accept the risk that the payment at maturity, if any, will be based solely on the Underlier Return of the
Least Performing Underlier. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the IWN
Fund or the securities composing or held by the Underliers, nor will you have any voting rights with respect to the IWN Fund or the securities
composing or held by the Underliers. |
| · | You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of
the Underliers. |
| · | You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to
maturity. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
The Notes may not be a suitable
investment for you if any of the following statements are true:
| · | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| · | You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment with a
return that is limited to the Digital Percentage. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose some or all of the principal amount of your Notes in the event that the Final Underlier Value of the Least
Performing Underlier falls below its Buffer Value. |
| · | You anticipate that the Final Underlier Value of at least one Underlier will fall below its Buffer Value. |
| · | You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the values of the other Underliers. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underliers. |
| · | You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to suffer a loss
of principal at maturity, regardless of the performance of the other Underliers. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the IWN Fund or the securities
composing or held by the Underliers. |
| · | You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underliers. |
| · | You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to
maturity. |
| · | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings. |
| · | You are unwilling or unable to assume our credit risk for all payments on the Notes. |
| · | You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
You must rely on your own evaluation of the merits of an investment
in the Notes. You should reach a decision whether to invest in the Notes after carefully considering,
with your advisors, the suitability 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 suitability of the Notes for investment.
Hypothetical EXAMPLES OF
AMOUNTS PAYABLE at Maturity
The following table illustrates the
hypothetical payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: 100.00* |
| § | Hypothetical Buffer Value for each Underlier: 85.00 (85.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | Hypothetical Digital Barrier Value for each Underlier: 75.00 (75.00% of the hypothetical Initial Underlier Value set forth
above)* |
| * | The hypothetical Initial Underlier Value of 100.00,
the hypothetical Buffer Value of 85.00 and the hypothetical Digital
Barrier Value of 75.00 for each Underlier have been chosen for illustrative purposes only and do not represent the actual Initial Underlier
Values, Buffer Values or Digital Barrier Values for the Underliers. The actual Initial Underlier Value, Buffer Value and Digital Barrier
Value for each Underlier are set forth on the cover of this pricing supplement. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Final Underlier Value of the Least Performing Underlier |
Underlier Return of the Least Performing Underlier |
Payment at Maturity per $1,000 principal amount Note |
175.00 |
75.00% |
$1,187.50 |
150.00 |
50.00% |
$1,187.50 |
140.00 |
40.00% |
$1,187.50 |
130.00 |
30.00% |
$1,187.50 |
120.00 |
20.00% |
$1,187.50 |
110.00 |
10.00% |
$1,187.50 |
100.00 |
0.00% |
$1,187.50 |
90.00 |
-10.00% |
$1,187.50 |
85.00 |
-15.00% |
$1,187.50 |
80.00 |
-20.00% |
$1,128.68 |
75.00 |
-25.00% |
$1,069.85 |
74.99 |
-25.01% |
$882.24 |
70.00 |
-30.00% |
$823.53 |
60.00 |
-40.00% |
$705.88 |
50.00 |
-50.00% |
$588.24 |
40.00 |
-60.00% |
$470.59 |
30.00 |
-70.00% |
$352.94 |
20.00 |
-80.00% |
$235.29 |
10.00 |
-90.00% |
$117.65 |
0.00 |
-100.00% |
$0.00 |
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The Final Underlier Value of the IWN Fund is 150.00,
the Final Underlier Value of the NDX Index is 130.00 and the Final Underlier Value of the RTY Index is 140.00.
Because the NDX Index has the lowest Underlier
Return, the NDX Index is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater
than or equal to its Buffer Value, you will receive a payment at maturity of $1,187.50 per $1,000 principal amount Note that you hold,
calculated as follows:
$1,000 + ($1,000 × Digital Percentage)
$1,000 + ($1,000 × 18.75%) = $1,187.50
Example 1 demonstrates that you will not participate
in any appreciation in the value of any Underlier. Even though each Underlier appreciated significantly, the payment at maturity is limited
to $1,187.50 per $1,000 principal amount Note that you hold.
Example 2: The Final Underlier Value of the
IWN Fund is 80.00, the Final Underlier Value of the NDX Index is 110.00 and the Final Underlier Value of the RTY Index is 100.00.
Because the IWN Fund has the lowest Underlier
Return, the IWN Fund is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than
its Buffer Value but greater than or equal to its Digital Barrier Value, you will receive a payment at maturity of $1,128.68 per $1,000
principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 × (Underlier Return of the
Least Performing Underlier + Buffer Percentage) × Downside Leverage Factor] + ($1,000 × Digital Percentage)
$1,000 + [$1,000 × (-20.00% + 15.00%) ×
Downside Leverage Factor] + ($1,000 × 18.75%)
$1,000 + [$1,000 × -5.00% × 1.17647]
+ $187.50
$1,000 - $58.82 + $187.50 = $1,128.68
Example 3: The Final Underlier Value
of the IWN Fund is 90.00, the Final Underlier Value of the NDX Index is 150.00 and the Final Underlier Value of the RTY Index is 40.00.
Because the RTY Index has the lowest Underlier
Return, the RTY Index is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than
its Digital Barrier Value, you will receive a payment at maturity of $470.59 per $1,000 principal amount Note that you hold, calculated
as follows:
$1,000 + [$1,000 × (Underlier Return of the
Least Performing Underlier + Buffer Percentage) × Downside Leverage Factor]
$1,000 + [$1,000 × (-60.00% +15.00%) ×
1.17647] = $470.59
Examples 2 and 3 demonstrate that, if the Final Underlier Value of
the Least Performing Underlier is less than its Buffer Value, your investment in the Notes will be exposed on a leveraged basis to the
decline of the Least Performing Underlier from its Initial Underlier Value in excess of the Buffer Percentage. You will not benefit in
any way from the Underlier Return of the other Underliers being higher than the Underlier Return of the Least Performing Underlier.
You may lose up to 100.00% of the principal amount of your Notes.
Any payment on the Notes, including the repayment of principal, is subject to the credit risk of Barclays Bank PLC.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underliers or their components. Some of the risks that apply to an investment
in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes generally in the
“Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear
the risks of investing in the Notes.
Risks Relating to the Notes Generally
| · | Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in that
the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Final Underlier Value of the Least Performing
Underlier is less than its Buffer Value, your Notes will be exposed on a leveraged basis to the decline of the Least Performing Underlier
in excess of the Buffer Percentage. You may lose up to 100.00% of the principal amount of your Notes. |
| · | Your Potential Return on the Notes Is Limited to the Digital Percentage—If the Final Underlier Value of the Least Performing
Underlier is greater than or equal to its Buffer Value, for each $1,000 principal amount Note, you will receive at maturity $1,000 plus
a predetermined percentage of the principal amount. We refer to this percentage as the Digital Percentage, which is equal to 18.75%. If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, you will receive the maximum
payment at maturity of $1,187.50 per $1,000 principal amount Note regardless of any appreciation of any Underlier, which may be significant.
Your return on the Notes will be less than the percentage change in the Least Performing Underlier from its Initial Underlier Value to
its Final Underlier Value if such percentage is greater than the Digital Percentage. |
| · | No Interest Payments—As a holder of the Notes, you will not receive interest payments. |
| · | Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risk of Sustaining a Significant Loss
of Principal at Maturity Than if the Notes Were Linked to a Single Underlier—The risk that you will lose some or all of your
principal amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities that are
linked to the performance of a single Underlier. With multiple Underliers, it is more likely that the Final Underlier Value of at least
one Underlier will be less than its Buffer Value, and therefore, it is more likely that you will suffer a significant loss of principal
at maturity. Further, the performance of the Underliers may not be correlated or may be negatively correlated. The lower the correlation
between multiple Underliers, the greater the potential for one of those Underliers to close below its Buffer Value on the Final Valuation
Date. |
It is impossible to predict what the correlation
among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
| · | You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting of
the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with a return linked
to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed
to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively affect your return
and will not be offset or mitigated by any increases or lesser declines in the values of the other Underliers. If the Final Underlier
Value of any Underlier is less than its Buffer Value, you will be exposed on a leveraged basis to the depreciation in the value of the
Least Performing Underlier in excess of the Buffer Percentage. Accordingly, your investment is subject to the market risk of each Underlier. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified—Any
payment on the Notes will be determined based on the Closing Values of the Underliers on the dates specified. You will not benefit from
any more favorable values of the Underliers determined at any other time. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity—You should be willing to hold your Notes to maturity.
Although the Notes provide for the contingent repayment of the principal amount of your Notes at maturity, provided the Final Underlier
Value of the Least Performing Underlier is greater than or equal to its Buffer Value, if you sell your Notes prior to such time in the
secondary market, if any, you may have to sell your Notes at a price that is less than the principal amount even if at that time the value
of each Underlier has increased from its Initial Underlier Value. See “—Risks Relating to the Estimated Value of the Notes
and the Secondary Market—Many Economic and Market Factors Will Impact the Value of the Notes” below. |
| · | Owning the Notes Is Not the Same as Owning the IWN Fund or the Securities Composing or Held by the Underliers—The return
on the Notes may not reflect the return you would realize if you actually owned the IWN Fund or the securities composing or held by the
Underliers. As a holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or other rights
that holders of the IWN Fund or the securities composing or held by the Underliers would have. |
| · | The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain—There is no direct
legal authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the Internal
Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS
or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described below under “Tax Considerations.”
If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition
of the Notes could be materially and adversely affected. In addition, in 2007 the Treasury Department and the IRS released a notice requesting
comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these |
issues could materially and adversely
affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the sections
of the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S.
Holders—Notes Treated as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences
to Non-U.S. Holders,” and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the Notes (including
possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
| · | Risks Relating to the Issuer |
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power” in this pricing supplement. Accordingly, any
U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders and beneficial owners of the Notes losing all
or a part of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly
less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the
relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent
of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with
respect to the Notes will not be a default or an Event of Default (as each term is defined in the senior debt securities indenture) and
the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the
exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in
Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities
Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise
by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of
any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities,
you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying
prospectus supplement. |
Risks Relating to the Underliers
| · | Each Index Reflects the Price Return of the Securities Composing that Index, Not the Total Return—The return on the Notes
is based, in part, on the performance of the Indices, which reflect changes in the market prices of the securities composing each Index.
Each Index is not a “total return” index that, in addition to reflecting those
price returns, would also reflect dividends paid on the securities composing that Index. Accordingly, the return on the Notes will not
include such a total return feature. |
| · | Adjustments to the Indices Could Adversely Affect the Value of the Notes—The sponsor of an Index may add, delete, substitute
or adjust the securities composing that Index or make other methodological changes to that Index that could affect its performance. The
Calculation Agent will calculate the value to be used as the Closing Value of an Index in the event of certain material changes in or
modifications to that Index. In addition, the sponsor of an Index may also discontinue or suspend calculation or publication of that Index
at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines to be
comparable to the discontinued Index or, if no successor index is available, the Calculation Agent will determine the value to be used
as the Closing Value of that Index. Any of these actions could adversely affect the value of the relevant Index and, consequently, the
value of the Notes. See “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset”
in the accompanying prospectus supplement. |
| · | There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities with Respect to the
NDX Index—Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home countries of the issuers
of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected by political, economic, financial and
social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange
laws. |
| · | The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index and the IWN Fund—The RTY Index
tracks companies that are considered small-capitalization companies and the IWN Fund holds component securities that are issued by companies
that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies, and therefore Notes linked to the RTY Index or the IWN Fund may be more volatile than
an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization
companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition,
small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number
of key personnel, making |
them more vulnerable to loss of personnel. Small-capitalization
companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences.
Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial
resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related
to their products.
| · | Certain Features of the IWN Fund Will Impact the Value of the Notes — The performance
of the IWN Fund will not fully replicate the performance of the Underlying Index (as defined below), and the IWN Fund may hold securities
or other assets not included in the Underlying Index. The value of the IWN Fund is subject to: |
| o | Management risk. This is the risk that the investment strategy for the IWN Fund, the implementation of which is subject to
a number of constraints, may not produce the intended results. The IWN Fund’s investment adviser may have the right to use a portion
of the IWN Fund’s assets to invest in shares of equity securities that are not included in the Underlying Index. The IWN Fund is
not actively managed, and the IWN Fund’s investment adviser will generally not attempt to take defensive positions in declining
markets. |
| o | Derivatives risk. The IWN Fund may invest in derivatives, including forward contracts, futures contracts, options on futures
contracts, options and swaps. A derivative is a financial contract, the value of which depends on, or is derived from, the value of an
underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in
interest rates or to sudden fluctuations in market prices, and thus the IWN Fund’s losses may be greater than if the IWN Fund invested
only in conventional securities. |
| o | Transaction costs and fees. Unlike the Underlying Index, the IWN Fund will reflect transaction costs and fees that will reduce
its performance relative to the Underlying Index. |
Generally, the longer
the time remaining to maturity, the more the market price of the Notes will be affected by the factors described above. In addition, the
IWN Fund may diverge significantly from the performance of the Underlying Index due to differences in trading hours between the IWN Fund
and the securities composing the Underlying Index or other circumstances. During periods of market volatility, the component securities
held by the IWN Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the intraday
net asset value per share of the IWN Fund and the liquidity of the IWN Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares in the IWN Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the IWN Fund. As a result,
under these circumstances, the market value of the IWN Fund may vary substantially from the net asset value per share of the IWN Fund.
Because the Notes are linked to the performance of the IWN Fund and not the Underlying Index, the return on your Notes may be less than
that of an alternative investment linked directly to the Underlying Index.
| · | Anti-dilution Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-dilution
Adjustments—The Calculation Agent may in its sole discretion make adjustments affecting the amounts payable on the Notes upon
the occurrence of certain events that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value
of the shares of the IWN Fund. However, the Calculation Agent might not make such adjustments in response to all events that could affect
the shares of the IWN Fund. The occurrence of any such event and any adjustment made by the Calculation Agent (or a determination by the
Calculation Agent not to make any adjustment) may adversely affect the market price of, and any amounts payable on, the Notes. See “Reference
Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Anti-dilution
Adjustments” in the accompanying prospectus supplement. |
| · | Adjustments to the IWN Fund or the Underlying Index Could Adversely Affect the Value of the
Notes or Result in the Notes Being Accelerated—The investment adviser of the IWN Fund may add, delete or substitute the component
securities held by the IWN Fund or make changes to its investment strategy, and the sponsor of the Underlying Index may add, delete, substitute
or adjust the securities composing the Underlying Index or make other methodological changes to the Underlying Index that could affect
its performance. In addition, if the shares of the IWN Fund are de-listed or if the IWN Fund is liquidated or otherwise terminated, the
Calculation Agent may select a successor fund that the Calculation Agent determines to be comparable to the IWN Fund or, if no successor
fund is available, the Maturity Date of the Notes will be accelerated for a payment determined by the Calculation Agent. Any of these
actions could adversely affect the value of the IWN Fund and, consequently, the value of the Notes. Any amount payable upon acceleration
could be significantly less than the amount(s) that would be due on the securities if they were not accelerated. See “Reference
Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Discontinuance
of an Exchange-Traded Fund” in the accompanying prospectus supplement. |
| · | The Investment Strategy Represented by the IWN Fund May Not be Successful—The IWN Fund is intended to represent a “value”
investment strategy. The IWN Fund seeks to track the investment results, before fees and expenses, of an index composed of small-capitalization
U.S. equities that exhibit value characteristics, which is currently the Underlying Index. The Underlying Index measures the capitalization
weighted price performance of the stocks included in the Russell 2000® Index that are determined by the sponsor of
the Underlying Index to be value oriented, with lower price-to-book ratios and lower forecasted and historical growth. A “value”
investment strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or “undervalued”
under the assumption that the value of those stocks will increase over time as the market comes to recognize and reflect the “fair”
market value of those stocks. However, stocks that are considered value stocks may fail to appreciate for extended periods of time, and
may never realize their full potential value. Moreover, the value characteristics referenced by the Underlying Index may not be accurate
predictors of undervalued stocks. In addition, the Underlying Index’s |
selection methodology includes a significant bias against
stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth characteristics.
There is no assurance that the Underlying Index will outperform any other index or strategy that tracks U.S. stocks selected using other
criteria and may underperform the Russell 2000® Index as a whole. It is possible that the stock selection methodology
of the Underlying Index will adversely affect its return and, consequently, the level of the Underlying Index and the value and return
of the Notes.
| · | Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over
the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant
fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term
of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term
of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the Notes may
bear no relation or resemblance to the historical performance of any Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underliers or their components. In any such market making, trading and hedging activity,
and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the
Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In addition, the role played by Barclays
Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments. Furthermore,
we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon
any independent verification or valuation.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an
Underlier is to be determined; if an Index is discontinued or if the sponsor of an Index fails to publish that Index, selecting a successor
index or, if no successor index is available, determining any value necessary to calculate any payments on the Notes; and calculating
the value of an Index on any date of determination in the event of certain changes in or modifications to that Index; if the shares of
the IWN Fund are de-listed or if the IWN Fund is liquidated or otherwise terminated, selecting a successor fund or, if no successor fund
is available, determining whether to accelerate the Maturity Date; and determining whether to adjust any variable described herein in
the case of certain events related to the IWN Fund that the Calculation Agent determines have a diluting or concentrative effect on the
theoretical value of the shares of that Underlier. In making these discretionary judgments, our economic interests are potentially adverse
to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the market prices of, dividend rates on and expected volatility of the Underliers and the components of each Underlier; |
| o | correlation (or lack of correlation) of the Underliers; |
| o | the time to maturity of the Notes; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is 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. |
Information Regarding
the UNDERLIERS
iShares® Russell 2000 Value ETF
The IWN Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed of
small-capitalization U.S. equities that exhibit value characteristics, which is currently the Russell 2000® Value Index
(with respect to the IWN Fund, the “Underlying Index”). The Underlying Index measures the capitalization-weighted performance
of the stocks included in the Russell 2000® Index that are determined by the sponsor of the Underlying Index to be value
oriented, with lower price-to-book ratios and lower forecasted and historical growth. For more information about the IWN Fund, see “Reference
Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset” in
the accompanying prospectus supplement.
Historical Performance of the IWN Fund
The graph below sets forth the historical performance of the IWN Fund
based on the daily Closing Values from January 2, 2018 through January 11, 2023. 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. The Closing Values below may have been adjusted to reflect certain actions, such as stock
splits and reverse stock splits.
Historical Performance of the iShares®
Russell 2000 Value ETF
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted index that
is designed to measure the performance of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For more information
about the NDX Index, see “Indices—The Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical performance of the NDX Index
based on the daily Closing Values from January 2, 2018 through January 11, 2023. We obtained the Closing Values shown in the graph below
from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Nasdaq-100 Index®
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Russell 2000® Index
The RTY Index measures the capitalization-weighted price performance
of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed to track the performance of the small-capitalization
segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The Russell Indices” in the
accompanying underlying supplement.
Historical Performance of the RTY Index
The graph below sets forth the historical performance of the RTY Index
based on the daily Closing Values from January 2, 2018 through January 11, 2023. We obtained the Closing Values shown in the graph below
from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Russell 2000®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tax Considerations
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.”
The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes. The following
discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special tax
counsel, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Underliers.
Assuming this treatment is respected, upon a sale or exchange of the Notes (including redemption at maturity), you should recognize capital
gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should
equal the amount you paid to acquire the Notes. This gain or loss on your Notes should be treated as long-term capital gain or loss if
you hold your Notes for more than a year, whether or not you are an initial purchaser of Notes at the original issue price. However, the
IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the Notes could be materially
and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether
to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of
related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature
of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive
ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose
a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences
of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2025 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.