|
Pricing Supplement dated November 21, 2024
(To the Prospectus dated May 23, 2022, the Prospectus Supplement
dated June 27, 2022
and the Underlying Supplement dated June 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
 |
$21,035,000
Callable
Contingent Coupon Barrier Notes due November 26, 2027
Linked
to the Least Performing of the Nikkei 225 Index, the Russell 2000® Index and the S&P 500® Index
Global
Medium-Term Notes, Series A |
Unlike ordinary debt securities, the Notes do not guarantee the payment
of interest or the return of the full principal amount at maturity. Instead, as described below and subject to early redemption at the
discretion of the Issuer, the Notes offer a Contingent Coupon for each Observation Period if a Coupon Barrier Event has not occurred during
that Observation Period. However, if a Coupon Barrier Event has occurred during that Observation Period, investors will not receive any
Contingent Coupon for that Observation Period. A Coupon Barrier Event will occur with respect to an Observation Period if the Closing
Value of any Underlier is less than its Coupon Barrier Value on any scheduled trading day during that Observation
Period. Investors should be willing to forgo dividend payments and, if the Final Underlier Value of any Underlier is less than its Barrier
Value, be willing to lose a significant portion or all of their investment at maturity. Investors will be exposed to the market risk
of each Underlier and any decline in the value of one Underlier may negatively affect their return and will not be offset or mitigated
by a lesser decline or any potential increase in the values of the other Underliers.
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
| Issuer: |
Barclays Bank PLC |
| Denominations: |
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof |
| Initial Valuation Date: |
November 21, 2024 |
Final Valuation Date:† |
November 22, 2027 |
| Issue Date: |
November 22, 2024 |
Maturity Date:† |
November 26, 2027 |
| Reference Assets:* |
The Nikkei 225 Index (the “NKY Index”), the Russell 2000® Index (the “RTY Index”) and the S&P 500® Index (the “SPX Index”) (each, an “Underlier” and together, the “Underliers”), as set forth in the following table: |
| |
Underliers |
Bloomberg Ticker |
Initial Underlier Value(1) |
Coupon Barrier Value(2) |
Barrier Value(3) |
| |
NKY Index |
NKY<Index> |
38,026.17 |
26,618.32 |
24,717.01 |
| |
RTY Index |
RTY<Index> |
2,364.018 |
1,654.81 |
1,536.61 |
| |
SPX Index |
SPX<Index> |
5,948.71 |
4,164.10 |
3,866.66 |
| |
(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial Valuation Date |
| |
(2) With respect to each Underlier, 70.00% of its Initial Underlier Value (rounded to two decimal places) |
| (3) With respect to each Underlier, 65.00% of its Initial Underlier Value (rounded to two decimal places) |
| Early Redemption at the Option of the Issuer: |
The Notes will not be redeemable by us for approximately the first three months after the Issue Date. We may redeem the Notes (in whole but not in part) at our sole discretion without your consent on any Contingent Coupon Payment Date (other than the final Contingent Coupon Payment Date) for a cash payment per $1,000 principal amount Note equal to $1,000 plus any Contingent Coupon otherwise due, provided that we give at least five business days’ prior written notice to the trustee. No further amounts will be payable on the Notes after they have been redeemed. |
| Contingent Coupon: |
$25.75 per $1,000 principal amount Note (based on a rate of 10.30%
per annum or 2.575% per quarter, rounded to four decimal places, if applicable).
If we have not redeemed the Notes early and a Coupon Barrier Event
has not occurred during an Observation Period, you will receive a Contingent Coupon on the related Contingent Coupon Payment Date. If
a Coupon Barrier Event has occurred during an Observation Period, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date.
|
| Payment at Maturity: |
If we do not redeem the Notes early, you will receive on the Maturity
Date a cash payment per $1,000 principal amount Note determined as follows:
§
If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value, you will receive
a payment of $1,000 per $1,000 principal amount Note plus any Contingent Coupon otherwise due
§
If
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will receive an amount per $1,000
principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier Return
of the Least Performing Underlier)
If we do not redeem the Notes early and the Final Underlier Value
of any Underlier is less than its Barrier Value, your Notes will be fully exposed to the decline of the Least Performing Underlier from
its Initial Underlier Value and you will lose a significant portion or all of your investment at maturity. Any payment on the Notes, including
any repayment of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b)
the risk of exercise of any U.K. Bail-in Power (as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution
authority. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and
“Risk Factors” in the accompanying prospectus supplement.
|
| Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement. |
(Terms of the Notes continue on the next page)
| |
Initial Issue
Price(1)
|
Price to Public
|
Agent’s
Commission(2)
|
Proceeds to
Barclays Bank PLC
|
| Per Note |
$1,000 |
100% |
2.00% |
98.00% |
| Total |
$21,035,000 |
$21,035,000 |
$420,700 |
$20,614,300 |
| (1) | Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $968.60 per $1,000 principal
amount 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-5 of this pricing supplement. |
| (2) | Barclays Capital Inc. will receive commissions from the Issuer of $20.00 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-11 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)
| Coupon Barrier Event: |
A Coupon Barrier Event will occur with respect to an Observation Period
if the Closing Value of any Underlier is less than its Coupon Barrier Value on any scheduled trading day for
that Underlier during that Observation Period.
Notwithstanding the foregoing, if a market disruption event occurs
with respect to an Underlier on any scheduled trading day for that Underlier during an Observation Period (other than an Observation Period-End
Date), the Closing Value of that Underlier on that day will be disregarded for purposes of determining whether a Coupon Barrier Event
has occurred with respect to that Observation Period. For the avoidance of doubt, if any day during an Observation Period is a scheduled
trading day for any Underlier and no market disruption event occurs with respect to that Underlier on that day, the Calculation Agent
will observe the Closing Value of that Underlier on that day for purposes of determining whether a Contingent Coupon is payable, even
if that day is not a scheduled trading day for any other Underlier or a market disruption event has occurred with respect to any other
Underlier on that day
|
| Final Underlier Value: |
With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date |
| Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
| Underlier Return: |
With respect to each Underlier, an amount calculated as follows:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value |
| Observation Periods: |
The first Observation Period will consist of each day from but excluding the Initial Valuation Date to and including the first Observation Period-End Date. Each subsequent Observation Period will consist of each day from but excluding an Observation Period-End Date to and including the next following Observation Period-End Date. |
| Observation Period-End Dates:† |
February 21, 2025, May 21, 2025, August 21, 2025, November 21, 2025, February 24, 2026, May 21, 2026, August 21, 2026, November 24, 2026, February 22, 2027, May 21, 2027, August 23, 2027 and the Final Valuation Date |
| Contingent Coupon Payment Dates:† |
February 26, 2025, May 27, 2025, August 26, 2025, November 26, 2025, February 27, 2026, May 27, 2026, August 26, 2026, November 30, 2026, February 25, 2027, May 26, 2027, August 26, 2027 and the Maturity Date |
| Closing Value:* |
Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745YNW8 / US06745YNW83 |
| * | If an Underlier is discontinued or if the sponsor of an Underlier fails to publish that Underlier, the Calculation Agent may select
a successor index or, if no successor index is available, will calculate the value to be used as the Closing Value of that Underlier.
In addition, the Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event of certain changes
in or modifications to that Underlier. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities
with an Index as a Reference Asset” in the accompanying prospectus supplement. |
| † | Each Observation Period-End Date may be postponed if that Observation Period-End Date is not a scheduled trading day with respect
to any Underlier or if a market disruption event occurs with respect to any Underlier on that Observation Period-End Date as described
under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference
Asset” and “Reference Assets—Least or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption
Events for Securities Linked to the Reference Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded
Funds and/or Indices of Equity Securities” in the accompanying prospectus supplement. In addition, a Contingent Coupon Payment Date
and/or the Maturity Date will be postponed if that day is not a business day or if the relevant Observation Period-End Date is postponed
as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| · | Prospectus Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
| · | Underlying Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011304/dp169384_424b2-underl.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which
the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank
or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K.
banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant
EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities
or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other
amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of
a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of
Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as
well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
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 three 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-11 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 fixed periodic interest or coupon payments or other non-contingent sources of current
income, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event a Coupon Barrier Event occurs
during one or more of the specified Observation Periods. |
| · | You understand that a Coupon Barrier Event will occur with respect to an Observation Period if the Closing Value of any Underlier
is less than its Coupon Barrier Value on any scheduled trading day during that Observation Period, and you are willing and able
to accept the risk that, if a Coupon Barrier Event occurs during an Observation Period, you will not receive any Contingent Coupon for
that Observation Period. |
| · | 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 Contingent Coupons, if any, paid on the Notes. |
| · | You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Least Performing Underlier. |
| · | You do not anticipate that the Closing Value of any Underlier will fall below its Coupon Barrier Value on any scheduled trading
day during any Observation Period or below its Barrier Value on the Final Valuation Date. |
| · | You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one
Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value of any Underlier
is less than its Coupon Barrier Value on any scheduled trading day during an Observation Period and (b) you will lose a significant portion
or all of your principal at maturity if the Final Underlier Value of any Underlier is less than its Barrier Value. |
| · | You understand and accept the risk that, if the Notes are not redeemed early by us, the payment at maturity, if any, will be based
solely on the Underlier Return of the Least Performing Underlier. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Underliers, nor will you have any voting rights with respect to the securities composing the Underliers. |
| · | You are willing and able to accept the risk that we may, in our sole discretion, redeem the Notes early and that you may not be able
to reinvest your money in an alternative investment with comparable risk and yield. |
| · | 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 if we do not exercise our early redemption option. |
| · | 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 fixed periodic interest or coupon payments or other non-contingent sources of current income,
and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event a Coupon Barrier Event occurs
during one or more of the specified Observation Periods. |
| · | You are unwilling or unable to accept the risk that, if the Closing Value of any Underlier is less than its Coupon Barrier Value on
any scheduled trading day during an Observation Period, a Coupon Barrier Event will occur with respect to that Observation Period
and you will not receive any Contingent Coupon for that Observation Period. |
| · | 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 Contingent Coupons, if any, paid on the Notes. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose a significant portion or all of the principal amount of your Notes in the event that the Final Underlier Value
of the Least Performing Underlier falls below its Barrier Value. |
| · | You anticipate that the Closing Value of at least one Underlier will decline during the term of the Notes such that the Closing
Value of at least one Underlier will fall below its Coupon Barrier Value on a scheduled trading day during one or more Observation
Periods and/or the Final Underlier Value of at least one Underlier will fall below its Barrier Value. |
| · | You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underliers. |
| · | You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to not receive
Contingent Coupons and/or to lose a significant portion or all of principal at maturity, regardless of the performance of any other Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Underliers. |
| · | You are unwilling or unable to accept the risk that we may, in our sole discretion, redeem the Notes early. |
| · | 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 if we do not exercise our early redemption option. |
| · | 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 ON A SINGLE CONTINGENT coupon PAYMENT DATE
The following examples demonstrate the circumstances under which you
may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. 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 of each Underlier: 100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| * | The hypothetical Initial Underlier Value of 100.00 and the hypothetical Coupon Barrier Value
of 70.00 for each Underlier have been chosen for illustrative purposes only and do not represent the actual Initial Underlier Values or
Coupon Barrier Values for the Underliers. The actual Initial Underlier Value and Coupon 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.
Example 1: The Closing Value of each Underlier is greater than its
Coupon Barrier Value on each scheduled trading day during the relevant Observation Period.
| Underlier |
Lowest Closing Value during Relevant Observation Period |
Did a Coupon Barrier Event Occur during Relevant Observation Period? |
| NKY Index |
105.00 |
No |
| RTY Index |
85.000 |
| SPX Index |
150.00 |
Because the Closing Value of each Underlier is greater than its Coupon
Barrier Value on each scheduled trading day during the relevant Observation Period, no Coupon Barrier Event occurred during that Observation
Period, and you will receive a Contingent Coupon of $25.75 (2.575% of the principal amount per Note) on the related Contingent Coupon
Payment Date.
Example 2: The Closing Value of one Underlier is less than its Coupon
Barrier Value on a scheduled trading day during the relevant Observation Period, and the Closing Value of each other Underlier is greater
than its Coupon Barrier Value on each scheduled trading day during the relevant Observation Period.
| Underlier |
Lowest Closing Value during Relevant Observation Period |
Did a Coupon Barrier Event Occur during Relevant Observation Period? |
| NKY Index |
140.00 |
Yes |
| RTY Index |
40.000 |
| SPX Index |
85.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value on a scheduled trading day during the relevant Observation Period, a Coupon Barrier Event occurred during that Observation
Period, and you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 3: The Closing Value of each Underlier is less than its
Coupon Barrier Value on a scheduled trading day during the relevant Observation Period.
| Underlier |
Lowest Closing Value during Relevant Observation Period |
Did a Coupon Barrier Event Occur during Relevant Observation Period? |
| NKY Index |
45.00 |
Yes |
| RTY Index |
55.000 |
| SPX Index |
40.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value on a scheduled trading day during the relevant Observation Period, a Coupon Barrier Event occurred during that Observation
Period, and you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate that you may not receive a Contingent
Coupon on a Contingent Coupon Payment Date. If the Closing Value of at least one Underlier is below its Coupon Barrier Value on
any scheduled trading day during each Observation Period, you will not receive any Contingent Coupons during the term of the Notes.
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 Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | Hypothetical Barrier Value for each Underlier: 65.00 (65.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | You hold the Notes to maturity, and we do NOT exercise our option to redeem the Notes early. |
| * | The hypothetical Initial Underlier Value of 100.00,
the hypothetical Coupon Barrier Value of 70.00 and the hypothetical Barrier
Value of 65.00 for each Underlier have been chosen for illustrative purposes only and do not represent the actual Initial Underlier Values,
Coupon Barrier Values or Barrier Values for the Underliers. The actual Initial Underlier Value, Coupon Barrier Value and 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** |
| 150.00 |
50.00% |
$1,000.00 |
| 140.00 |
40.00% |
$1,000.00 |
| 130.00 |
30.00% |
$1,000.00 |
| 120.00 |
20.00% |
$1,000.00 |
| 110.00 |
10.00% |
$1,000.00 |
| 100.00 |
0.00% |
$1,000.00 |
| 90.00 |
-10.00% |
$1,000.00 |
| 80.00 |
-20.00% |
$1,000.00 |
| 70.00 |
-30.00% |
$1,000.00 |
| 65.00 |
-35.00% |
$1,000.00 |
| 64.99 |
-35.01% |
$649.90 |
| 60.00 |
-40.00% |
$600.00 |
| 50.00 |
-50.00% |
$500.00 |
| 40.00 |
-60.00% |
$400.00 |
| 30.00 |
-70.00% |
$300.00 |
| 20.00 |
-80.00% |
$200.00 |
| 10.00 |
-90.00% |
$100.00 |
| 0.00 |
-100.00% |
$0.00 |
** per $1,000 principal amount
Note, excluding the final Contingent Coupon that may be payable on the Maturity Date
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 NKY Index is
150.00, the Final Underlier Value of the RTY Index is 130.000 and the Final Underlier Value of the SPX Index is 140.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus any Contingent
Coupon otherwise due).
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 $1,000 per
$1,000 principal amount Note that you hold (plus any Contingent Coupon otherwise due).
Example 2: The Final Underlier Value of the NKY Index is 80.00,
the Final Underlier Value of the RTY Index is 140.000 and the Final Underlier Value of the SPX Index is 95.00.
Because the NKY Index has the lowest Underlier Return, the NKY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus any Contingent
Coupon otherwise due).
Example 3: The Final Underlier Value of the NKY Index is 80.00,
the Final Underlier Value of the RTY Index is 40.000 and the Final Underlier Value of the SPX Index is 150.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value,
you will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Underlier Return of the
Least Performing Underlier)
$1,000 + ($1,000 ×-60.00%) = $400.00
In addition, because the Final Underlier Value of at least one Underlier
is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 3 demonstrates that, if we do not redeem the Notes early, and
if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, your investment in the Notes will be fully
exposed to the decline of the Least Performing Underlier from its Initial Underlier Value. You will not benefit in any way from the Underlier
Return of any other Underlier being higher than the Underlier Return of the Least Performing Underlier.
If we do not redeem the Notes early, 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 Notes are not redeemed early by us, and
if the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, your Notes will be fully exposed to the
decline of the Least Performing Underlier from its Initial Underlier Value. You may lose up to 100.00% of the principal amount of
your Notes. |
| · | You May Not Receive Any Contingent Coupon Payments on the Notes—The Issuer will not necessarily make periodic coupon
payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if a Coupon Barrier Event
has not occurred during the related Observation Period. A Coupon Barrier Event will occur with respect to an Observation Period if the
Closing Value of any Underlier is less than its Coupon Barrier Value on any scheduled trading day during that Observation Period. If the
Closing Value of any Underlier is less than its Coupon Barrier Value on a scheduled trading day during an Observation Period (i.e., a
Coupon Barrier Event has occurred during that Observation Period), you will not receive a Contingent Coupon on the related Contingent
Coupon Payment Date even if the Closing Values of the other Underliers on each scheduled trading day during that Observation Period have
appreciated or have not declined below their respective Coupon Barrier Values and even if each Underlier closes above its Coupon Barrier
Value on the Observation Period-End Date for that Observation Period. Therefore, unless each Underlier closes above its Coupon Barrier
Value on each scheduled trading day during an Observation Period, you will not receive any Contingent Coupon for that Observation Period.
If the Closing Value of at least one Underlier is less than its Coupon Barrier Value on any scheduled trading day during each Observation
Period, you will not receive any Contingent Coupons during the term of the Notes. |
| · | Your Potential Return on the Notes Is Limited to the Contingent Coupons, If Any, and You Will Not Participate in Any Appreciation
of Any Underlier—The potential positive return on the Notes is limited to the Contingent Coupons, if any, that may be payable
during the term of the Notes. You will not participate in any appreciation in the value of any Underlier, which may be significant, even
though you will be exposed to the depreciation in the value of the Least Performing Underlier if the Notes are not redeemed early by us
and the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value. |
| · | Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining
a Significant Loss of Principal at Maturity Than If the Notes Were Linked to a Single Underlier—The risk that you will not receive
any Contingent Coupons and lose a significant portion or all of your principal amount in the Notes at maturity is greater if you invest
in the Notes as opposed to substantially similar securities that are linked to the performance of a single Underlier. With multiple Underliers,
it is more likely that the Closing Value of at least one Underlier will be less than its Coupon Barrier Value on a scheduled trading day
during the specified Observation Periods or less than its Barrier Value on the Final Valuation Date, and therefore, it is more likely
that you will not receive any Contingent Coupons and 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 Coupon Barrier Value or Barrier Value on a scheduled trading day during an
Observation Period or the Final Valuation Date, respectively. |
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.
Although the correlation of the Underliers’
performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on the correlation of the
Underliers’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Contingent
Coupon is generally associated with lower correlation of the Underliers, which reflects a greater potential for missed Contingent Coupons
and for a loss of principal at maturity.
| · | 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. To receive a Contingent
Coupon, the Closing Value of each Underlier must be greater than or equal to its Coupon Barrier Value on each scheduled trading day during
the applicable Observation Period. In addition, if the Notes have not been redeemed early by us, and if the Final Underlier Value of any
Underlier is less than its Barrier Value, you will be fully exposed to the decline of the Least Performing Underlier from its Initial
Underlier Value. Accordingly, your investment is subject to the market risk of each Underlier. |
| · | Issuer Redemption and Reinvestment Risk—We may redeem your Notes (in whole but not in part) at our sole discretion without
your consent on any Contingent Coupon Payment Date (other than the final Contingent Coupon Payment Date), regardless of the Closing Value
of any Underlier on any day on or prior to that Contingent Coupon Payment Date and without taking your interests into account. If we elect
to redeem the Notes early, the holding period over which you may receive Contingent Coupons could be as short as approximately three months. |
The payment upon early redemption, together
with any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than the aggregate amount
of payments that you would have received had we not redeemed the Notes early. 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 redeemed
at our election prior to the Maturity Date. No additional payments will be due after early redemption. Our right to redeem the Notes may
also adversely impact your ability to sell your Notes and the price at which they may be sold.
It is more likely that we will redeem
the Notes at our sole discretion prior to maturity to the extent that the expected interest payable on the Notes is greater than the interest
that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. We are
less likely to redeem the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would
be payable on other comparable instruments issued by us, which includes when the level of any Underlier is less than its Coupon Barrier
Value. Therefore, the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than what would
be payable on other comparable instruments and when your risk of not receiving a Contingent Coupon is relatively higher.
| · | 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 or upon Any Earlier Redemption—You should be willing
to hold your Notes to maturity or any earlier 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 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. |
| · | The Notes Are Subject to Volatility Risk—Volatility is a measure of the degree of variation in the price of an asset
(or level of an index) over a period of time. The Contingent Coupon is determined based on a number
of factors, including the expected volatility of the Underliers. The Contingent Coupon will be paid at a per annum rate that is higher
than the fixed rate that we would pay on a conventional debt security of the same tenor and is higher than it otherwise would be if the
level of expected volatility of the Underliers taken into account in determining the terms of the Notes were lower. As volatility of an
Underlier increases, there will typically be a greater likelihood that (a) the Closing Value of that Underlier on a scheduled trading
day during one or more Observation Periods will be less than its Coupon Barrier Value and (b) the Final Underlier Value of that Underlier
will be less than its Barrier Value. |
Accordingly, you should understand that
a higher Contingent Coupon reflects, among other things, an indication of a greater likelihood that you will (a) not receive Contingent
Coupons with respect to one or more Observation Periods and/or (b) incur a loss of principal at maturity than would have been the case
had the Contingent Coupon been lower. In addition, actual volatility over the term of the Notes may be significantly higher than expected
volatility at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will face an even greater
risk that you will not receive Contingent Coupons and/or that you will lose a significant portion or all of your principal at maturity
for the reasons described above.
| · | Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may not reflect
the return you would realize if you actually owned the securities composing the Underliers. As a holder of the Notes, you will not have
voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing the Underliers
would have. |
| · | Tax Treatment—Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor
about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the |
holders of the Notes), by acquiring the
Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any
U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power” in this pricing
supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders and beneficial
owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different security from the Notes,
which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded
to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance
notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each term is defined in
the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking,
in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the
Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is
failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers,
could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Risks Relating to the Underliers
| · | Each Underlier Reflects the Price Return of the Securities Composing That Underlier, Not the Total Return—The return
on the Notes is based on the performance of the Underliers, which reflects changes in the market prices of the securities composing each
Underlier. Each Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the Notes
will not include such a total return feature. |
| · | Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add, delete,
substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that could affect
its performance. The Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event of certain
material changes in or modifications to that Underlier. In addition, the sponsor of an Underlier may also discontinue or suspend calculation
or publication of that Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the discontinued Underlier or, if no successor index is available, the Calculation Agent will determine
the value to be used as the Closing Value of that Underlier. Any of these actions could adversely affect the value of the relevant Underlier
and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments Relating to Securities with an
Index as a Reference Asset” in the accompanying prospectus supplement. |
| · | There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities in Non-U.S. Securities
Markets with Respect to the NKY Index—The equity securities composing the NKY Index are issued by non-U.S. companies in non-U.S.
securities markets. Investments in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks
associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, 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 companies in some of these jurisdictions than there is about U.S. companies that are
subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. 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 Do Not Provide Direct Exposure to Fluctuations in Exchange Rates between the U.S. Dollar and the Yen with Respect to
the NKY Index—The NKY Index is composed of non-U.S. securities denominated in yen. Because the value of the NKY Index is also
calculated in yen (and not in U.S. dollars), the performance of the NKY Index will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the yen. In addition, any payments on the Notes determined based in part on the performance of the NKY Index will
not be adjusted for exchange rate fluctuations between the U.S. dollar and the yen. Therefore, holders of the Notes will not benefit from
any appreciation of the yen relative to the U.S. dollar. |
| · | The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index—The RTY Index tracks companies
that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies, and therefore Notes linked to the RTY Index may be more volatile than an investment
linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are
also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition, small-capitalization
companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be
in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or |
service markets, fewer financial resources
and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.
| · | Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over
the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant
fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term
of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term
of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the Notes may
bear no relation or resemblance to the historical performance of any Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underliers or their components. In any such market making, trading and hedging activity,
and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the
Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In addition, the role played by Barclays
Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments. Furthermore,
we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon
any independent verification or valuation.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an
Underlier is to be determined; if an Underlier is discontinued or if the sponsor of an Underlier fails to publish that Underlier, selecting
a successor index or, if no successor index is available, determining any value necessary to calculate any payments on the Notes; and
calculating the value of an Underlier on any date of determination in the event of certain changes in or modifications to that Underlier.
In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor in the Notes,
and any of these determinations may adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the values and expected volatility of the Underliers and the components of each Underlier; |
| o | correlation (or lack of correlation) of the Underliers; |
| o | the time to maturity of the Notes; |
| o | dividend rates on the components of each Underlier; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; |
| o | the exchange rate of the U.S. dollar relative to the yen; 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
Nikkei 225 Index
The NKY Index is a stock index that measures the composite price performance
of 225 of the most actively traded stocks on the Tokyo Stock Exchange (the “Nikkei Underlying Stocks”), representing a broad
cross-section of Japanese industries. For more information about the NKY Index, see “Indices—The Nikkei 225 Index” in
the accompanying underlying supplement, as supplemented by the following updated information.
Effective October 2022, if the weight of any Nikkei Underlying Stock
exceeds a certain threshold (the “weight cap threshold”) on the base date of a periodic review, a capping ratio will be applied
to decrease the weight of that Nikkei Underlying Stock. The weight cap threshold for any Nikkei Underlying Stock is (i) 12% as of the
October 2022 periodic review, (ii) 11% as of the October 2023 periodic review and (iii) 10% as of the October 2024 periodic review. For
any Nikkei Underlying Stock to which a capping ratio is applied, the price of that Nikkei Underlying Stock is adjusted by a capped price
adjustment factor (“CPAF”) equal to (i) the capping ratio multiplied by (ii) the PAF (as defined under “Indices—The
Nikkei 225 Index—Calculation of the Nikkei 225 Index” in the accompanying underlying supplement).
If, on the base date of a periodic review, the weight of any Nikkei
Underlying Stock exceeds the weight cap threshold and a capping ratio does not already apply to that Nikkei Underlying Stock, a capping
ratio of 0.9 is applied on the effective date of the periodic review. If a capping ratio already applies to any Nikkei Underlying Stock,
the capping ratio will be decreased in increments of 0.1 on the effective date of the periodic review until there is a change in the CPAF.
If, on the base date of a periodic change, the weight of a Nikkei Underlying Stock to which a capping ratio is applied is below 5%, the
capping ratio will be increased in increments of 0.1 on the effective date of the periodic review until there is a change in the CPAF;
however, the capping ratio will be canceled if it increases to 1.0. When a Nikkei Underlying Stock to which a capping ratio is applied
effects a large-scale stock split or reverse split and the PAF is adjusted by the ratio of the split or reverse split, the capping ratio
may be revised as necessary to ensure that the new CPAF does not change the weight of that Nikkei Underlying Stock.
In addition, as of October 2022, the Nikkei Underlying Stocks are reviewed
semiannually with base dates at the end of January and July, and results of each review are applied on the first trading day in April
and October, respectively.
Historical Performance of the NKY Index
The graph below sets forth the historical performance of the NKY Index
based on the daily Closing Values from January 4, 2019 through November 21, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg Professional® service (“Bloomberg”). We have not independently verified the accuracy or completeness
of the information obtained from Bloomberg.
Historical Performance of the Nikkei 225 Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Russell 2000® Index
The RTY Index measures the capitalization-weighted price performance
of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed to track the performance of the small-capitalization
segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The Russell Indices” in the
accompanying underlying supplement.
Historical Performance of the RTY Index
The graph below sets forth the historical performance of the RTY Index
based on the daily Closing Values from January 2, 2019 through November 21, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Russell 2000®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
S&P 500® Index
The SPX Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the SPX Index, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Performance of the SPX Index
The graph below sets forth the historical performance of the SPX Index
based on the daily Closing Values from January 2, 2019 through November 21, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the S&P 500®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tax Considerations
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any
Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons”
in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment
to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, exchange or redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including upon early redemption or 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 (assuming Contingent Coupon payments are properly treated as ordinary income,
consistent with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes
for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser
of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time
your right to a Contingent Coupon payment is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary
income equal to the Contingent Coupon payment. Although uncertain, it is possible that proceeds received from the sale or exchange of
your Notes prior to an Observation Period-End Date but that can be attributed to an expected Contingent Coupon payment could be treated
as ordinary income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the IRS
or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the
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.
Non-U.S. holders. Insofar as we have responsibility as a withholding
agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying prospectus supplement)
as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8
or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information
Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required
to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our 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 12, 2024, filed as an exhibit to a report on Form
6-K by Barclays Bank PLC on July 12, 2024, and this opinion is subject to the same assumptions, qualifications and limitations as set
forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture and its authentication of the 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 12, 2024, which has been filed as an exhibit to the report on Form 6-K referred to above.
Exhibit 107.1
Calculation of Filing Fee
Table
F-3
(Form Type)
Barclays Bank PLC
(Exact Name of Registrant as Specified in its Charter)
Table 1—Newly Registered Securities
| |
Security Type |
Security Class Title |
Fee Calculation or Carry Forward Rule |
Amount Registered |
Proposed Maximum Offering Price Per Unit |
Maximum Aggregate Offering Price |
Fee Rate |
Amount of Registration Fee |
| Fees to be Paid |
Debt |
Global Medium-Term Notes, Series A |
457(r) |
21,035 |
$1,000 |
$21,035,000 |
0.0001531 |
$3,220.46 |
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering.
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