|
The information in this preliminary pricing
supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus supplement
and underlying supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the securities in
any state where the offer or sale is not permitted.
Subject to Completion.
Dated November 22, 2024 |
 |
November 2024
Registration Statement No. 333-265158
Pricing Supplement dated November
, 2024
Filed pursuant to Rule 424(b)(2) |
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable
Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy
Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector
SPDR® Fund
Principal at Risk Securities
Unlike conventional debt securities, the securities do not guarantee
the payment of interest or the return of the full principal amount at maturity. Instead, the securities offer the opportunity for investors
to receive a contingent quarterly payment equal to at least 2.22% of the stated principal amount (the actual contingent quarterly payment
will be determined on the pricing date) with respect to each quarterly determination date on which the closing price of each underlier
is greater than or equal to 70% of its initial underlier value, which we refer to as a downside threshold level. If the closing price
of each underlier is greater than or equal to its initial underlier value on any determination date (other than the final determination
date), the securities will be automatically redeemed for an amount per security equal to the stated principal amount plus the contingent
quarterly payment otherwise due. However, if on any determination date the closing price of any underlier is less than its initial underlier
value, the securities will not be redeemed and if the closing price of any underlier is less than its downside threshold level, investors
will not receive any contingent quarterly payment for the related quarterly period. If the securities are not redeemed prior to maturity
and the final underlier value of each underlier is greater than or equal to its downside threshold level, the payment at maturity due
on the securities will be equal to the stated principal amount plus the contingent quarterly payment otherwise due. However, if
the securities are not redeemed prior to maturity and the final underlier value of any underlier is less than its downside threshold level,
at maturity investors will lose 1% of the stated principal amount for every 1% that the final underlier value of the worst performing
underlier is less than its initial underlier value. Under these circumstances, the amount investors receive will be less than 70% of the
stated principal amount and could be zero. Because all payments on the securities are based on the worst performing of the underliers,
a decline in the closing price of any underlier below its downside threshold level on most or all of the determination dates will result
in few or no contingent quarterly payments and/or a significant loss of your investment, even if the other underliers appreciate or have
not declined as much. The securities are for investors who are willing and able to risk their principal and forgo guaranteed interest
payments, in exchange for the opportunity to potentially receive contingent quarterly payments at an above-market rate, subject to automatic
early redemption. Investors will not participate in any appreciation of any underlier even though investors will be exposed to the depreciation
in the value of the worst performing underlier if the securities have not been redeemed prior to maturity and the final underlier value
of the worst performing underlier is less than its downside threshold level. Investors may lose
their entire initial investment in the securities. The securities are unsecured and unsubordinated debt obligations of Barclays Bank PLC.
Any payment on the securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not
guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any
U.K. Bail-in Power (as described on page 5 of this document) by the relevant U.K. resolution authority, you might not receive any amounts
owed to you under the securities. See “Risk Factors” and “Consent to U.K. Bail-in Power” in this document and
“Risk Factors” in the accompanying prospectus supplement.
| SUMMARY TERMS |
|
| Issuer: |
Barclays Bank PLC |
| Reference assets*: |
Energy Select Sector SPDR® Fund (the “XLE
Fund”), Financial Select Sector SPDR® Fund (the “XLF Fund”) and Utilities Select Sector SPDR® Fund
(the “XLU Fund”) (each an “underlier” and together the “underliers”)
|
| |
Underlier |
Bloomberg ticker |
Initial underlier value(1)* |
Downside threshold level(2)* |
| |
XLE Fund |
XLE UP<Equity> |
$ |
$ |
| |
XLF Fund |
XLF UP<Equity> |
$ |
$ |
| |
XLU Fund |
XLU UP<Equity> |
$ |
$ |
|
(1) With respect to each underlier, the closing price of that underlier
on the pricing date
(2) With respect to each underlier, 70% of its initial underlier value
(rounded to three decimal places)
|
| Aggregate principal amount: |
$ |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
November 29, 2024 |
| Original issue date: |
December 4, 2024 |
| Maturity date*†: |
December 3, 2026 |
| Contingent quarterly payment: |
·
If, on any determination date, the closing price of each underlier is greater than or equal to its downside threshold level, we
will pay a contingent quarterly payment of at least $22.20 (at least 2.22% of the stated principal amount) per security on the related
contingent payment date. The actual contingent quarterly payment will be determined on the pricing date.
·
If, on any determination date, the closing price of any underlier is less than its downside threshold level, no contingent quarterly
payment will be made with respect to that determination date.
|
| Payment at maturity: |
If the securities are not automatically redeemed prior to maturity,
you will receive on the maturity date a cash payment per security determined as follows:
· If the final underlier value of each underlier is greater than or equal to its downside threshold level:
(i) stated principal amount plus
(ii) the contingent quarterly payment otherwise due
· If the final underlier value of any underlier is less than its downside threshold level:
stated principal amount × underlier
performance factor of the worst performing underlier
Under these circumstances, the payment at maturity will be less
than the stated principal amount of $1,000 and will represent a loss of more than 30%, and possibly all, of an investor’s initial
investment. Investors may lose their entire initial investment in the securities. Any payment on the securities, 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 by the relevant U.K. resolution authority.
|
| U.K. Bail-in Power acknowledgment: |
Notwithstanding and to the exclusion of any other term of the securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page 5 of this document. |
| |
(terms continued on the next page) |
| Commissions and initial issue price: |
Initial issue price(1) |
Price to public(1) |
Agent’s commissions |
Proceeds to issuer |
| Per security |
$1,000 |
$1,000 |
$15.00(2)
$5.00(3) |
$980.00 |
| Total |
$ |
$ |
$ |
$ |
| |
|
|
|
|
|
| (1) | Our estimated value of the securities on the pricing date, based on our internal pricing models, is expected to be between $945.60
and $965.60 per security. The estimated value is expected to be less than the initial issue price of the securities. See “Additional
Information Regarding Our Estimated Value of the Securities” on page 4 of this document. |
| (2) | Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a
fixed sales commission of $15.00 for each security they sell. See “Supplemental Plan of Distribution” in this document. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each security. |
One or more of our affiliates may purchase up to 15% of the aggregate
principal amount of the securities and hold such securities for investment for a period of at least 30 days. Accordingly, the total principal
amount of the securities may include a portion that was not purchased by investors on the original issue date. Any unsold portion held
by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore, could adversely affect the price
of the securities in the secondary market. Circumstances may occur in which our interests or those of our affiliates could be in conflict
with your interests.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Risk Factors” beginning on page 13 of this document and beginning
on page S-9 of the prospectus supplement. You should read this document together with the related prospectus, prospectus supplement and
underlying supplement, each of which can be accessed via the hyperlinks below, before you make an investment decision.
The securities 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 the securities or determined that this document is truthful or complete. Any representation to the contrary
is a criminal offense.
The securities constitute our unsecured and unsubordinated obligations.
The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation Scheme
or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United
States, the United Kingdom or any other jurisdiction.
Contingent Income Auto-Callable
Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy
Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector
SPDR® Fund
Principal at Risk Securities
| Terms continued from previous page: |
| Automatic early redemption: |
If, on any determination date (other than the final determination date), the closing price of each underlier is greater than or equal to its initial underlier value, the securities will be automatically redeemed for an early redemption payment on the contingent payment date immediately following that determination date. The securities will not be redeemed early if the closing price of any underlier is less than its initial underlier value on the related determination date. No further payments will be made on the securities after they have been redeemed. |
| Early redemption payment: |
The early redemption payment will be an amount per security equal to (i) the stated principal amount plus (ii) the contingent quarterly payment otherwise due. |
| Final underlier value*: |
With respect to each underlier, the closing price of that underlier on the final determination date |
| Underlier performance factor: |
With respect to each underlier, its final underlier value divided by its initial underlier value |
| Worst performing underlier: |
The underlier with the lowest underlier performance factor |
| Determination dates†: |
February 28, 2025, May 29, 2025, August 29, 2025, December 1, 2025, March 2, 2026, May 29, 2026, August 31, 2026 and November 30, 2026. We also refer to November 30, 2026 as the final determination date. |
| Contingent payment dates†: |
March 5, 2025, June 3, 2025, September 4, 2025, December 4, 2025, March 5, 2026, June 3, 2026, September 3, 2026 and the maturity date |
| Closing price*: |
With respect to each underlier, closing price has the meaning set forth under “Reference Assets—Exchange-Traded Funds—Special Calculation Provisions” in the prospectus supplement. |
| Calculation agent: |
Barclays Bank PLC |
| Additional terms: |
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement. |
| CUSIP / ISIN: |
06745YPW6 / US06745YPW65 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Selected dealer: |
Morgan Stanley Wealth Management (“MSWM”) |
| * |
If the shares of an underlier are de-listed or if an underlier is liquidated or otherwise terminated, the calculation agent may select a successor fund or, if no successor fund is available, may accelerate the maturity date. In addition, in the case of certain events related to an underlier, the calculation agent may adjust any variable, including but not limited to, that underlier and the initial underlier value, final underlier value, downside threshold level and closing price of that underlier if the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of the shares of that underlier. For more information, see “Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset” in the accompanying prospectus supplement. |
| † |
Each determination date may be postponed if that determination 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 determination date as described under “Reference Assets—Exchange-Traded Funds—Market Disruption Events for Securities with an Exchange-Traded Fund That Holds 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 payment date and/or the maturity date will be postponed if that day is not a business day or if the relevant determination date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
Barclays Capital Inc.
|
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Additional Terms of the Securities
You should read this document
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 the securities are a part, and the underlying supplement dated June 27, 2022. This document, together
with the documents listed below, contains the terms of the securities and supersedes all prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth under “Risk Factors” in the prospectus supplement, as the securities involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our SEC file number is 1-10257 and our Central Index Key, or CIK, on
the SEC website is 0000312070. As used in this document, “we,” “us” and “our” refer to Barclays Bank
PLC.
In connection with this offering, Morgan Stanley Wealth Management is
acting in its capacity as a selected dealer.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Additional Information Regarding Our Estimated Value
of the Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables, such
as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based on our internal funding rates.
Our estimated value of the securities might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the securities on the pricing date is expected
to be less than the initial issue price of the securities. The difference between the initial issue price of the securities and our estimated
value of the securities is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, the
estimated cost that we may incur in hedging our obligations under the securities, and estimated development and other costs that we may
incur in connection with the securities. These other costs will include a fee paid to LFT Securities, LLC, an entity in which an affiliate
of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this
offering.
Our estimated value on the pricing date is not a prediction of the price
at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the
securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours
intends to offer to purchase the securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the pricing
date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market, if any, and the value
that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated
value on the pricing date for a temporary period expected to be approximately 40 days after the initial issue date of the securities because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the securities and other costs in connection with the securities that we will no longer expect to incur over the term of the securities.
We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may
include the tenor of the securities and/or any agreement we may have with the distributors of the securities. The amount of our estimated
costs that we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we
may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the
securities based on changes in market conditions and other factors that cannot be predicted.
We urge you to read “Risk Factors” beginning on page
13 of this document.
You may revoke your offer to purchase the securities at any time
prior to the pricing date. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their
pricing date. In the event of any changes to the terms of the securities, we will notify you and you will be asked to accept such changes
in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Consent to U.K. Bail-in Power
Notwithstanding and to the
exclusion of any other term of the securities or any other agreements, arrangements or understandings between us and any holder or beneficial
owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial
owner of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under the U.K. Banking Act 2009,
as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution
authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment firm is failing
or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold conditions for authorization
to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that
is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant EEA or third country
relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The U.K. Bail-in Power includes
any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all,
or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities; (ii) the conversion of all, or
a portion, of the principal amount of, interest on, or any other amounts payable on, the securities into shares or other securities or
other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the securities
such shares, securities or obligations); (iii) the cancellation of the securities and/or (iv) the amendment or alteration of the maturity
of the securities, or amendment of the amount of interest or any other amounts due on the securities, or the dates on which interest or
any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by
means of a variation of the terms of the securities solely to give effect to the exercise by the relevant U.K. resolution authority of
such U.K. Bail-in Power. Each holder and beneficial owner of the securities further acknowledges and agrees that the rights of the holders
or beneficial owners of the securities are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver
of any rights holders or beneficial owners of the securities may have at law if and to the extent that any U.K. Bail-in Power is exercised
by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see
“Risk Factors—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 document 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.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
The Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund
and the Utilities Select Sector SPDR® Fund, which we refer to as the securities, provide an opportunity for investors
to receive a contingent quarterly payment, which is an amount equal to at least $22.20 (at least 2.22% of the stated principal amount),
with respect to each quarterly determination date on which the closing price of each underlier is greater than or equal to 70% of its
initial underlier value, which we refer to as a downside threshold level. However, if the closing price of any underlier is less than
its downside threshold level on a determination date, investors will not receive any contingent quarterly payment for that determination
date. The actual contingent quarterly payment will be determined on the pricing date. The closing price of at least one of the underliers
could be below its downside threshold level on most or all of the determination dates so that you receive few or no contingent quarterly
payments over the term of the securities.
If the closing price of each underlier is greater than or equal to its
initial underlier value on any determination date (other than the final determination date), the securities will be automatically redeemed
for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment otherwise due. If the
securities are automatically redeemed prior to maturity, investors will receive no further contingent quarterly payments. At maturity,
if the securities have not previously been redeemed and the final underlier value of each underlier is greater than or equal to its downside
threshold level, the payment at maturity will be equal to the stated principal amount plus the contingent quarterly payment otherwise
due. However, if the securities have not previously been redeemed and the final underlier value of any underlier is less than its downside
threshold level, investors will lose 1% of the stated principal amount for every 1% that the final underlier value of the worst performing
underlier is less than its initial underlier value. Under these circumstances, the amount investors receive will be less than 70% of the
stated principal amount and could be zero. Investors in the securities must be willing and able to accept the risk of losing their entire
initial investment based on the performance of the worst performing underlier and also the risk of not receiving any contingent quarterly
payment throughout the entire term of the securities. In addition, investors will not participate in any appreciation of any underlier.
Key Investment Rationale
The securities are for investors who are willing and able to risk their
principal and forgo guaranteed interest payments, in exchange for the opportunity to potentially receive contingent quarterly payments
at an above-market rate, subject to automatic early redemption. The securities offer investors an opportunity to receive a contingent
quarterly payment of at least $22.20 (at least 2.22% of the stated principal amount) with respect to each determination date on which
the closing price of each underlier is greater than or equal to its downside threshold level. The actual contingent quarterly payment
will be determined on the pricing date. In addition, the following scenarios reflect the potential payment on the securities, if any,
upon an automatic early redemption or at maturity:
| Scenario 1 |
On any determination date (other than the final determination
date), the closing price of each underlier is greater than or equal to its initial underlier value.
§
The securities will be automatically redeemed for (i) the stated principal
amount plus (ii) the contingent quarterly payment otherwise due.
§
Investors will not participate in any appreciation of any underlier from
its initial underlier value and will receive no further contingent quarterly payments.
|
| Scenario 2 |
The securities are not automatically redeemed prior
to maturity and the final underlier value of each underlier is greater than or equal to its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount plus
(ii) the contingent quarterly payment otherwise due.
§
Investors will not participate in any appreciation of any underlier from
its initial underlier value.
|
| Scenario 3 |
The securities are not automatically redeemed prior
to maturity and the final underlier value of any underlier is less than its downside threshold level.
§
The payment due at maturity will be equal to the stated principal amount
times the underlier performance factor of the worst performing underlier. In this case, at maturity, the securities pay less than
70% of the stated principal amount and the percentage loss of the stated principal amount will be equal to the percentage decrease in
the final underlier value of the worst performing underlier from its initial underlier value. For example, if the final underlier
value of the worst performing underlier is 55% less than its initial underlier value, the securities will pay $450.00 per security, or
45% of the stated principal amount, for a loss of 55% of the stated principal amount. Investors will lose a significant portion
and may lose all of their principal in this scenario.
|
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Selected Purchase Considerations
The securities are not appropriate
for all investors. The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces fixed periodic
interest or coupon payments or other non-contingent sources of current income. |
| § | You do not anticipate that the final underlier value of any
underlier will be less than its downside threshold level on the final determination date, and you are willing and able to accept the
risk that, if it is, you will lose a significant portion or all of the stated principal amount. |
| § | You do not anticipate that the closing price of any underlier
will be less than its downside threshold level on any determination date, and you are willing and able to accept the risk that, if it
is, you may receive few or no contingent quarterly payments over the term of the securities. |
| § | You are willing and able to accept the individual market
risk of each underlier and you understand that poor performance by any underlier over the term of the securities may negatively
affect your return and will not be offset or mitigated by any positive performance by the other underliers. |
| § | You are willing and able to forgo participation in any appreciation
of any underlier, and you understand that any return on your investment will be limited to the contingent quarterly payments that
may be payable on the securities. |
| § | You are willing and able to accept the risks associated with
an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk Factors”
section of this document. |
| § | You understand and accept that you will not be entitled to
receive dividends or distributions that may be paid to holders of the underliers or the securities held by the underliers, nor will you
have any voting rights with respect to the underliers or the securities held by the underliers. |
| § | You are willing and able to accept the risk that the securities
may be automatically redeemed prior to scheduled maturity and that you may not be able to reinvest your money in an alternative investment
with comparable risk and yield. |
| § | You do not seek an investment for which there will be an
active secondary market and you are willing and able to hold the securities to maturity if the securities are not automatically redeemed.
|
| § | You are willing and able to assume our credit risk for all
payments on the securities. |
| § | You are willing and able to consent to the exercise of any
U.K. Bail-in Power by any relevant U.K. resolution authority. |
The securities may not
be an appropriate investment for you if any of the following statements are true:
| § | You seek an investment that produces fixed periodic interest
or coupon payments or other non-contingent sources of current income. |
| § | You seek an investment that provides for the full repayment
of principal at maturity. |
| § | You anticipate that the final underlier value of any underlier
will be less than its downside threshold level on the final determination date, or you are unwilling or unable to accept the risk that,
if it is, you will lose a significant portion or all of the stated principal amount. |
| § | You anticipate that the closing price of any underlier
will be less than its downside threshold level on one or more determination dates, or you are unwilling or unable to accept the risk that,
if it is, you may receive few or no contingent quarterly payments over the term of the securities. |
| § | You are unwilling or unable to accept the individual market
risk of each underlier or the risk that poor performance by any underlier over the term of the securities may negatively
affect your return and will not be offset or mitigated by any positive performance by the other underliers. |
| § | You seek exposure to any upside performance of the underliers
or you seek an investment with a return that is not limited to the contingent quarterly payments that may be payable on the securities.
|
| § | You are unwilling or unable to accept the risks associated
with an investment linked to the performance of the worst performing of the underliers, as explained in more detail in the “Risk
Factors” section of this document. |
| § | You seek an investment that entitles you to dividends or
distributions on, or voting rights related to, the underliers or the securities held by the underliers. |
| § | You are unwilling or unable to accept the risk that the securities
may be automatically redeemed prior to scheduled maturity. |
| § | You seek an investment for which there will be an active
secondary market and/or you are unwilling or unable to hold the securities to maturity if they are not automatically redeemed. |
| § | You are unwilling or unable to assume our credit risk for
all payments on the securities. |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| § | You are unwilling or unable to consent to the exercise of
any U.K. Bail-in Power by any relevant U.K. resolution authority. |
You must rely on your own evaluation of the merits of an investment
in the securities. You should reach a decision whether to invest in the securities after carefully considering, with your advisors,
the appropriateness of the securities in light of your investment objectives and the specific information set forth in this document,
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 securities for investment.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on the closing price of each underlier on the determination dates.
Diagram #1: Determination Dates Prior to the Final
Determination Date
Diagram #2: Payment at Maturity If No Automatic Early
Redemption Occurs
For more information about the payment upon an automatic early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Hypothetical Examples
The numbers appearing in the following examples may have been rounded
for ease of analysis. The examples below assume that the securities will be held until maturity or earlier redemption and do not take
into account the tax consequences of an investment in the securities. The examples below are based on the following terms:*
| Hypothetical Initial Underlier Values: |
With respect to each underlier: $100.00 |
| Hypothetical Downside Threshold Levels: |
With respect to each underlier: $70.000, which is 70% of its hypothetical initial underlier value |
| Hypothetical Contingent Quarterly Payment: |
$22.20 (2.22% of the stated principal amount). The actual contingent quarterly payment will be set on the pricing date and will be at least 2.22% of the stated principal amount. |
| Stated Principal Amount: |
$1,000 per security |
* Terms used for purposes of these hypothetical examples may not represent
the actual initial underlier values, downside threshold levels or contingent quarterly payment applicable to the securities. In particular,
the hypothetical initial underlier value of $100.00 for each underlier used in these examples has been chosen for illustrative purposes
only and may not represent a likely actual initial underlier value for any underlier. Please see “Energy Select Sector SPDR® Fund
Overview,” “Financial Select Sector SPDR® Fund Overview” and “Utilities Select Sector SPDR® Fund
Overview” below for recent actual values of the underliers. The actual initial underlier values, downside threshold levels and contingent
quarterly payment applicable to the securities will be determined on the pricing date.
The examples below are based on the worst performing underlier as of
each determination date. We make no representation or warranty as to which of the underliers will be the worst performing underlier for
the purpose of calculating the payment at maturity, if applicable, or as to what the closing price of any underlier will be on any determination
date. For purposes of the examples below, the “worst performing underlier” on any determination date will be the underlier
with the largest percentage decline from its initial underlier value to its closing price on that determination date.
In Examples 1 and 2, the closing price of each underlier is greater
than or equal to its hypothetical initial underlier value of 100.00 on one of the determination dates prior to the final determination
date (the actual initial underlier values will be determined on the pricing date). Because the closing price of each underlier is greater
than or equal to its initial underlier value on one of the determination dates prior to the final determination date, the securities are
automatically redeemed following the relevant determination date. In Examples 3 and 4, the closing price of at least one of the underliers
on the determination dates prior to the final determination date is less than its initial underlier value, and, consequently, the securities
are not automatically redeemed prior to, and remain outstanding until, maturity.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| |
Example 1 |
Example 2 |
Determination
Dates |
Hypothetical
Closing Price of the Worst Performing Underlier |
Contingent Quarterly Payment (per security) |
Early Redemption Payment (per
security) |
Hypothetical
Closing Price of the Worst Performing Underlier |
Contingent
Quarterly Payment (per security) |
Early
Redemption
Payment (per security) |
| #1 |
$65.00 |
$0 |
N/A |
$95.00 |
$22.20 |
N/A |
| #2 |
$100.00 |
—* |
$1,022.20 |
$50.00 |
$0 |
N/A |
| #3 |
N/A |
N/A |
N/A |
$65.00 |
$0 |
N/A |
| #4 |
N/A |
N/A |
N/A |
$68.00 |
$0 |
N/A |
| #5 |
N/A |
N/A |
N/A |
$90.00 |
$22.20 |
N/A |
| #6 |
N/A |
N/A |
N/A |
$125.00 |
—* |
$1,022.20 |
| #7 |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
| Final Determination Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
| Payment at Maturity |
N/A |
N/A |
* If the securities are automatically redeemed, the early redemption
payment will include the contingent quarterly payment otherwise due.
In Example 1, the securities are automatically redeemed following the
second determination date, as the closing price of each underlier on the second determination date is greater than or equal to its initial
underlier value. Following the second determination date, you receive the early redemption payment, calculated as follows:
stated principal
amount + contingent quarterly payment = $1,000 + $22.20 = $1,022.20
In this example, the automatic early redemption feature limits the
term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the securities
are redeemed early, you will stop receiving contingent quarterly payments.
In Example 2, the securities are automatically redeemed following the
sixth determination date, as the closing price of each underlier on the sixth determination date is greater than its initial underlier
value. As the closing prices of each underlier on the first and fifth determination dates are greater than or equal to its downside threshold
level, you receive the contingent quarterly payment of $22.20 with respect to those determination dates. Following the sixth determination
date, you receive an early redemption payment of $1,022.20, which includes the contingent quarterly payment with respect to that determination
date.
In this example, the automatic early redemption feature limits the
term of your investment to approximately 18 months and you may not be able to reinvest at comparable terms or returns. If the securities
are redeemed early, you will stop receiving contingent quarterly payments. Further, although the worst performing underlier has appreciated
by 25% from its initial underlier value on the sixth determination date, upon automatic early redemption, you receive only $1,022.20 per
security and do not benefit from the appreciation of any underlier.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| |
Example 3 |
Example 4 |
Determination
Dates |
Hypothetical
Closing Price of the Worst Performing Underlier |
Contingent Quarterly Payment (per security) |
Early Redemption Payment (per
security) |
Hypothetical
Closing Price of the Worst Performing Underlier |
Contingent
Quarterly Payment (per security) |
Early
Redemption
Payment (per security) |
| #1 |
$65.00 |
$0 |
N/A |
$40.00 |
$0 |
N/A |
| #2 |
$67.00 |
$0 |
N/A |
$55.00 |
$0 |
N/A |
| #3 |
$60.00 |
$0 |
N/A |
$52.50 |
$0 |
N/A |
| #4 |
$55.00 |
$0 |
N/A |
$60.00 |
$0 |
N/A |
| #5 |
$45.00 |
$0 |
N/A |
$63.00 |
$0 |
N/A |
| #6 |
$40.00 |
$0 |
N/A |
$55.00 |
$0 |
N/A |
| #7 |
$65.00 |
$0 |
N/A |
$65.00 |
$0 |
N/A |
| Final Determination Date |
$50.00 |
$0 |
N/A |
$80.00 |
—* |
N/A |
| Payment at Maturity |
$500.00 |
$1,022.20 |
* The final contingent quarterly payment, if any, will be paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per security based
on the final underlier value of the worst performing underlier.
In Example 3, the closing price of at least one underlier is below its
downside threshold level on each determination date throughout the term of the securities. As a result, you do not receive any contingent
quarterly payments during the term of the securities even if the closing prices of the other underliers on any of the determination dates
have appreciated or have not declined below their respective downside threshold levels. In addition, because the final underlier value
of the worst performing underlier is less than its downside threshold level, at maturity, your initial investment is fully exposed to
the decline in the closing price of the worst performing underlier. Thus, investors will receive a cash payment at maturity that is significantly
less than the stated principal amount, calculated as follows:
($1,000 ×
underlier performance factor of the worst performing underlier)
= $1,000 ×
(final underlier value of the worst performing underlier / initial underlier value of the worst performing underlier)
= $1,000 ×
($50.00 / $100.00) = $500.00
In this example, the cash payment you receive at maturity is significantly
less than the stated principal amount.
In Example 4, the closing price of at least one underlier is below its
downside threshold level on each of the determination dates prior to the final determination date. As a result, you do not receive any
contingent quarterly payments following those determination dates, even if the closing prices of the other underliers on those determination
dates have appreciated or have not declined below their respective downside threshold levels. In addition, the closing price of the worst
performing underlier decreases to a final underlier value of $80.00. Although the final underlier value of the worst performing underlier
is less than its initial underlier value, because the final underlier value of the worst performing underlier is still not less than its
downside threshold level, you receive the stated principal amount plus the contingent quarterly payment otherwise due. Your payment
at maturity is calculated as follows:
$1,000 + $22.20
= $1,022.20
In this example, although the final underlier value of the worst
performing underlier represents a decline of 20% from its initial underlier value, you receive the stated principal amount per security
plus the contingent quarterly payment otherwise due, equal to a total payment of $1,022.20 per security at maturity.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Risk Factors
An investment in the securities involves significant risks. We urge
you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. Investing in the securities
is not equivalent to investing directly in any or all of the underliers or the securities held by the underliers or composing the tracked
indices (as defined below with respect to each underlier). Some of the risks that apply to an investment in the securities are summarized
below, but we urge you to read the more detailed explanation of risks relating to the securities generally in the “Risk Factors”
section of the prospectus supplement. You should not purchase the securities unless you understand and can bear the risks of investing
in the securities.
Risks Relating to the Securities Generally
| § | The securities do not guarantee the return of any principal.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any
of the stated principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the
final underlier value of any underlier is less than its downside threshold level, you will be exposed to the decline in the closing price
of the worst performing underlier, as compared to its initial underlier value, on a 1-to-1 basis and you will receive for each security
that you hold at maturity an amount in cash equal to the stated principal amount times the underlier performance factor of the worst performing
underlier. Under these circumstances, your payment at maturity will be less than 70% of the stated principal amount and could be zero. |
| § | You
will not receive any contingent quarterly payment for any quarterly period where the closing price of any underlier on the applicable
determination date is less than its downside threshold level. The terms of the securities differ from those of ordinary debt securities
in that they do not provide for regular interest payments. Instead, a contingent quarterly payment will be made with respect to a quarterly
period only if the closing price of each underlier is greater than or equal to its downside threshold level on the related determination
date. If the closing price of any underlier is below its downside threshold level on any determination date, you will not receive a contingent
quarterly payment for the related quarterly period. The closing price of any underlier could be below its downside threshold level on
most or all of the determination dates so that you receive few or no contingent quarterly payments over the term of the securities. If
you do not receive sufficient contingent quarterly payments over the term of the securities, the overall return on the securities may
be less than the amount that would be paid on a conventional debt security of the issuer of comparable maturity. |
| § | You will not participate in any appreciation in the value of any underlier. You will not participate in any appreciation in
the value of any underlier from its initial underlier value even though you will be exposed to the depreciation in the value of the worst
performing underlier if the securities have not been redeemed prior to maturity and the final underlier value of the worst performing
underlier is less than its downside threshold level. The return on the securities will be limited to the contingent quarterly payment
that is paid with respect to each determination date on which the closing price of each underlier is greater than or equal to its downside
threshold level. |
| § | You are exposed to the market risk of each underlier, with respect to both the contingent quarterly payments, if any, and the payment
at maturity, if any. Your return on the securities is not linked to a basket consisting of each underlier. 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 securities may negatively affect your return and will not be offset or mitigated
by any positive performance by the other underliers. To receive any contingent quarterly payments, each underlier must close at or above
its downside threshold level on the applicable determination date. In addition, if the securities have not been automatically redeemed
early and any underlier has declined to below its downside threshold level as of the final determination date, you will be fully exposed
to the decline in the worst performing underlier over the term of the securities on a 1-to-1 basis, even if the other underliers have
appreciated or have not declined as much. Under this scenario, the value of any such payment will be less than 70% of the stated principal
amount and could be zero. Accordingly, your investment is subject to the market risk of each underlier. |
| § | Because the securities are linked to the performance of the worst performing underlier, you are exposed to greater risks of no
contingent quarterly payments and sustaining a significant loss on your investment than if the securities were linked to just one underlier.
The risk that you will not receive any contingent quarterly payments, or that you will suffer a significant loss on your investment,
is greater if you invest in the securities as opposed to substantially similar securities that are linked to the performance of just one
underlier. With three underliers, it is more likely that any underlier will close below its downside threshold level on any determination
date than if the securities were linked to only one underlier, and therefore it is more likely that you will not receive any contingent
quarterly payments and that you will suffer a significant loss on your investment. In addition, because each underlier must close above
its initial underlier value on a quarterly determination date (other than the final determination date) in order for the securities to
be redeemed prior to maturity, the securities are less likely to be redeemed on any determination date (other than the final determination
date) than if the securities were linked to just one underlier. |
| § | Automatic early redemption risk. The term of your investment in the securities may be limited to as short as approximately
three months by the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, no further
contingent quarterly payments will be made on the securities and you may be forced to reinvest in a lower interest rate |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
environment. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the securities in a comparable investment with a similar level of risk
in the event the securities are redeemed prior to the maturity date.
| § | Any payment on the securities will be determined based on the closing prices of the underliers on the dates specified. Any
payment on the securities will be determined based on the closing prices 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 principal applies only at maturity or upon any automatic early redemption. You should be willing and
able to hold the securities to maturity or any automatic early redemption. If you sell the securities prior to maturity in the secondary
market, if any, you may have to sell the securities at a loss relative to your initial investment even if the price of each underlier
is above its downside threshold level. |
| § | The securities are subject to volatility risk. Volatility is a measure of the
degree of variation in the prices of the underliers over a period of time. The contingent quarterly payment is determined based on a number
of factors, including the expected volatility of the underliers. The contingent quarterly payment 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 securities were lower. As volatility of an underlier increases, there
will typically be a greater likelihood that (a) the closing price of that underlier will be less than its downside threshold level on
one or more determination dates and (b) the final underlier value of that underlier will be less than its downside threshold level. |
Accordingly, you should understand that
a higher contingent quarterly payment reflects, among other things, an indication of a greater likelihood that you will (a) not receive
contingent quarterly payments with respect to one or more determination dates and/or (b) incur a loss of principal at maturity than would
have been the case had the contingent quarterly payment been lower. In addition, actual volatility over the term of the securities may
be significantly higher than the expected volatility at the time the terms of the securities were determined. If actual volatility is
higher than expected, you will face an even greater risk that you will not receive contingent quarterly payments and/or that you will
lose a significant portion or all of your principal at maturity for the reasons described above.
| § | Owning the securities is not equivalent to owning any or all underliers, the securities held by the underliers or the securities
composing the tracked indices. The return on your securities may not reflect the return you would realize if you actually owned the
underliers, the securities held by the underliers or the securities composing the tracked indices. For example, as a holder of the securities,
you will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the underliers,
the securities held by the underliers or the securities composing the tracked indices. |
| § | Tax treatment. Significant aspects of the tax treatment of the securities are uncertain.
You should consult your tax advisor about your tax situation. See “Additional provisions—Tax considerations” below. |
Risks Relating to the Issuer
| § | Credit of issuer. The securities are unsecured and unsubordinated debt obligations of the issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the securities, including any repayment
of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any
third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the securities
and, in the event Barclays Bank PLC were to default on its obligations, you might not receive any amount owed to you under the terms of
the securities. |
| § | You may lose some or all of your investment if any U.K. Bail-in Power is exercised by the
relevant U.K. resolution authority. Notwithstanding and to the exclusion of any other term of the securities or any other agreements,
arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities (or the trustee on behalf
of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts,
agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as
set forth under “Consent to U.K. Bail-in Power” in this document. Accordingly, any U.K. Bail-in Power may be exercised in
such a manner as to result in you and other holders and beneficial owners of the securities losing all or a part of the value of your
investment in the securities or receiving a different security from the securities, which may be worth significantly less than the securities
and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution
authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders and beneficial
owners of the securities. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the securities
will not be a default or an Event of Default (as each term is defined in the senior debt securities indenture) and the trustee will not
be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the securities. See “Consent to U.K. Bail-in Power”
in this document 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. |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Risks Relating to the Underliers
| § | Certain features of the underliers will impact the value
of the securities. The performance of each underlier will not fully replicate the performance of its tracked index, and each underlier
may hold securities or other assets not included in its tracked index. The value of each underlier is subject to: |
| o | Management risk. This is the risk that the investment strategy for an underlier, the implementation of which is subject to
a number of constraints, may not produce the intended results. Each underlier’s investment adviser may have the right to use a portion
of that underlier’s assets to invest in shares of equity securities that are not included in its tracked index. Each underlier is
not actively managed, and each underlier’s investment adviser will generally not attempt to take defensive positions in declining
markets. |
| o | Derivatives risk. Each underlier 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 an underlier’s losses may be greater than if that underlier
invested only in conventional securities. |
| o | Transaction costs and fees. Unlike the tracked indices, each underlier will reflect transaction costs and fees that will reduce
its performance relative to its tracked index. |
Generally, the longer the time remaining to maturity, the
more the market price of the securities will be affected by the factors described above. In addition, an underlier may diverge significantly
from the performance of its tracked index due to differences in trading hours between that underlier and the securities composing its
tracked index or other circumstances. During periods of market volatility, the component securities held by an underlier may be unavailable
in the secondary market, market participants may be unable to calculate accurately the intraday net asset value per share of that underlier
and the liquidity of that underlier may be adversely affected. This kind of market volatility may also disrupt the ability of market participants
to create and redeem shares in an underlier. Further, market volatility may adversely affect, sometimes materially, the prices at which
market participants are willing to buy and sell shares of an underlier. As a result, under these circumstances, the market value of an
underlier may vary substantially from the net asset value per share of that underlier. Because the securities are linked to the performance
of the underliers and not the tracked indices, the return on your securities may be less than that of an alternative investment linked
directly to the tracked indices.
| § | Adjustments to an underlier or a tracked index could adversely affect the value of the securities or result in the securities being
accelerated. The investment adviser of an underlier may add, delete or substitute the component securities held by that underlier
or make changes to its investment strategy, and the sponsor of an tracked index may add, delete, substitute or adjust the securities composing
that tracked index or make other methodological changes to that tracked index that could affect its performance. In addition, if the shares
of an underlier are de-listed or if an underlier is liquidated or otherwise terminated, the calculation agent may select a successor fund
that the calculation agent determines to be comparable to that underlier or, if no successor fund is available, the maturity date of the
securities will be accelerated for a payment determined by the calculation agent. Any of these actions could adversely affect the value
of the relevant underlier and, consequently, the value of the securities. 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. However, if we elect not to accelerate the securities,
the value of, and any amount payable on, the securities could be adversely affected, perhaps significantly. 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. |
| § | Anti-dilution protection is limited, and the calculation agent has discretion to make anti-dilution adjustments. The calculation
agent may in its sole discretion make adjustments affecting the amounts payable on the securities upon the occurrence of certain events
that the calculation agent determines have a diluting or concentrative effect on the theoretical value of the shares of an underlier.
However, the calculation agent might not make such adjustments in response to all events that could affect the shares of an underlier.
The occurrence of any such event and any adjustment made by the calculation agent (or a determination by the calculation agent not to
make any adjustment) may adversely affect the market price of, and any amounts payable on, the securities. See “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. |
| § | Governmental legislative or regulatory actions, such as sanctions, could adversely affect
your investment in the securities. Governmental legislative or regulatory actions, including, without limitation, sanctions-related
actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the securities or an underlier,
or engaging in transactions in them, and any such action could adversely affect the value of that underlier. These legislative or regulatory
actions could result in restrictions on the securities or the de-listing of an underlier. You may lose a significant portion or all of
your initial investment in the securities if an underlier is de-listed or if you are forced to divest the securities due to government
mandates, especially if such de-listing occurs or such divestment must be made at a time when the value of the securities has declined.
See “—Adjustments to an underlier or a tracked index could adversely affect the value of the securities or result in the securities
being accelerated” above. |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| § | The equity securities held by the XLE Fund are concentrated in the energy sector — All or substantially all of the equity
securities held by the XLE Fund are issued by companies whose primary line of business is directly associated with the energy sector.
Because the value of the securities is determined, in part, by the performance of the XLE Fund, an investment in the securities will be
concentrated in this sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected
by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more
broadly diversified group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices
and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject
to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures,
and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be
significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events
and economic conditions. These companies may be at risk for environmental damage claims. |
| § | The equity securities held by the XLF Fund are concentrated in the financial sector — All or substantially all of the
equity securities held by the XLF Fund are issued by companies whose primary line of business is directly associated with the financial
sector. Because the value of the securities is determined, in part, by the performance of the XLF Fund, an investment in the Securities
will be concentrated in the financial sector. As a result, the value of the securities may be subject to greater volatility and be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to
securities of a more broadly diversified group of issuers. Financial services companies are subject to extensive government regulation,
which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can
charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely
dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change or due to increased
competition. In addition, deterioration of the credit markets generally may cause an adverse impact in a broad range of markets, including
U.S. and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions and markets.
Credit losses resulting from financial difficulties of borrowers and financial losses associated with investment activities can negatively
impact the financial sector. |
| § | The equity securities held by the XLU Fund are concentrated in the utilities sector — Each of the equity securities held
by the XLU Fund has been issued by a company whose business is associated with the utilities sector. Because the value of the securities
is determined, in part, by the performance of the XLU Fund, an investment in the securities will be concentrated in the utilities sector.
As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group
of issuers. Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities
for environmental damage and general civil liabilities and rate caps or rate changes. In addition, natural disasters, terrorist attacks,
government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability.
Among the risks that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost
of borrowing to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated
with compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or
fuel for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power
plants, the effects of energy conservation and the effects of regulatory changes. |
Risks Relating to Conflicts of Interest
| § | Hedging and trading activity by the issuer and its affiliates could potentially adversely affect the value of the securities.
Hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities could
adversely affect the values of the underliers and, as a result, could decrease the amount an investor may receive on the securities at
maturity, if any. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial underlier
values and, as a result, the downside threshold levels, which are the prices at or above which the respective underliers must close on
each determination date in order for you to receive a contingent quarterly payment or, if the securities are not redeemed prior to maturity,
in order for you to avoid being exposed to the negative performance of the worst performing underlier at maturity. Additionally, such
hedging or trading activities during the term of the securities could potentially affect the values of the underliers on the determination
dates and, accordingly, whether investors will receive one or more contingent quarterly payments, whether the securities are automatically
redeemed prior to maturity and, if the securities are not redeemed prior to maturity, the payment at maturity, if any. |
| § | We and our affiliates, and any dealer participating in the distribution of the securities, may engage in various activities or
make determinations that could materially affect your securities in various ways and create conflicts of interest. We and our affiliates
play a variety of roles in connection with the issuance of the securities, as described below. In performing these roles, our and our
affiliates’ economic interests are potentially adverse to your interests as an investor in the securities. |
In connection with our normal business
activities and in connection with hedging our obligations under the securities, we and our affiliates make markets in and trade various
financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other
financial services with respect to these financial instruments and products. These financial instruments and products may include securities,
derivative instruments or assets that may relate to the underliers
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
or their components. In any such market
making, trading and hedging activity, investment banking and other financial services, we or our affiliates may take positions or take
actions that are inconsistent with, or adverse to, the investment objectives of the holders of the securities. We and our affiliates have
no obligation to take the needs of any buyer, seller or holder of the securities into account in conducting these activities. Such market
making, trading and hedging activity, investment banking and other financial services may negatively impact the value of the securities.
In addition, the role played by Barclays
Capital Inc., as the agent for the securities, could present significant conflicts of interest with the role of Barclays Bank PLC, as
issuer of the securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from
the distribution of the securities and such compensation or financial benefit may serve as an incentive to sell the securities instead
of other investments. Furthermore, we and our affiliates establish the offering price of the securities for initial sale to the public,
and the offering price is not based upon any independent verification or valuation.
Furthermore, the selected dealer or its
affiliates will have the option to conduct a material portion of the hedging activities for us in connection with the securities. The
selected dealer or its affiliates would expect to realize a projected profit from such hedging activities, and this projected profit would
be in addition to any selling concession that the selected dealer realizes for the sale of the securities to you. This additional
projected profit may create a further incentive for the selected dealer to sell the securities to you.
In addition to the activities described
above, we will also act as the calculation agent for the securities. As calculation agent, we will determine any values of the underliers
and make any other determinations necessary to calculate any payments on the securities. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market disruption event has occurred on any date that the value of an
underlier is to be determined; if the shares of an underlier are de-listed or if an underlier 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 an underlier 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 securities, and any of these determinations may
adversely affect any payments on the securities.
Risks Relating to the Estimated Value of the Securities
and the Secondary Market
| § | The securities will not be listed on any securities exchange, and secondary trading may be limited. Barclays Capital Inc. and
other affiliates of Barclays Bank PLC intend to offer to purchase the securities in the secondary market but are not required to do so
and may cease any such market making activities at any time, without notice. Even if a secondary market develops, it may not provide enough
liquidity to allow you to trade or sell the securities easily. Because other dealers are not likely to make a secondary market for the
securities, the price, if any, at which you may be able to trade your securities is likely to depend on the price, if any, at which Barclays
Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the securities. In addition, Barclays Capital Inc. or one or
more of our other affiliates may at any time hold an unsold portion of the securities (as described on the cover page of this document),
which may inhibit the development of a secondary market for the securities. The securities are not designed to be short-term trading instruments.
Accordingly, you should be willing and able to hold your securities to maturity. |
| § | The market price of the securities will be influenced by many unpredictable factors. Several factors will influence the value
of the securities in the secondary market and the price at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC may be
willing to purchase or sell the securities in the secondary market. Although we expect that generally the values of the underliers on
any day will affect the value of the securities more than any other single factor, other factors that may influence the value of the securities
include: |
| o | the volatility (frequency and magnitude of changes in value) of each underlier and the securities held by that underlier; |
| o | whether the closing price of any underlier has been, or is expected to be, below its downside threshold level on any determination
date; |
| o | correlation (or lack of correlation) of the underliers; |
| o | dividend rates on the underliers and on the securities held by the underliers; |
| o | interest and yield rates in the market; |
| o | time remaining until the securities mature; |
| o | supply and demand for the securities; |
| o | geopolitical conditions and economic, financial, political, regulatory and judicial events that affect the securities held by the
underliers and that may affect the final underlier values; and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
The values of the underliers may be, and have recently been,
volatile, and we can give you no assurance that the volatility will lessen. See “Energy Select Sector SPDR® Fund
Overview,” “Financial Select Sector SPDR® Fund Overview” and “Utilities Select
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Sector SPDR® Fund Overview” below.
You may receive less, and possibly significantly less, than the stated principal amount if you try to sell your securities prior to maturity.
| § | The estimated value of your securities is expected to be lower than the initial issue price of your securities. The estimated
value of your securities on the pricing date is expected to be lower, and may be significantly lower, than the initial issue price of
your securities. The difference between the initial issue price of your securities and the estimated value of the securities is expected
as a result of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in connection with structuring the securities, the estimated cost that we may incur
in hedging our obligations under the securities, and estimated development and other costs that we may incur in connection with the securities.
These other costs will include a fee paid to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management
has an ownership interest, for providing certain electronic platform services with respect to this offering. |
| § | The estimated value of your securities might be lower if such estimated value were based on the levels at which our debt securities
trade in the secondary market. The estimated value of your securities on the pricing date is based on a number of variables, including
our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary
market. As a result of this difference, the estimated values referenced above might be lower if such estimated values were based on the
levels at which our benchmark debt securities trade in the secondary market. |
| § | The estimated value of the securities is based on our internal pricing models, which may prove to be inaccurate and may be different
from the pricing models of other financial institutions. The estimated value of your securities on the pricing date is based on our
internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may
or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models
may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value of the
securities may not be consistent with those of other financial institutions that may be purchasers or sellers of securities in the secondary
market. As a result, the secondary market price of your securities may be materially different from the estimated value of the securities
determined by reference to our internal pricing models. |
| § | The estimated value of your securities is not a prediction of the prices at which you may sell your securities in the secondary
market, if any, and such secondary market prices, if any, will likely be lower than the initial issue price of your securities and may
be lower than the estimated value of your securities. The estimated value of the securities will not be a prediction of the prices
at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the securities from you in secondary
market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell
your securities in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions,
and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the securities. Further,
as secondary market prices of your securities take into account the levels at which our debt securities trade in the secondary market,
and do not take into account our various costs related to the securities such as fees, commissions, discounts, and the costs of hedging
our obligations under the securities, secondary market prices of your securities will likely be lower than the initial issue price of
your securities. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase
the securities from you in secondary market transactions, if any, will likely be lower than the price you paid for your securities, and
any sale prior to the maturity date could result in a substantial loss to you. |
| § | The temporary price at which we may initially buy the securities in the secondary market and the value we may initially use for
customer account statements, if we provide any customer account statements at all, may not be indicative of future prices of your securities.
Assuming that all relevant factors remain constant after the pricing date, the price at which Barclays Capital Inc. may initially buy
or sell the securities in the secondary market (if Barclays Capital Inc. makes a market in the securities, which it is not obligated to
do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may
exceed our estimated value of the securities on the pricing date, as well as the secondary market value of the securities, for a temporary
period after the initial issue date of the securities. The price at which Barclays Capital Inc. may initially buy or sell the securities
in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices
of your securities. |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Energy Select Sector SPDR® Fund
Overview
According to publicly available information, the XLE Fund is an exchange-traded
fund of the Select Sector Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of the Energy Select Sector Index (with respect
to the XLE Fund, the “tracked index”). The tracked index is a capped modified market capitalization-based index that measures
the performance of the GICS® energy sector, which currently includes companies in the following industries: oil, gas and
consumable fuels; and energy equipment and services. For more information about the XLE Fund, see “Exchange-Traded Funds—The
Select Sector SPDR® ETFs” in the accompanying underlying supplement.
Information about the XLE Fund as of market close on November 20, 2024:
| Bloomberg Ticker Symbol: |
XLE |
52 Week High: |
$98.08 |
| Current Closing Price: |
$96.34 |
52 Week Low: |
$79.91 |
| 52 Weeks Ago (11/22/2023): |
$84.58 |
|
|
The following table sets forth the published high, low and period-end
closing prices of the XLE Fund for each quarter for the period of January 2, 2019 through November 20, 2024. The associated graph shows
the closing prices of the XLE Fund for each day in the same period. The closing price of the XLE Fund on November 20, 2024 was $96.34.
We obtained the closing prices of the XLE Fund from Bloomberg Professional® service (“Bloomberg”), without
independent verification. Historical performance of the XLE Fund should not be taken as an indication of future performance. Future performance
of the XLE Fund may differ significantly from historical performance, and no assurance can be given as to the closing price of the XLE
Fund during the term of the securities, including on any of the determination dates. We cannot give you assurance that the performance
of the XLE Fund will not result in a loss on your initial investment. The closing prices below may have been adjusted to reflect certain
actions, such as stock splits and reverse stock splits.
| Energy Select Sector SPDR® Fund |
High |
Low |
Period End |
| 2019 |
|
|
|
| First Quarter |
$67.29 |
$57.90 |
$66.12 |
| Second Quarter |
$68.61 |
$58.77 |
$63.71 |
| Third Quarter |
$64.44 |
$55.85 |
$59.20 |
| Fourth Quarter |
$61.99 |
$55.90 |
$60.04 |
| 2020 |
|
|
|
| First Quarter |
$60.87 |
$23.57 |
$29.06 |
| Second Quarter |
$46.86 |
$27.62 |
$37.85 |
| Third Quarter |
$38.58 |
$29.95 |
$29.95 |
| Fourth Quarter |
$41.60 |
$27.71 |
$37.90 |
| 2021 |
|
|
|
| First Quarter |
$53.57 |
$37.96 |
$49.06 |
| Second Quarter |
$56.19 |
$47.07 |
$53.87 |
| Third Quarter |
$54.81 |
$45.79 |
$52.09 |
| Fourth Quarter |
$59.14 |
$53.01 |
$55.50 |
| 2022 |
|
|
|
| First Quarter |
$78.75 |
$57.22 |
$76.44 |
| Second Quarter |
$92.28 |
$70.66 |
$71.51 |
| Third Quarter |
$84.09 |
$67.49 |
$72.02 |
| Fourth Quarter |
$94.08 |
$76.09 |
$87.47 |
| 2023 |
|
|
|
| First Quarter |
$93.11 |
$76.97 |
$82.83 |
| Second Quarter |
$87.23 |
$76.59 |
$81.17 |
| Third Quarter |
$93.36 |
$79.09 |
$90.39 |
| Fourth Quarter |
$91.96 |
$81.20 |
$83.84 |
| 2024 |
|
|
|
| First Quarter |
$94.41 |
$79.91 |
$94.41 |
| Second Quarter |
$98.08 |
$88.04 |
$91.15 |
| Third Quarter |
$93.39 |
$84.35 |
$87.80 |
| Fourth Quarter (through November 20, 2024) |
$96.34 |
$87.84 |
$96.34 |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
XLE Fund Historical Performance*
January 2, 2019 to November 20, 2024 |
 |
| * The dotted line indicates a hypothetical downside threshold level of 70% of the closing price of the XLE Fund on November 20, 2024. The actual downside threshold level will be equal to 70% of the initial underlier value of the XLE Fund. |
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Financial Select Sector SPDR® Fund
Overview
According to publicly available information, the XLF Fund is an exchange-traded
fund of the Select Sector Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of the Financial
Select Sector Index (with respect to the XLF Fund, the “tracked index”). The tracked index is a capped modified market
capitalization-based index that measures the performance of the GICS® financials sector, which currently includes companies
in the following industries: diversified financial services; insurance; banks; capital markets; mortgage real estate investment trusts;
consumer finance; and thrifts and mortgage finance. For more information about the XLF Fund, see “Exchange-Traded Funds—The
Select Sector SPDR® ETFs” in the accompanying underlying supplement.
Information about the XLF Fund as of market close on November 20, 2024:
| Bloomberg Ticker Symbol: |
XLF |
52 Week High: |
$50.02 |
| Current Closing Price: |
$49.54 |
52 Week Low: |
$35.25 |
| 52 Weeks Ago (11/22/2023): |
$35.27 |
|
|
The following table sets forth the published high, low and period-end
closing prices of the XLF Fund for each quarter for the period of January 2, 2019 through November 20, 2024. The associated graph shows
the closing prices of the XLF Fund for each day in the same period. The closing price of the XLF Fund on November 20, 2024 was $49.54.
We obtained the closing prices of the XLF Fund from Bloomberg, without independent verification. Historical performance of the XLF Fund
should not be taken as an indication of future performance. Future performance of the XLF Fund may differ significantly from historical
performance, and no assurance can be given as to the closing price of the XLF Fund during the term of the securities, including on any
of the determination dates. We cannot give you assurance that the performance of the XLF Fund will not result in a loss on your initial
investment. The closing prices below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.
| Financial Select Sector SPDR® Fund |
High |
Low |
Period End |
| 2019 |
|
|
|
| First Quarter |
$26.90 |
$23.48 |
$25.71 |
| Second Quarter |
$28.07 |
$26.01 |
$27.60 |
| Third Quarter |
$28.69 |
$25.98 |
$28.00 |
| Fourth Quarter |
$30.94 |
$26.78 |
$30.78 |
| 2020 |
|
|
|
| First Quarter |
$31.17 |
$17.66 |
$20.82 |
| Second Quarter |
$26.74 |
$19.55 |
$23.14 |
| Third Quarter |
$25.49 |
$22.68 |
$24.07 |
| Fourth Quarter |
$29.48 |
$23.61 |
$29.48 |
| 2021 |
|
|
|
| First Quarter |
$34.77 |
$28.95 |
$34.05 |
| Second Quarter |
$38.47 |
$34.47 |
$36.69 |
| Third Quarter |
$39.00 |
$35.11 |
$37.53 |
| Fourth Quarter |
$40.62 |
$37.54 |
$39.05 |
| 2022 |
|
|
|
| First Quarter |
$41.42 |
$35.66 |
$38.32 |
| Second Quarter |
$38.22 |
$30.84 |
$31.45 |
| Third Quarter |
$35.81 |
$30.36 |
$30.36 |
| Fourth Quarter |
$36.31 |
$30.29 |
$34.20 |
| 2023 |
|
|
|
| First Quarter |
$37.00 |
$30.98 |
$32.15 |
| Second Quarter |
$33.71 |
$31.55 |
$33.71 |
| Third Quarter |
$35.60 |
$33.17 |
$33.17 |
| Fourth Quarter |
$37.72 |
$31.45 |
$37.60 |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| Financial Select Sector SPDR® Fund |
High |
Low |
Period End |
| 2024 |
|
|
|
| First Quarter |
$42.12 |
$37.27 |
$42.12 |
| Second Quarter |
$42.49 |
$39.59 |
$41.11 |
| Third Quarter |
$45.74 |
$40.84 |
$45.32 |
| Fourth Quarter (through November 20, 2024) |
$50.02 |
$44.89 |
$49.54 |
XLF Fund Historical Performance*
January 2, 2019 to November 20, 2024 |
 |
| * The dotted line indicates a hypothetical downside threshold level of 70% of the closing price of the XLF Fund on November 20, 2024. The actual downside threshold level will be equal to 70% of the initial underlier value of the XLF Fund. |
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Utilities Select Sector SPDR® Fund
Overview
According to publicly available information, the XLU Fund is an exchange-traded
fund of the Select Sector Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of the Utilities
Select Sector Index (with respect to the XLU Fund, the “tracked index”). The tracked index is a capped modified market
capitalization-based index that measures the performance of the GICS® utilities sector, which currently includes companies
in the following industries: electric utilities; water utilities; multi-utilities; independent power and renewable electricity producers;
and gas utilities. For more information about the XLU Fund, see “Exchange-Traded Funds—The Select Sector SPDR®
ETFs” in the accompanying underlying supplement.
Information about the XLU Fund as of market close on November 20, 2024:
| Bloomberg Ticker Symbol: |
XLU |
52 Week High: |
$82.21 |
| Current Closing Price: |
$80.49 |
52 Week Low: |
$59.95 |
| 52 Weeks Ago (11/22/2023): |
$62.53 |
|
|
The following table sets forth the published high, low and period-end
closing prices of the XLU Fund for each quarter for the period of January 2, 2019 through November 20, 2024. The associated graph shows
the closing prices of the XLU Fund for each day in the same period. The closing price of the XLU Fund on November 20, 2024 was $80.49.
We obtained the closing prices of the XLU Fund from Bloomberg, without independent verification. Historical performance of the XLU Fund
should not be taken as an indication of future performance. Future performance of the XLU Fund may differ significantly from historical
performance, and no assurance can be given as to the closing price of the XLU Fund during the term of the securities, including on any
of the determination dates. We cannot give you assurance that the performance of the XLU Fund will not result in a loss on your initial
investment. The closing prices below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.
| Utilities Select Sector SPDR® Fund |
High |
Low |
Period End |
| 2019 |
|
|
|
| First Quarter |
$58.96 |
$52.00 |
$58.17 |
| Second Quarter |
$61.24 |
$56.94 |
$59.63 |
| Third Quarter |
$64.93 |
$59.29 |
$64.74 |
| Fourth Quarter |
$64.82 |
$61.37 |
$64.62 |
| 2020 |
|
|
|
| First Quarter |
$70.98 |
$44.93 |
$55.41 |
| Second Quarter |
$62.83 |
$51.79 |
$56.43 |
| Third Quarter |
$61.49 |
$56.70 |
$59.38 |
| Fourth Quarter |
$66.76 |
$59.98 |
$62.70 |
| 2021 |
|
|
|
| First Quarter |
$64.15 |
$58.36 |
$64.04 |
| Second Quarter |
$67.72 |
$63.23 |
$63.23 |
| Third Quarter |
$70.07 |
$63.56 |
$63.88 |
| Fourth Quarter |
$71.58 |
$63.88 |
$71.58 |
| 2022 |
|
|
|
| First Quarter |
$74.54 |
$65.03 |
$74.46 |
| Second Quarter |
$76.96 |
$64.87 |
$70.13 |
| Third Quarter |
$78.12 |
$65.51 |
$65.51 |
| Fourth Quarter |
$72.67 |
$61.52 |
$70.50 |
| 2023 |
|
|
|
| First Quarter |
$72.08 |
$63.70 |
$67.69 |
| Second Quarter |
$69.97 |
$64.34 |
$65.44 |
| Third Quarter |
$68.46 |
$58.83 |
$58.93 |
| Fourth Quarter |
$65.96 |
$56.19 |
$63.33 |
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| Utilities Select Sector SPDR® Fund |
High |
Low |
Period End |
| 2024 |
|
|
|
| First Quarter |
$65.65 |
$59.95 |
$65.65 |
| Second Quarter |
$72.87 |
$62.77 |
$68.14 |
| Third Quarter |
$80.78 |
$67.67 |
$80.78 |
| Fourth Quarter (through November 20, 2024) |
$82.21 |
$77.20 |
$80.49 |
XLU Fund Historical Performance*
January 2, 2019 to November 20, 2024 |
 |
| * The dotted line indicates a hypothetical downside threshold level of 70% of the closing price of the XLU Fund on November 20, 2024. The actual downside threshold level will be equal to 70% of the initial underlier value of the XLU Fund. |
Past
performance is not indicative of future results.
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the cover
page of this document.
| Additional provisions: |
|
| Minimum ticketing size: |
$1,000 / 1 security |
| Tax considerations: |
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend to
treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii)
any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons”
in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment
to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, exchange or redemption of a security. Assuming the treatment
described above is respected, upon a sale or exchange of the securities (including redemption upon an automatic call or at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis
in the securities, which should equal the amount you paid to acquire the securities (assuming contingent quarterly payments are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss
unless you hold the securities for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the securities at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your securities between the time your right to a contingent quarterly 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 quarterly payment. Although uncertain, it is possible that
proceeds received from the sale or exchange of your securities prior to a determination date but that can be attributed to an expected
contingent quarterly payment could be treated as ordinary income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the IRS or
a court may adopt, in which case the timing and character of any income or loss on the securities could be materially affected. In addition,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the
securities, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of
an investment in the securities, including possible alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility as a withholding
agent, we do not currently intend to treat contingent quarterly 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 securities do not
|
Contingent Income Auto-Callable Securities due December 3, 2026
Based on the Value of the Worst Performing of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
| |
have
a “delta of one” within the meaning of the regulations, we expect that these regulations will not apply to the securities
with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will
be provided in the pricing supplement for the securities. You should consult your tax advisor regarding the potential application
of Section 871(m) to the securities. |
| Trustee: |
The Bank of New York Mellon |
| Use of proceeds and hedging: |
The net proceeds we receive from the sale of the
securities will be used for various corporate purposes as set forth in the prospectus and prospectus supplement and, in part, in
connection with hedging our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge our
anticipated exposure in connection with the securities by taking positions in futures and options contracts on the underliers or the tracked
indices and any other securities or instruments we may wish to use in connection with such hedging. Trading and other transactions
by us or our affiliates could affect the values of the underliers, the market value of the securities or any amounts payable on the securities. For
further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the prospectus supplement.
|
| ERISA: |
See “Benefit Plan Investor Considerations” in the accompanying prospectus supplement. |
This document represents a summary of the terms and conditions of
the securities. We encourage you to read the accompanying prospectus, prospectus supplement and underlying supplement for this offering,
which can be accessed via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”)
and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a fixed sales commission for each security
they sell, and Morgan Stanley Wealth Management will receive a structuring fee for each security, in each case as specified on the cover
page of this document.
We expect that delivery of the securities will be made against payment
for the securities on the original issue date, which is more than one business day following the pricing date. Notwithstanding anything
to the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective
May 28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on any date prior to one business day before delivery
will be required to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
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