You should read this pricing supplement
together with the prospectus dated August 1, 2019, as supplemented by the documents listed below relating to our Global Medium-Term
Notes, Series A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the
terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes.
You may access these documents on the
SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” or “our” refers to Barclays Bank PLC.
For more information, please see “Selected
Risk Considerations—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or
likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR
ESTIMATED VALUE OF THE NOTES
Our internal pricing models take into
account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically
including volatility, interest rates, and our internal funding rates. Our internal funding rates (which are our internally
published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations
coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated
value on the Initial Valuation Date is based on our internal funding rates. Our estimated value of the Notes may be lower if such
valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Our
estimated value of the Notes on the Initial Valuation Date is less than the initial issue price of the Notes. The difference between
the initial issue price of the Notes and our estimated value of the Notes is a result of several factors, including any sales commissions
to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees (including
any structuring or other distribution related fees) to be allowed or paid to non-affiliated intermediaries, the estimated profit
that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur
in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with the
Notes.
Our estimated value on the Initial Valuation
Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays
Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital
Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do
so.
Assuming
that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements,
if we provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary
period expected to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse
to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the
Notes which we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this
temporary reimbursement period on the basis of a number of factors, which may include the tenor of the Notes and/or any agreement
we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in
this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time
or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We
urge you to read the “Selected Risk Considerations” beginning on page PS–9 of this pricing
supplement.
Selected Purchase
Considerations
The Notes are not suitable
for all investors. The Notes may be a suitable investment for you if all of the following statements are true:
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You do not seek an investment that produces fixed periodic interest
or coupon payments or other non-contingent sources of current income, and you can tolerate receiving few or no Contingent Coupons
over the term of the Notes in the event the Closing Value of any Reference Asset falls below its Coupon Barrier Value on one or
more of the specified Observation Dates.
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You understand and accept that you will not participate in any appreciation
of any Reference Asset, which may be significant, and that your return potential on the Notes is limited to the Contingent Coupons,
if any, paid on the Notes.
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You can tolerate a loss of up to 90.00% of the principal amount of
your Notes, and you are willing and able to make an investment that may have the full downside market risk of an investment in
the Least Performing Reference Asset.
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You do not anticipate that the Closing Value of any Reference
Asset will fall below its Coupon Barrier Value on any Observation Date or below its Buffer Value on the Final Valuation Date.
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You understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of any Reference Asset or any securities to which any Reference Asset provides
exposure, nor will you have any voting rights with respect to any Reference Asset or any securities to which any Reference Asset
provides exposure.
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You are willing and able to accept the individual market risk of
each Reference Asset and understand that any decline in the value of one Reference Asset will not be offset or mitigated by a lesser
decline or any potential increase in the value of any other Reference Asset.
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You understand and accept the risks that (a) you will not receive
a Contingent Coupon if the Closing Value of any Reference Asset is less than its Coupon Barrier Value on an Observation Date and
(b) you will lose some of your principal at maturity if the Final Value of any Reference Asset is less than its Buffer Value.
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You understand and accept the risk that the payment at maturity will
be based solely on the Reference Asset Return of the Least Performing Reference Asset.
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You understand and are willing and able to accept the risks associated
with an investment linked to the performance of the Reference Assets.
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You can tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside fluctuations in the values of the Reference Assets.
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You do not seek an investment for which there will be an active secondary
market, and you are willing and able to hold the Notes to maturity.
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You are willing and able to assume our credit risk for all payments
on the Notes.
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You are willing and able to consent to the exercise of any U.K. Bail-in
Power by any relevant U.K. resolution authority.
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The Notes may not
be a suitable investment for you if any of the following statements are true:
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You seek an investment that produces fixed periodic interest or coupon
payments or other non-contingent sources of current income, and/or you cannot tolerate receiving few or no Contingent Coupons over
the term of the Notes in the event the Closing Value of any Reference Asset falls below its Coupon Barrier Value on one or more
of the specified Observation Dates.
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You seek an investment that participates in the full appreciation
of any or all of the Reference Assets rather than an investment with a return that is limited to the Contingent Coupons, if any,
paid on the Notes.
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You seek an investment that provides for the full repayment of principal
at maturity, and/or you are unwilling or unable to accept the risk that you may lose some of the principal amount of your Notes
in the event that the Final Value of the Least Performing Reference Asset falls below its Buffer Value.
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You anticipate that the Closing Value of at least one Reference
Asset will decline during the term of the Notes such that the Closing Value of at least one Reference Asset will fall below
its Coupon Barrier Value on one or more Observation Dates and/or the Final Value of at least one Reference Asset will fall
below its Buffer Value.
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You are unwilling or unable to accept the individual market risk
of each Reference Asset and/or do not understand that any decline in the value of one Reference Asset will not be offset or mitigated
by a lesser decline or any potential increase in the value of any other Reference Asset.
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You do not understand and/or are unwilling or unable to accept the
risks associated with an investment linked to the performance of the Reference Assets.
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You seek an investment that entitles you to dividends or distributions
on, or voting rights related to any Reference Asset or any securities to which any Reference Asset provides exposure.
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You are unwilling or unable to accept the risk that the negative
performance of only one Reference Asset may cause you to not receive Contingent Coupons and/or suffer a loss of principal
at maturity, regardless of the performance of any other Reference Asset.
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You cannot tolerate fluctuations in the price of the Notes prior
to scheduled maturity that may be similar to or exceed the downside fluctuations in the values of the Reference Assets.
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You seek an investment for which there will be an active secondary
market, and/or you are unwilling or unable to hold the Notes to maturity.
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You prefer the lower risk, and therefore accept the potentially lower
returns, of fixed income investments with comparable maturities and credit ratings.
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You are unwilling or unable to assume our credit risk for all payments
on the Notes.
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You are unwilling or unable to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
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You
must rely on your own evaluation of the merits of an investment in the Notes.
You should reach a decision whether to invest in the Notes after carefully considering, with your advisors, the suitability of
the Notes in light of your investment objectives and the specific information set out in this pricing supplement and the documents
referenced under “Additional Documents Related to the Offering of the Notes” in this pricing supplement. Neither the
Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
ADDITIONAL
TERMS OF THE NOTES
The Observation Dates
(including the Final Valuation Date), the Contingent Coupon Payment Dates and the Maturity Date are subject to postponement in
certain circumstances, as described under “Reference Assets—Indices—Market Disruption Events for Securities with
an Index of Equity Securities as a Reference Asset,” “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” and “Terms of the Notes—Payment
Dates” in the accompanying prospectus supplement.
In addition, the Reference
Assets and the Notes are subject to adjustment by the Calculation Agent under certain circumstances, as described under “Reference
Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus
supplement.
HYPOTHETICAL
EXAMPLES OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT coupon PAYMENT DATE
The following examples demonstrate the
circumstances under which you may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. The numbers appearing
in these tables are purely hypothetical and are provided for illustrative purposes only. These examples do not take into account
any tax consequences from investing in the Notes and make the following key assumptions:
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Hypothetical Initial Value of each Reference Asset: 100.00*
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Hypothetical Coupon Barrier Value for each Reference Asset: 75.00 (75.00% of the hypothetical
Initial Value set forth above)*
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*
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The hypothetical Initial Value of 100.00 and the hypothetical Coupon
Barrier Value of 75.00 for each Reference Asset have been chosen for illustrative purposes only. The actual Initial Value and
Coupon Barrier Value for each Reference Asset are as set forth on the cover of this pricing supplement.
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Example
1: The Closing Value of each Reference Asset is greater than its Coupon Barrier Value on the relevant Observation Date.
Reference Asset
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Closing Value on Relevant
Observation Date
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RTY Index
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95.00
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NDX Index
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105.00
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Because the Closing Value of each
Reference Asset is greater than its respective Coupon Barrier Value, you will receive a Contingent Coupon of $12.50 (1.25% of the
principal amount per Note) on the related Contingent Coupon Payment Date.
Example
2: The Closing Value of one Reference Asset is greater than its Coupon Barrier Value on the relevant Observation Date
and the Closing Value of at least one Reference Asset is less than its Coupon Barrier Value on the relevant Observation Date.
Reference Asset
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Closing Value on Relevant
Observation Date
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RTY Index
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135.00
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NDX Index
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55.00
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Because the Closing Value of at least
one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date.
Example
3: The Closing Value of each Reference Asset is less than its Coupon Barrier Value on the relevant Observation Date.
Reference Asset
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Closing Value on Relevant
Observation Date
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RTY Index
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50.00
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NDX Index
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45.00
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Because the Closing Value of at least one
Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon
Payment Date.
Examples
2 and 3 demonstrate that you may not receive a Contingent Coupon on a Contingent Coupon Payment Date. If the Closing
Value of any Reference Asset is below its Coupon Barrier Value on each Observation Date, you will not receive any Contingent
Coupons during the term of your Notes.
Hypothetical
Examples of Amounts Payable at maturity
The following table illustrates the hypothetical
payment at maturity under various circumstances. The numbers appearing in the following table and examples have been rounded for
ease of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and
make the following key assumptions:
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Hypothetical Initial Value of each Reference Asset: 100.00*
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Hypothetical Coupon Barrier Value for each Reference Asset: 75.00 (75.00% of the hypothetical
Initial Value set forth above)*
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Hypothetical Buffer Value for each Reference Asset: 90.00 (90.00% of the hypothetical
Initial Value set forth above)*
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You hold the Notes to maturity.
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*
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The hypothetical Initial
Value of 100.00, the hypothetical Coupon Barrier Value of 75.00 and the
hypothetical Buffer Value of 90.00 for each Reference Asset have been chosen
for illustrative purposes only. The actual Initial Value, Coupon Barrier Value and Buffer
Value for each Reference Asset are as set forth on the cover of this pricing supplement.
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Final Value
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Reference Asset Return
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RTY Index
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NDX Index
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RTY Index
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NDX Index
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Reference Asset
Return of the Least
Performing
Reference
Asset
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Payment
at Maturity**
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150.00
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175.00
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50.00%
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75.00%
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50.00%
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$1,000.00
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145.00
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140.00
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45.00%
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40.00%
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40.00%
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$1,000.00
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130.00
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150.00
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30.00%
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50.00%
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30.00%
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$1,000.00
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125.00
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120.00
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25.00%
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20.00%
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20.00%
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$1,000.00
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110.00
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120.00
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10.00%
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20.00%
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10.00%
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$1,000.00
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110.00
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100.00
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10.00%
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0.00%
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0.00%
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$1,000.00
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95.00
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102.50
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-5.00%
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2.50%
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-5.00%
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$1,000.00
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102.00
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90.00
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2.00%
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-10.00%
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-10.00%
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$1,000.00
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100.00
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80.00
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0.00%
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-20.00%
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-20.00%
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$900.00
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95.00
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70.00
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-5.00%
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-30.00%
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-30.00%
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$800.00
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60.00
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85.00
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-40.00%
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-15.00%
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-40.00%
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$700.00
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50.00
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90.00
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-50.00%
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-10.00%
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-50.00%
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$600.00
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150.00
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40.00
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50.00%
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-60.00%
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-60.00%
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$500.00
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30.00
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45.00
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-70.00%
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-55.00%
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-70.00%
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$400.00
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40.00
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20.00
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-60.00%
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-80.00%
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-80.00%
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$300.00
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10.00
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95.00
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-90.00%
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-5.00%
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-90.00%
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$200.00
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102.00
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0.00
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2.00%
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-100.00%
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-100.00%
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$100.00
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**
per $1,000 principal amount Note, excluding the final Contingent Coupon that may be payable on the Maturity
Date
The following examples illustrate how the payments at maturity
set forth in the table above are calculated:
Example
1: The Final Value of the RTY Index is 125.00 and the Final Value of the NDX Index is 120.00.
Because
the NDX Index has the lowest Reference Asset Return, the NDX Index is the Least Performing Reference Asset. Because the Final
Value of the Least Performing Reference Asset is greater than or equal to its Buffer Value, you will receive a payment at maturity
of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the
Maturity Date).
Example
2: The Final Value of the RTY Index is 95.00 and the Final Value of the NDX Index is 102.50.
Because
the RTY Index has the lowest Reference Asset Return, the RTY Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is greater than or equal to its Buffer Value, you will receive a payment at
maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable
on the Maturity Date).
Example
3: The Final Value of the RTY Index is 100.00 and the Final Value of the NDX Index is 80.00.
Because
the NDX Index has the lowest Reference Asset Return, the NDX Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is less than its Buffer Value, you will receive a payment at maturity of $900.00
per $1,000 principal amount Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity
Date), calculated as follows:
$1,000 + [$1,000 × (Reference Asset
Return of the Least Performing Reference Asset + Buffer Percentage)]
$1,000 + [$1,000 × (-20.00% + 10.00%)]
= $900.00
Example
4: The Final Value of the RTY Index is 60.00 and the Final Value of the NDX Index is 85.00.
Because
the RTY Index has the lowest Reference Asset Return, the RTY Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is less than its Buffer Value, you will receive a payment at maturity of $700.00
per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 × (Reference Asset
Return of the Least Performing Reference Asset + Buffer Percentage)]
$1,000 + [$1,000 × (-40.00% + 10.00%)]
= $700.00
In addition, because the Final Value
of the Least Performing Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the
Maturity Date.
Example
5: The Final Value of the RTY Index is 40.00 and the Final Value of the NDX Index is 20.00.
Because
the NDX Index has the lowest Reference Asset Return, the NDX Index is the Least Performing Reference Asset. Because the
Final Value of the Least Performing Reference Asset is less than its Buffer Value, you will receive a payment at maturity of $300.00
per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 × (Reference Asset
Return of the Least Performing Reference Asset + Buffer Percentage)]
$1,000 + [$1,000 × (-80.00% + 10.00%)]
= $300.00
In addition, because the Final Value
of at least one Reference Asset is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity
Date.
Examples 4 and 5 demonstrate that if
the Final Value of the Least Performing Reference Asset is less than its Buffer Value, you will lose 1.00% of the principal amount
of your Notes for every 1.00% that the Reference Asset Return of such Reference Asset falls below -10.00%. You will not benefit
in any way from the Reference Asset Return of any other Reference Asset being higher than the Reference Asset Return of the Least
Performing Reference Asset.
You
may lose up to 90.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of principal,
is subject to the credit risk of Barclays Bank PLC.
Selected Risk
Considerations
An investment in the Notes involves significant
risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets or their components, if any. Some
of the risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed explanation
of risks relating to the Notes generally in the “Risk Factors” section of the prospectus supplement. You should not
purchase the Notes unless you understand and can bear the risks of investing in the Notes.
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Your Investment in the Notes May Result in a Significant Loss—The
Notes differ from ordinary debt securities in that the Issuer will not necessarily repay the full principal amount of the Notes
at maturity. If the Final Value of the Least Performing Reference Asset is less than its Buffer Value, you will lose 1.00% of the
principal amount of your Notes for every 1.00% that the Reference Asset Return of the Least Performing Reference Asset falls below
-10.00%. You may lose up to 90.00% of the principal amount of your Notes.
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Potential Return is Limited to the Contingent Coupons, If Any,
and You Will Not Participate in Any Appreciation of Any Reference Asset—The potential positive return on the Notes is
limited to the Contingent Coupons, if any, that may be payable during the term of the Notes. You will not participate in any appreciation
in the value of any Reference Asset, which may be significant, even though you will be exposed to the depreciation in the value
of the Least Performing Reference Asset if Final Value of the Least Performing Reference Asset is less than its Buffer Value.
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You May Not Receive Any Contingent Coupon Payments on the Notes—The
Issuer will not necessarily make periodic coupon payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon
Payment Date only if the Closing Value of each Reference Asset on the related Observation Date is greater than or equal
to its respective Coupon Barrier Value. If the Closing Value of any Reference Asset on an Observation Date is less than its Coupon
Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Value of
at least one Reference Asset is less than its respective Coupon Barrier Value on each Observation Date, you will not receive
any Contingent Coupons during the term of the Notes.
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Because the Notes Are Linked to the Least Performing Reference
Asset, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss of Principal at Maturity Than
If the Notes Were Linked to a Single Reference Asset—The risk that you will not receive any Contingent Coupons and lose
a significant portion or all of your principal amount in the Notes at maturity is greater if you invest in the Notes as opposed
to substantially similar securities that are linked to the performance of a single Reference Asset. With multiple Reference Assets,
it is more likely that the Closing Value of at least one Reference Asset will be less than its Coupon Barrier Value on the specified
Observation Dates or less than its Buffer Value on the Final Valuation Date, and therefore, it is more likely that you will not
receive any Contingent Coupons and that you will suffer a significant loss of principal at maturity. Further, the performance of
the Reference Assets may not be correlated or may be negatively correlated. The lower the correlation between multiple Reference
Assets, the greater the potential for one of those Reference Assets to close below its Coupon Barrier Value on an Observation Date
or have a Final Value below its Buffer Value on the Final Valuation Date, respectively.
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It is impossible to predict what the correlation
among the Reference Assets will be over the term of the Notes. The Reference Assets represent different equity markets. These different
equity markets may not perform similarly over the term of the Notes.
Although the correlation of the Reference Assets’
performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on the correlation
of the Reference Assets’ performance calculated using our internal models at the time when the terms of the Notes are finalized.
A higher Contingent Coupon is generally associated with lower correlation of the Reference Assets, which reflects a greater potential
for missed Contingent Coupons and for a loss of principal at maturity.
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You Are Exposed to the Market Risk of Each Reference Asset—Your
return on the Notes is not linked to a basket consisting of the Reference Assets. Rather, it will be contingent upon the independent
performance of each Reference Asset. 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 Reference Asset.
Poor performance by any Reference Asset over the term of the Notes may negatively affect your return and will not be offset or
mitigated by any increases or lesser declines in the value of any other Reference Asset. To receive a Contingent Coupon, the Closing
Value of each Reference Asset must be greater than or equal to its Coupon Barrier Value on the applicable Observation Date. In
addition, if the Final Value of any Reference Asset is less than its Buffer Value, you will lose 1.00% of the principal amount
of your Notes for every 1.00% that the Reference Asset Return of the Least Performing Reference Asset falls below -10.00%. Accordingly,
your investment is subject to the market risk of each Reference Asset.
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The Notes Are Subject to Volatility Risk—Volatility
is a measure of the degree of variation in the price of an asset (or level of an index) over a period of time. The amount of any
coupon payments that may be payable under the Notes is based on a number of factors, including the expected volatility of the Reference
Assets. The amount of such coupon payments will be paid at a per annum rate that is higher than the fixed rate that we would pay
on a conventional debt security of the same tenor and is higher than it otherwise would have been had the expected volatility of
the Reference Assets been lower. As volatility of a Reference Asset increases, there will typically be a greater likelihood that
(a) the Closing Value of that Reference Asset on one or more Observation Dates will be less than its Coupon Barrier Value and (b)
the Final Value of that Reference Asset will be less than its Buffer Value.
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Accordingly, you should
understand that a higher coupon payment amount reflects, among other things, an indication of a greater likelihood that you will
(a) not receive coupon payments with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity
than would have been the case had the amount of such coupon payments been lower. In addition, actual volatility over the term of
the Notes may be significantly higher than the expected volatility at the time the terms of the Notes were determined. If actual
volatility is higher than expected, you will face an even greater risk that you will not receive coupon payments and/or that you
will lose some of your principal at maturity for the reasons described above.
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The Payment at Maturity is Based Solely on the Closing Value of
the Least Performing Reference Asset on the Final Valuation Date—The Final Value of a Reference Asset will be based solely
on its Closing Value on the Final Valuation Date, and your payment at maturity will be determined based solely on the performance
of the Least Performing Reference Asset from the Initial Valuation Date to the Final Valuation Date. Accordingly, if the value
of the Least Performing Reference Asset drops on the Final Valuation Date, the payment at maturity on the Notes may be significantly
less than it would have been had it been linked to the value of the Reference Asset at any time prior to such drop. If the Final
Value of the Least Performing Reference Asset is less than its Buffer Value, you will lose up to 90.00% of the principal amount
of your Notes. Your losses will not be offset in any way by virtue of the Reference Asset Return of any other Reference Asset being
higher than the Reference Asset Return of the Least Performing Reference Asset.
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Credit of Issuer—The Notes are unsecured and unsubordinated
debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party.
Any payment to be made on the Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy
its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness
of Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank PLC were to default on its obligations,
you may not receive any amounts owed to you under the terms of the Notes.
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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 any other agreements,
arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring the Notes,
each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any
U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power” in
this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders
and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different security
from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than those
typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and the beneficial owners of the Notes. The exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event
of Default (as each term is defined in the senior debt securities indenture) and the trustee will not be liable for any action
that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the
relevant U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement
as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value
of the 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.
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Contingent Repayment of Any Principal Amount Applies Only at Maturity—You
should be willing to hold your Notes to maturity. Although the Notes provide for the contingent repayment of the principal amount
of your Notes at maturity, provided that the Final Value of the Least Performing Reference Asset is greater than or equal to its
Buffer Value, if you sell your Notes prior to such time in the secondary market, if any, you may have to sell your Notes at a price
that is less than the principal amount even if at that time the value of each Reference Asset has increased from its Initial Value.
See “Many Economic and Market Factors Will Impact the Value of the Notes” below.
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Owning the Notes is Not the Same as Owning Any Reference Asset
or Any Securities to which Any Reference Asset Provides Exposure—The return on the Notes may not reflect the return you
would realize if you actually owned any Reference Asset or any securities to which any Reference Asset provides exposure. As a
holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or any other rights
that holders of any Reference Asset or any securities to which any Reference Asset provides exposure may have.
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Historical Performance of the Reference Assets Should Not Be Taken
as Any Indication of the Future Performance of the Reference Assets Over the Term of the Notes—The value of each Reference
Asset has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of a Reference
Asset is not an indication of the future performance of that Reference Asset over the term of the Notes. The historical correlation
among the Reference Assets is not an indication of the future correlation among them over the term of the Notes. Therefore, the
performance of the Reference Assets individually or in comparison to each other over the term of the Notes may bear no relation
or resemblance to the historical performance of any Reference Asset.
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Each Reference Asset Reflects the Price Return of the Securities
Composing that Reference Asset, Not the Total Return—The return on the Notes is based on the performance of the Reference
Assets, which reflects changes in the market prices of the securities composing the Reference Assets. The Reference Assets are
not “total return” indices that, in addition to reflecting those price returns, would also reflect dividends paid on
the securities composing that Reference Asset. Accordingly, the return on the Notes will not include such a total return feature.
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Adjustments to Any Reference Asset Could Adversely Affect the
Value of the Notes—The sponsor of any Reference Asset may add, delete, substitute or adjust the securities composing
that Reference Asset or make other methodological changes to that Reference Asset that could affect its value. The Calculation
Agent will calculate the value to be used as the Closing Value of that Reference Asset in the event of certain material changes
in or modifications to that Reference Asset. In addition, the sponsor of any Reference Asset may also discontinue or suspend calculation
or publication of that Reference Asset at any time. Under these circumstances, the Calculation Agent may select a successor index
that the Calculation Agent determines to be comparable to that Reference Asset or, if no successor index is available, the Calculation
Agent will determine the value to be used as the Closing Value of that Reference Asset. Any of these actions could adversely affect
the value of any Reference Asset and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
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The Notes Are Subject to Risks Associated with Non-U.S.
Securities Markets—Certain component securities of the Nasdaq-100 Index are issued by non-U.S. companies in non-U.S.
securities markets. Investments in securities linked to the value of such non-U.S. equity securities, such as the Notes, involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there
is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable
to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political, economic, financial and
social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency
exchange laws.
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The Notes Are Subject to Risks Associated with Small Capitalization
Stocks—The RTY Index tracks companies that are considered small-capitalization companies. These companies often have
greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies, and therefore securities
linked to the RTY Index may be more volatile than an investment linked to an index with component stocks issued by large-capitalization
companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies
to adverse business and economic developments. In addition, small-capitalization companies are typically less stable financially
than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel.
Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of
their corporate existences. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product
or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible
to adverse developments related to their products.
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The Estimated Value of Your Notes is Lower Than the Initial Issue
Price of Your Notes—The estimated value of your Notes on the Initial Valuation Date is lower than the initial issue price
of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is a result of
certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees (including any structuring or other distribution related fees) to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes,
the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which
we may incur in connection with the Notes.
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The Estimated Value of Your Notes Might be Lower if Such Estimated
Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market—The estimated value of your
Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding
rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference,
the estimated value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt
securities trade in the secondary market.
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The Estimated Value of the Notes is Based on Our Internal Pricing
Models, Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a
number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and
assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial
institutions’ pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with
those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary
market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal
pricing models.
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The Estimated Value of Your Notes Is Not a Prediction of the Prices
at Which You May Sell Your Notes in the Secondary Market, if any, and Such Secondary Market Prices, If Any,
Will Likely be Lower Than the Initial Issue Price of Your Notes and May be Lower Than the Estimated Value of Your Notes—The
estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or
third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase,
which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time
will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your
Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our
various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes,
secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at
which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary
market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date
could result in a substantial loss to you.
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The Temporary Price at Which We May Initially Buy The Notes in
the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account
Statements At All, May Not Be Indicative of Future Prices of Your Notes—Assuming that all relevant factors remain constant
after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary
market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may
initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value
of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the
initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary
market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
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We and Our Affiliates May Engage in Various Activities or Make
Determinations That Could Materially Affect the Notes in Various Ways and Create Conflicts of Interest—We and our affiliates
play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles, our and our
affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes.
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In
connection with our normal business activities and in connection with hedging our obligations under the Notes, we and our affiliates
make markets in and trade various financial instruments or products for our accounts and for the account of our clients
and otherwise provide investment banking and other financial services with respect to these financial instruments and products.
These financial instruments and products may include securities, derivative instruments or assets that may relate to the Reference
Assets or their components, if any. In any such market making, trading and hedging activity, and other financial services, we or
our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of the holders
of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the Notes into account
in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial services
may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest
with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive
compensation or financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as incentive
to sell the Notes instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes
for initial sale to the public, and the offering price is not based upon any independent verification or valuation.
In addition to the activities
described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of
the Reference Assets and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
the Calculation Agent may be required to make discretionary judgements relating to the Reference Assets, including determining
whether a market disruption event has occurred or whether certain adjustments to the Reference Assets or other terms of the Notes
are necessary, as further described in the accompanying prospectus supplement. In making these discretionary judgments, our economic
interests are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely
affect any payments on the Notes.
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Lack of Liquidity—The Notes will not be listed on any
securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the
Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays
Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the
Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be willing and able to hold your
Notes to maturity.
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Tax Treatment—Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax advisor about your tax situation. See “Tax Considerations”
below.
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Many Economic and Market Factors Will Impact the Value of the
Notes—The value of the Notes will be affected by a number of economic and market factors that interact in complex and
unpredictable ways and that may either offset or magnify each other, including:
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the market price of, dividend
rate on and expected volatility of the Reference Asset or the components of the Reference Asset, if any;
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the time to maturity of the Notes;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial
events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades
in our credit ratings.
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Information
Regarding the Reference Assets
Nasdaq-100 Index®
The
Nasdaq-100 Index is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed
on The Nasdaq Stock Market. For more information about the Nasdaq-100 Index, see “Indices—The Nasdaq-100 Index®”
in the accompanying underlying supplement.
Historical Performance of the Nasdaq-100 Index
The graph below sets forth the historical
performance of the Nasdaq-100 Index based on the daily Closing Value from January 2, 2015 through November 24, 2020. We
obtained the Closing Values shown in the graph below from Bloomberg Professional® service (“Bloomberg”).
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Nasdaq-100
Index®
PAST PERFORMANCE IS NOT INDICATIVE OF
FUTURE RESULTS
Russell
2000® Index
The RTY Index measures the capitalization-weighted
price performance of 2,000 small-capitalization stocks and is designed to track the performance of the small capitalization segment
of the U.S. equity market. For more information about the RTY Index, see “Indices—The Russell Indices” in the
accompanying underlying supplement.
Historical Performance of the RTY
Index
The
graph below sets forth the historical performance of the RTY Index based on the daily Closing Values from January 2, 2015
through November 24, 2020. We obtained the Closing Values shown in the graph below from Bloomberg. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Russell 2000®
Index
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
TAX CONSIDERATIONS
You should review carefully the sections
in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences
to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if
you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion
in the accompanying prospectus supplement to the extent it is inconsistent therewith.
In determining our reporting responsibilities,
if any, we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with
Associated Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell
LLP, has advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal
Revenue Service (the “IRS”) or a court may adopt.
Sale, exchange or redemption of a Note.
Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including redemption at maturity), you
should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax
basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupon payments are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be long-term capital gain
or loss if you hold the Notes for more than one year, whether or not you are an initial purchaser of the Notes at the issue price.
The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your right to a Contingent
Coupon payment is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the
Contingent Coupon payment. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior
to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income.
You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be
materially affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of
factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on
appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of
these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You
should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible
alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have
responsibility as a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined
in the accompanying prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect
to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding,
as described under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus
supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m)
generally impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.”
A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta
of one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes
(each an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one”
within the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the
Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of
Section 871(m) to the Notes.