The
information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying
prospectus, prospectus supplement, product 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 August 2, 2024
PRICING SUPPLEMENT dated August ,
2024
(To the Prospectus dated May 23, 2022,
the Prospectus Supplement dated June
27, 2022,
the Product Supplement No. WF-1 dated
October 17, 2022 and
the Underlying Supplement dated June
27, 2022) |
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-265158 |
 |
|
Barclays Bank PLC
Global Medium-Term Notes, Series
A |
|
Market Linked Securities—Callable with
Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the
Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500®
Index due November 9, 2028 |
|
n Linked
to the lowest performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500®
Index (each referred to as an “Index”)
n The
securities are redeemable debt securities of Barclays Bank PLC that, unlike ordinary debt securities, do not provide for fixed payments
of interest and do not repay a fixed amount of principal at stated maturity. Whether the securities pay a contingent coupon and, if the
securities are not redeemed prior to stated maturity, whether you receive the principal amount of your securities at stated maturity
will depend in each case on the performance of the lowest performing Index as described below. The lowest performing Index on any eligible
trading day during an observation period (including on the final calculation day) is the Index that has the lowest performance factor
on that day, calculated for each Index as the closing level of that Index on that day divided by its starting level.
n Contingent
Coupon. The securities will pay a contingent coupon with respect to each quarterly observation period until the earlier of stated
maturity or early redemption if the closing level of the lowest performing Index on each eligible trading day during such observation
period is greater than or equal to its coupon threshold level. However, if the closing level of the lowest performing Index on any
eligible trading day during an observation period is less than its coupon threshold level, you will not receive any contingent coupon
with respect to that observation period. This will be the case even if the closing level of the lowest performing Index is greater
than or equal to its coupon threshold level on one or more other eligible trading days during that observation period, and even if the
better performing Indices perform favorably. If the closing level of at least one Index is less than its coupon threshold level on
one or more eligible trading days during each observation period, you will not receive any contingent coupons throughout the entire term
of the securities. The contingent coupon rate will be determined on the pricing date and will be at least 10.40% per annum.
n Optional
Redemption. The issuer may, at its option, redeem the securities on any contingent coupon payment date beginning approximately three
months after their issue date. If the issuer elects to redeem the securities prior to maturity, you will receive the principal amount
plus any contingent coupon payment otherwise due.
n Potential
Loss of Principal. If the issuer does not redeem the securities prior to stated maturity, you will receive the principal amount at
stated maturity if the closing level of the lowest performing Index on the final calculation day is greater than or equal to its downside
threshold level. If the closing level of the lowest performing Index on the final calculation day is less than its downside threshold
level, you will lose more than 40%, and possibly all, of the principal amount of your securities.
n The
coupon threshold level of each Index is equal to 70% of its starting level, and the downside threshold level of each Index is equal to
60% of its starting level.
n You
will not participate in any appreciation of any Index.
n Your
return on the securities will depend solely on the performance of the Index that is the lowest performing Index on each eligible
trading day during the observation periods, including on the final calculation day. You will not benefit in any way from the performance
of the better performing Indices. Therefore, you will be adversely affected if any Index performs poorly, even if the other Indices
perform favorably.
n 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 PPS-7 of this pricing supplement) by the relevant U.K. resolution authority, you might not receive any amounts
owed to you under the securities. See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in this
pricing supplement and “Risk Factors” in the accompanying prospectus supplement.
n No
fixed periodic interest payments or dividends
n No
exchange listing; designed to be held to maturity |
See “Additional Information about the
Issuer and the Securities” on page PPS-5 of this pricing supplement. The securities will have the terms specified in the prospectus
dated May 23, 2022, the prospectus supplement dated June 27, 2022, the product supplement no. WF-1 dated October 17, 2022 and the underlying
supplement dated June 27, 2022, as supplemented or superseded by this pricing supplement.
The securities have complex features and
investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk
Considerations” on page PPS-12 herein, “Risk Factors” beginning on page PS-3 of the product supplement and “Risk
Factors” beginning on page S-9 of the prospectus supplement.
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.
Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of these securities or determined
that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
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 PPS-7 of this pricing supplement.
| |
Original Offering Price(1) |
Agent Discount(2), (3) |
Proceeds to Barclays Bank PLC |
| Per Security |
$1,000.00 |
$12.75 |
$987.25 |
| Total |
|
|
|
| (1) | Our
estimated value of the securities on the pricing date, based on our internal pricing models,
is expected to be between $944.70 and $974.70 per security. The estimated value is expected
to be less than the original offering price of the securities. See “Additional Information
Regarding Our Estimated Value of the Securities” on page PPS-6 of this pricing supplement. |
| (2) | Wells
Fargo Securities, LLC (“WFS”) and Barclays Capital Inc. are the agents for the
distribution of the securities and are acting as principal. The agent will receive an underwriting
discount of up to $12.75 per security. Barclays Capital Inc. will sell the securities to
WFS at the original offering price of the securities less a concession not in excess of $12.75
per security. WFS may provide dealers, which may include Wells Fargo Advisors (“WFA”)
(the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing
Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession
of $10.00 per security. In addition to the concession allowed to WFA, WFS may pay $0.75 per
security of the agent’s discount to WFA as a distribution expense fee for each security
sold by WFA. See “Terms of the Securities—Supplemental Plan of Distribution”
in this pricing supplement for further information. |
| (3) | In
respect of certain securities sold in this offering, Barclays Capital Inc. may pay a fee
of up to $1.50 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities
dealers. |
| Wells Fargo Securities |
Barclays Capital Inc. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Terms
of the Securities
| Issuer: |
Barclays Bank PLC |
|
The Nasdaq-100 Index® (the “NDX Index”), the Russell 2000® Index (the “RTY Index”) and the S&P 500® Index (the “SPX Index”) (each referred to as an “Index,” and collectively as the “Indices”) |
| |
Market Measure |
Bloomberg Ticker Symbol |
Starting Level(a) |
Coupon Threshold Level(b) |
Downside Threshold Level(c) |
| Market Measures1: |
NDX Index |
NDX<Index> |
|
|
|
| |
RTY Index |
RTY<Index> |
|
|
|
| |
SPX Index |
SPX<Index> |
|
|
|
| |
(a)
With respect to each Index, the closing level of that Index on the pricing date
(b)
With respect to each Index, 70% of its starting level
(c)
With respect to each Index, 60% of its starting level |
| Pricing Date: |
August 6, 2024 |
| Issue Date: |
August 9, 2024 |
| Final Calculation Day2: |
November 6, 2028 |
| Stated Maturity Date2: |
November 9, 2028 |
| Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
| Contingent Coupon Payment: |
With respect to each observation period,
you will receive on the related contingent coupon payment date a contingent coupon payment at a per annum rate equal to the contingent
coupon rate if the closing level of the lowest performing Index on each eligible trading day during such observation period is greater
than or equal to its coupon threshold level.
Each “contingent coupon payment,”
if any, will be calculated per security as follows:
($1,000 × contingent coupon rate) /
4
Any contingent coupon payments will be rounded
to the nearest cent, with one-half cent rounded upward.
If the closing level of the lowest performing
Index on any eligible trading day during an observation period is less than its coupon threshold level, you will not receive any contingent
coupon payment on the related contingent coupon payment date. If the closing level of at least one Index is less than its coupon threshold
level on one or more eligible trading days during each observation period, you will not receive any contingent coupon payments over the
term of the securities.
Any return on the securities will be limited
to the sum of your contingent coupon payments, if any, even if the closing level of the lowest performing Index on any observation period
end-date significantly exceeds its starting level. You will not participate in any appreciation of any Index. |
| Contingent Coupon Payment Dates2: |
Quarterly, on the third business day following each observation period end-date, provided that the contingent coupon payment date with respect to the final observation period will be the stated maturity date. If an observation period end-date is postponed with respect to one or more Indices, the related contingent coupon payment date will be three business days after the latest observation period end-date as postponed. |
| Contingent Coupon Rate: |
The “contingent coupon rate” will be determined on the pricing date and will be at least 10.40% per annum. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
| Optional Redemption: |
We may, at our option, redeem the securities, in whole but not
in part, on any optional redemption date. If we elect to redeem the securities prior to stated maturity, you will be entitled to receive
on the applicable optional redemption date a cash payment per security in U.S. dollars equal to the principal amount plus any contingent
coupon payment otherwise due.
If we elect to redeem the securities on an optional redemption
date, we will give you notice on or before the observation period end-date immediately preceding that optional redemption date. Any redemption
of the securities will be at our option and will not automatically occur based on the performance of any Index.
If the securities are redeemed, they will
cease to be outstanding on the applicable optional redemption date and you will have no further rights under the securities after that
date. |
| Observation Periods: |
Each observation period will consist of each
day that is a trading day for at least one Index (each such day, an “eligible trading day”) from but excluding an
observation period end-date to and including the following observation period end-date, provided that the first observation period
will consist of each eligible trading day from but excluding the pricing date to and including the first observation period end-date.
If a market disruption event or non-trading day occurs with respect
to an Index on any eligible trading day during an observation period (other than an observation period end-date), that Index will be
disregarded on that eligible trading day for purposes of determining whether a contingent coupon payment is payable with respect to such
observation period. For the avoidance of doubt, any such eligible trading day for any Index not affected by a market disruption event
or non-trading day on that eligible trading day will remain a valid day for purposes of determining whether a contingent coupon payment
is payable with respect to such observation period, even if that day is not a trading day for any other Index or a market disruption
event has occurred with respect to any other Index on that day. |
| Observation Period End-Dates2: |
Quarterly, on the 6th day of each February, May, August and November, commencing November 2024 and ending November 2028, provided that the November 2028 observation period end-date will be the final calculation day |
| Optional Redemption Dates2: |
Quarterly, beginning approximately three months after the issue date, on the contingent coupon payment dates following each observation period end-date scheduled to occur from November 2024 to August 2028, inclusive |
| Maturity Payment Amount: |
If we do not redeem the securities prior
to the stated maturity date, you will be entitled to receive on the stated maturity date a cash payment per security in U.S. dollars
equal to the maturity payment amount (in addition to any contingent coupon payment otherwise due). The “maturity payment amount”
per security will equal:
· if
the ending level of the lowest performing Index on the final calculation day is greater than or equal to its downside threshold level:
$1,000; or
· if
the ending level of the lowest performing Index on the final calculation day is less than its downside threshold level:
$1,000
× performance factor of the lowest performing Index on the final calculation day
If we do not redeem the securities prior
to stated maturity and the ending level of the lowest performing Index on the final calculation day is less than its downside threshold
level, you will lose more than 40%, and possibly all, of the principal amount of your securities at stated maturity.
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 by the relevant U.K.
resolution authority, you might not receive any amounts owed to you under the securities. |
| Lowest Performing Index: |
For any eligible trading day during an observation period (including the final calculation day), the “lowest performing Index” will be the Index with the lowest performance factor on that eligible trading day and that has not been disregarded due to a market disruption event or non-trading day in accordance with “—Observation Periods” above. For the avoidance of doubt, if any eligible trading day is a valid day for only one Index, then that Index will be the lowest performing Index on that eligible trading day. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
| Performance Factor: |
With respect to an Index on any eligible trading day during an observation period, its closing level on such day divided by its starting level. |
| Closing Level1: |
With respect to each Index, “closing level” has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Certain Definitions” in the product supplement. |
| Ending Level: |
The “ending level” of an Index will be its closing level on the final calculation day. |
| Additional Terms: |
Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the product supplement, provided that terms used in this pricing supplement, but not defined herein or in the product supplement, will have the meanings ascribed to them in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| Tax Considerations: |
For a discussion of the tax considerations relating to ownership and disposition of the securities, see “Tax Considerations.” |
| Denominations: |
$1,000 and any integral multiple of $1,000 |
| CUSIP / ISIN: |
06745UPZ7 / US06745UPZ74 |
| Supplemental Plan of Distribution: |
Wells Fargo Securities, LLC (“WFS”)
and Barclays Capital Inc. will act as agents for the securities. The agent will receive an underwriting discount of up to $12.75 per
security. Barclays Capital Inc. will sell the securities to WFS at the original offering price of the securities less a concession not
in excess of $12.75 per security. WFS may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name
of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network,
LLC), with a selling concession of $10.00 per security. In addition to the concession allowed to WFA, WFS may pay $0.75 per security
of the agent’s discount to WFA as a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities
sold in this offering, Barclays may pay a fee of up to $1.50 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities dealers.
Barclays Bank PLC or its affiliate will enter
into swap agreements or related hedge transactions with one of its other affiliates or unaffiliated counterparties in connection with
the sale of the securities. If WFS, Barclays Capital Inc. or an affiliate of either agent participating as a dealer in the distribution
of the securities conducts hedging activities for Barclays Bank PLC in connection with the securities, such agent or participating dealer
will expect to realize a projected profit from such hedging activities, and this projected profit will be in addition to any discount,
concession or fee received in connection with the sale of the securities to you. This additional projected profit may create a further
incentive for the agents or participating dealers to sell the securities to you.
We expect that delivery of the securities
will be made against payment for the securities on the 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. |
1 If
an Index is discontinued or if the sponsor of an Index fails to publish that Index, the calculation agent may select a successor index
or, if no successor index is available, will calculate the value to be used as the closing level of that Index. In addition, the calculation
agent will calculate the value to be used as the closing level of an Index in the event of certain changes in or modifications to that
Index. For more information, see “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Adjustments
to an Index” and “—Discontinuance of an Index” in the accompanying product supplement.
2 If
any observation period end-date is not a trading day with respect to any Index, that observation period end-date for each Index will
be postponed to the next succeeding day that is a trading day with respect to each Index. An observation period end-date will also be
postponed for any Index if a market disruption event occurs with respect to that Index on that observation period end-date as described
under “General Terms of the Securities—Consequences of a Market Disruption Event; Postponement of a Calculation Day—Securities
Linked to Multiple Market Measures” in the accompanying product supplement. In addition, the stated maturity date will be postponed
if that day is not a business day or if the final calculation day is postponed as described under “General Terms of the Securities—Payment
Dates” in the accompanying product supplement.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Additional
Information about the Issuer and the Securities
You should read this pricing supplement together
with the prospectus dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term
Notes, Series A, of which these securities are a part, the product supplement no. WF-1 dated October 17, 2022 and the underlying supplement
dated June 27, 2022. This pricing supplement, 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 and “Selected
Risk Considerations” in this pricing 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.
To the extent the information or terms in this
pricing supplement are different from or inconsistent with the information or terms in the prospectus, prospectus supplement, product
supplement or underlying supplement, the information and terms in this pricing supplement will control. To the extent the information
or terms in the product supplement are different from or inconsistent with the information or terms in the prospectus or prospectus supplement,
the information and terms in the product supplement will control.
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” and “our” refer to Barclays Bank PLC.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Additional
Information Regarding Our Estimated Value of the Securities
The final terms for the securities will be determined
on the date the securities are initially priced for sale to the public (the “pricing date”) based on prevailing market conditions
on or prior to the pricing date and will be communicated to investors orally and/or in a final pricing supplement.
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 original offering price of the securities. The difference between the original offering 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.
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 five months 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 the “Selected Risk
Considerations” beginning on page PPS-12 of this pricing supplement.
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.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
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 “Selected
Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is
Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is
failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers,
could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Investor
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 ending level of the lowest performing Index
on the final calculation day will be less than its downside threshold level, and you are willing and able to accept the risk that, if
it is, you will lose more than 40%, and possibly all, of the principal amount of your securities at stated maturity. |
| · | You are willing and able to accept that you will not receive a contingent
coupon payment with respect to an observation period if the closing level of the lowest performing Index on any eligible trading day during
that observation period is less than its coupon threshold level, even if the closing level of the lowest performing Index is greater than
or equal to its coupon threshold level on one or more other eligible trading days during that observation period. |
| · | You do not anticipate that the closing level of the lowest performing Index
will be less than its coupon threshold level on any eligible trading day during the observation periods, and you are willing and able
to accept the risk that, if it is, you may receive few or no contingent coupon payments over the term of the securities. |
| · | You are willing and able to accept the individual market risk of each Index
and you understand that poor performance by any Index 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 Indices. |
| · | You are willing and able to forgo participation in any appreciation of any
Index, and you understand that any return on your investment will be limited to the contingent coupon 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 lowest performing Index, as explained in more detail in the “Selected Risk Considerations”
section of this pricing supplement. |
| · | You understand and accept that you will not be entitled to receive dividends
or distributions that may be paid to holders of the securities composing the Indices, nor will you have any voting rights with respect
to the securities composing the Indices. |
| · | You are willing and able to accept the risk that we may redeem the securities
prior to stated maturity at our option beginning approximately three months after their issue date, that it is more likely that we will
redeem the securities when it would otherwise be advantageous for you to continue to hold the securities 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 stated maturity if we do not redeem the securities. |
| · | 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 stated maturity. |
| · | You anticipate that the ending level of the lowest performing Index on the final calculation day will
be less than its downside threshold level, or you are unwilling or unable to accept the risk that, if it is, you will lose more than 40%,
and possibly all, of the principal amount of your securities at stated maturity. |
| · | You anticipate that the closing level of the lowest performing Index will be less than its coupon threshold
level on one or more eligible trading days during the observation periods, or you are unwilling or unable to accept the risk that, if
it is, you may receive few or no contingent coupon payments over the term of the securities. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
| · | You are unwilling or unable to accept the individual market risk of each Index or the risk that poor performance
by any Index 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 Indices. |
| · | You seek exposure to any upside performance of the Indices or you seek an investment with a return that
is not limited to the contingent coupon 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 lowest performing Index, as explained in more detail in the “Selected Risk Considerations” section of this pricing
supplement. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to,
the securities composing the Indices. |
| · | You are unwilling or unable to accept the risk that we may redeem the securities prior to stated maturity
at our option. |
| · | 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 stated maturity if they are not redeemed. |
| · | You are unwilling or unable to assume our credit risk for all payments on the 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. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Selected Risk Considerations” beginning on page PPS-12 of this pricing supplement and the “Risk Factors” beginning
on page PS-3 of the accompanying product supplement and the “Risk Factors” beginning on page S-9 of the accompanying prospectus
supplement for risks related to an investment in the securities. For more information about the Indices, please see the sections titled
“The Nasdaq-100 Index®,” “The Russell 2000® Index” and “The S&P 500®
Index” below.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Determining
Payment on a Contingent Coupon Payment Date and at Maturity
Unless we have previously redeemed the securities
at our option, on each contingent coupon payment date prior to the stated maturity date, whether you receive a contingent coupon payment
will be determined based on the closing level of the lowest performing Index on each eligible trading day during the related observation
period.
Step 1: Determine which Index is the lowest
performing Index on each eligible trading day during the related observation period. The lowest performing Index on any eligible trading
day during an observation period is the Index that has the lowest performance factor on that date, calculated for each Index as the closing
level of that Index on that date divided by its starting level.
Step 2: Determine whether a contingent
coupon payment is paid on the applicable contingent coupon payment date prior to the stated maturity date, based on the closing level
of the lowest performing Index on each eligible trading day during the relevant observation period, as follows:
On the stated maturity date, if we have not previously
redeemed the securities at our option, you will receive a cash payment per security (the maturity payment amount) calculated as described
below.
Step 1: Determine which Index is the lowest
performing Index on the final calculation day. The lowest performing Index on the final calculation day is the Index that has the lowest
performance factor on the final calculation day, calculated for each Index as its ending level divided by its starting level.
Step 2: Calculate the maturity payment
amount based on the ending level of the lowest performing Index on the final calculation day, as follows:
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Hypothetical
Payout Profile
The following profile illustrates the potential
maturity payment amount on the securities (excluding any contingent coupon payment otherwise due) for a range of hypothetical performances
of the lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities have
not been redeemed prior to the stated maturity date. As this profile illustrates, in no event will you have a positive rate of return
based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon payments,
if any, received during the term of the securities. This graph has been prepared for purposes of illustration only. Your actual return
will depend on the actual ending level of the lowest performing Index on the final calculation day and whether you hold your securities
to stated maturity. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in any or all of the Indices or their components. 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” sections of the product supplement and 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
| · | If We Do Not Redeem The Securities Prior to Stated Maturity, You May Lose Some Or All Of The Principal
Amount Of Your Securities At Stated Maturity — We will not repay you a fixed amount on your securities at stated maturity. If
we do not exercise our right to redeem the securities prior to stated maturity, you will receive a maturity payment amount that will be
equal to or less than the principal amount, depending on the ending level of the lowest performing Index on the final calculation day. |
If the ending level
of the lowest performing Index on the final calculation day is less than its downside threshold level, the maturity payment amount will
be less than the principal amount and you will have full downside exposure to the decrease in the level of the lowest performing Index
from its starting level. The downside threshold level for each Index is 60% of its starting level. For example, if we do not redeem the
securities prior to stated maturity and the lowest performing Index on the final calculation day has declined by 40.1% from its starting
level to its ending level, you will not receive any benefit of the contingent downside protection feature and you will lose 40.1% of the
principal amount. As a result, you will not receive any protection if the level of the lowest performing Index on the final calculation
day declines significantly and you may lose some, and possibly all, of the principal amount of your securities at stated maturity, even
if the level of the lowest performing Index is greater than or equal to its starting level or its downside threshold level at certain
times during the term of the securities.
Even if the ending
level of the lowest performing Index on the final calculation day is greater than its downside threshold level, the maturity payment amount
will not exceed the principal amount, and your yield on the securities, taking into account any contingent coupon payments you may have
received during the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt
security of Barclays Bank PLC or another issuer with a similar credit rating.
| · | The Securities Do Not Provide For Fixed Payments Of Interest And You May Receive No Coupon Payments
On One Or More Contingent Coupon Payment Dates, Or Even Throughout The Entire Term Of The Securities — On each contingent coupon
payment date you will receive a contingent coupon payment if the closing level of the lowest performing Index on each eligible trading
day during the related observation period is greater than or equal to its coupon threshold level. If the closing level of the lowest performing
Index on any eligible trading day during the related observation period is less than its coupon threshold level, you will not receive
any contingent coupon payment on the related contingent coupon payment date, and if the closing level of at least one Index is less than
its coupon threshold level on one or more eligible trading days during each observation period over the term of the securities, you will
not receive any contingent coupon payments over the entire term of the securities. |
| · | Whether You Receive A Contingent Coupon Payment On A Contingent Coupon Payment Date Will Depend On
The Closing Level Of The Lowest Performing Index On Each Eligible Trading Day During The Related Observation Period — Whether
you receive a contingent coupon payment on any contingent coupon payment date will be determined at the end of the related observation
period, based on the closing level of the lowest performing Index on each eligible trading day during that observation period. If any
eligible trading day during an observation period is a valid day for only one Index due to a market disruption event or non-trading day
for the other Indices, then that Index will be the lowest performing Index on that eligible trading day. Therefore, if the closing level
of any one of the Indices is less than its coupon threshold level on any eligible trading day during an observation period, you will not
receive a contingent coupon payment with respect to that observation period. This will be the case even if the closing level of the lowest
performing Index is greater than or equal to its coupon threshold level on one or more other eligible trading days during that observation
period, and even if the better performing Indices perform favorably. |
| · | The Securities Are Subject To The Full Risks Of Each Index And Will Be Negatively Affected If Any Index
Performs Poorly, Even If The Other Indices Perform Favorably — You are subject to the full risks of each Index. If any Index
performs poorly, you will be negatively affected, even if the other Indices perform favorably. The securities are not linked to a basket
composed of the Indices, where the better performance of some Indices could offset the poor performance of others. Instead, you are subject
to the full risks of whichever Index is the lowest performing Index on each eligible trading day during each observation period. As a
result, the securities are riskier than an alternative investment linked to only one of the Indices or linked to a basket composed of
each Index. You should not invest in the securities unless you understand and are willing to accept the full downside risks of each Index. |
| · | You May Be Fully Exposed To The Decline In The Lowest Performing Index On The Final Calculation Day
From Its Starting Level, But Will Not Participate In Any Positive Performance Of Any Index — Even though you will be fully |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
exposed to a decline in the level of
the lowest performing Index on the final calculation day if its ending level is below its downside threshold level, you will not participate
in any increase in the level of any Index over the term of the securities. Your maximum possible return on the securities will be limited
to the sum of the contingent coupon payments you receive, if any. Consequently, your return on the securities may be significantly less
than the return you could achieve on an alternative investment that provides for participation in an increase in the level of any or each
Index.
| · | Your Return On The Securities Will Depend Solely On The Performance Of The Index That Is The Lowest
Performing Index On Each Eligible Trading Day During The Observation Periods, Including The Final Calculation Day, And You Will Not Benefit
In Any Way From The Performance Of The Better Performing Indices — Your return on the securities will depend solely on the performance
of the Index that is the lowest performing Index on each eligible trading day during the observation periods, including on the final calculation
day. Although it is necessary for each Index to close at or above its coupon threshold level on each eligible trading during the relevant
observation period in order for you to receive a contingent coupon payment and at or above its downside threshold level on the final calculation
day for you to be repaid the principal amount of your securities at maturity, you will not benefit in any way from the performance of
the better performing Indices. The securities may underperform an alternative investment linked to a basket composed of the Indices, since
in such case the performance of the better performing Indices would be blended with the performance of the lowest performing Index, resulting
in a better return than the return of the lowest performing Index alone. |
| · | Higher Contingent Coupon Rates Are Associated With Greater Risk — The securities offer contingent
coupon payments at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These
higher potential contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to
conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the principal amount at maturity. The
volatility of the Indices and the correlation among the Indices are important factors affecting this risk. Volatility is a measure of
the degree of variation in the levels of the Indices over a period of time. Volatility can be measured in a variety of ways, including
on a historical basis or on an expected basis as implied by option prices in the market. The correlation of a pair of Indices represents
a statistical measurement of the degree to which the returns of those Indices are similar to each other over a given period in terms of
timing and direction. Greater expected volatility of the Indices or lower expected correlation among the Indices as of the pricing date
may result in a higher contingent coupon rate, but it also represents a greater expected likelihood as of the pricing date that the closing
level of at least one Index will be less than its coupon threshold level on one or more eligible trading days during one or more observation
periods, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that the
closing level of at least one Index will be less than its downside threshold level on the final calculation day such that you will lose
a substantial portion, and possibly all, of the principal amount at maturity. In general, the higher the contingent coupon rate is relative
to the fixed rate we would pay on conventional debt securities, the greater the expected risk that you will not receive one or more, or
any, contingent coupon payments during the term of the securities and that you will lose a substantial portion, and possibly all, of the
principal amount at maturity. |
| · | Our Redemption Right May Limit Your Potential To Receive Contingent Coupon Payments — We
may, at our option, redeem the securities on any optional redemption date. Although exercise of the redemption right will be within our
sole discretion, we will be more likely to redeem the securities at a time when the lowest performing Index is performing favorably from
your perspective—in other words, at a time when, if the securities were to remain outstanding, it is more likely that you would
have continued to receive contingent coupon payments and been repaid the principal amount at maturity. Therefore, our redemption right
is likely to limit your potential to receive contingent coupon payments if the lowest performing Index is performing favorably from your
perspective. On the other hand, we will be less likely to redeem the securities at a time when the lowest performing Index is performing
unfavorably from your perspective—in other words, you are more likely to continue to hold the securities at a time when it is less
likely that you will continue to receive contingent coupon payments and it is less likely that you will be repaid the principal amount
at maturity. |
If we exercise our
redemption right, the term of the securities may be reduced to as short as approximately three months. There is no guarantee that you
would be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk in the
event we redeem the securities prior to maturity.
| · | You Will Be Subject To Risks Resulting From The Relationship Between The Indices — The correlation
of a pair of Indices represents a statistical measurement of the degree to which the returns of those Indices are similar to each other
over a given period in terms of timing and direction. By investing in the securities, you assume the risk that the returns of the Indices
will not be correlated. The less correlated the Indices, the more likely it is that any one of the Indices will be performing poorly at
any time over the term of the securities. All that is necessary for the securities to perform poorly is for one of the Indices to perform
poorly; the performance of the better performing Indices is not relevant to your return on the securities. It is impossible to predict
what the relationship between the Indices will be over the term of the securities. The Indices may represent different equity markets,
and those equity markets may not perform similarly over the term of the securities. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
| · | Any Payment On The Securities Will Be Determined Based On The Closing Levels Of The Indices On The
Dates Specified — Any payment on the securities will be determined based on the closing levels of the Indices on the dates specified.
You will not benefit from any more favorable values of the Indices determined at any other time. |
| · | Owning The Securities Is Not The Same As Owning The Securities Composing Any Or All Of The Indices
— The return on your securities may not reflect the return you would realize if you actually owned the securities composing any
or all of the Indices. For instance, as a holder of the securities, you will not have voting rights or rights to receive cash dividends
or other distributions or any other rights that holders of the securities composing any Index would have. |
| · | No Assurance That The Investment View Implicit In The Securities Will Be Successful — It
is impossible to predict whether and the extent to which the level of any Index will rise or fall. There can be no assurance that the
level of any Index will not close below its coupon threshold level on any eligible trading day during an observation period or below its
downside threshold level on the final calculation day. The level of each Index will be influenced by complex and interrelated political,
economic, financial and other factors that affect that Index and the securities composing that Index. You should be willing to accept
the downside risks associated with equities in general and each Index in particular, and the risk of losing a significant portion or all
of the principal amount. |
| · | Tax Treatment — Significant aspects of the tax treatment of the securities are uncertain.
You should consult your tax advisor about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | The Securities Are Subject To The Credit Risk Of Barclays Bank PLC — 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 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 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 pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement. |
Risks Relating to the Indices
| · | There Are Risks Associated With Investments In Securities Linked To The Value Of Non-U.S. Equity Securities
With Respect To The NDX Index — Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries of the issuers of
those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. |
| · | The Securities Are Subject To Small-Capitalization Companies Risk With Respect To The RTY Index
— The RTY Index tracks companies that are considered small-capitalization companies. These companies often have greater stock price
volatility, lower trading volume and less liquidity than large-capitalization companies, and therefore securities linked to the RTY Index
may be more |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
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.
| · | Each Index Reflects The Price Return Of The Securities Composing That Index, Not The Total Return
— The return on the securities is based on the performance of the Indices, which reflects changes in the market prices of the securities
composing each Index. Each Index is not a “total return” index that, in addition
to reflecting those price returns, would also reflect dividends paid on the securities composing the applicable Index. Accordingly, the
return on the securities will not include such a total return feature. |
| · | We Cannot Control Actions Of Any Of The Unaffiliated Companies Whose Securities Are Included As Components
Of The Indices — Actions by any company whose securities are components of an Index may have an adverse effect on the price
of its security, the closing level of such Index on any eligible trading day during the observation periods, the ending level of such
Index and the value of the securities. These unaffiliated companies will not be involved in the offering of the securities and will have
no obligations with respect to the securities, including any obligation to take our
or your interests into consideration for any reason. These companies will not receive any
of the proceeds of the offering of the securities and will not be responsible for, and will not have participated in, the determination
of the timing of, prices for, or quantities of, the securities to be issued. These companies will not be involved with the administration,
marketing or trading of the securities and will have no obligations with respect to any amounts to be paid to you on the securities. |
| · | We And Our Affiliates Have No Affiliation With Any Index Sponsor And Have Not Independently Verified
Their Public Disclosure Of Information — We, our affiliates and WFS and its affiliates are not affiliated in any way with any
index sponsor and have no ability to control or predict their actions, including any errors in or discontinuation of disclosure regarding
the methods or policies relating to the calculation of the applicable Index. We have derived
the information about each Index contained in this pricing supplement and the accompanying
underlying supplement from publicly available information, without independent verification. You, as an investor in the securities, should
make your own investigation into each Index and the index sponsors. The index sponsors will not be involved in the offering of the securities
made hereby in any way, and the index sponsors do not have any obligation to consider your interests as an owner of the securities in
taking any actions that might affect the value of the securities. |
| · | Adjustments To The Indices Could Adversely Affect The Value Of The Securities And The Amount You Will
Receive At Maturity — The sponsor of an Index (an “index sponsor”) may add, delete, substitute or adjust
the securities composing that Index or make other methodological changes to that Index that
could affect its performance. The calculation agent will calculate the value to be used as the closing level of an Index in the event
of certain material changes in or modifications to that Index. In addition, an index sponsor may also discontinue or suspend calculation
or publication of that Index at any time. Under these circumstances, the calculation agent may select a successor index that the calculation
agent determines to be comparable to the discontinued index or, if no successor index is available, the calculation agent will determine
the value to be used as the closing level of that Index. Any of these actions could adversely affect the level of the relevant Index and,
consequently, the value of the securities. See “General Terms of the Securities—Certain Terms for Securities Linked to an
Index—Adjustments to an Index” and “—Discontinuance of an Index” in the accompanying product supplement. |
| · | The Historical Performance Of The Indices Is Not An Indication Of Their Future Performance —
The historical performance of the Indices should not be taken as an indication of the future performance of the Indices. It is impossible
to predict whether the closing levels of the Indices will fall or rise during the term of the securities, in particular in the environment
in the last several years, which has been characterized by volatility across a wide range of asset classes. Past fluctuations and trends
in the levels of the Indices are not necessarily indicative of fluctuations or trends that may occur in the future. |
Risks Relating to Conflicts of Interest
| · | Potentially Inconsistent Research, Opinions Or Recommendations By Barclays Capital Inc., WFS Or Their
Respective Affiliates — Barclays Capital Inc., WFS or their respective affiliates may publish research from time to time on
financial markets and other matters that may influence the value of the securities or express opinions or provide recommendations that
are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by Barclays Capital Inc.,
WFA or their respective affiliates may not be consistent with each other and may be modified from time to time without notice. You should
make your own independent investigation of each Index and the merits of investing in the securities. |
| · | We, Our Affiliates And Any Other Agent And/Or Participating Dealer May Engage In Various Activities
Or Make Determinations That Could Materially Affect Your Securities In Various Ways And Create Conflicts Of Interest — |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
We, our affiliates,
WFS and any dealer participating in the distribution of the securities (a “participating dealer”) may play a variety
of roles in connection with the issuance of the securities, as described below. In performing these roles, our economic interests and
the economic interests of our affiliates, WFS and any participating dealer 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 Indices 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. Participating
dealers may also engage in such activities that 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, if any
dealer participating in the distribution of the securities or any of its affiliates conducts hedging activities for us in connection with
the securities, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities, and
this projected profit will be in addition to any selling concession and/or any fee that the participating dealer realizes for the sale
of the securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities
to you.
In addition to the
activities described above, Barclays Bank PLC will also act as the calculation agent for the securities. As calculation agent, we will
determine any levels of the Indices 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 level of an Index is to be determined; if an Index is discontinued or if the sponsor of an Index fails to
publish that Index, selecting a successor index or, if no successor index is available, determining any value necessary to calculate any
payments on the securities; and calculating the level of an Index on any date of determination in the event of certain changes in or modifications
to an Index. 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. Absent manifest error, all determinations
of the calculation agent will be final and binding, without any liability on the part of the calculation agent. You will not be entitled
to any compensation from Barclays Bank PLC for any loss suffered as a result of any determinations made by the calculation agent with
respect to 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 We Do Not Expect A Trading Market
For The Securities To Develop — The securities 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 securities but are not required to do so, and may discontinue
any such secondary market making at any time, without notice. Even if there is a secondary market, 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 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. 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 Value Of The Securities Prior To Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways
— Structured notes, including the securities, can be thought of as securities that combine a debt instrument with one or more options
or other derivative instruments. As a result, the factors that influence the values of debt instruments and options or other derivative
instruments will also influence the terms and features of the securities at issuance and their value in the secondary market. Accordingly,
in addition to the levels of the Indices on any day, the value of the securities will be affected by a number of economic and market factors
that may either offset or magnify each other, including: |
| · | the expected volatility of the Indices and the securities composing the Indices; |
| · | correlation (or lack of correlation) of the Indices; |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
| · | the time to maturity of the securities; |
| · | the market prices of, and dividend rates on, the securities composing the Indices; |
| · | interest and yield rates in the market generally; |
| · | supply and demand for the securities; |
| · | a variety of economic, financial, political, regulatory and judicial events; and |
| · | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value Of Your Securities Is Expected To Be Lower Than The Original Offering 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 original offering price of your securities. The difference between the original offering price of your securities and
the estimated value of the securities is expected as a result of certain factors, such as any sales commissions, selling concessions,
discounts, commissions or fees expected to be allowed or paid to Barclays Capital Inc., another affiliate of ours, WFS or its affiliates
or other 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. |
| · | 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 Original Offering
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
original offering 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 stated 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. |
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Hypothetical
Returns
If we redeem the securities prior to stated
maturity:
If we redeem the securities prior to stated maturity,
you will receive the principal amount of your securities plus any contingent coupon payment otherwise due on the applicable optional redemption
date. In the event we redeem the securities prior to stated maturity, your total return on the securities will equal any contingent coupon
payments received prior to the optional redemption date and any contingent coupon payment received on the optional redemption date.
If we do not redeem the securities prior to
stated maturity:
If we do not redeem the securities prior to stated
maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Index on the final
calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding any contingent coupon payment
otherwise due). The performance factor of the lowest performing Index on the final calculation day is calculated as its ending level divided
by its starting level.
| Hypothetical performance factor of lowest performing Index on final calculation day |
Hypothetical maturity payment amount per security |
| 175.00% |
$1,000.00 |
| 150.00% |
$1,000.00 |
| 140.00% |
$1,000.00 |
| 130.00% |
$1,000.00 |
| 120.00% |
$1,000.00 |
| 110.00% |
$1,000.00 |
| 100.00% |
$1,000.00 |
| 90.00% |
$1,000.00 |
| 80.00% |
$1,000.00 |
| 70.00% |
$1,000.00 |
| 60.00% |
$1,000.00 |
| 59.00% |
$590.00 |
| 50.00% |
$500.00 |
| 40.00% |
$400.00 |
| 25.00% |
$250.00 |
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity (excluding any contingent coupon payment otherwise due); any positive
return will be based solely on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If we do not redeem the securities prior to stated maturity, the actual amount you
will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation day. The
performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Hypothetical
Contingent Coupon Payments
Set forth below are examples that illustrate how
to determine whether a contingent coupon payment will be paid on a contingent coupon payment date. The examples do not reflect any specific
contingent coupon payment date. The following examples reflect a hypothetical contingent coupon rate of 10.40% per annum (the minimum
contingent coupon rate that may be determined on the pricing date) and assume the hypothetical starting level, coupon threshold level
and closing levels for each Index indicated in the examples. The terms used for purposes of these hypothetical examples do not represent
any actual starting level or coupon threshold level. The hypothetical starting level of 100.00 for each Index has been chosen for illustrative
purposes only and does not represent the actual starting level for any Index. The actual starting level and coupon threshold level for
each Index will be determined on the pricing date and will be set forth under “Terms of the Securities” above. For historical
closing levels of the Indices, see the historical information set forth under the sections titled “The Nasdaq-100 Index®,”
“The Russell 2000® Index” and “The S&P 500® Index” below. These examples are
for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis. If we were to redeem
the securities on the relevant contingent coupon payment date in either of the examples below, you would receive the principal amount
on the contingent coupon payment date in addition to the contingent coupon payment, if any, and would not receive any further payments.
Example 1. The closing level of the lowest
performing Index on each eligible trading day during the relevant observation period is greater than or equal to its coupon threshold
level. As a result, investors receive a contingent coupon payment on the applicable contingent coupon payment date.
| |
NDX Index |
RTY Index |
SPX Index |
| Hypothetical starting level: |
100.00 |
100.000 |
100.00 |
| Hypothetical lowest closing level during observation period: |
95.00 |
115.000 |
90.00 |
| Hypothetical coupon threshold level: |
70.00 |
70.000 |
70.00 |
| Lowest performance factor during observation period (lowest closing level during observation period divided by starting level): |
95.00% |
115.00% |
90.00% |
Step 1: Determine whether the
closing level of the lowest performing Index on any eligible trading day during the relevant observation period was less than its hypothetical
coupon threshold level.
In this example, the closing level of
each Index on each eligible trading day during the relevant observation period is greater than its hypothetical coupon threshold level.
Step 2: Determine whether a
contingent coupon payment will be paid on the applicable contingent coupon payment date.
Since the hypothetical closing level
of the lowest performing Index on each eligible trading day during the relevant observation period is greater than or equal to its hypothetical
coupon threshold level, you would receive a contingent coupon payment on the applicable contingent coupon payment date. The contingent
coupon payment would be equal to $26.00 per security, determined as follows: (i) $1,000 multiplied by 10.40% per annum divided
by (ii) 4, rounded to the nearest cent.
Example 2. The closing level of the lowest
performing Index on at least one eligible trading day during the relevant observation period is less than its coupon threshold level.
As a result, investors do not receive a contingent coupon payment on the applicable contingent coupon payment date.
| |
NDX Index |
RTY Index |
SPX Index |
| Hypothetical starting level: |
100.00 |
100.000 |
100.00 |
| Hypothetical lowest closing level during observation period: |
125.00 |
55.000 |
105.00 |
| Hypothetical coupon threshold level: |
70.00 |
70.000 |
70.00 |
| Lowest performance factor during observation period (lowest closing level during observation period divided by starting level): |
125.00% |
55.00% |
105.00% |
Step 1: Determine whether the
closing level of the lowest performing Index on any eligible trading day during the relevant observation period was less than its hypothetical
coupon threshold level.
In this example, the closing level of
the RTY Index on at least one eligible trading day during the relevant observation period was less than its hypothetical coupon threshold
level.
Step 2: Determine whether a
contingent coupon payment will be paid on the applicable contingent coupon payment date.
Since the hypothetical closing level
of the lowest performing Index on at least one eligible trading day during the relevant observation period is less than its hypothetical
coupon threshold level, you would not receive a contingent coupon payment on the
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
applicable contingent coupon payment
date. This is the case even though the closing levels of the better performing Indices were each greater than their respective hypothetical
coupon threshold levels on every eligible trading day during the relevant observation period, and would be the case even if the closing
level of the RTY Index was greater than or equal to its hypothetical coupon threshold level on every other eligible trading day during
the relevant observation period.
As this example illustrates, whether
you receive a contingent coupon payment on a contingent coupon payment date will depend solely on the closing level of the lowest performing
Index on each eligible trading day during the relevant observation period. Therefore, if the closing level of any one of the Indices is
less than its coupon threshold level on any eligible trading day during an observation period, you will not receive a contingent coupon
payment with respect to that observation period. This will be the case even if the closing level of the lowest performing Index is greater
than or equal to its coupon threshold level on every other eligible trading day during that observation period, and even if the better
performing Indices perform favorably. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Hypothetical
Maturity Payment Amount
Set forth below are examples of calculations of
the maturity payment amount payable at stated maturity, assuming that the securities are not redeemed at our option prior to stated maturity
and assuming the hypothetical starting level, coupon threshold level, downside threshold level, closing levels and ending levels for each
Index indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting level,
coupon threshold level or downside threshold level. The hypothetical starting level of 100.00 for each Index has been chosen for illustrative
purposes only and does not represent the actual starting level for any Index. The actual starting level, coupon threshold level and downside
threshold level for each Index will be determined on the pricing date and will be set forth under “Terms of the Securities”
above. For historical closing levels of the Indices, see the historical information set forth under the sections titled “The Nasdaq-100
Index®,” “The Russell 2000® Index” and “The S&P 500® Index”
below. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The closing level of the lowest
performing Index on each eligible trading day during the final observation period is greater than or equal to its coupon threshold level,
and the ending level of the lowest performing Index on the final calculation day is greater than its starting level. As a result, the
maturity payment amount is equal to the principal amount of your securities at maturity and you receive a final contingent coupon payment.
| |
NDX Index |
RTY Index |
SPX Index |
| Hypothetical starting level: |
100.00 |
100.000 |
100.00 |
| Hypothetical lowest closing level during final observation period: |
95.00 |
80.000 |
90.00 |
| Hypothetical ending level: |
135.00 |
145.000 |
125.00 |
| Hypothetical coupon threshold level: |
70.00 |
70.000 |
70.00 |
| Hypothetical downside threshold level: |
60.00 |
60.000 |
60.00 |
| Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
95.00% |
80.00% |
90.00% |
| Performance factor on final calculation day (ending level divided by starting level): |
135.00% |
145.00% |
125.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the SPX Index has the
lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is greater than its hypothetical downside threshold level, the maturity payment
amount would equal the principal amount. Although the hypothetical ending level of the lowest performing Index on the final calculation
day is significantly greater than its hypothetical starting level in this scenario, the maturity payment amount will not exceed the principal
amount.
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000.00 per security as well as the
contingent coupon payment otherwise due because the hypothetical closing level of the lowest performing Index on each eligible trading
day during the final observation period was greater than its hypothetical coupon threshold level.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Example 2. The closing level of the lowest
performing Index on at least one eligible trading day during the final observation period is less than its coupon threshold level, and
the ending level of the lowest performing Index on the final calculation day is less than its starting level but greater than its downside
threshold level. As a result, the maturity payment amount is equal to the principal amount of your securities at maturity but you will
not receive a final contingent coupon payment.
| |
NDX Index |
RTY Index |
SPX Index |
| Hypothetical starting level: |
100.00 |
100.000 |
100.00 |
| Hypothetical lowest closing level during final observation period: |
95.00 |
45.000 |
105.00 |
| Hypothetical ending level: |
115.00 |
90.000 |
110.00 |
| Hypothetical coupon threshold level: |
70.00 |
70.000 |
70.00 |
| Hypothetical downside threshold level: |
60.00 |
60.000 |
60.00 |
| Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
95.00% |
45.00% |
105.00% |
| Performance factor on final calculation day (ending level divided by starting level): |
115.00% |
90.00% |
110.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the RTY Index has the
lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is greater than its hypothetical downside threshold level, you would be repaid
the principal amount of your securities at maturity.
In addition to any contingent coupon
payments received during the term of the securities, on the stated maturity date you would receive $1,000.00 per security, but no final
contingent coupon payment since the hypothetical closing level of the lowest performing Index on at least one eligible trading day during
the final observation period was less than its hypothetical coupon threshold level. This is the case even though the closing levels of
the better performing Indices were greater than their respective hypothetical coupon threshold levels on every eligible trading day during
the relevant observation period, and even though the ending level of the RTY Index was greater than its hypothetical coupon threshold
level.
Example 3. The ending level of the lowest
performing Index on the final calculation day is less than its coupon threshold level and its downside threshold level, the maturity payment
amount is less than the principal amount of your securities at maturity and you do not receive a contingent coupon payment at maturity.
| |
NDX Index |
RTY Index |
SPX Index |
| Hypothetical starting level: |
100.00 |
100.000 |
100.00 |
| Hypothetical lowest closing level during final observation period: |
45.00 |
105.000 |
85.00 |
| Hypothetical ending level: |
45.00 |
120.000 |
90.00 |
| Hypothetical coupon threshold level: |
70.00 |
70.000 |
70.00 |
| Hypothetical downside threshold level: |
60.00 |
60.000 |
60.00 |
| Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
45.00% |
105.00% |
85.00% |
| Performance factor on final calculation day (ending level divided by starting level): |
45.00% |
120.00% |
90.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the NDX Index has the
lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is less than its hypothetical downside threshold level, you would lose a portion
of the principal amount of your securities and receive the maturity payment amount equal to $450.00 per security, calculated as follows:
$1,000 × performance factor of the lowest
performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $450.00 per security, but no contingent
coupon payment because the hypothetical closing level of the lowest performing Index on at least one eligible trading day during the final
observation period was less than its hypothetical coupon threshold level.
These examples illustrate that you will not participate
in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the ending level of the lowest
performing Index on the final calculation day is less than its downside threshold level, even if the ending levels of the other Indices
have appreciated or have not declined below their respective downside threshold levels.
To the extent that the starting level, coupon
threshold level, downside threshold level and ending level of the lowest performing Index on the final calculation day differ from the
values assumed above, the results indicated above would be different.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
The
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted
index that is designed to measure the performance of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For
more information about the NDX Index, see “Indices—The Nasdaq-100 Index®” in the accompanying underlying
supplement.
Historical Information
We obtained the closing levels of the NDX Index
displayed in the graph below from Bloomberg Professional® service (“Bloomberg”) without independent
verification. The historical performance of the NDX Index should not be taken as an indication of the future performance of the NDX Index.
Future performance of the NDX Index may differ significantly from historical performance, and no assurance can be given as to the closing
levels of the NDX Index during the term of the securities, including on any eligible trading day during an observation period or on the
final calculation day. We cannot give you assurance that the performance of the NDX Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the NDX Index for the period from January 1, 2019 to August 1, 2024. The closing level on August 1, 2024 was 18,890.39.
 |
| * The dotted lines indicate
a hypothetical coupon threshold level and a hypothetical downside threshold level of 70% and 60%, respectively, of the closing level
of the NDX Index on August 1, 2024. The actual coupon threshold level and downside threshold level will be equal to 70% and 60%,
respectively, of the starting level of the NDX Index. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
The
Russell 2000® Index
The RTY Index measures the capitalization-weighted
price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed to track the performance
of the small-capitalization segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The
Russell Indices” in the accompanying underlying supplement.
Historical Information
We obtained the closing levels of the RTY Index
displayed in the graph below from Bloomberg without independent verification. The historical performance of the RTY Index should not be
taken as an indication of the future performance of the RTY Index. Future performance of the RTY Index may differ significantly from historical
performance, and no assurance can be given as to the closing levels of the RTY Index during the term of the securities, including on any
eligible trading day during an observation period or on the final calculation day. We cannot give you assurance that the performance of
the RTY Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the RTY Index for the period from January 1, 2019 to August 1, 2024. The closing level on August 1, 2024 was 2,186.162.
 |
| * The dotted lines indicate
a hypothetical coupon threshold level and a hypothetical downside threshold level of 70% and 60%, respectively, of the closing level
of the RTY Index on August 1, 2024. The actual coupon threshold level and downside threshold level will be equal to 70% and 60%,
respectively, of the starting level of the RTY Index. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
The
S&P 500® Index
The SPX Index consists of stocks of 500 companies
selected to provide a performance benchmark for the U.S. equity markets. For more information about the SPX Index, see “Indices—The
S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
We obtained the closing levels of the SPX Index
displayed in the graph below from Bloomberg without independent verification. The historical performance of the SPX Index should not be
taken as an indication of the future performance of the SPX Index. Future performance of the SPX Index may differ significantly from historical
performance, and no assurance can be given as to the closing levels of the SPX Index during the term of the securities, including on any
eligible trading day during an observation period or on the final calculation day. We cannot give you assurance that the performance of
the SPX Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the SPX Index for the period from January 1, 2019 to August 1, 2024. The closing level on August 1, 2024 was 5,446.68.
 |
| * The dotted lines indicate
a hypothetical coupon threshold level and a hypothetical downside threshold level of 70% and 60%, respectively, of the closing level
of the SPX Index on August 1, 2024. The actual coupon threshold level and downside threshold level will be equal to 70% and 60%,
respectively, of the starting level of the SPX Index. |
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Callable with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due November 9, 2028
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 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 security.
Assuming the treatment described above is respected, if you are a U.S. holder, upon a sale or exchange of the securities (including upon
early redemption or redemption at maturity), you should recognize capital gain or loss equal to the difference between the amount realized
on the sale or exchange and your tax basis in the securities, which should equal the amount you paid to acquire the securities (assuming
contingent coupon payments are properly treated as ordinary income, consistent with the position referred to above). This gain or loss
should be short-term capital gain or loss unless you hold the 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 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 securities prior to an observation period
end-date but that can be attributed to an expected contingent coupon payment could be treated as ordinary income. You should consult your
tax advisor regarding this issue.
As noted above, there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income or loss on the 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 coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading
“—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally
impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one”
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on our representation that the securities do not have a “delta of one” within the meaning of the regulations,
our special tax counsel believes that these regulations should not apply to the securities with regard to non-U.S. holders, and we have
determined to treat the securities as not being subject to Section 871(m). 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 final pricing supplement for the securities. You should consult your tax advisor
regarding the potential application of Section 871(m) to the securities.
Non-U.S. holders should also discuss with their
tax advisors the estate tax consequences of investing in the securities.
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