The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus, prospectus supplement and underlying
supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the securities in any state where
the offer or sale is not permitted.
Subject to Completion. Dated
September 23, 2024 |
|
September 2024
Registration Statement No. 333-265158
Pricing Supplement dated September , 2024
Filed pursuant to Rule 424(b)(2) |
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Partial Principal at Risk Securities Based on the Value
of the S&P 500® Index due October 4, 2028
Unlike conventional debt securities, the securities will pay no interest
and provide for a minimum payment at maturity of only 95% of the stated principal amount. Instead, if the final underlier value is greater
than the initial underlier value, at maturity investors will receive the stated principal amount plus a supplemental redemption amount
equal to 100% of the appreciation of the underlier, subject to the maximum payment at maturity. However, if the final underlier value
is less than the initial underlier value, at maturity investors will lose 1% of the stated principal amount for every 1% that the final
underlier value is less than the initial underlier value, subject to the minimum payment at maturity. Under these circumstances, investors
will lose up to 5% of their principal. The securities are for investors who seek an equity index-based return and who are willing and
able to risk up to 5% of their principal and forgo current income and upside above the maximum payment at maturity in exchange for the
partial repayment of principal at maturity and the potential to receive a supplemental redemption amount. The securities are unsecured
and unsubordinated debt obligations of Barclays Bank PLC. Any payment on the securities, including any repayment of principal, is subject
to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment
obligations or become subject to the exercise of any U.K. Bail-in Power (as described on page 4 of this document) by the relevant U.K.
resolution authority, you might not receive any amounts owed to you under the securities. See “Risk Factors” and “Consent
to U.K. Bail-in Power” in this document and “Risk Factors” in the accompanying prospectus supplement.
SUMMARY TERMS |
Issuer: |
Barclays Bank PLC |
Reference asset*: |
S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”) (the “underlier”) |
Aggregate principal amount: |
$ |
Stated principal amount: |
$1,000 per security |
Pricing date†: |
September 30, 2024 |
Original issue date†: |
October 3, 2024 |
Valuation date†: |
September 29, 2028 |
Maturity date†: |
October 4, 2028 |
Interest: |
None |
Payment at maturity: |
You will receive on the maturity date a cash payment per security determined
as follows:
· If
the final underlier value is greater than the initial underlier value:
the lesser of (a) $1,000 + supplemental redemption amount
and (b) maximum payment at maturity
· If
the final underlier value is less than or equal to the initial underlier value:
$1,000 + ($1,000 × underlier return), subject
to the minimum payment at maturity
In no event will the payment at maturity be less than the minimum
payment at maturity or greater than the maximum payment at maturity. If the final underlier value is less than the initial underlier value,
investors will lose up to 5% of their principal. Any payment on the securities, including any repayment of principal, is not guaranteed
by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power
by the relevant U.K. resolution authority. |
U.K. Bail-in Power acknowledgment: |
Notwithstanding and to the exclusion of any other term of the securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page 4 of this document. |
Maximum payment at maturity: |
At least $1,315.00 per security (at least 131.50% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date. |
Supplemental redemption amount: |
(i) $1,000 times (ii) the underlier return times (iii) the participation rate, provided that the supplemental redemption amount will not be less than $0 and will be limited by the maximum payment at maturity. |
Participation rate: |
100% |
Underlier return: |
(final underlier value – initial underlier value) / initial underlier value |
Minimum payment at maturity: |
$950.00 per security (95% of the stated principal amount) |
Initial underlier value: |
, which is the closing level of the underlier on the pricing date |
Final underlier value: |
The closing level of the underlier on the valuation date |
Closing level*: |
Closing level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
Calculation agent: |
Barclays Bank PLC |
Additional terms: |
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement. |
CUSIP / ISIN: |
06745Y3G5 / US06745Y3G53 |
Listing: |
The securities will not be listed on any securities exchange. |
Selected dealer: |
Morgan Stanley Wealth Management (“MSWM”) |
Commissions and initial issue price: |
Initial issue price(1) |
Price to public(1) |
Agent’s commissions |
Proceeds to issuer |
Per security |
$1,000 |
$1,000 |
$25.00(2)
$5.00(3) |
$970.00 |
Total |
$ |
$ |
$ |
$ |
|
|
|
|
|
|
| (1) | Our estimated value of the securities
on the pricing date, based on our internal pricing models, is expected to be between $933.60
and $963.60 per security. The estimated value is expected to be less than the initial issue
price of the securities. See “Additional Information Regarding Our Estimated Value
of the Securities” on page 3 of this document. |
| (2) | Morgan Stanley Wealth Management
and its financial advisors will collectively receive from the agent, Barclays Capital Inc.,
a fixed sales commission of $25.00 for each security they sell. See “Supplemental Plan
of Distribution” in this document. |
| (3) | Reflects a structuring fee payable
to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each security. |
* If the underlier is discontinued or if the
sponsor of the underlier fails to publish the underlier, the calculation agent may select a successor index or, if no successor index
is available, will calculate the value to be used as the closing level of the underlier. In addition, the calculation agent will calculate
the value to be used as the closing level of the underlier in the event of certain changes in or modifications to the underlier. For
more information, see “Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset”
in the accompanying prospectus supplement.
† The valuation date may
be postponed if the valuation date is not a scheduled trading day or if a market disruption event occurs on the valuation date as described
under “Reference Assets—Indices—Market Disruption Events for Securities with an Index of Equity Securities as a Reference
Asset” in the accompanying prospectus supplement. In addition, the maturity date will be postponed if that day is not a business
day or if the valuation date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying
prospectus supplement.
One or more of our affiliates may purchase
up to 15% of the aggregate principal amount of the securities and hold such securities for investment for a period of at least 30 days.
Accordingly, the total principal amount of the securities may include a portion that was not purchased by investors on the original issue
date. Any unsold portion held by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore,
could adversely affect the price of the securities in the secondary market. Circumstances may occur in which our interests or those of
our affiliates could be in conflict with your interests.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning on page 12
of this document and beginning on page S-9 of the prospectus supplement. You should read this document together with the related prospectus,
prospectus supplement and underlying supplement, each of which can be accessed via the hyperlinks below, before you make an investment
decision.
The securities will not be listed on any
U.S. securities exchange or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state
securities commission has approved or disapproved of the securities or determined that this document is truthful or complete. Any representation
to the contrary is a criminal offense.
The securities constitute our unsecured
and unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial
Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit
insurance agency of the United States, the United Kingdom or any other jurisdiction.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Additional Terms of the Securities
You should read this document together with the prospectus dated May
23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series A, of which
the securities are a part, and the underlying supplement dated June 27, 2022. This document, together with the documents listed below,
contains the terms of the securities and supersedes all prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk Factors”
in the prospectus supplement, as the securities involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisors before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our SEC file number is 1-10257 and our Central Index Key, or CIK, on
the SEC website is 0000312070. As used in this document, “we,” “us” and “our” refer to Barclays Bank
PLC.
In connection with this offering, Morgan Stanley Wealth Management is
acting in its capacity as a selected dealer.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Additional Information Regarding Our Estimated Value
of the Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables, such
as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based on our internal funding rates.
Our estimated value of the securities might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the securities on the pricing date is expected
to be less than the initial issue price of the securities. The difference between the initial issue price of the securities and our estimated
value of the securities is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, the
estimated cost that we may incur in hedging our obligations under the securities, and estimated development and other costs that we may
incur in connection with the securities. These other costs will include a fee paid to LFT Securities, LLC, an entity in which an affiliate
of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this
offering.
Our estimated value on the pricing date is not a prediction of the price
at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the
securities in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours
intends to offer to purchase the securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the pricing
date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market, if any, and the value
that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated
value on the pricing date for a temporary period expected to be approximately 40 days after the initial issue date of the securities because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the securities and other costs in connection with the securities that we will no longer expect to incur over the term of the securities.
We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may
include the tenor of the securities and/or any agreement we may have with the distributors of the securities. The amount of our estimated
costs that we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we
may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the
securities based on changes in market conditions and other factors that cannot be predicted.
We urge you to read “Risk Factors” beginning on page
12 of this document.
You may revoke your offer to purchase the securities at any time
prior to the pricing date. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their
pricing date. In the event of any changes to the terms of the securities, we will notify you and you will be asked to accept such changes
in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 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
“Risk Factors—Risks Relating to the Issuer—You may lose some or all of your investment if any U.K. bail-in power is
exercised by the relevant U.K. resolution authority” in this document as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely
to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially
adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Investment Summary
Partial Principal at Risk Securities
The Partial Principal at Risk Securities Based on the Value of the S&P
500® Index due October 4, 2028, which we refer to as the securities, offer 100% participation in any positive performance
of the underlier, subject to the maximum payment at maturity. The securities provide investors:
| § | an opportunity to gain exposure to the underlier |
| § | a minimum payment at maturity |
| § | 100% participation in any appreciation of the underlier over the term of the securities, subject to
the maximum payment at maturity of at least $1,315.00 per security (at least 131.50% of the stated principal amount) |
If the final underlier value is less than the initial underlier value,
the securities are exposed on a 1:1 basis to the negative performance of the underlier, subject to the minimum payment at maturity. Any
payment on the securities, including any repayment of principal, is subject to the credit risk of Barclays Bank PLC and to the exercise
of any U.K. Bail-in Power by U.K. resolution authorities.
Maturity: |
Approximately four years |
Participation rate: |
100% |
Maximum payment at maturity: |
At least $1,315.00 per security (at least 131.50% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date. |
Minimum payment at maturity: |
$950.00 per security (95% of the stated principal amount). Investors may lose up to 5% of their initial investment in the securities. |
Interest: |
None |
Key Investment Rationale
The securities are for investors who seek an equity index-based return
and who are willing and able to risk up to 5% of their principal and forgo current income and upside above the maximum payment at maturity
in exchange for the partial repayment of principal at maturity and the potential to receive a supplemental redemption amount. Investors
may lose up to 5% of their initial investment in the securities.
Upside Scenario |
The final underlier value is greater than the initial underlier value. In this case, at maturity, the securities pay the stated principal amount of $1,000 plus a return equal to 100% of the underlier return, subject to the maximum payment at maturity of at least $1,315.00 per security (at least 131.50% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date. |
Par Scenario |
The final underlier value is equal to the initial underlier value. In this case, at maturity, the securities pay the stated principal amount of $1,000 per security. |
Downside Scenario |
The final underlier value is less than the initial underlier value. In this case, at maturity, the securities are exposed on a 1:1 basis to the negative performance of the underlier, subject to the minimum payment at maturity. For example, if the final underlier value is 2% less than the initial underlier value, the securities will pay $980.00 per security, or 98% of the stated principal amount. Alternatively, if the final underlier value is 45% less than the initial underlier value, the securities will pay the minimum payment at maturity of $950.00 per security, or 95% of the stated principal amount. |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Selected Purchase Considerations
The securities are not appropriate
for all investors. The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of
current income. |
| § | You anticipate that the final underlier value will be greater than the initial underlier value, and
you are willing and able to accept the risk that, if the final underlier value is less than the initial underlier value, you will lose
up to 5% of the stated principal amount of your securities. |
| § | You understand and accept that any potential return on the securities is limited by the maximum payment
at maturity. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance
of the underlier, as explained in more detail in the “Risk Factors” section of this document. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may
be paid to holders of the securities composing the underlier, nor will you have any voting rights with respect to the securities composing
the underlier. |
| § | You do not seek an investment for which there will be an active secondary market and you are willing
and able to hold the securities to maturity. |
| § | 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 periodic interest or coupon payments or other sources of current
income. |
| § | You seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the final underlier value will be less than the initial underlier value, or you
are unwilling or unable to accept the risk that, if it is, you will lose up to 5% of the stated principal amount of your securities. |
| § | You seek an investment with uncapped exposure to any positive performance of the underlier. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance
of the underlier, as explained in more detail in the “Risk Factors” section of this document. |
| § | You seek an investment that entitles you to dividends or distributions on, or voting rights related
to, the securities composing the underlier. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or
unable to hold the securities to maturity. |
| § | 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. |
You must rely on your own evaluation of the merits of an investment
in the securities. You should reach a decision whether to invest in the securities after carefully considering, with your advisors,
the appropriateness of the securities in light of your investment objectives and the specific information set forth in this document,
the prospectus, the prospectus supplement and the underlying supplement. Neither the issuer nor Barclays Capital Inc. makes any recommendation
as to the appropriateness of the securities for investment.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
How the Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
securities based on the following terms:
Stated principal amount: |
$1,000 per security |
Participation rate: |
100% |
Hypothetical maximum payment
at maturity: |
$1,315.00 per security (131.50% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date. |
Minimum payment at maturity: |
$950.00 per security (95% of the stated principal amount) |
Payoff Diagram |
|
Scenario Analysis
| § | Upside Scenario. If the final underlier
value is greater than the initial underlier value, at maturity investors will receive the $1,000 stated principal amount plus
100% of the appreciation of the underlier from the initial underlier value to the final underlier value, subject to the maximum payment
at maturity. Under the hypothetical terms of the securities, investors will realize the maximum payment at maturity at a final underlier
value of 131.50% of the initial underlier value. |
| § | For example, if the underlier appreciates by 3%, at maturity investors would receive a 3% return, or
$1,030.00 per security. |
| § | If the underlier appreciates by 50%, investors would receive only the hypothetical maximum payment at
maturity of $1,315.00 per security, or 131.50% of the stated principal amount. |
| § | Par Scenario. If the final underlier value
is equal to the initial underlier value, at maturity investors will receive the stated principal amount of $1,000 per security. |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
| § | Downside Scenario. If the final underlier
value is less than the initial underlier value, at maturity investors are exposed on a 1:1 basis to the negative performance of
the underlier, subject to the minimum payment at maturity. |
| § | For example, if the underlier depreciates by 2%, at maturity investors would receive a -2.00% return,
or $980.00 per security. |
| § | Alternatively, if the underlier depreciates by 20%, at maturity investors would receive the minimum
payment at maturity of $950.00 per security, or a -5.00% return. |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
What Is the Total Return on the Securities at Maturity,
Assuming a Range of Performances for the Underlier?
The following table and examples illustrate
the hypothetical payment at maturity and hypothetical total return at maturity on the securities. The “total return” as used
in this document is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 stated principal
amount to $1,000.00. The table and examples set forth below assume a hypothetical initial underlier value of 100.00 and a hypothetical
maximum payment at maturity of $1,315.00 per security (131.50% of the stated principal amount) and reflect the participation rate of 100%.
The hypothetical initial underlier value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual
initial underlier value. Please see “S&P 500® Index Overview” below for recent actual values of the underlier.
The actual initial underlier value and maximum payment at maturity will be determined on the pricing date. Each hypothetical payment at
maturity or total return set forth below is for illustrative purposes only and may not be the actual payment at maturity or total return
applicable to a purchaser of the securities. The numbers appearing in the following table and examples have been rounded for ease of analysis.
The table and examples below do not take into account any tax consequences from investing in the securities.
Final Underlier Value |
Underlier Return |
Payment at Maturity |
Total Return on Securities |
150.00 |
50.00% |
$1,315.00 |
31.50% |
140.00 |
40.00% |
$1,315.00 |
31.50% |
131.50 |
31.50% |
$1,315.00 |
31.50% |
130.00 |
30.00% |
$1,300.00 |
30.00% |
120.00 |
20.00% |
$1,200.00 |
20.00% |
110.00 |
10.00% |
$1,100.00 |
10.00% |
105.00 |
5.00% |
$1,050.00 |
5.00% |
102.50 |
2.50% |
$1,025.00 |
2.50% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
97.50 |
-2.50% |
$975.00 |
-2.50% |
95.00 |
-5.00% |
$950.00 |
-5.00% |
90.00 |
-10.00% |
$950.00 |
-5.00% |
80.00 |
-20.00% |
$950.00 |
-5.00% |
70.00 |
-30.00% |
$950.00 |
-5.00% |
60.00 |
-40.00% |
$950.00 |
-5.00% |
50.00 |
-50.00% |
$950.00 |
-5.00% |
40.00 |
-60.00% |
$950.00 |
-5.00% |
30.00 |
-70.00% |
$950.00 |
-5.00% |
20.00 |
-80.00% |
$950.00 |
-5.00% |
10.00 |
-90.00% |
$950.00 |
-5.00% |
0.00 |
-100.00% |
$950.00 |
-5.00% |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity and total
return in different hypothetical scenarios are calculated.
Example 1: The value of the underlier increases from the initial
underlier value of 100.00 to a final underlier value of 150.00.
Because the final underlier value is greater than the initial underlier
value, the payment at maturity is calculated as follows:
the lesser of (a) $1,000 + supplemental redemption
amount and (b) maximum payment at maturity
= the lesser of (a) $1,000 + ($1,000 × underlier
return × participation rate) and (b) $1,315.00
First, calculate the underlier return:
underlier return = (final underlier value –
initial underlier value) / initial underlier value
= (150.00 – 100.00) / 100.00 = 50.00%
Next, calculate the supplemental redemption amount:
supplemental redemption amount = $1,000 ×
underlier return × participation rate = ($1,000 × 50.00% × 100%) = $500.00
Because $1,000 plus the supplemental redemption amount of $500.00 is
greater than the maximum payment at maturity, the payment at maturity is equal to the maximum payment at maturity of $1,315.00 per security,
representing a total return of 31.50% on the securities.
Example 2: The value of the underlier increases from the initial
underlier value of 100.00 to a final underlier value of 105.00.
Because the final underlier value is greater than the initial underlier
value, the payment at maturity is calculated as follows:
the lesser of (a) $1,000 + supplemental redemption
amount and (b) maximum payment at maturity
= the lesser of (a) $1,000 + ($1,000 × underlier
return × participation rate) and (b) $1,315.00
First, calculate the underlier return:
underlier return = (final underlier value –
initial underlier value) / initial underlier value
= (105.00 – 100.00) / 100.00 = 5.00%
Next, calculate the supplemental redemption amount:
supplemental redemption amount = $1,000 ×
underlier return × participation rate = ($1,000 × 5.00% × 100%) = $50.00
Because $1,000 plus the supplemental redemption amount of $50.00 is
less than the maximum payment at maturity, the payment at maturity is equal to $1,050.00 per security, representing a total return of
5.00% on the securities.
Example 3: The value of the underlier decreases from the initial
underlier value of 100.00 to a final underlier value of 98.00.
Because the final underlier value is less than the initial underlier
value, the payment at maturity is calculated as follows:
$1,000 + ($1,000 × underlier return), subject
to the minimum payment at maturity
First, calculate the underlier return:
underlier return = (final underlier value –
initial underlier value) / initial underlier value
= (98.00 – 100.00) / 100.00 = -2.00%
Next, calculate the payment at maturity:
$1,000 + ($1,000 × underlier return)
= $1,000 + ($1,000 × -2.00%)
= $980.00
Because $980.00 is greater than the minimum payment at maturity of $950.00,
the payment at maturity is equal to $980.00 per security, representing a total return of -2.00% on the securities.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Example 4: The value of the underlier decreases from the initial
underlier value of 100.00 to a final underlier value of 50.00.
Because the final underlier value is less than the initial underlier
value, the payment at maturity is calculated as follows:
$1,000 + ($1,000 × underlier return), subject
to the minimum payment at maturity
First, calculate the underlier return:
underlier return = (final underlier value –
initial underlier value) / initial underlier value
= (50.00 – 100.00) / 100.00 = -50.00%
Next, calculate the payment at maturity:
$1,000 + ($1,000 × underlier return)
= $1,000 + ($1,000 × -50.00%)
= $500.00
Because $500.00 is less
than the minimum payment at maturity of $950.00, the payment at maturity is equal to $950.00 per security, representing a total return
of -5.00% on the securities.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Risk Factors
An investment in the securities involves significant risks. We urge
you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. Investing in the securities
is not equivalent to investing directly in the underlier or any of the securities composing the underlier. Some of the risks that apply
to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of risks relating to the
securities generally in the “Risk Factors” section of the prospectus supplement. You should not purchase the securities unless
you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities Generally
| § | The securities do not pay interest
and may not pay more than the minimum payment at maturity. The terms of the securities differ from those of ordinary debt securities
in that the securities do not pay interest and provide a minimum payment at maturity of only 95% of your principal. If the final underlier
value is less than the initial underlier value, at maturity investors will lose 1% of the stated principal amount for every 1% that the
final underlier value is less than the initial underlier value, subject to the minimum payment at maturity of $950.00 per security. You
may lose up to 5% of your initial investment in the securities. |
| § | The
appreciation potential of the securities is limited by the maximum payment at maturity. The appreciation potential of the securities
is limited by the maximum payment at maturity of at least $1,315.00 per security (at least 131.50% of the stated principal amount). The
actual maximum payment at maturity will be determined on the pricing date. Because the payment at maturity will be limited to at least
131.50% of the stated principal amount for the securities, any increase in the final underlier value as compared to the initial underlier
value by more than 31.50% (in the case where the maximum payment at maturity is 131.50% of the stated principal amount) of the initial
underlier value will not further increase the return on the securities. |
| § | Any payment on the securities will be determined based on
the closing levels of the underlier on the dates specified. Any payment on the securities will be determined based on the closing
levels of the underlier on the dates specified. You will not benefit from any more favorable value of the underlier determined at any
other time. |
| § | Investing in the securities
is not equivalent to investing in the underlier or the securities composing the underlier.
Investors in the securities will not have voting rights or rights to receive dividends or
other distributions or any other rights with respect to the securities composing the underlier. |
Risks Relating to the Issuer
| § | Credit of issuer. The securities
are unsecured and unsubordinated debt obligations of the issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the securities, including any repayment of principal, is subject to the ability of Barclays
Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived
creditworthiness of Barclays Bank PLC may affect the market value of the securities and, in the event Barclays Bank PLC were to default
on its obligations, you might not receive any amount owed to you under the terms of the securities. |
| § | You may lose some or all of your investment if any U.K. Bail-in
Power is exercised by the relevant U.K. resolution authority. Notwithstanding and to the exclusion of any other term of the securities
or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities
(or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities
acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution
authority as set forth under “Consent to U.K. Bail-in Power” in this document. Accordingly, any U.K. Bail-in Power may be
exercised in such a manner as to result in you and other holders and beneficial owners of the securities losing all or a part of the
value of your investment in the securities or receiving a different security from the securities, which may be worth significantly less
than the securities and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the
relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent
of, the holders and beneficial owners of the securities. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the securities will not be a default or an Event of Default (as each term is defined in the senior debt securities indenture)
and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with
the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the securities. See “Consent to
U.K. Bail-in Power” in this document as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the
Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including
the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect
the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of
the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement. |
Risks Relating to the Underlier
| § | Adjustments to the
underlier could adversely affect the value of the securities. The sponsor of the underlier may add, delete, substitute or
adjust the securities composing the underlier or make other methodological changes to the underlier that could affect |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
its performance. The calculation agent will calculate
the value to be used as the closing level of the underlier in the event of certain material changes in or modifications to the underlier.
In addition, the sponsor of the underlier may also discontinue or suspend calculation or publication of the underlier at any time. Under
these circumstances, the calculation agent may select a successor index that the calculation agent determines to be comparable to the
underlier or, if no successor index is available, the calculation agent will determine the value to be used as the closing level of the
underlier. Any of these actions could adversely affect the value of the underlier and, consequently, the value of the securities. See
“Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying
prospectus supplement.
| § | Governmental legislative or regulatory actions, such as sanctions,
could adversely affect your investment in the securities. Governmental legislative or regulatory actions, including, without limitation,
sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the securities
or securities included in the underlier, or engaging in transactions in them, and any such action could adversely affect the value of
the underlier. These legislative or regulatory actions could result in restrictions on the securities. You may lose a significant portion
or all of your initial investment in the securities if you are forced to divest the securities due to government mandates, especially
if such divestment must be made at a time when the value of the securities has declined. |
Risks Relating to Conflicts of Interest
| § | Hedging and trading activity
by the issuer and its affiliates could potentially adversely affect the value of the securities. The hedging or trading activities
of the issuer’s affiliates and of any other hedging counterparty with respect to the securities on or prior to the pricing date
and prior to maturity could adversely affect the value of the underlier and, as a result, could decrease the amount an investor may receive
on the securities at maturity. Any of these hedging or trading activities on or prior to the pricing date could potentially increase
the initial underlier value and, therefore, the value at or above which the underlier must close on the valuation date so that the investor
does not suffer a loss on their initial investment in the securities. Additionally, such hedging or trading activities during the term
of the securities, including on the valuation date, could potentially affect the value of the underlier on the valuation date and, accordingly,
the amount of cash an investor will receive at maturity. |
| § | We and our affiliates, and
any dealer participating in the distribution of the securities, may engage in various activities or make determinations that could materially
affect your securities in various ways and create conflicts of interest. We and our affiliates play a variety of roles in connection
with the issuance of the securities, as described below. In performing these roles, our and our affiliates’ economic interests
are potentially adverse to your interests as an investor in the securities. |
In connection with our normal business activities and in connection
with hedging our obligations under the securities, we and our affiliates make markets in and trade various financial instruments or products
for our accounts and for the account of our clients and otherwise provide investment banking and other financial services with respect
to these financial instruments and products. These financial instruments and products may include securities, derivative instruments or
assets that may relate to the underlier or its components. In any such market making, trading and hedging activity, investment banking
and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the securities. We and our affiliates have no obligation to take the needs of any buyer, seller or holder
of the securities into account in conducting these activities. Such market making, trading and hedging activity, investment banking and
other financial services may negatively impact the value of the securities.
In addition, the role played by Barclays Capital Inc., as the agent
for the securities, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the securities. For
example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the securities
and such compensation or financial benefit may serve as an incentive to sell the securities instead of other investments. Furthermore,
we and our affiliates establish the offering price of the securities for initial sale to the public, and the offering price is not based
upon any independent verification or valuation.
Furthermore, the selected dealer or its affiliates will have the option
to conduct a material portion of the hedging activities for us in connection with the securities. The selected dealer or its affiliates
would expect to realize a projected profit from such hedging activities, and this projected profit would be in addition to any selling
concession that the selected dealer realizes for the sale of the securities to you. This additional projected profit may create a
further incentive for the selected dealer to sell the securities to you.
In addition to the activities described above, we will also act as the
calculation agent for the securities. As calculation agent, we will determine any values of the underlier and make any other determinations
necessary to calculate any payments on the securities. In making these determinations, we may be required to make discretionary judgments,
including determining whether a market disruption event has occurred on any date that the value of the underlier is to be determined;
if the underlier is discontinued or if the sponsor of the underlier fails to publish the underlier, 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 value
of the underlier on any date of determination in the event of certain changes in or modifications to the underlier. In making these discretionary
judgments, our economic interests are potentially adverse to your interests as an investor in the securities, and any of these determinations
may adversely affect any payments on the securities.
Risks Relating to the Estimated Value of the Securities
and the Secondary Market
| § | The securities will not be
listed on any securities exchange, and secondary trading may be limited. Barclays Capital Inc. and other affiliates of Barclays Bank
PLC intend to offer to purchase the securities in the secondary market but are not required to do so and may cease any such market making
activities at any time, without notice. Even if a secondary market develops, it may |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price, if any, at which you may be able
to trade your securities is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank
PLC are willing to buy the securities. In addition, Barclays Capital Inc. or one or more of our other affiliates may at any time hold
an unsold portion of the securities (as described on the cover page of this document), which may inhibit the development of a secondary
market for the securities. The securities are not designed to be short-term trading instruments. Accordingly, you should be willing and
able to hold your securities to maturity.
| § | The market price of the securities will be influenced by many unpredictable factors. Several
factors will influence the value of the securities in the secondary market and the price at which Barclays Capital Inc. and other affiliates
of Barclays Bank PLC may be willing to purchase or sell the securities in the secondary market. Although we expect that generally
the value of the underlier on any day will affect the value of the securities more than any other single factor, other factors that may
influence the value of the securities include: |
| o | the volatility (frequency and magnitude of changes in value)
of the underlier; |
| o | dividend rates on the securities composing the underlier; |
| o | interest and yield rates in the market; |
| o | time remaining until the securities mature; |
| o | supply and demand for the securities; |
| o | geopolitical conditions and economic, financial, political,
regulatory and judicial events that affect the securities composing the underlier and that may affect the final underlier value; and |
| o | any actual or anticipated changes in our credit ratings or
credit spreads. |
The value of the underlier may be,
and has recently been, volatile, and we can give you no assurance that the volatility will lessen.
See “S&P 500® Index Overview” below. You may receive less, and
possibly significantly less, than the stated principal amount if you try to sell your securities prior to maturity.
| § | The estimated value of your securities is expected to be lower than the initial issue price of your
securities. The estimated value of your securities on the pricing date is expected to be lower, and may be significantly lower, than
the initial issue price of your securities. The difference between the initial issue price of your securities and the estimated value
of the securities is expected as a result of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc.
or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, the
estimated cost that we may incur in hedging our obligations under the securities, and estimated development and other costs that we may
incur in connection with the securities. These other costs will include a fee paid to LFT Securities, LLC, an entity in which an
affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect
to this offering. |
| § | The estimated value of your securities might be lower if such estimated value were based on the levels
at which our debt securities trade in the secondary market. The estimated value of your securities on the pricing date is based on
a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark
debt securities trade in the secondary market. As a result of this difference, the estimated values referenced above might be lower if
such estimated values were based on the levels at which our benchmark debt securities trade in the secondary market. |
| § | The estimated value of the securities is based on our internal pricing models, which may prove to
be inaccurate and may be different from the pricing models of other financial institutions. The estimated value of your securities
on the pricing date is based on our internal pricing models, which take into account a number of variables and are based on a number of
subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent
basis. Further, our pricing models may be different from other financial institutions’ pricing models and the methodologies used
by us to estimate the value of the securities may not be consistent with those of other financial institutions that may be purchasers
or sellers of securities in the secondary market. As a result, the secondary market price of your securities may be materially different
from the estimated value of the securities determined by reference to our internal pricing models. |
| § | The estimated value of your securities is not a prediction of the prices at which you may sell your
securities in the secondary market, if any, and such secondary market prices, if any, will likely be lower than the initial issue price
of your securities and may be lower than the estimated value of your securities. The estimated value of the securities will not be
a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the securities
from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you
may be able to sell your securities in the secondary market at any time will be influenced by many factors that cannot be predicted, such
as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the
securities. Further, as secondary market prices of your securities take into account the levels at which our debt securities trade in
the secondary market, and do not take into account our various costs related to the securities such as fees, commissions, discounts, and
the costs of hedging our obligations under the securities, secondary market prices of your securities will likely be lower than the initial
issue price of your securities. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be
willing to purchase the securities from you in secondary market transactions, if any, will |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
likely be lower than the price you paid for your securities, and any
sale prior to the maturity date could result in a substantial loss to you.
| § | The temporary price at which we may initially buy the securities in the secondary market and the
value we may initially use for customer account statements, if we provide any customer account statements at all, may not be indicative
of future prices of your securities. Assuming that all relevant factors remain constant after the pricing date, the price at which
Barclays Capital Inc. may initially buy or sell the securities in the secondary market (if Barclays Capital Inc. makes a market in the
securities, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any
customer account statements at all, may exceed our estimated value of the securities on the pricing date, as well as the secondary market
value of the securities, for a temporary period after the initial issue date of the securities. The price at which Barclays Capital Inc.
may initially buy or sell the securities in the secondary market and the value that we may initially use for customer account statements
may not be indicative of future prices of your securities. |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
S&P 500® Index Overview
The underlier consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the underlier, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Information about the underlier as of market close on September 19,
2024:
Bloomberg Ticker Symbol: |
SPX |
52 Week High: |
5,713.64 |
Current Closing Level: |
5,713.64 |
52 Week Low: |
4,117.37 |
52 Weeks Ago (9/21/2023): |
4,330.00 |
|
|
The following table sets forth the published high, low and period-end
closing levels of the underlier for each quarter for the period of January 2, 2019 through September 19, 2024. The associated graph shows
the closing levels of the underlier for each day in the same period. The closing level of the underlier on September 19, 2024 was 5,713.64.
We obtained the closing levels of the underlier from Bloomberg Professional® service, without independent verification.
Historical performance of the underlier should not be taken as an indication of future performance. Future performance of the underlier
may differ significantly from historical performance, and no assurance can be given as to the closing level of the underlier during the
term of the securities, including on the valuation date. We cannot give you assurance that the performance of the underlier will not result
in a loss on your initial investment.
S&P 500® Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
2,854.88 |
2,447.89 |
2,834.40 |
Second Quarter |
2,954.18 |
2,744.45 |
2,941.76 |
Third Quarter |
3,025.86 |
2,840.60 |
2,976.74 |
Fourth Quarter |
3,240.02 |
2,887.61 |
3,230.78 |
2020 |
|
|
|
First Quarter |
3,386.15 |
2,237.40 |
2,584.59 |
Second Quarter |
3,232.39 |
2,470.50 |
3,100.29 |
Third Quarter |
3,580.84 |
3,115.86 |
3,363.00 |
Fourth Quarter |
3,756.07 |
3,269.96 |
3,756.07 |
2021 |
|
|
|
First Quarter |
3,974.54 |
3,700.65 |
3,972.89 |
Second Quarter |
4,297.50 |
4,019.87 |
4,297.50 |
Third Quarter |
4,536.95 |
4,258.49 |
4,307.54 |
Fourth Quarter |
4,793.06 |
4,300.46 |
4,766.18 |
2022 |
|
|
|
First Quarter |
4,796.56 |
4,170.70 |
4,530.41 |
Second Quarter |
4,582.64 |
3,666.77 |
3,785.38 |
Third Quarter |
4,305.20 |
3,585.62 |
3,585.62 |
Fourth Quarter |
4,080.11 |
3,577.03 |
3,839.50 |
2023 |
|
|
|
First Quarter |
4,179.76 |
3,808.10 |
4,109.31 |
Second Quarter |
4,450.38 |
4,055.99 |
4,450.38 |
Third Quarter |
4,588.96 |
4,273.53 |
4,288.05 |
Fourth Quarter |
4,783.35 |
4,117.37 |
4,769.83 |
2024 |
|
|
|
First Quarter |
5,254.35 |
4,688.68 |
5,254.35 |
Second Quarter |
5,487.03 |
4,967.23 |
5,460.48 |
Third Quarter (through September 19, 2024) |
5,713.64 |
5,186.33 |
5,713.64 |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Underlier Historical Performance—
January 2, 2019 to September 19, 2024 |
|
Past
performance is not indicative of future results.
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
Additional Information about the Securities
Please read this information in conjunction with
the terms on the cover page of this document.
Additional provisions: |
Minimum ticketing size: |
$1,000 / 1 security |
Tax considerations: |
You should review carefully the sections in the accompanying
prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S. holder, “—Tax Consequences
to Non-U.S. Holders.” The discussion below applies to you only if you are an initial purchaser of the securities; if you are a secondary
purchaser of the securities, the tax consequences to you may be different. Notwithstanding that the securities do not provide for the
full repayment of their principal amount at maturity, we intend to treat the securities as debt instruments for U.S. federal income tax
purposes. Our special tax counsel, Davis Polk & Wardwell LLP has advised that it believes this treatment to be reasonable. The remainder
of this discussion assumes that this treatment is correct. The following discussion supersedes the discussion in the accompanying prospectus
supplement to the extent it is inconsistent therewith.
Assuming the treatment described above is correct, in the
opinion of our special tax counsel, the securities should be treated as “contingent payment debt instruments” for U.S. federal
income tax purposes, as described under “—Contingent Payment Debt Instruments” in the accompanying prospectus supplement.
The remainder of this discussion assumes that this treatment is correct.
Regardless of your method of accounting for U.S. federal
income tax purposes, you generally will be required to accrue taxable interest income in each year on a constant yield to maturity basis
at the “comparable yield,” as determined by us, even though we will not be required to make any payment with respect to the
securities prior to maturity. Upon a sale or exchange (including redemption at maturity), you generally will recognize taxable income
or loss equal to the difference between the amount received from the sale or exchange and your adjusted tax basis in the securities. You
generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and the
balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may apply if the amount payable
at maturity is treated as becoming fixed prior to maturity. You should consult your tax advisor concerning the application of these rules.
The discussions herein and in the accompanying prospectus
supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
After the original issue date, you may obtain the comparable
yield and the projected payment schedule by requesting them from Barclays Cross Asset Sales Americas, at (212) 528-7198. Neither the comparable
yield nor the projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the securities.
You should consult your tax advisor regarding the U.S. federal
tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
Non-U.S. holders. We do not believe that non-U.S.
holders should be required to provide a Form W-8 in order to avoid 30% U.S. withholding tax with respect to the excess (if any) of the
payment at maturity over the face amount of the securities, although the Internal Revenue Service (the “IRS”) could challenge
this position. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8 or other documentation
in order to establish an exemption from backup withholding, as described under the heading “—Information Reporting and Backup
Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required to pay any additional
amounts with respect to amounts withheld.
Treasury regulations
under Section 871(m) generally impose a withholding tax on certain “dividend equivalents”
under certain “equity linked instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued
prior to January 1, 2027 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the securities
do not have a “delta of one” within the meaning of the regulations, we expect that these regulations will not apply to the
securities with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will
be provided in the pricing supplement for the securities. You |
Partial Principal at Risk Securities Based on the Value of the S&P 500® Index due October 4, 2028
|
should consult your
tax advisor regarding the potential application of Section 871(m) to the securities.
The discussions in the preceding paragraphs, when read
in combination with the sections entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S. holder, “—Tax Consequences
to Non-U.S. Holders,” in the accompanying prospectus supplement, constitute the full opinion of Davis Polk & Wardwell LLP regarding
the material U.S. federal income tax consequences of owning and disposing of the notes. |
Trustee: |
The Bank of New York Mellon |
Use of proceeds and hedging: |
The net proceeds we receive from the sale of the securities
will be used for various corporate purposes as set forth in the prospectus and prospectus supplement and, in part, in connection with
hedging our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge our anticipated
exposure in connection with the securities by taking positions in futures and options contracts on the underlier and any other securities
or instruments we may wish to use in connection with such hedging. Trading and other transactions by us or our affiliates could
affect the value of the underlier, the market value of the securities or any amounts payable on the securities. For further information
on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the prospectus supplement. |
ERISA: |
See “Benefit Plan Investor Considerations” in the accompanying prospectus supplement. |
This document represents a summary of the terms and conditions of
the securities. We encourage you to read the accompanying prospectus, prospectus supplement and underlying supplement for this offering,
which can be accessed via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”)
and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a fixed sales commission for each security
they sell, and Morgan Stanley Wealth Management will receive a structuring fee for each security, in each case as specified on the cover
page of this document.
We expect that delivery of the securities will be made against payment
for the securities on the original issue date, which is more than one business day following the pricing date. Notwithstanding anything
to the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective
May 28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on any date prior to one business day before delivery
will be required to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
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