 |
March 2025
Registration Statement No. 333-265158
Pricing Supplement dated March 10, 2025
Filed pursuant to Rule 424(b)(2) |
STRUCTURED INVESTMENTS
Opportunities in International Equities
Trigger Jump Securities Based on the Value of the KraneShares
CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Unlike conventional debt securities, the securities will pay no interest
and do not guarantee the return of the full principal amount at maturity. Instead, if the final underlier value is greater than or equal
to the initial underlier value, at maturity investors will receive the stated principal amount plus a positive return equal to the greater
of the fixed percentage of 12.00% and the upside performance of the underlier, subject to the maximum payment at maturity. If the
final underlier value is less than the initial underlier value but greater than or equal to the trigger value, which is equal to 75% of
the initial underlier value, at maturity investors will receive the stated principal amount. However, if the final underlier value is
less than the trigger 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. Under these circumstances, the amount investors receive will be less than 75% of the stated
principal amount and could be zero. The securities are for investors who seek an equity exchange-traded fund-based return and who are
willing and able to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the
opportunity to receive a return equal to at least the fixed percentage if the final underlier value is greater than or equal to the initial
underlier value and the limited protection against loss, which applies only if the final underlier value is greater than or equal to the
trigger value. Investors may lose their entire initial investment in the securities. The securities are unsecured and unsubordinated
debt obligations of Barclays Bank PLC. Any payment on the securities, including any repayment of
principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party. If Barclays Bank PLC were
to default on its payment obligations or become subject to the exercise of any U.K. Bail-in Power (as described on page 5 of
this document) by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the securities. See “Risk
Factors” and “Consent to U.K. Bail-in Power” in this document and “Risk Factors” in the accompanying prospectus
supplement.
| FINAL TERMS |
|
| Issuer: |
Barclays Bank PLC |
| Reference asset*: |
KraneShares CSI China Internet ETF (Bloomberg ticker symbol “KWEB UP”) (the “underlier”) |
| Aggregate principal amount: |
$2,000,000 |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
March 10, 2025. The initial underlier value is the closing price of the underlier on March 7, 2025 and is not the closing price of the underlier on the pricing date. |
| Original issue date: |
March 13, 2025 |
| Valuation date†: |
March 24, 2026 |
| Maturity date*†: |
March 27, 2026 |
| 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 or equal to the initial underlier value:
$1,000 + ($1,000 × the greater of (i)
fixed percentage and (ii) underlier return), subject to the maximum payment at maturity
· If
the final underlier value is less than the initial underlier value but greater than or equal to the trigger value:
$1,000
· If
the final underlier value is less than the trigger value:
$1,000 × underlier performance factor
This amount will be less than the stated principal amount of $1,000
and will represent a loss of more than 25%, and possibly all, of an investor’s initial investment. Investors may lose their entire
initial investment in the securities. Any payment on the securities, including any repayment of principal, is not guaranteed by any third
party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority.
|
| U.K. Bail-in Power acknowledgment: |
Notwithstanding and to the exclusion of any other term of the securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page 5 of this document. |
| Fixed percentage: |
12.00% |
| Maximum payment at maturity: |
$1,310.50 per security (131.05% of the stated principal amount) |
| Trigger value*: |
$27.74, which is 75% of the initial underlier value (rounded to two decimal places) |
| Underlier return: |
(final underlier value – initial underlier value) / initial underlier value |
| Underlier performance factor: |
final underlier value / initial underlier value |
| |
(terms continued on the next page) |
| Commissions and initial issue price: |
Initial issue price(1) |
Price to public(1) |
Agent’s commissions |
Proceeds to issuer |
| Per security |
$1,000 |
$1,000 |
$10.00(2)
$2.90(3) |
$987.10 |
| Total |
$2,000,000 |
$2,000,000 |
$25,800 |
$1,974,200 |
| (1) | Our estimated value of the securities on the pricing date, based on our internal pricing models, is $937.10 per security. The estimated
value is less than the initial issue price of the securities. See “Additional Information Regarding Our Estimated Value of the Securities”
on page 4 of this document. |
| (2) | Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a
fixed sales commission of $10.00 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 $2.90 for each security. |
One or more of our affiliates may purchase up to 15% of the aggregate
principal amount of the securities and hold such securities for investment for a period of at least 30 days. Accordingly, the total principal
amount of the securities may include a portion that was not purchased by investors on the original issue date. Any unsold portion held
by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore, could adversely affect the price
of the securities in the secondary market. Circumstances may occur in which our interests or those of our affiliates could be in conflict
with your interests.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Risk Factors” beginning on page 12 of this document and beginning
on page S-9 of the prospectus supplement. You should read this document together with the related prospectus and prospectus 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.
We may use this document in the initial sale of the securities. In
addition, Barclays Capital Inc. or another of our affiliates may use this document in market resale transactions in any of the securities
after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this document is being used in a market
resale transaction.
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.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Terms continued from previous page: |
| Initial underlier value*: |
$36.99, which is the closing price of the underlier on March 7, 2025. The initial underlier value is not the closing price of the underlier on the pricing date. |
| Final underlier value*: |
The closing price of the underlier on the valuation date |
| Closing price*: |
Closing price has the meaning set forth under “Reference Assets—Exchange-Traded Funds—Special Calculation Provisions” in the prospectus supplement. |
| Calculation agent: |
Barclays Bank PLC |
| Additional terms: |
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement. |
| CUSIP / ISIN: |
06746B7H8 / US06746B7H88 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Selected dealer: |
Morgan Stanley Wealth Management (“MSWM”) |
| * |
If the shares of the underlier are de-listed or if the underlier is liquidated or otherwise terminated, the calculation agent may select a successor fund or, if no successor fund is available, may accelerate the maturity date. In addition, in the case of certain events related to the underlier, the calculation agent may adjust any variable, including but not limited to, the underlier, initial underlier value, final underlier value, trigger value and closing price of the underlier if the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of the shares of the underlier. For more information, see “Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset” in the accompanying prospectus supplement. |
| † |
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—Exchange-Traded Funds—Market Disruption Events for Securities with an Exchange-Traded Fund That Holds 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. |
| Barclays Capital Inc. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Additional Terms of the Securities
You should read this document together with the prospectus dated May
23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series A, of which
the securities are a part. 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.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Additional Information Regarding Our Estimated Value
of the Securities
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables, such
as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based on our internal funding rates.
Our estimated value of the securities might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the securities on the pricing date is 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 results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate
of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in connection with structuring the 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.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Consent to U.K. Bail-in Power
Notwithstanding and to the
exclusion of any other term of the securities or any other agreements, arrangements or understandings between us and any holder or beneficial
owner of the securities (or the trustee on behalf of the holders of the securities), by acquiring the securities, each holder and beneficial
owner of the securities acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under the U.K. Banking Act 2009,
as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution
authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment firm is failing
or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold conditions for authorization
to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that
is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant EEA or third country
relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The U.K. Bail-in Power includes
any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all,
or a portion, of the principal amount of, interest on, or any other amounts payable on, the securities; (ii) the conversion of all, or
a portion, of the principal amount of, interest on, or any other amounts payable on, the securities into shares or other securities or
other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the securities
such shares, securities or obligations); (iii) the cancellation of the securities and/or (iv) the amendment or alteration of the maturity
of the securities, or amendment of the amount of interest or any other amounts due on the securities, or the dates on which interest or
any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by
means of a variation of the terms of the securities solely to give effect to the exercise by the relevant U.K. resolution authority of
such U.K. Bail-in Power. Each holder and beneficial owner of the securities further acknowledges and agrees that the rights of the holders
or beneficial owners of the securities are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver
of any rights holders or beneficial owners of the securities may have at law if and to the extent that any U.K. Bail-in Power is exercised
by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see
“Risk Factors—Risks Relating to the Issuer—You may lose some or all of your investment if any U.K. bail-in power is
exercised by the relevant U.K. resolution authority” in this document as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely
to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially
adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Investment Summary
Trigger Jump Securities
Principal at Risk Securities
The Trigger Jump Securities Based on the Value of the KraneShares CSI
China Internet ETF due March 27, 2026 can be used:
| § | As an alternative to direct exposure to the underlier that enhances returns for a certain range of positive performance of the underlier |
| § | To enhance returns and potentially outperform the underlier in a moderately bullish scenario |
| § | To provide limited protection against a loss of principal in the event of a decline of the underlier from the pricing date to the
valuation date, but only if the final underlier value is greater than or equal to the trigger value |
If the final underlier value is less than the trigger value, the securities
are exposed on a 1:1 basis to the negative performance of the underlier.
| Maturity: |
Approximately 12.5 months |
| Fixed percentage: |
12.00% |
| Maximum payment at maturity: |
$1,310.50 per security (131.05% of the stated principal amount) |
| Trigger value: |
75% of the initial underlier value |
| Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the securities. |
| Interest: |
None |
Key Investment Rationale
The securities are for investors who seek an equity exchange-traded
fund-based return and who are willing and able to risk their principal and forgo current income and upside above the maximum payment at
maturity in exchange for the opportunity to receive a return equal to at least the fixed percentage if the final underlier value is greater
than or equal to the initial underlier value and the limited protection against loss, which applies only if the final underlier value
is greater than or equal to the trigger value. Investors may lose their entire initial investment in the securities.
| Trigger Feature |
At maturity, even if the value of the underlier has declined over the term of the securities, investors will receive their stated principal amount, but only if the final underlier value is greater than or equal to the trigger value.
|
| Upside Scenario |
The final underlier value is greater than or equal to the initial underlier value. In this case, at maturity, the securities pay the stated principal amount of $1,000 plus a positive return equal to the greater of the fixed percentage of 12.00% and the underlier return, subject to the maximum payment at maturity of $1,310.50 per security (131.05% of the stated principal amount).
|
| Par Scenario |
The final underlier value is less than the initial underlier value but greater than or equal to the trigger value. In this case, at maturity, the securities pay the stated principal amount of $1,000 per security even though the value of the underlier has declined.
|
| Downside Scenario |
The final underlier value is less than the trigger value. In this case, at maturity, the securities pay less than 75% of the stated principal amount and the percentage loss of the stated principal amount will be equal to the percentage decrease from the initial underlier value to the final underlier value. For example, if the final underlier value is 55% less than the initial underlier value, the securities will pay $450.00 per security, or 45% of the stated principal amount, for a loss of 55% of the stated principal amount. There is no minimum payment at maturity on the securities. Accordingly, investors could lose their entire investment in the securities. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Selected Purchase Considerations
The securities are not appropriate for all investors. The securities
may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You anticipate that the final underlier value will be greater than or equal to the initial underlier value, and you are willing and
able to accept the risk that, if the final underlier value is less than the trigger value, you will lose a significant portion, and possibly
all, of the stated principal amount of the 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
underlier or the securities held by the underlier, nor will you have any voting rights with respect to the
underlier or the securities held by 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 the final underlier value is less than the trigger value, you will lose a significant portion, and possibly all, of
the stated principal amount of the 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
underlier or the securities held by 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 and the prospectus supplement. Neither the issuer nor Barclays Capital Inc. makes any recommendation as to the appropriateness
of the securities for investment.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
How the Trigger Jump 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 |
| Fixed percentage: |
12.00% |
| Trigger value: |
75% of the initial underlier value |
| Maximum payment at maturity: |
$1,310.50 per security (131.05% of the stated principal amount) |
| Minimum payment at maturity: |
None. You could lose your entire initial investment in the securities. |
| Trigger Jump Securities Payoff Diagram |
 |
Scenario Analysis
| § | Upside Scenario. If the final underlier value is greater than or equal to the initial underlier
value, at maturity investors will receive the $1,000 stated principal amount plus a positive return equal to the greater of the
fixed percentage of 12.00% and the underlier return, subject to the maximum payment at maturity. Under the terms of the securities, investors
will realize the maximum payment at maturity at a final underlier value of 131.05% of the initial underlier value. |
| § | For example, if the underlier appreciates by 3%, at maturity investors would receive a return equal to the fixed percentage of 12.00%,
or $1,120.00 per security. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
| § | If the underlier appreciates by 15%, at maturity investors would receive a return equal to the underlier return of 15%, or $1,150.00
per security. |
| § | If the underlier appreciates by 50%, at maturity investors would receive only the maximum payment at maturity of $1,310.50 per security,
or 131.05% of the stated principal amount. |
| § | Par Scenario. If the final underlier value is less than the initial underlier value but
greater than or equal to the trigger value, at maturity investors will receive the stated principal amount of $1,000 per security. |
| § | For example, if the underlier depreciates by 5%, at maturity investors would receive the $1,000 stated principal amount per security. |
| § | Downside Scenario. If the final underlier value is less than the trigger value, at maturity
investors will receive an amount that is less than 75% of the $1,000 stated principal amount and that will reflect a 1% loss of principal
for each 1% decline in the underlier. Investors may lose their entire initial investment in the securities. |
| § | For example, if the underlier depreciates by 50%, investors would lose 50% of their principal and receive only $500.00 per security
at maturity, or 50% of the stated principal amount. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
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 trigger value of $75.00
(or 75% of the hypothetical initial underlier value) and reflect the fixed percentage of 12.00% and the maximum payment at maturity of
$1,310.50 per security (131.05% of the stated principal amount). The hypothetical initial underlier value of $100.00 has been chosen for
illustrative purposes only and does not represent the actual initial underlier value. Please see “KraneShares CSI China Internet
ETF Overview” below for recent actual values of the underlier. The actual initial underlier value and trigger value are set forth
on the cover page of this document. 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 |
Underlier
Performance
Factor |
Payment at Maturity |
Total Return on
Securities |
| $150.00 |
50.00% |
N/A |
$1,310.50 |
31.05% |
| $140.00 |
40.00% |
N/A |
$1,310.50 |
31.05% |
| $131.05 |
31.05% |
N/A |
$1,310.50 |
31.05% |
| $130.00 |
30.00% |
N/A |
$1,300.00 |
30.00% |
| $120.00 |
20.00% |
N/A |
$1,200.00 |
20.00% |
| $112.00 |
12.00% |
N/A |
$1,120.00 |
12.00% |
| $110.00 |
10.00% |
N/A |
$1,120.00 |
12.00% |
| $105.00 |
5.00% |
N/A |
$1,120.00 |
12.00% |
| $100.00 |
0.00% |
N/A |
$1,120.00 |
12.00% |
| $95.00 |
-5.00% |
N/A |
$1,000.00 |
0.00% |
| $90.00 |
-10.00% |
N/A |
$1,000.00 |
0.00% |
| $85.00 |
-15.00% |
N/A |
$1,000.00 |
0.00% |
| $80.00 |
-20.00% |
N/A |
$1,000.00 |
0.00% |
| $75.00 |
-25.00% |
N/A |
$1,000.00 |
0.00% |
| $74.99 |
-25.01% |
74.99% |
$749.90 |
-25.01% |
| $70.00 |
-30.00% |
70.00% |
$700.00 |
-30.00% |
| $60.00 |
-40.00% |
60.00% |
$600.00 |
-40.00% |
| $50.00 |
-50.00% |
50.00% |
$500.00 |
-50.00% |
| $40.00 |
-60.00% |
40.00% |
$400.00 |
-60.00% |
| $30.00 |
-70.00% |
30.00% |
$300.00 |
-70.00% |
| $20.00 |
-80.00% |
20.00% |
$200.00 |
-80.00% |
| $10.00 |
-90.00% |
10.00% |
$100.00 |
-90.00% |
| $0.00 |
-100.00% |
0.00% |
$0.00 |
-100.00% |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
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 or equal to the initial
underlier value, the payment at maturity is calculated as follows:
$1,000 + ($1,000 × the greater of (i) fixed
percentage and (ii) underlier return), subject to the maximum payment at maturity
$1,000 + ($1,000 × the greater of (i) 12.00%
and (ii) 50.00%), subject to the maximum payment at maturity
$1,000 + ($1,000 × 50.00%), subject to the
maximum payment at maturity
= $1,310.50
Because the underlier return is greater than the return represented
by the maximum payment at maturity and the underlier return is 50.00%, the payment at maturity is equal to the maximum payment at maturity
of $1,310.50 per security, representing a total return of 31.05% 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 $115.00.
Because the final underlier value is greater than or equal to the initial
underlier value, the payment at maturity is calculated as follows:
$1,000 + ($1,000 × the greater of (i) fixed
percentage and (ii) underlier return), subject to the maximum payment at maturity
$1,000 + ($1,000 × the greater of (i) 12.00%
and (ii) 15.00%), subject to the maximum payment at maturity
= $1,000 + ($1,000 × 15.00%), subject to the
maximum payment at maturity
= $1,150.00
Because the underlier return is greater than the fixed percentage and
the underlier return is less than the return represented by the maximum payment at maturity, the payment at maturity is equal to $1,150.00
per security, representing a total return of 15.00% on the securities.
Example 3: 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 or equal to the initial
underlier value, the payment at maturity is calculated as follows:
$1,000 + ($1,000 × the greater of (i) fixed
percentage and (ii) underlier return), subject to the maximum payment at maturity
$1,000 + ($1,000 × the greater of (i) 12.00%
and (ii) 5.00%), subject to the maximum payment at maturity
= $1,000 + ($1,000 × 12.00%), subject to the
maximum payment at maturity
= $1,120.00
Because the underlier return is greater than or equal to the initial
underlier value and the underlier return is less than the fixed percentage, the payment at maturity is equal to $1,120.00 per security,
representing a total return of 12.00% on the securities.
Example 4: The value of the underlier decreases from the initial
underlier value of $100.00 to a final underlier value of $90.00.
Because the final underlier value is less than the initial underlier
value but greater than or equal to the trigger value, the payment at maturity is equal to the stated principal amount of $1,000.00 per
security.
The total return on the securities is 0.00%.
Example 5: 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 trigger value and
the underlier performance factor is 50%, the payment at maturity is equal to $500.00 per security, calculated as follows:
($1,000 × underlier performance factor)
= $1,000 × (final underlier value / initial
underlier value)
= $1,000 × ($50.00 / $100.00) = $500.00
The total return on the securities is -50.00%.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Risk Factors
An investment in the securities involves significant risks. We urge
you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. Investing in the securities
is not equivalent to investing directly in the underlier or any of the securities held by the underlier or composing the tracked index
(as defined below). 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 or guarantee the return of any principal. The terms of the securities differ from those
of ordinary debt securities in that the securities do not pay interest or guarantee the return of any of the stated principal amount at
maturity. Instead, if the final underlier value is less than the trigger value, which is 75% of the initial underlier value, the payment
at maturity will be an amount in cash that is less than the $1,000 stated principal amount of each security by a percentage equal to the
percentage decrease from the initial underlier value to the final underlier value. There is no minimum payment at maturity on the securities
and, accordingly, you could lose your entire 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 $1,310.50 per security (131.05% of the stated principal amount). Because the
payment at maturity will be limited to 131.05% 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 31.05% 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 prices of the underlier on the dates specified. Any payment
on the securities will be determined based on the closing prices of the underlier on the dates specified. You will not benefit from any
more favorable value of the underlier determined at any other time. |
| § | Owning the securities is not equivalent to owning the underlier, the securities held by the
underlier or the securities composing the tracked index. The return on your securities
may not reflect the return you would realize if you actually owned the underlier, the securities held by the underlier or the securities
composing the tracked index. For example, as a holder of the securities, you will not have voting rights,
rights to receive dividends or other distributions or any other rights with respect to the underlier, the securities held by the underlier
or the securities composing the tracked index. |
| § | The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority
regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or
a court might not agree with the treatment of the securities as prepaid forward contracts, as described below under “Additional
provisions—Tax considerations.” If the IRS were successful in asserting an alternative treatment for the securities, the tax
consequences of the ownership and disposition of the securities could be materially and adversely affected. |
Even if the treatment of the securities is respected, the
IRS may assert that the securities constitute “constructive ownership transactions” within the meaning of Section 1260 of
the Internal Revenue Code of 1986, as amended (the “Code”), in which case gain recognized in respect of the securities that
would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined
in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax
purposes at a constant yield over the term of the securities. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the securities.
In addition, in 2007 the Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.
You should review carefully the sections of 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” and, if you are a non-U.S. holder,
“—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor regarding the U.S. federal tax consequences of
an investment in the securities (including the potential application of the constructive ownership rules, possible alternative treatments
and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing
jurisdiction.
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 |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
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
| § | Certain features of exchange-traded funds will impact the value of the securities.
The performance of the underlier will not fully replicate the performance of the tracked index, and the underlier may hold securities
or other assets not included in the tracked index. The value of the underlier is subject to: |
| o | Management risk. This is the risk that the investment strategy for the underlier, the implementation of which is subject to
a number of constraints, may not produce the intended results. The underlier’s investment adviser may have the right to use a portion
of the underlier’s assets to invest in shares of equity securities that are not included in the tracked index. The underlier is
not actively managed, and the underlier’s investment adviser will generally not attempt to take defensive positions in declining
markets. |
| o | Derivatives risk. The underlier may invest in derivatives, including forward contracts, futures contracts, options on futures
contracts, options and swaps. A derivative is a financial contract, the value of which depends on, or is derived from, the value of an
underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in
interest rates or to sudden fluctuations in market prices, and thus the underlier’s losses may be greater than if the underlier
invested only in conventional securities. |
| o | Transaction costs and fees. Unlike the tracked index, the underlier will reflect transaction costs and fees that will reduce
its performance relative to the tracked index. |
Generally, the longer the time remaining
to maturity, the more the market price of the securities will be affected by the factors described above. In addition, the underlier may
diverge significantly from the performance of the tracked index due to differences in trading hours between the underlier and the securities
composing the tracked index or other circumstances. During periods of market volatility, the component securities held by the underlier
may be unavailable in the secondary market, market participants may be unable to calculate accurately the intraday
net asset value per share of the underlier and the liquidity of the underlier may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares in the underlier. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the underlier. As a result,
under these circumstances, the market value of the underlier may vary substantially from the net asset value per share of the underlier.
Because the securities are linked to the performance of the underlier and not the tracked index, the return on your securities may be
less than that of an alternative investment linked directly to the tracked index.
| § | Adjustments to the underlier or to its tracked index could adversely affect the value of
the securities or result in the securities being accelerated. The investment adviser of the underlier may add, delete or substitute
the component securities held by the underlier or make changes to its investment strategy, and the sponsor of the tracked index may add,
delete, substitute or adjust the securities composing the tracked index or make other methodological changes to the tracked index that
could affect its performance. In addition, if the shares of the underlier are de-listed or if the underlier is liquidated or otherwise
terminated, the calculation agent may select a successor fund that the calculation agent determines to be comparable to the underlier
or, if no successor fund is available, the maturity date of the securities will be accelerated for a payment determined by the calculation |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
agent. Any of these actions could adversely
affect the value of the underlier and, consequently, the value of the securities. Any amount payable upon acceleration could be significantly
less than the amount(s) that would be due on the securities if they were not accelerated. However, if we elect not to accelerate the securities,
the value of, and any amount payable on, the securities could be adversely affected, perhaps significantly. See “Reference Assets—Exchange-Traded
Funds—Adjustments Relating to Securities with an Exchange-Traded Fund as a Reference Asset—Discontinuance of an Exchange-Traded
Fund” in the accompanying prospectus supplement.
| § | Anti-dilution protection is limited, and the calculation agent has discretion to make anti-dilution adjustments. The calculation
agent may in its sole discretion make adjustments affecting the amounts payable on the securities upon the occurrence of certain events
that the calculation agent determines have a diluting or concentrative effect on the theoretical value of the shares of the underlier.
However, the calculation agent might not make such adjustments in response to all events
that could affect the shares of the underlier. The occurrence of any such event and any adjustment made by the calculation agent (or a
determination by the calculation agent not to make any adjustment) may adversely affect the market price of, and any amounts payable on,
the securities. See “Reference Assets—Exchange-Traded Funds—Adjustments Relating to Securities with an Exchange-Traded
Fund as a Reference Asset—Anti-dilution Adjustments” in the accompanying prospectus supplement. |
| § | The equity securities held by the underlier are concentrated in the internet sector. All or substantially all of the equity
securities composing the underlier are issued by companies whose primary line of business is directly associated with the internet sector.
As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of
issuers. Internet companies are subject to intense competition, the risk of product obsolescence, changes in consumer preferences and
legal, regulatory and political changes. They are also especially at risk of hacking and other cybersecurity events. In addition, it can
be difficult to determine what qualifies as an internet company. |
| § | There are risks associated with investments in securities linked to the value of non-U.S. equity securities. Some of the component
securities held by the underlier are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to
the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers
of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross
shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some
of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different
from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and
currency exchange laws. |
| § | The securities are subject to risks associated with emerging markets. The component securities held by the underlier have been
issued by companies based in emerging markets. Emerging markets pose further risks in addition to the risks associated with investing
in foreign equity markets generally. Countries with emerging markets may have relatively unstable financial markets and governments; may
present the risks of nationalization of businesses; may impose restrictions on currency conversion, exports or foreign ownership and prohibitions
on the repatriation of assets; may pose a greater likelihood of regulation by the national, provincial and local governments of the emerging
market countries, including the imposition of currency exchange laws and taxes; and may have less protection of property rights, less
access to legal recourse and less comprehensive financial reporting and auditing requirements than more developed countries. The economies
of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade
conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number
of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings
difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States
in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance
of payment positions. The currencies of emerging markets may also be less liquid and more volatile than those of developed markets and
may be affected by political and economic developments in different ways than developed markets. The foregoing factors may adversely affect
the performance of companies based in emerging markets. |
| § | The price of the underlier is subject to currency exchange risk with respect to the U.S. dollar and the non-U.S. currencies represented
in the underlier. Because the price of the underlier is related to the U.S. dollar value of the non-U.S. component securities held
by the underlier, the price of the underlier will be exposed to the currency exchange rate risk with respect to each of the currencies
in which the non-U.S. component securities held by the underlier trade. An investor’s net exposure will depend on the extent to
which each of those non-U.S. currencies strengthens or weakens against the U.S. dollar and the relative weight of the component securities
denominated in those non-U.S. currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those non-U.S.
currencies, the price of the underlier will be adversely affected and any payments on the securities may be reduced. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Exchange rate movements for a particular
currency are volatile and are the result of numerous factors, including the supply of, and the demand for, those currencies, as well as
government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments,
and by macroeconomic factors and speculative actions related to the relevant region. Of particular importance to potential currency exchange
risk are:
| o | existing and expected rates of inflation; |
| o | existing and expected interest rate levels; |
| o | the balance of payments between the countries represented in the underlier and the United States; and |
| o | the extent of governmental surpluses or deficits in the countries represented in the underlier and the United States. |
All of these factors are in turn sensitive
to the monetary, fiscal and trade policies pursued by the governments of the countries represented in the underlier, the United States
and other countries important to international trade and finance.
| § | 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 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 or the de-listing of the underlier. You may lose a significant portion or all of your initial investment in the securities
if the underlier is de-listed or if you are forced to divest the securities due to government mandates, especially if such de-listing
occurs or such divestment must be made at a time when the value of the securities has declined. See “—Adjustments to the underlier
or to its tracked index could adversely affect the value of the securities or result in the securities being accelerated” above. |
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 have increased the initial underlier value and, as a result, the trigger value, which is 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, if any. |
| § | We and our affiliates, and any dealer participating in the distribution of the securities, may engage in various activities or
make determinations that could materially affect your securities in various ways and create conflicts of interest. We and our affiliates
play a variety of roles in connection with the issuance of the securities, as described below. In performing these roles, our and our
affiliates’ economic interests are potentially adverse to your interests as an investor in the securities. |
In connection with our normal business
activities and in connection with hedging our obligations under the securities, we and our affiliates make markets in and trade various
financial instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other
financial services with respect to these financial instruments and products. These financial instruments and products may include securities,
derivative instruments or assets that may relate to the 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.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk 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 shares of the underlier are de-listed or if the underlier is liquidated or otherwise
terminated, selecting a successor fund or, if no successor fund is available, determining whether to accelerate the maturity date; and
determining whether to adjust any variable described herein in the case of certain events related to the underlier that the calculation
agent determines have a diluting or concentrative effect on the theoretical value of the shares of 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 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 and the securities held by the underlier; |
| o | dividend rates on the underlier and on the securities held by 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 held by the
underlier and that may affect the final underlier value; |
| o | the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the securities held by the underlier
trade; 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 “KraneShares CSI China Internet
ETF 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 lower than the initial issue price of your securities. The estimated value of your
securities on the pricing date is 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 a result of certain factors, such as any sales commissions to be paid
to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to
non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the
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 value referenced above might be lower if such estimated value were based on the
levels at which our benchmark debt securities trade in the secondary market. |
| § | The estimated value of the 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 |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
assumptions, which may or may not materialize.
These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from
other financial institutions’ pricing models and the methodologies used by us to estimate the value of the securities may not be
consistent with those of other financial institutions that may be purchasers or sellers of securities in the secondary market. As a result,
the secondary market price of your securities may be materially different from the estimated value of the securities determined by reference
to our internal pricing models.
| § | The estimated value of your securities is not a prediction of the prices at which you may sell your securities in the secondary
market, if any, and such secondary market prices, if any, will likely be lower than the initial issue price of your securities and may
be lower than the estimated value of your securities. The estimated value of the securities will not be a prediction of the prices
at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the securities from you in secondary
market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell
your securities in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions,
and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the securities. Further,
as secondary market prices of your securities take into account the levels at which our debt securities trade in the secondary market,
and do not take into account our various costs related to the securities such as fees, commissions, discounts, and the costs of hedging
our obligations under the securities, secondary market prices of your securities will likely be lower than the initial issue price of
your securities. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase
the securities from you in secondary market transactions, if any, will likely be lower than the price you paid for your securities, and
any sale prior to the maturity date could result in a substantial loss to you. |
| § | The temporary price at which we may initially buy the securities in the secondary market and the value we may initially use for
customer account statements, if we provide any customer account statements at all, may not be indicative of future prices of your securities.
Assuming that all relevant factors remain constant after the pricing date, the price at which Barclays Capital Inc. may initially buy
or sell the securities in the secondary market (if Barclays Capital Inc. makes a market in the securities, which it is not obligated to
do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may
exceed our estimated value of the securities on the pricing date, as well as the secondary market value of the securities, for a temporary
period after the initial issue date of the securities. The price at which Barclays Capital Inc. may initially buy or sell the securities
in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices
of your securities. |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
KraneShares CSI China Internet ETF Overview
We have derived all information contained in this document regarding
the underlier from publicly available information, without independent verification. This information reflects the policies of, and is
subject to change by, KraneShares Trust and Krane Funds Advisors, LLC (“Krane”). The underlier is an investment portfolio
of KraneShares Trust. Krane is currently the investment adviser to the underlier. The underlier is an exchange-traded fund that trades
on the NYSE Arca, Inc. under the ticker symbol “KWEB.”
The underlier seeks to provide investment results that, before fees
and expenses, correspond generally to the price and yield performance of a foreign equity securities index, which is currently the CSI
Overseas China Internet Index (the “tracked index”). The tracked index is a modified free float-adjusted market capitalization
index that is designed to measure the overall performance of Hong Kong- and overseas-listed China-based companies whose primary business
or businesses are in the internet and internet-related sectors, as determined by the index provider, China Securities Index Co., Ltd.
For more information about the tracked index, see “Annex—The CSI Overseas China Internet Index” below.
Although the underlier expects to replicate (or hold all components
of) the tracked index, the underlier reserves the right to use representative sampling to track the tracked index. “Representative
sampling” is a strategy that involves investing in a representative sample of securities that collectively have an investment profile
similar to the tracked index. The underlier may or may not hold all of the securities in the tracked index when using a representative
sampling indexing strategy.
Tracking error refers to the risk that the underlier’s performance
may not match or correlate to that of the tracked index, either on a daily or aggregate basis. Tracking error may cause the underlier’s
performance to be less than expected. The tracking error may be due to, among other factors, the underlier holding cash under certain
circumstances in lieu of the securities included in the tracked index, such as when the underlier is subject to delays converting U.S.
dollars into a foreign currency to purchase foreign securities and unable to invest in certain constituents of the tracked index due to
regulatory constraints, trading suspensions and legal restrictions imposed by foreign governments. To the extent that the underlier employs
a representative sampling strategy or calculates its net asset value based on fair value prices and the value of the tracked index is
based on securities’ closing prices on local foreign markets, the underlier’s ability to track the tracked index may be adversely
affected.
KraneShares Trust is a registered investment company that consists of
numerous separate investment portfolios, including the underlier. Information provided to or filed with the SEC by KraneShares Trust pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 333-180870 and 811-22698, respectively, through the SEC’s website at http://www.sec.gov.
Information about the underlier as of market close on March 7, 2025:
| Bloomberg Ticker Symbol: |
KWEB UP |
52 Week High: |
$38.87 |
| Current Closing Price: |
$36.99 |
52 Week Low: |
$24.73 |
| 52 Weeks Ago (3/8/2024): |
$24.97 |
|
|
The following table sets forth the published high, low and period-end
closing prices of the underlier for each quarter for the period of January 2, 2020 through March 7, 2025. The associated graph shows the
closing prices of the underlier for each day in the same period. The closing price of the underlier on March 7, 2025 was $36.99. We obtained
the closing prices 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 price 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. The closing prices below may have been adjusted to reflect certain actions, such as stock splits and reverse
stock splits.
| KraneShares CSI China Internet ETF |
High |
Low |
Period End |
| 2020 |
|
|
|
| First Quarter |
$54.58 |
$40.37 |
$45.27 |
| Second Quarter |
$63.03 |
$44.01 |
$61.94 |
| Third Quarter |
$72.85 |
$62.24 |
$68.18 |
| Fourth Quarter |
$77.72 |
$67.63 |
$76.79 |
| 2021 |
|
|
|
| First Quarter |
$103.56 |
$74.37 |
$76.35 |
| Second Quarter |
$79.75 |
$66.17 |
$69.78 |
| Third Quarter |
$68.27 |
$43.96 |
$47.32 |
| Fourth Quarter |
$53.46 |
$34.06 |
$36.49 |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
| KraneShares CSI China Internet ETF |
High |
Low |
Period End |
| 2022 |
|
|
|
| First Quarter |
$38.89 |
$21.19 |
$28.51 |
| Second Quarter |
$33.86 |
$24.10 |
$32.76 |
| Third Quarter |
$33.25 |
$24.56 |
$24.64 |
| Fourth Quarter |
$31.47 |
$18.41 |
$30.20 |
| 2023 |
|
|
|
| First Quarter |
$36.15 |
$28.11 |
$31.19 |
| Second Quarter |
$31.11 |
$24.95 |
$26.93 |
| Third Quarter |
$31.96 |
$26.49 |
$27.37 |
| Fourth Quarter |
$28.72 |
$25.64 |
$27.00 |
| 2024 |
|
|
|
| First Quarter |
$27.11 |
$23.11 |
$26.25 |
| Second Quarter |
$32.26 |
$25.45 |
$27.02 |
| Third Quarter |
$34.02 |
$24.73 |
$34.02 |
| Fourth Quarter |
$38.87 |
$29.11 |
$29.24 |
| 2025 |
|
|
|
| First Quarter (through March 7, 2025) |
$36.99 |
$27.29 |
$36.99 |
KraneShares CSI China Internet ETF – daily closing prices*
January 2, 2020 to March 7, 2025 |
 |
| * The dotted line indicates the trigger value of 75% of the initial underlier value. |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the cover
page of this document.
| Additional provisions: |
|
| Minimum ticketing size: |
$1,000 / 1 security |
| Tax considerations: |
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.”
The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities. The following
discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special tax
counsel, the securities should be treated for U.S. federal income tax purposes as prepaid forward contracts with respect to the underlier.
Assuming this treatment is respected, upon a sale or exchange of the securities (including redemption at maturity), you should recognize
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. Subject to the application of the constructive ownership rules, any gain or loss
recognized on your securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether
or not you are an initial purchaser of securities at the original issue price. The securities could be treated as constructive ownership
transactions within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the securities that would
otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section
1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at
a constant yield over the term of the securities. Our special tax counsel has not expressed an opinion with respect to whether the constructive
ownership rules apply to the securities. Accordingly, U.S. holders should consult their tax advisors regarding the potential application
of the constructive ownership rules.
The IRS or a court may not respect the treatment of the securities described
above, in which case the timing and character of any income or loss on the securities could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described above.
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 and adversely 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 the potential application of the constructive ownership rules, possible alternative treatments and the issues presented
by this notice.
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, our special
tax counsel is of the opinion that these regulations should 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
|
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
| |
whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax advisor regarding the potential application of Section 871(m) to the securities. |
| Trustee: |
The Bank of New York Mellon |
| Use of proceeds and hedging: |
The net proceeds we receive from the sale of the securities will be
used for various corporate purposes as set forth in the prospectus and prospectus supplement and, in part, in connection with hedging
our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge our anticipated exposure
in connection with the securities by taking positions in futures and options contracts on the underlier or the tracked index 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 your 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. |
| Validity of the securities: |
In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the securities offered by this pricing supplement have been executed and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such securities will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLC’s permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of July 12, 2024, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on July 12, 2024, and this opinion is subject to the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the securities and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP, dated July 12, 2024, which has been filed as an exhibit to the report on Form 6-K referred to above. |
This document represents a summary of the terms and conditions of
the securities. We encourage you to read the accompanying prospectus and prospectus 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.
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
Annex
The CSI Overseas
China Internet Index
All information contained in this document regarding the CSI Overseas
China Internet Index (the “tracked index”), including, without limitation, its make-up, method of calculation and changes
in its components, has been derived from publicly available information, without independent verification. This information reflects the
policies of, and is subject to change by, China Securities Index Company Limited (“CSI”). The tracked index is calculated,
maintained and published by CSI. CSI does not have any obligation to continue to publish, and may discontinue the publication of, the
tracked index.
The tracked index is reported by Bloomberg L.P. in U.S. dollars under
the ticker symbol “H11137.”
The tracked index is a modified free float-adjusted
market capitalization-weighted total return index that is designed to measure the equity market performance of Hong Kong- and overseas-listed
China-based companies whose primary business or businesses are in the internet and internet-related sectors. CSI defines the China-based
companies as those that satisfy one of the three criteria: (i) are incorporated in mainland China; (ii) have its operation center in mainland
China; or (iii) derive 50% of its revenue from mainland China.
Eligibility Criteria
Hong Kong-listed securities of China-based companies should satisfy
the following conditions:
| § | Securities are common stock or REITs primary or secondary
listed on the Hong Kong Stock Exchange (main board or the Growth Enterprise Market); and |
| § | The listing date is more than 3 months in the most recent
year unless the daily average total market value since listing is ranked top 10 in all the Hong Kong-listed securities. |
provided that Hong Kong-listed securities
of China-based companies that meet any of the following conditions will be excluded from the eligible universe:
| · | Securities that are included on the Hong Kong Securities and Futures Commission high shareholding concentration
notices, unless the company has issued the announcement entitled “Resolving of High Shareholding Concentration” to state that
the high shareholding concentration issue has been resolved for 12 months; |
| · | Securities whose average daily closing price in the most recent year is less than 0.1 HKD; |
| · | Securities whose average daily closing price in the most recent year is less than 0.5 HKD and earnings
per share in the most recent annual report is negative; |
| · | Securities whose cumulative daily average market capitalization coverage in the most recent three months
is beyond 90%, after having ranked the securities by the daily average turnover ratio (which is the daily trading value divided by total
market capitalization) in descending order and calculated the cumulative daily average market capitalization coverage for each security;
or |
| · | Securities considered by an index advisory committee of CSI as inappropriate. |
Other markets-listed securities of China-based companies should be listed
and traded for more than 3 months unless the market value of its IPO exceeds 30 billion USD.
All securities whose average daily trading value
in the past year is less than 3 million USD or average daily market capitalization in the past year is less than 2 billion USD are removed
from the eligible universe.
Constituent Selection
From the eligible universe, securities are chosen for inclusion in the
tracked index if they are assigned to one of the following categories, as determined by CSI:
| § | Internet Software & Services (companies developing and
marketing internet software and/or providing internet services); |
| § | Home Entertainment Software (manufacturers of home entertainment
software and educational software primarily for home use); |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
| § | Internet Retail (companies providing retail services primarily
on the internet); |
| § | Internet Service (companies providing commercial services
primarily through the internet); or |
| § | Mobile Internet (companies developing and marketing mobile
internet software or providing mobile Internet services). |
When two or more eligible listings of the same company are eligible
for inclusion, the Hong Kong-listed security will have the priority to be selected.
Index Calculation
The tracked index is a modified free float-adjusted market capitalization-weighted
total return index. On any given day, the value of the tracked index is the total U.S. dollar adjusted market capitalization divided
by its divisor and multiplied by its base value, where the number of shares of each component is adjusted based on its free
float and a weight factor. The real-time calculation of the tracked index is based on the real-time price date published by the stock
exchanges during trading hours through their quotation system.
Free Float. The free float of a constituent is the shares outstanding
and tradable in the security market. CSI defines the free float of a constituent as is its total shares minus the non-free float
shares. The non-free float shares include (1) shares held by founders of the company or their families, and by senior executives, including
senior managers, directors and supervisors; (2) shares held by the government or its subsidiaries; (3) shares held by strategic investors
for long-term strategic interest; or (4) shares held by employee share plans. Shares that fall within one of these categories are only
deemed to be non-free float shares if they are held by a shareholder or shareholders acting in concert that hold 5% or more of the total
shares. Restricted shares subject to a lock-up period are deemed to be non-free float shares. The identification and calculation of free
float by CSI is based on objective information, including but not limited to prospectuses and listing notices, periodic reports and temporary
reports. CSI tracks the changes of free-float shares and adjusts free-float changes resulting from shareholder’s behavior or the
end of lock-up periods semiannually on the trading day following the second Friday of each June and December.
Free Float Adjusted Shares. The number of
free float adjusted shares is calculated by adjusting the total number of shares of a constituent based upon its free float ratio. The
free float ratio equals total number of shares of a constituent classified as free float divided by the total number of shares
of that constituent.
Weight Factor. The weight factor is a value between 0 and 1,
so that the weight of each constituent is capped at 10% and the total weight of the top five constituents is capped at 40%. A constituent’s
weight will be adjusted to the cap if its initial weight reaches its cap, and the remaining constituents are allocated the remaining weight
according to the free float adjusted market capitalization ratio.
Exchange Rate. Exchange rates are sourced
from the data providers as designated by CSI from time to time. The real-time exchange rate is used to calculate the tracked index in
U.S. dollars.
Divisor. The purpose of the index divisor
is to maintain the continuity of an index level following a change to the constituents, a capital change in the constituents or an index
constituent’s market value changes due to non-trading factors.
Index Rebalancing and Adjustment
The tracked index is adjusted and rebalanced semi-annually during the
last ten days of May and November of each year. The index reconstitution and free float share adjustments are implemented after the market
close on the second Friday of June and December.
Index Weights. The weights of each constituent is rebalanced
monthly and the rebalance will be effective as of the next trading day after the second Friday of each month.
Suspension. During the periodical adjustment, if an index constituent
has been suspended for more than 25 trading days and has not resumed trading as of the deadline for data used for constituents’
periodical adjustment, it may be classified as a priority deletion security.
For suspended companies that are not currently constituents of the tracked
index, CSI determines their treatment as follows:
| § | Securities that are under suspension on the disclosure date
of periodical adjustment results and without clear expectation about trading resumption, or even if there is a clear expectation about
trading resumption but the earliest expected resumption |
Trigger Jump Securities Based on the Value of the KraneShares CSI China Internet ETF due March 27, 2026
Principal at Risk Securities
date is on or after the effective date of the index periodical
adjustment, will not be able to be selected as candidate new additions in principle.
| § | Securities that have been consecutively suspended for more
than 25 trading days during the data period used for constituents’ periodical adjustment are eligible for inclusion in the index
only if they have resumed trading for at least 3 months. |
| § | For new additions suspended between the disclosure date of
periodical adjustment results and the effective date of the periodical adjustment, CSI will decide whether to adjust the addition or not. |
Corporate Action Related Changes
In the case of exceptional corporate events, CSI will review the tracked
index and make necessary ongoing adjustments between index reviews in order to maintain the representativeness of the index and ensure
it is investable. These corporate events include IPOs, mergers and acquisitions, spin-offs, suspensions, delistings, bankruptcies, as
well as any corporate events that cause changes in security prices or number of shares, such as cash or stock dividends, stock splits
or reverse stock splits, rights issues, secondary offerings and so on.
Index Governance
CSI, as the administrator of the tracked index, is responsible for determining
index methodology, calculation, maintenance and publication according to the methodology. The CSI may make necessary amendments to index
methodology based on periodical internal review, market environment examination, opinions of the index advisory committee, market feedback
and external complaints. The index oversight committee is responsible for overseeing the changes to the index methodology.
Exhibit
107.1
Calculation
of Filing Fee Table
F-3
(Form Type)
Barclays
Bank PLC
(Exact Name of Registrant as Specified in its Charter)
Table
1—Newly Registered Securities
| |
Security
Type |
Security
Class Title |
Fee
Calculation or Carry Forward Rule |
Amount
Registered |
Proposed
Maximum Offering Price Per Unit |
Maximum
Aggregate Offering Price |
Fee
Rate |
Amount
of Registration Fee |
| Fees
to be Paid |
Debt |
Global
Medium-Term Notes, Series A |
457(r) |
2,000 |
$1,000 |
$2,000,000 |
0.0001531 |
$306.20 |
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering.
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