Terms of the Notes, Continued
Contingent Coupon:
|
$8.333 per $1,000 principal amount Note,
which is 0.8333% of the principal amount per Note (based on 10.00% per annum rate)
If the Closing Value of the Reference
Asset on an Observation Date is greater than or equal to the Coupon Barrier Value, you will receive a Contingent
Coupon on the related Contingent Coupon Payment Date. If the Closing Value of the Reference Asset on an Observation Date is less
than the Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
|
Observation Dates:*
|
The 3rd calendar day of each
month during the term of the Notes, beginning in December 2020; provided that the final Observation Date will be the Final
Valuation Date
|
Contingent Coupon Payment Dates:*
|
With respect to any Observation Date,
the fifth business day after such Observation Date, provided that the final Contingent Coupon Payment Date with respect
to the Final Valuation Date will be the Maturity Date
|
Call Valuation Dates:*
|
Each Observation Dates scheduled to occur during the term of
the Notes, beginning in May 2021 and ending in and including January 2022
|
Call Settlement Date:
|
The Contingent Coupon Payment Date following the Call Valuation
Date on which an Automatic Call occurs
|
Initial Value:
|
[●], the Closing Value of the Reference
Asset on the Initial Valuation Date (rounded to two decimal places)
|
Call Value:
|
[●], which is 100.00% of the Initial Value (rounded to
two decimal places)
|
Coupon Barrier Value:
|
[●], which is 75.00% of the Initial Value (rounded to
two decimal places)
|
Barrier Value:
|
[●], which is 75.00% of the Initial Value (rounded to
two decimal places)
|
Final Value:
|
The Closing Value of the Reference Asset on the Final Valuation
Date
|
Redemption Price:
|
$1,000 per $1,000 principal amount Note
that you hold, plus the Contingent Coupon payment that will otherwise be payable on the Call Settlement Date
|
Reference Asset Return:
|
The performance of the Reference Asset
from the Initial Value to the Final Value, calculated as follows:
Final Value – Initial Value
Initial Value
|
Physical Delivery Amount:
|
[●] shares, which is the number of
shares of the Reference Asset equal to $1,000 divided by the Initial Value, rounded down to the nearest whole number
|
Fractional Share Amount:
|
[●] shares, which is equal to the
number of fractional shares of the Reference Asset resulting from dividing $1,000 by the Initial Value
|
Closing Value:
|
The term “Closing Value” means
the closing price of one share of the Reference Asset, as further described under “Reference Assets—Equity Securities—Special
Calculation Provisions” in the prospectus supplement, rounded to two decimal places (if applicable).
|
Calculation Agent:
|
Barclays Bank PLC
|
CUSIP / ISIN:
|
06741WLN8 / US06741WLN82
|
|
*
|
Subject to postponement, as described under “Additional Terms of the Notes”
in this pricing supplement
|
PS2
ADDITIONAL DOCUMENTS RELATED TO THE
OFFERING OF THE NOTES
You should read this pricing supplement
together with the prospectus dated August 1, 2019, as supplemented by the documents listed below, relating to our Global Medium-Term
Notes, Series A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the
terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes.
You may access these documents on the
SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
|
·
|
Prospectus dated August 1, 2019:
|
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm
|
·
|
Prospectus Supplement dated August 1, 2019:
|
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm
|
·
|
Underlying Supplement dated August 1, 2019:
|
http://www.sec.gov/Archives/edgar/data/312070/000095010319010191/dp110497_424b2-underlying.htm
|
·
|
Prospectus Addendum dated May 11, 2020:
|
https://www.sec.gov/Archives/edgar/data/312070/000110465920059376/a20-19169_1424b3.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” or “our” refers to Barclays Bank PLC.
PS3
consent to u.k.
bail-in power
Notwithstanding
any other agreements, arrangements or understandings between us and any holder or beneficial owner of the Notes, by acquiring the
Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise
of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
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 Notes;
(ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes 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 Notes such shares, securities or obligations); and/or (iii) the amendment or alteration of the
maturity of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, 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 Notes 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 Notes further acknowledges and agrees that the rights of the
holders or beneficial owners of the Notes 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 Notes may have at law if and to the extent that any U.K. Bail-in
Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see “Selected
Risk Considerations—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks
Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or
likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
PS4
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF
THE NOTES
The range of the estimated values of
the Notes referenced above may not correlate on a linear basis with the range of any other term of the Notes as may be set forth
in this pricing supplement. We determined the size of such range based on prevailing market conditions, as well as the anticipated
duration of the marketing period for the Notes. The final terms for the Notes will be determined on the date the Notes are initially
priced for sale to the public, which we refer to as the Initial Valuation Date, based on prevailing market conditions on or prior
to the Initial Valuation Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into
account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically
including volatility, interest rates, and our internal funding rates. Our internal funding rates (which are our internally
published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations
coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated
value on the Initial Valuation Date is based on our internal funding rates. Our estimated value of the Notes may be lower if such
valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Our
estimated value of the Notes on the Initial Valuation Date is expected to be less than the initial issue price of the Notes. The
difference between the initial issue price of the Notes and our estimated value of the Notes is a result of several factors, including
any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions
or fees (including any structuring or other distribution related fees) to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost
which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in
connection with the Notes.
Our estimated value on the Initial Valuation
Date is not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays
Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital
Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do
so.
Assuming
that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market, if any, and the value that we may initially use for customer account statements,
if we provide any customer account statements at all, may exceed our estimated value on the Initial Valuation Date for a temporary
period expected to be approximately six months after the Issue Date because, in our discretion, we may elect to effectively reimburse
to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection with the
Notes which we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this
temporary reimbursement period on the basis of a number of factors, which may include the tenor of the Notes and/or any agreement
we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in
this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time
or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected
Risk Considerations” beginning on page PS–11 of this pricing supplement.
You may revoke your offer to purchase
the Notes at any time prior to the Initial Valuation Date. We reserve the right to change the terms of, or reject
any offer to purchase, the Notes prior to the Initial Valuation Date. In the event of any changes to the terms of
the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You
may also choose to reject such changes in which case we may reject your offer to purchase.
PS5
Selected Purchase
Considerations
The Notes are not suitable
for all investors. The Notes may be a suitable investment for you if all of the following statements are true:
|
·
|
You do not seek an investment that produces fixed periodic interest
or coupon payments or other non-contingent sources of current income, and you can tolerate receiving few or no Contingent Coupons
over the term of the Notes in the event the Closing Value of the Reference Asset falls below the Coupon Barrier Value on one or
more of the specified Observation Dates.
|
|
·
|
You understand and accept that you will not participate in any appreciation
of the Reference Asset, which may be significant, and that your return potential on the Notes is limited to the Contingent Coupons,
if any, paid on the Notes.
|
|
·
|
You can tolerate a loss of a significant portion or all of the principal
amount of your Notes, and you are willing and able to make an investment that may have the full downside market risk of an investment
in the Reference Asset.
|
|
·
|
You do not anticipate that the Closing Value of the Reference Asset
will fall below the Coupon Barrier Value on any Observation Date or below the Barrier Value on the Final Valuation Date.
|
|
·
|
You understand and accept that you will not be entitled to receive
dividends or distributions that may be paid to holders of a Reference Asset or any securities to which a Reference Asset provides
exposure, nor will you have any voting rights with respect to a Reference Asset or any securities to which a Reference Asset provides
exposure.
|
|
·
|
You understand and accept the risks that (a) you will not receive
a Contingent Coupon if the Closing Value of the Reference Asset is less than the Coupon Barrier Value on an Observation Date and
(b) you will lose some or all of your principal at maturity if the Final Value of the Reference Asset is less than the Barrier
Value.
|
|
·
|
You understand and accept the risk that, if the Notes are not redeemed
prior to scheduled maturity, the payment at maturity, if any, will be based solely on the Reference Asset Return of the
Reference Asset.
|
|
·
|
You are willing and able to accept the risks associated with receiving
shares of the Reference Asset at maturity.
|
|
·
|
You understand and are willing and able to accept the risks associated
with an investment linked to the performance of the Reference Asset.
|
|
·
|
You are willing and able to accept the risk that the Notes may be
redeemed prior to scheduled maturity and that you may not be able to reinvest your money in an alternative investment with comparable
risk and yield.
|
|
·
|
You can tolerate fluctuations in the price of the Notes prior to
scheduled maturity that may be similar to or exceed the downside fluctuations in the value of the Reference Asset.
|
|
·
|
You do not seek an investment for which there will be an active secondary
market, and you are willing and able to hold the Notes to maturity if the Notes are not redeemed.
|
|
·
|
You are willing and able to assume our credit risk for all payments
on the Notes.
|
|
·
|
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 Notes may not
be a suitable investment for you if any of the following statements are true:
|
·
|
You seek an investment that produces fixed periodic interest or coupon
payments or other non-contingent sources of current income, and/or you cannot tolerate receiving few or no Contingent Coupons over
the term of the Notes in the event the Closing Value of the Reference Asset falls below the Coupon Barrier Value on one or more
of the specified Observation Dates.
|
|
·
|
You seek an investment that participates in the full appreciation
of the Reference Asset rather than an investment with a return that is limited to the Contingent Coupons, if any, paid on the Notes.
|
|
·
|
You seek an investment that provides for the full repayment of principal
at maturity, and/or you are unwilling or unable to accept the risk that you may lose some or all of the principal amount of the
Notes in the event that the Final Value of the Reference Asset falls below the Barrier Value.
|
|
·
|
You are unwilling or unable to accept the risks associated with receiving shares of the Reference
Asset at maturity.
|
|
·
|
You anticipate that the Closing Value of the Reference Asset will
decline during the term of the Notes such that the Closing Value of the Reference Asset will fall below the Coupon Barrier Value
on one or more Observation Dates and/or the Final Value of the Reference Asset will fall below the Barrier Value.
|
|
·
|
You do not understand and/or are unwilling or unable to accept the
risks associated with an investment linked to the performance of the Reference Asset.
|
|
·
|
You seek an investment that entitles you to dividends or distributions
on, or voting rights related to a Reference Asset or any securities to which a Reference Asset provides exposure.
|
|
·
|
You are unwilling or unable to accept the risk that the negative
performance of the Reference Asset may cause you to not receive Contingent Coupons and/or suffer a loss of principal at maturity.
|
|
·
|
You are unwilling or unable to accept the risk that the Notes may
be redeemed prior to scheduled maturity.
|
|
·
|
You cannot tolerate fluctuations in the price of the Notes prior
to scheduled maturity that may be similar to or exceed the downside fluctuations in the value of the Reference Asset.
|
|
·
|
You seek an investment for which there will be an active secondary
market, and/or you are unwilling or unable to hold the Notes to maturity if the Notes are not redeemed.
|
|
·
|
You prefer the lower risk, and therefore accept the potentially lower
returns, of fixed income investments with comparable maturities and credit ratings.
|
|
·
|
You are unwilling or unable to assume our credit risk for all payments
on the Notes.
|
|
·
|
You are unwilling or unable to consent to the exercise of any U.K.
Bail-in Power by any relevant U.K. resolution authority.
|
PS6
You must rely on your own evaluation
of the merits of an investment in the Notes. You should reach a decision whether to invest
in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives
and the specific information set out in this pricing supplement and the documents referenced under “Additional Documents
Related to the Offering of the Notes” in this pricing supplement. Neither the Issuer nor Barclays Capital Inc. makes any
recommendation as to the suitability of the Notes for investment.
ADDITIONAL
TERMS OF THE NOTES
The Observation Dates
(including the Final Valuation Date), the Contingent Coupon Payment Dates, any Call Valuation Date, any Call Settlement Date and
the Maturity Date are subject to postponement in certain circumstances, as described under “Reference Assets—Equity
Securities—Market Disruption Events for Securities with an Equity Security as a Reference Asset” and “Terms of
the Notes—Payment Dates” in the accompanying prospectus supplement.
For the avoidance of doubt, if a Call
Valuation Date or Observation Date is postponed, the Call Settlement Date or the Coupon Payment Date following such Call Valuation
Date or Observation Date will be postponed by the same number of business days from but excluding the originally scheduled Call
Valuation Date or Observation Date to and including the actual Call Valuation Date or Observation Date. No interest will accrue
as a result of any delayed payment.
In addition, the Reference
Asset and the Notes are subject to adjustment by the Calculation Agent under certain circumstances, as described under “Reference
Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset”
in the accompanying prospectus supplement.
PS7
Hypothetical
Examples of Amounts Payable Upon Automatic Call
The following examples demonstrate the
hypothetical total return upon an Automatic Call under various circumstances. The “total return” as used in these examples
is the number, expressed as a percentage, that results from comparing the aggregate payments per $1,000 principal amount Note to
$1,000. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns
applicable to a purchaser of the Notes. The numbers appearing in the following tables and examples have been rounded for ease of
analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes.
Example 1: The
Notes are redeemed on the first Call Valuation Date.
Call Valuation Date
|
Is the Closing Value of the Reference Asset
Less Than the Coupon Barrier Value?
|
Is the Closing Value of the Reference Asset
Less Than the Call Value?
|
Payment on Contingent Coupon Payment Date
(per $1,000 principal amount Note)
|
1
|
No
|
No
|
$1,008.333
|
Because the Closing Value of the Reference
Asset on the first Call Valuation Date is greater than or equal to the Call Value, the Notes are redeemed and you will receive
the Redemption Price on the related Call Settlement Date.
The Notes will cease to be outstanding
after the Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the
Notes is 0.8333%.
Example 2: The Notes are redeemed on the third Call
Valuation Date.
Call Valuation Date
|
Is the Closing Value of the Reference Asset
Less Than the Coupon Barrier Value?
|
Is the Closing Value of the Reference Asset
Less Than the Call Value?
|
Payment on Contingent Coupon Payment Date
(per $1,000 principal amount Note)
|
1
|
No
|
Yes
|
$8.333
|
2
|
Yes
|
Yes
|
$0.00
|
3
|
No
|
No
|
$1,008.333
|
Because the Closing Value of the Reference
Asset on the third Call Valuation Date is greater than or equal to the Call Value, the Notes are redeemed and you will receive
the Redemption Price on the related Call Settlement Date.
The Notes will cease to be outstanding
after the Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the
Notes is 1.666%.
Example 3: The
Notes are redeemed on the final Call Valuation Date.
Call Valuation Date
|
Is the Closing Value of the Reference Asset
Less Than the Coupon Barrier Value?
|
Is the Closing Value of the Reference Asset
Less Than the Call Value?
|
Payment on Contingent Coupon Payment Date
(per $1,000 principal amount Note)
|
1
|
Yes
|
Yes
|
$0.00
|
2-8
|
With respect to each Call Valuation Date, Yes
|
With respect to each Call Valuation Date, Yes
|
$0.00
|
9
|
No
|
No
|
$1,008.333
|
Because the Closing Value of the Reference
Asset on the final Call Valuation Date is greater than or equal to the Call Value, the Notes are redeemed and you will receive
the Redemption Price on the related Call Settlement Date. Example 3 assumes that the Closing Value of the Reference Asset is less
than the Coupon Barrier Value on each Observation Date prior to the final Call Valuation Date. Accordingly, no Contingent Coupons
are payable on the Notes until the final Call Valuation Date.
The Notes will cease to be outstanding
after the Call Settlement Date, and you will not receive any further payments on the Notes.
The total return on investment of the
Notes is 0.8333%.
Each of the examples demonstrate that
the return on the Notes upon an Automatic Call will be limited to the Contingent Coupons, if any, that may be payable on the Notes
up to and including the applicable Call Settlement Date. Each of these examples also demonstrates that a Contingent Coupon will
be payable on a Contingent Coupon Payment Date only if the Closing Value of the Reference Asset is greater than or equal to the
Coupon Barrier Value on an Observation Date. If the Closing Value of the Reference Asset on an Observation Date is less than the
Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Value
of the Reference Asset is less than the Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons
during the term of the Notes.
PS8
Hypothetical
Examples of Amounts Payable at maturity
The following table illustrates the hypothetical
payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are provided for illustrative
purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
|
§
|
Hypothetical Initial Value of the Reference Asset: 102.88*
|
|
§
|
You hold the Notes to maturity, and the Notes are NOT redeemed prior to scheduled maturity.
|
|
§
|
Hypothetical Initial Value, Coupon Barrier Value, Barrier Value, Physical Delivery Amount and Fractional Share Amount
for the Reference Asset as follows:*
|
Initial Value
|
Coupon Barrier Value
|
Barrier Value
|
Physical Delivery Amount
|
Fractional Share Amount
|
102.88
|
77.16
|
77.16
|
9 shares
|
0.72006 shares
|
|
*
|
The hypothetical Initial Value shown above has been chosen for illustrative purposes
only and does not represent the likely Initial Value. The hypothetical Coupon Barrier Value, Barrier Value, Physical Delivery Amount
and Fractional Share Amount shown in the table above are based on such hypothetical Initial Value. The actual Initial Value, Coupon
Barrier Value, Barrier Value, Physical Delivery Amount and Fractional Share Amount for the Reference Asset will be determined on
the Initial Valuation Date.
|
For information regarding recent values
of the Reference Asset, please see “Information Regarding the Reference Asset” in this pricing supplement.
Final Value
|
Reference Asset Return
|
Payment at Maturity**
|
154.32
|
50.00%
|
$1,000.00
|
144.03
|
40.00%
|
$1,000.00
|
133.74
|
30.00%
|
$1,000.00
|
123.46
|
20.00%
|
$1,000.00
|
113.17
|
10.00%
|
$1,000.00
|
102.88
|
0.00%
|
$1,000.00
|
92.59
|
-10.00%
|
$1,000.00
|
82.30
|
-20.00%
|
$1,000.00
|
77.16
|
-25.00%
|
$1,000.00
|
72.02
|
-30.00%
|
$700.00
|
61.83
|
-40.00%
|
$600.00
|
51.44
|
-50.00%
|
$500.00
|
41.15
|
-60.00%
|
$400.00
|
30.86
|
-70.00%
|
$300.00
|
20.58
|
-80.00%
|
$200.00
|
10.29
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
$0.00
|
|
**
|
Assuming we do not elect to exercise our physical settlement option. For an example demonstrating
the amount of shares and cash that you would receive if (a) the Final Value of the Reference Asset is less than the Barrier Value
and (b) we elect to exercise our physical settlement option, please see Example 3 below.
|
The following
examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The Final Value
of the Reference Asset is 113.17.
Because the Final Value of the Reference
Asset is greater than or equal to the Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount
Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).
Example 2: The Final Value
of the Reference Asset is 82.30.
Because the Final Value of the Reference
Asset is greater than or equal to the Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount
Note that you hold (plus the Contingent Coupon that will otherwise be payable on the Maturity Date).
PS9
Example 3: The Final Value of
the Reference Asset is 30.86.
Because the Final Value of the Reference
Asset is less than the Barrier Value, if we do not elect to exercise our physical settlement option, you will receive a payment
at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 x Reference Asset Return]
$1,000 + [$1,000 x -70.00%] = $300.00
In addition, because the Final Value
is less than the Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
The Physical Delivery Amount and the
Fractional Share Amount are 9 shares and 0.72006 shares, respectively. Accordingly, if we do elect to exercise our physical settlement
option, you will receive on the Maturity Date a total of 9 shares of the Reference Asset plus $22.22 in cash. For the avoidance
of doubt, if the actual Initial Value of the Reference Asset is greater than $1,000 and we do elect to exercise our physical settlement
option, you will not receive any shares of such Reference Asset, rather you will only receive a cash payment on the Maturity Date
equivalent to the Fractional Share Amount of Reference Asset times the Final Value.
Example 3 demonstrates that, if the Notes
are not redeemed prior to scheduled maturity, and if the Final Value of the Reference Asset is less than the Barrier Value, your
investment in the Notes will be fully exposed to the decline of the Reference Asset from the Initial Value.
If the Notes are not redeemed prior
to scheduled maturity, you may lose up to 100.00% of the principal amount of your Notes. Any payment
on the Notes, including the repayment of principal, is subject to the credit risk of Barclays Bank PLC.
PS10
Selected Risk
Considerations
An investment in the Notes involves significant
risks. Investing in the Notes is not equivalent to investing directly in the Reference Asset or its components, if any. Some of
the risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed explanation
of risks relating to the Notes generally in the “Risk Factors” section of the prospectus supplement. You should not
purchase the Notes unless you understand and can bear the risks of investing in the Notes.
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Your Investment in the Notes May Result in a Significant Loss—The
Notes differ from ordinary debt securities in that the Issuer will not necessarily repay the full principal amount of the Notes
at maturity. If the Notes are not redeemed prior to scheduled maturity, and if the Final Value of the Reference Asset is less than
the Barrier Value, your Notes will be fully exposed to the decline of the Reference Asset from the Initial Value. You may
lose up to 100.00% of the principal amount of your Notes.
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The Notes Are Subject to Risks Associated with our Physical Settlement
Option—As described on the cover of this pricing supplement, you may under certain circumstances receive shares of the
Reference Asset at maturity. If we exercise our physical settlement option, the market value of the shares that you receive may
be less than the amount of the cash payment that you would have received had we not exercised such option because of fluctuations
in the value of the Reference Asset between the Final Valuation Date and the Maturity Date.
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Potential Return is Limited to the Contingent Coupons, If Any,
and You Will Not Participate in Any Appreciation of The Reference Asset—The potential positive return on the Notes is
limited to the Contingent Coupons, if any, that may be payable during the term of the Notes. You will not participate in any appreciation
in the value of the Reference Asset, which may be significant, even though you will be exposed to the depreciation in the value
of the Reference Asset if the Notes are not redeemed and the Final Value of the Reference Asset is less than the Barrier Value.
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You May Not Receive Any Contingent Coupon Payments on the Notes—The
Issuer will not necessarily make periodic coupon payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon
Payment Date only if the Closing Value of the Reference Asset on the related Observation Date is greater than or equal to
the Coupon Barrier Value. If the Closing Value of the Reference Asset on an Observation Date is less than the Coupon Barrier Value,
you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Closing Value of the Reference Asset
is less than the Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons during the term of
the Notes.
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The Notes Are Subject to Volatility Risk—Volatility
is a measure of the degree of variation in the price of an asset (or level of an index) over a period of time. The amount of any
coupon payments that may be payable under the Notes is based on a number of factors, including the expected volatility of the Reference
Asset. The amount of such coupon payments will be paid at a per annum rate that is higher than the fixed rate that we would pay
on a conventional debt security of the same tenor and is higher than it otherwise would have been had the expected volatility of
the Reference Asset been lower. As volatility of the Reference Asset increases, there will typically be a greater likelihood that
(a) the Closing Value of the Reference Asset on one or more Observation Dates will be less than the Coupon Barrier Value and (b)
the Final Value of the Reference Asset will be less than the Barrier Value.
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Accordingly, you should
understand that a higher coupon payment amount reflects, among other things, an indication of a greater likelihood that you will
(a) not receive coupon payments with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity
than would have been the case had the amount of such coupon payments been lower. In addition, actual volatility over the term of
the Notes may be significantly higher than the expected volatility at the time the terms of the Notes were determined. If actual
volatility is higher than expected, you will face an even greater risk that you will not receive coupon payments and/or that you
will lose some or all of your principal at maturity for the reasons described above.
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Early Redemption and Reinvestment Risk—While the original
term of the Notes is as indicated on the cover of this pricing supplement, the Notes may be redeemed prior to maturity, as described
above, and the holding period over which you may receive any coupon payments that may be payable under the Notes could be as short
as approximately six months.
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The Redemption Price
that you would receive on a Call Settlement Date, together with any coupon payments that you may have received prior to the Call
Settlement Date, may be less than the aggregate amount of payments that you would have received had the Notes not been redeemed.
There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes in a comparable investment
with a similar level of risk in the event the Notes are redeemed prior to the Maturity Date. No additional payments will be due
after the relevant Call Settlement Date. The fact that the Notes may be redeemed prior to maturity may also adversely impact your
ability to sell your Notes and the price at which they may be sold.
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If the Notes Are Not Redeemed Prior to Scheduled Maturity, the
Payment at Maturity, If Any, is Based Solely on the Closing Value of the Reference Asset on the Final Valuation Date—If
the Notes are not redeemed prior to scheduled maturity, the Final Value of the Reference Asset will be based solely on the
Closing Value on the Final Valuation Date, and your payment at maturity, if any, will be determined based solely on the performance
of the Reference Asset from the Initial Valuation Date to the Final Valuation Date. Accordingly, if the value of the Reference
Asset drops on the Final Valuation Date, the payment at maturity on the Notes, if any, may be significantly less than it would
have been had it been linked to the value of the Reference Asset at any time prior to such drop. If the Final Value of the Reference
Asset is less than the Barrier Value, you will lose some or all of the principal amount of your Notes.
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Credit of Issuer—The Notes are unsecured and unsubordinated
debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third party.
Any payment to be made on the Notes, including any repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy
its obligations as they come due and is not guaranteed by any third party. As a result, the actual and perceived creditworthiness
of Barclays Bank PLC may affect the market value of the Notes,
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PS11
and in the event Barclays Bank
PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
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You May Lose Some or All of Your Investment If Any U.K.
Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority—Notwithstanding any other
agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes, by acquiring
the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise
of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power”
in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other
holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections
than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in
Power without providing any advance notice to, or requiring the consent of, the holders and the beneficial owners of the Notes.
The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default
or an Event of Default (as each term is defined in the senior debt securities indenture) and the trustee will not be liable for
any action that the trustee takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in
Power by the relevant U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in Power” in this
pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory
action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value
of the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the
securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
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Contingent Repayment of the Principal Amount Applies Only at Maturity
or upon Any Redemption—You should be willing to hold your Notes to maturity or any redemption. Although the Notes provide
for the contingent repayment of the principal amount of your Notes at maturity, provided that the Final Value of the Reference
Asset is greater than or equal to the Barrier Value, or upon any redemption, if you sell your Notes prior to such time in the secondary
market, if any, you may have to sell your Notes at a price that is less than the principal amount even if at that time the value
of the Reference Asset has increased from the Initial Value. See “Many Economic and Market Factors Will Impact the Value
of the Notes” below.
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Owning the Notes is Not the Same as Owning A Reference Asset or
Any Securities to which A Reference Asset Provides Exposure—The return on the Notes may not reflect the return you would
realize if you actually owned a Reference Asset or any securities to which a Reference Asset provides exposure. As a holder of
the Notes, you will not have voting rights or rights to receive dividends or other distributions or any other rights that holders
of a Reference Asset or any securities to which a Reference Asset provides exposure may have.
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Historical Performance of the Reference Asset Should Not Be Taken
as Any Indication of the Future Performance of the Reference Asset Over the Term of the Notes—The value of the Reference
Asset has fluctuated in the past and may, in the future, experience significant fluctuations. The historical performance of the
Reference Asset is not an indication of the future performance of the Reference Asset over the term of the Notes. Therefore, the
performance of the Reference Asset over the term of the Notes may bear no relation or resemblance to the historical performance
of the Reference Asset.
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Single Equity Risk—The value of the Reference Asset
can rise or fall sharply due to factors specific to the Reference Asset and its issuer, such as stock price volatility, earnings,
financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well
as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.
We urge you to review financial and other information filed periodically with the SEC by the issuer of the Reference Asset. We
have not undertaken any independent review or due diligence of the Reference Asset issuer’s SEC filings or of any other publicly
available information regarding any issuer.
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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 Notes upon the occurrence of certain corporate events (such as stock splits or extraordinary or special
dividends) that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the Reference
Asset. However, the Calculation Agent might not make such adjustments in response to all events that could affect the Reference
Asset. 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 any amounts payable on the Notes. See “Reference Assets—Equity
Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying
prospectus supplement.
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Reorganization Or Other Events Could Adversely Affect the Value
of the Notes Or Result in the Notes Being Accelerated—Upon the occurrence of certain reorganization events or a nationalization,
expropriation, liquidation, bankruptcy, insolvency or de-listing of the Reference Asset, the Calculation Agent will make adjustments
to the Reference Asset that may result in payments on the Notes being based on the performance of shares, cash or other assets
distributed to holders of the Reference Asset upon the occurrence of such event or, in some cases, the Calculation Agent may accelerate
the maturity date for a payment determined by the Calculation Agent. Any of these actions could adversely affect the value of the
Reference Asset and, consequently, the value of the Notes. Any amount payable upon acceleration could be significantly less than
the amount(s) that would be due on the Notes if they were not accelerated. See “Reference Assets—Equity Securities—Share
Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement.
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PS12
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The Estimated Value of Your Notes is Expected to be Lower Than
the Initial Issue Price of Your Notes—The estimated value of your Notes on the Initial Valuation Date is expected to
be lower, and may be significantly lower, than the initial issue price of your Notes. The difference between the initial issue
price of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid
to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees (including any structuring
or other distribution related fees) to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any
of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our
obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
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The Estimated Value of Your Notes Might be Lower if Such Estimated
Value Were Based on the Levels at Which Our Debt Securities Trade in the Secondary Market—The estimated value of your
Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding
rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference,
the estimated value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt
securities trade in the secondary market.
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The Estimated Value of the Notes is Based on Our Internal Pricing
Models, Which May Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the Initial Valuation Date is based on our internal pricing models, which take into account a
number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and
assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial
institutions’ pricing models and the methodologies used by us to estimate the value of the Notes may not be consistent with
those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary
market price of your Notes may be materially different from the estimated value of the Notes determined by reference to our internal
pricing models.
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The Estimated Value of Your Notes Is Not a Prediction of the Prices
at Which You May Sell Your Notes in the Secondary Market, if any, and Such Secondary Market Prices, If Any,
Will Likely be Lower Than the Initial Issue Price of Your Notes and May be Lower Than the Estimated Value of Your Notes—The
estimated value of the Notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or
third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase,
which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market at any time
will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your
Notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our
various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes,
secondary market prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at
which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary
market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date
could result in a substantial loss to you.
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The Temporary Price at Which We May Initially Buy The Notes in
the Secondary Market And the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account
Statements At All, May Not Be Indicative of Future Prices of Your Notes—Assuming that all relevant factors remain constant
after the Initial Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary
market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially
use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the
Notes on the Initial Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the initial
Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market and
the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
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We and Our Affiliates May Engage in Various Activities or
Make Determinations That Could Materially Affect the Notes in Various Ways and Create Conflicts of Interest—We and our
affiliates play a variety of roles in connection with the issuance of the Notes, as described below. In performing these roles,
our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes.
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In connection with our
normal business activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in
and trade various financial instruments or products for our accounts and for the account of our clients and otherwise provide investment
banking and other financial services with respect to these financial instruments and products. These financial instruments and
products may include securities, derivative instruments or assets that may relate to the Reference Asset or its components, if
any. In any such market making, trading and hedging activity, and other financial services, we or our affiliates may take positions
or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates
have no obligation to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such
market making, trading and hedging activity, investment banking and other financial services may negatively impact the value of
the Notes.
In addition, the role
played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays
Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial
benefit from the distribution of the Notes and such compensation or financial benefit may serve as incentive to sell the Notes
instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale
to the public, and the offering price is not based upon any independent verification or valuation.
PS13
In addition to the activities
described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any value of
the Reference Asset and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
the Calculation Agent may be required to make discretionary judgements relating to the Reference Asset, including determining whether
a market disruption event has occurred or whether certain adjustments to the Reference Asset or other terms of the Notes are necessary,
as further described in the accompanying prospectus supplement. In making these discretionary judgments, our economic interests
are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect any
payments on the Notes.
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Lack of Liquidity—The Notes will not be listed on any
securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the
Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays
Capital Inc. may at any time hold unsold inventory, which may inhibit the development of a secondary market for the Notes. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the
Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be willing and able to hold your
Notes to maturity.
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Tax Treatment—Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax advisor about your tax situation. See “Tax Considerations”
below.
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Many Economic and Market Factors Will Impact the Value of the
Notes—The value of the Notes will be affected by a number of economic and market factors that interact in complex and
unpredictable ways and that may either offset or magnify each other, including:
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the market price of, dividend rate on and expected volatility of
the Reference Asset or the components of the Reference Asset, if any;
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the time to maturity of the Notes;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial
events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades
in our credit ratings.
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PS14
INFORMATION REGARDING
THE REFERENCE ASSET
We urge you to read the following section
in the accompanying prospectus supplement: “Reference Assets—Equity Securities—Reference Asset Issuer and Reference
Asset Information.” Companies with securities registered under the Securities Exchange Act of 1934, as amended, which is
commonly referred to as the “Exchange Act,” and the Investment Company Act of 1940, as amended, which is commonly referred
to as the “’40 Act,” are required to periodically file certain financial and other information specified by the
SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The
address of the SEC’s website is http://www.sec.gov. Information provided to or filed with the SEC pursuant to the Exchange
Act or the ’40 Act by the company issuing the Reference Asset can be located by reference to the SEC file number specified
below.
The summary information below regarding
the Reference Asset comes from the company’s SEC filings. You are urged to refer to the SEC filings made by the company and
to other publicly available information (such as the company’s annual report) to obtain an understanding of the company’s
business and financial prospects. The summary information contained below is not designed to be, and should not be interpreted
as, an effort to present information regarding the financial prospects of the issuer or any trends, events or other factors that
may have a positive or negative influence on those prospects or as an endorsement of any particular company. We have not undertaken
any independent review or due diligence of the SEC filings of the issuer of the Reference Asset or of any other publicly available
information regarding the issuer.
Information from outside sources is not
incorporated by reference in, and should not be considered part of, this pricing supplement or any accompanying prospectus or prospectus
supplement. We have not undertaken any independent review or due diligence of the SEC filings of the Reference Asset or any other
publicly available information regarding the Reference Asset.
We obtained the historical trading value
information with respect to the Reference Asset set forth below from Bloomberg Professional® service (“Bloomberg”).
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
The Reference Asset
According to publicly available information, JPMorgan Chase &
Co. is a global financial services firm.
Information filed by JPMorgan Chase & Co. with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001-05805. The common stock of JPMorgan Chase & Co. is
listed on the New York Stock Exchange under the ticker symbol “JPM.”
Historical Performance of the Common Stock of the Reference
Asset
The graph below sets forth the historical
performance of the Reference Asset based on the daily Closing Prices from January 2, 2015 through October 22, 2020. These
historical trading values may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
Historical Performance of the Common Stock
of JPMorgan Chase & Co.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
PS15
TAX CONSIDERATIONS
You should review carefully the sections
in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences
to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if
you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion
in the accompanying prospectus supplement to the extent it is inconsistent therewith. This discussion does not address the U.S.
federal income tax consequences of the ownership or disposition of the Reference Asset that you may receive at maturity. You should
consult your tax advisor regarding the potential U.S. federal tax consequences of the ownership and disposition of the Reference
Asset.
In determining our reporting responsibilities,
if any, we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with
Associated Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell
LLP, has advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal
Revenue Service (the “IRS”) or a court may adopt.
Sale, exchange or redemption
of a Note. Assuming the treatment described above is respected, and except as described below, upon a sale or exchange of the
Notes (including redemption for cash upon an automatic call or at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal the amount
you paid to acquire the Notes (assuming Contingent Coupon payments are properly treated as ordinary income, consistent with the
position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than
one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser
of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between
the time your right to a Contingent Coupon payment is fixed and the time it is paid, it is likely that you will be treated as receiving
ordinary income equal to the Contingent Coupon payment. Although uncertain, it is possible that proceeds received from the sale
or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could
be treated as ordinary income. You should consult your tax advisor regarding this issue.
If you receive shares of the Reference
Asset upon the maturity of your Notes, you should be deemed to have applied the purchase price of your Notes toward the purchase
of the shares of the Reference Asset you receive. You should not recognize gain or loss with respect to the shares of the Reference
Asset you receive. Instead, assuming Contingent Coupon payments are properly treated as ordinary income, consistent with the position
described above, your basis in the shares (including any fractional share) should equal the price you paid to acquire your Notes,
and that basis should be allocated proportionately among the shares. Your holding period for the Reference Asset should begin on
the day after receipt. With respect to any cash received in lieu of a fractional share of the Reference Asset, you should recognize
capital gain or loss in an amount equal to the difference between the amount of the cash received and the tax basis allocable to
the fractional share.
As noted above, there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be
materially affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of
factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on
appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of
these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You
should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible
alternative treatments and the issues presented by this notice.
Non-U.S. holders.
Insofar as we have responsibility as a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S.
holders (as defined in the accompanying prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should
in any event expect to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from
backup withholding, as described under the heading “—Information Reporting and Backup Withholding” in the accompanying
prospectus supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts
withheld.
Treasury regulations
under Section 871(m) generally impose a withholding tax on certain “dividend equivalents” under certain “equity
linked instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1,
2023 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source dividends for
U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the Notes do not
have a “delta of one” within the meaning of the regulations, we expect that these regulations will not apply to the
Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of Section
871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding the potential application
of Section 871(m) to the Notes.
PS16
SUPPLEMENTAL PLAN
OF DISTRIBUTION
We will agree to sell to Barclays Capital
Inc. (the “Agent”), and the Agent will agree to purchase from us, the principal amount of the Notes, and at the price,
specified on the cover of this pricing supplement. The Agent will commit to take and pay for all of the Notes, if any are taken.
PS17
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