Pricing Supplement dated October 23, 2020
(To the Prospectus dated August 1, 2019,
the Prospectus Supplement dated August 1, 2019,
the Prospectus Addendum dated May 11, 2020 and
the Underlying Supplement dated August 1, 2019)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-232144
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$350,000
Autocallable
Contingent Barrier Notes Due October 27, 2022
Linked to the S&P 500® Index
Global
Medium-Term Notes, Series A
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General
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·
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Unlike ordinary debt securities, the Notes do not pay interest and do not guarantee any return of principal at maturity. Instead,
as described below, the Notes will be automatically called for a call premium if the Closing Level of the Underlier on the Review
Date is greater than or equal to the Initial Underlier Value. If the Notes are not automatically called, the Notes offer unleveraged
exposure to potential appreciation of the Underlier from the Initial Underlier Value to the Final Underlier Value. Investors should
be willing to forgo dividend payments and, if the Notes are not automatically called and the Final Underlier Value is less than
the Barrier Value, be willing to lose a significant portion or all of their investment at maturity.
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Unsecured and unsubordinated obligations of Barclays Bank PLC
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
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The Notes priced on October 23, 2020 (the “Pricing Date”) and are expected to issue on or about October 28, 2020
(the “Issue Date”).
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Key Terms
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
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Issuer:
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Barclays Bank PLC
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Reference Asset*:
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The S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”) (the “Underlier”)
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Automatic Call Feature:
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If the Closing Level of the Underlier on the Review Date is
greater than or equal to the Initial Underlier Value, the Notes will be automatically called for a cash payment on the Call Settlement
Date per $1,000 principal amount Note equal to the Call Price.
No further amounts will be owed to you under the Notes. If
the Notes are automatically called, the return on the Notes will not exceed the Call Price, and you will not participate in any
appreciation in the value of the Underlier, which may be significant.
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Call Price:
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$1,101.00 per $1,000 principal amount Note, representing a call premium of 10.10%
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Payment at Maturity:
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If the Notes are not automatically called and the Final Underlier
Value is greater than the Initial Underlier Value, you will receive a cash payment on the Maturity Date per $1,000 principal
amount Note that will provide a return equal to the Underlier Return, calculated as follows:
$1,000 + ($1,000 × Underlier Return)
If the Notes are not automatically called and the Final Underlier
Value is less than or equal to the Initial Underlier Value but greater than or equal to the Barrier Value, you will receive
a cash payment on the Maturity Date of $1,000 per $1,000 principal amount Note.
If the Notes are not automatically called and the Final Underlier
Value is less than the Barrier Value, you will lose 1% of the principal amount of your Notes for every 1% that the Final Underlier
Value is less than the Initial Underlier Value. Under these circumstances, you will receive a cash payment on the Maturity Date
per $1,000 principal amount Note calculated as follows:
$1,000 + ($1,000 × Underlier
Return)
If the Notes are not automatically called and the Final
Underlier Value is less than the Barrier Value, the Notes will be fully exposed to the decline in the value of the Underlier and
you will lose a significant portion or all of your investment at maturity. Any payment on the Notes, 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 (as described on page PS- 4 of this pricing supplement) by the relevant U.K. resolution authority.
See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk
Factors” in the accompanying prospectus supplement.
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U.K. Bail-in Power Acknowledgment:
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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. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement.
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Underlier Return:
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Final Underlier Value – Initial Underlier Value
Initial Underlier Value
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Barrier Value:
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2,945.58, which is 85.00% of the Initial Underlier Value (rounded to two decimal places)
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Initial Underlier Value:
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3,465.39, which is the Closing Level of the Underlier on the Pricing Date
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Final Underlier Value:
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The arithmetic average of the Closing Levels of the Underlier on the Averaging Dates (rounded to two decimal places)
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Review Date†:
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November 5, 2021
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Call Settlement Date†:
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November 10, 2021
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Averaging Dates†:
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October 18, 2022, October 19, 2022, October 20, 2022, October 21, 2022 and October 24, 2022. The final Averaging Date, October 24, 2022, is the “Final Valuation Date.”
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Maturity Date†:
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October 27, 2022
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Initial
Issue Price1,2
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Price
to Public
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Agent’s
Commission2
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Proceeds
to Barclays Bank PLC
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Per Note
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$1,000
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100%
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1.50%
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98.50%
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Total
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$350,000
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$350,000
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$5,250
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$344,750
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1
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Our estimated value of the Notes on the Pricing Date, based on our internal pricing models, is $960.00 per Note. The estimated
value is less than the initial issue price of the Notes. See “Additional Information Regarding Our Estimated Value of the
Notes” on page PS-13 of this pricing supplement.
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2
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J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the Notes. The placement agents
will forgo fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales
to accounts other than such fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates
that will not exceed $15.00 per Note.
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Investing
in the Notes involves a number of risks. See “Risk Factors” beginning on page S-7 of the prospectus supplement and
beginning on page PA-1 of the prospectus addendum and “Selected Risk Considerations” beginning on page PS-9 of this
pricing supplement.
We may use this pricing supplement in the initial sale of
the Notes. In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market resale transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement
is being used in a market resale transaction.
The Notes 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 these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our
unsecured and unsubordinated obligations. The Notes 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.
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JPMorgan
Placement Agent
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(Key Terms continued from previous page)
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Closing Level*:
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Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
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Calculation Agent:
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Barclays Bank PLC
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CUSIP/ISIN:
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06747QN78 / US06747QN785
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*
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If the Underlier is discontinued or if the sponsor of the Underlier fails to publish
the Underlier, the Calculation Agent may select a successor index or, if no successor index is available, will calculate the value
to be used as the Closing Level of the Underlier. In addition, the Calculation Agent will calculate the value to be used as the
Closing Level of the Underlier in the event of certain changes in or modifications to the Underlier. For more information, see
“Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the
accompanying prospectus supplement.
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†
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The Review Date and/or each Averaging Date may be postponed if that date is not a scheduled trading day or if a market disruption
event occurs on that date as described under “Reference Assets—Indices—Market Disruption Events for Securities
with an Index of Equity Securities as a Reference Asset” in the accompanying prospectus supplement. In addition, the Call
Settlement Date and/or the Maturity Date will be postponed if that day is not a business day or if the Review Date or the Final
Valuation Date, as applicable, is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying
prospectus supplement.
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Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the prospectus supplement dated August 1, 2019 relating to our Global Medium-Term Notes,
Series A, of which these Notes are a part, the prospectus addendum dated May 11, 2020 and the underlying supplement dated August
1, 2019. 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 the prospectus addendum, as the Notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our SEC file number is 1-10257. As used in this pricing supplement,
“we,” “us” and “our” refer to Barclays Bank PLC.
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.
What Is the Payment Upon an Automatic Call?
If the Closing Level of the Underlier on the Review Date is
greater than or equal to the Initial Underlier Value, the Notes will be automatically called for a cash payment on the Call Settlement
Date of the Call Price of $1,101.00 per $1,000 principal amount Note. No further amounts will be owed to you under the Notes. If
your Notes are automatically called, the return on your Notes will not exceed the Call Price, regardless of any appreciation in
the value of the Underlier, which may be significant.
If the Notes Are Not Automatically Called, What Is the Total
Return on the Notes at Maturity, Assuming a Range of Performances for the Underlier?
The following table and examples illustrate the hypothetical
payment at maturity and the hypothetical total return on the Notes if the Notes are not automatically called. The “total
return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment
at maturity per $1,000 principal amount Note to $1,000. The table and examples set forth below assume a hypothetical Initial Underlier
Value of 100.00, a hypothetical Barrier Value of 85.00 (85.00% of the hypothetical Initial Underlier Value) and the Final Underlier
Values set forth below. The actual Initial Underlier Value and Barrier Value are set forth under “Key Terms” above,
and the actual Final Underlier Value will be the arithmetic average of the Closing Levels of the Underlier on the Averaging Dates.
The hypothetical Initial Underlier Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual
Initial Underlier Value. For historical Closing Levels of the Underlier, see the historical information set forth under the section
titled “The S&P 500® Index” below. 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 Notes. 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 Notes.
Final Underlier Value
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Underlier Return
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Payment at Maturity
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Total Return on Notes
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200.00
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100.00%
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$2,000.00
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100.00%
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190.00
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90.00%
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$1,900.00
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90.00%
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180.00
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80.00%
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$1,800.00
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80.00%
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170.00
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70.00%
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$1,700.00
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70.00%
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160.00
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60.00%
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$1,600.00
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60.00%
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150.00
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50.00%
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$1,500.00
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50.00%
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140.00
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40.00%
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$1,400.00
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40.00%
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130.00
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30.00%
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$1,300.00
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30.00%
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120.00
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20.00%
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$1,200.00
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20.00%
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115.00
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15.00%
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$1,150.00
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15.00%
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110.00
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10.00%
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$1,100.00
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10.00%
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105.00
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5.00%
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$1,050.00
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5.00%
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100.00
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0.00%
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$1,000.00
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0.00%
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95.00
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-5.00%
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$1,000.00
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0.00%
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90.00
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-10.00%
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$1,000.00
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0.00%
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85.00
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-15.00%
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$1,000.00
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0.00%
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84.99
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-15.01%
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$849.90
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-15.01%
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80.00
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-20.00%
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$800.00
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-20.00%
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70.00
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-30.00%
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$700.00
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-30.00%
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60.00
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-40.00%
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$600.00
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-40.00%
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50.00
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-50.00%
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$500.00
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-50.00%
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40.00
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-60.00%
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$400.00
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-60.00%
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30.00
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-70.00%
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$300.00
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-70.00%
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20.00
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-80.00%
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$200.00
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-80.00%
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10.00
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-90.00%
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$100.00
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-90.00%
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0.00
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-100.00%
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$0.00
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-100.00%
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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 Notes are not automatically called and the
value of the Underlier increases from the Initial Underlier Value of 100.00 to a Final Underlier Value of 110.00, resulting in
an Underlier Return of 10.00%.
Because the Notes are not automatically called and the Final
Underlier Value is greater than the Initial Underlier Value and the Underlier Return is 10.00%, the investor receives a payment
at maturity of $1,100.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + ($1,000 × Underlier Return)
$1,000 + ($1,000 × 10.00%) = $1,100.00
The total return on the Notes is 10.00%.
Example 2: The Notes are not automatically called and the
value of the Underlier decreases from the Initial Underlier Value of 100.00 to a Final Underlier Value of 90.00, resulting in an
Underlier Return of -10.00%.
Because the Notes are not automatically called and the Final
Underlier Value is less than or equal to the Initial Underlier Value but is greater than or equal to the Barrier Value, the investor
receives a payment at maturity of $1,000.00 per $1,000 principal amount Note.
The total return on the Notes is 0.00%.
Example 3: The Notes are not automatically called and the
value of the Underlier decreases from the Initial Underlier Value of 100.00 to a Final Underlier Value of 50.00, resulting in an
Underlier Return of -50.00%.
Because the Notes are not automatically called and the Final
Underlier Value is less than the Barrier Value and the Underlier Return is -50.00%, the investor receives a payment at maturity
of $500.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + ($1,000 × Underlier Return)
$1,000 + ($1,000 × -50.00%) = $500.00
The total return on the Notes is -50.00%.
Selected Purchase Considerations
The Notes are not suitable for all investors. The Notes may
be a suitable investment for you if all of the following statements are true:
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You do not seek an investment that produces periodic interest or coupon payments or other sources of current income.
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You seek the potential for a fixed return equal to the call premium included in the Call Price if the Closing Level of the
Underlier on the Review Date is greater than or equal to the Initial Underlier Value.
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You understand and accept that, if the Notes are automatically called, the return on the Notes will be limited by the Call
Price and you will not participate in any appreciation in the value of the Underlier, which may be significant.
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You anticipate that, if the Notes are not automatically called, the Final Underlier Value will be greater than the Initial
Underlier Value, and you are willing and able to accept the risk that, if the Notes are not automatically called and the Final
Underlier Value is less than the Barrier Value, you will lose a significant portion or all of your investment at maturity.
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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 “Selected Risk Considerations” section of this pricing supplement.
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You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of
the securities composing the Underlier, nor will you have any voting rights with respect to the securities composing the Underlier.
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You are willing and able to accept the risk that the Notes may be automatically called prior to scheduled maturity and that
you may not be able to reinvest your money in an alternative investment with comparable risk and yield.
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You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the Notes
to maturity if the Notes are not automatically called.
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You are willing and able to assume our credit risk for all payments on the Notes.
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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The Notes may not
be a suitable investment for you if any of the following statements are true:
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You seek an investment that produces periodic interest or coupon payments or other sources of current income.
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You seek an investment that provides for the full repayment of principal at maturity.
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You are unwilling or unable to accept that, if the Notes are automatically called, the return on the Notes will be limited
by the Call Price and you will not participate in any appreciation in the value of the Underlier, which may be significant.
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·
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You anticipate that, if the Notes are not automatically called, 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 Notes are not automatically called and the Final Underlier
Value is less than the Barrier Value, you will lose a significant portion or all of your investment at maturity.
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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 “Selected Risk Considerations” section of this pricing supplement.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing
the Underlier.
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You are unwilling or unable to accept the risk that the Notes may be automatically called prior to scheduled maturity.
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You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the Notes
to maturity if they are not automatically called.
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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You must rely on your own evaluation of the merits of an investment
in the Notes. You should reach a decision whether to invest in the Notes after carefully considering, with your advisors, the suitability
of the Notes in light of your investment objectives and the specific information set forth in this pricing supplement, the prospectus,
the prospectus supplement, the prospectus addendum and the underlying supplement. Neither the Issuer nor Barclays Capital Inc.
makes any recommendation as to the suitability of the Notes for investment.
Tax Consequences
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 Notes. 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 Notes 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 Notes (including redemption 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. This gain or loss on your Notes should
be treated as long-term capital gain or loss if you hold your Notes for more than a year, whether or not you are an initial purchaser
of Notes at the original issue price. However, the Internal Revenue Service (the “IRS”) or a court may not respect
this treatment, in which case the timing and character of any income or loss on the Notes 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, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. 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 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.
Treasury regulations under Section 871(m) generally impose a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta of
one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one” within
the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the Notes
with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of
Section 871(m) to the Notes.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlier or any of the securities composing the Underlier. Some of
the risks that apply to an investment in the 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” sections of the prospectus supplement and the prospectus
addendum. You should not purchase the Notes unless you understand and can bear the risks of investing in the Notes.
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·
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You May Lose Some or All of Your Principal — The Notes differ from ordinary debt securities in that the Issuer
will not necessarily pay the full principal amount at maturity. If the Notes are not automatically called and the Final Underlier
Value is less than the Barrier Value, you will lose 1% of the principal amount of your Notes for every 1% that the Final Underlier
Value is less than the Initial Underlier Value. Accordingly, if the Notes are not automatically called and the Final Underlier
Value is less than the Barrier Value, the Notes will be fully exposed to the decline in the value of the Underlier and you will
lose a significant portion or all of your investment at maturity.
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If the Notes are Automatically Called, Your Maximum Gain on the Notes Will be Limited to the Call Price — If your
Notes are automatically called, the return on your Notes will not exceed the Call Price, regardless of any appreciation in the
value of the Underlier, which may be significant. If, as of the Review Date, the Underlier has appreciated since the Pricing Date
by more than the percentage represented by the Call Price, you will receive a lower return on the Notes than you would have received
if you had invested directly in the Underlier.
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Credit of Issuer — The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC,
and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any
repayment of principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed
by any third party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of
the Notes and, in the event Barclays Bank PLC were to default on its obligations, you might not receive any amount 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 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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Reinvestment Risk — If your Notes are automatically called early, the term of the Notes could be as short as approximately
54 weeks. 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 automatically called prior to the Maturity Date. For the avoidance
of doubt, the fees and commissions described on the cover of this pricing supplement will not be rebated if the Notes are automatically
called prior to the Maturity Date.
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No Interest Payments — As a holder of the Notes, you will not receive interest payments.
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Contingent Repayment of Principal Applies Only at Maturity — You should be willing to hold your Notes to maturity
unless the Notes are automatically called prior to the Maturity Date. Although the Notes provide for the repayment of your principal
at maturity if the Notes are not automatically called and the Final Underlier Value is greater than or equal to the Barrier Value,
if you sell your Notes prior to maturity in the secondary market, if any, you may have to sell your Notes at a loss relative to
your initial investment even if at that time the value of the Underlier is greater than or equal to the Barrier Value. See “Many
Economic and Market Factors Will Impact the Value of the Notes” below.
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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,
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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 able and willing to hold your Notes to maturity.
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The Final Underlier Value Is Not Based on the Value of the Underlier at Any Time Other Than the Averaging Dates —
The Final Underlier Value will be based solely on the arithmetic average of the Closing Levels of the Underlier on the Averaging
Dates and the payment at maturity will be based solely on the Final Underlier Value relative to the Initial Underlier Value. Therefore,
if the value of the Underlier has declined as of one or more of the Averaging Dates, the payment at maturity, if any, may be significantly
less than it would otherwise have been had the Final Underlier Value been determined at a time prior to such decline or after the
value of the Underlier has recovered. Although the value of the Underlier on the Maturity Date or at other times during the term
of your Notes may be higher than the Closing Level of the Underlier on the Averaging Dates, you will not benefit from the value
of the Underlier at any time other than on the Averaging Dates.
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Owning the Notes Is Not the Same as Owning the Securities Composing the Underlier — The return on your Notes may
not reflect the return you would realize if you actually owned the securities composing the Underlier. For instance, as a holder
of the Notes, you will not have voting rights, rights to receive cash dividends or any other distributions or other rights that
holders of the securities composing the Underlier would have.
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The Underlier Reflects the Price Return of the Securities Composing the Underlier, Not the Total Return — The
return on the Notes is based on the performance of the Underlier, which reflects changes in the market prices of the securities
composing the Underlier. The Underlier is not a “total return” index that, in addition to reflecting those price returns,
would also reflect dividends paid on the securities composing the Underlier. Accordingly, the return on the Notes will not include
such a total return feature.
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Adjustments to the Underlier Could Adversely Affect the Value of the Notes — The sponsor of the Underlier may
add, delete, substitute or adjust the securities composing the Underlier or make other methodological changes to the Underlier
that could affect its performance. The Calculation Agent will calculate the value to be used as the Closing Level of the Underlier
in the event of certain material changes in or modifications to the Underlier. In addition, the sponsor of the Underlier may also
discontinue or suspend calculation or publication of the Underlier at any time. Under these circumstances, the Calculation Agent
may select a successor index that the Calculation Agent determines to be comparable to the Underlier or, if no successor index
is available, the Calculation Agent will determine the value to be used as the Closing Level of the Underlier. Any of these actions
could adversely affect the value of the Underlier and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
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Many Economic and Market Factors Will Impact the Value of the Notes — In addition to the value of the Underlier
on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify
each other, including:
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the expected volatility of the Underlier;
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the time to maturity of the Notes;
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the dividend rates on the securities composing the Underlier;
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interest and yield rates in the market generally;
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supply and demand for the Notes;
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a variety of economic, financial, political, regulatory and judicial events; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes — The estimated value of
your Notes on the Pricing Date is lower than the initial issue price of your Notes. The difference between the initial issue price
of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees 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 that we may incur in hedging our obligations under the Notes, and estimated development and other
costs that 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 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
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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 Pricing Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions,
which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further,
our pricing models may be different from other financial institutions’ pricing models and the methodologies used by us to
estimate the value of the Notes may not be consistent with those of other financial institutions that 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 Pricing 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 Pricing 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 Your 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 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 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 an incentive to sell the Notes instead of other investments.
Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price
is not based upon any independent verification or valuation.
In addition to the activities described above, we
will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underlier and make
any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required to
make discretionary judgments, including determining whether
a market disruption event has occurred on any date
that the value of the Underlier is to be determined; if the Underlier is discontinued or if the sponsor of the Underlier fails
to publish the Underlier, selecting a successor index or, if no successor index is available, determining any value necessary to
calculate any payments on the Notes; and calculating the value of the Underlier on any date of determination in the event of certain
changes in or modifications to the Underlier. In making these discretionary judgments, our economic interests are potentially adverse
to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes.
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The U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain — There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the Notes, and we do not plan to request a ruling from the
IRS. Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree
with the treatment of the Notes as prepaid forward contracts, as described above under “Tax Consequences.” If the IRS
were successful in asserting an alternative treatment for the Notes, the tax consequences of the ownership and disposition of the
Notes could be materially and adversely affected. 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 Notes, 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 Notes (including 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.
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The S&P 500®
Index
The Underlier consists of stocks of 500 companies selected to
provide a performance benchmark for the U.S. equity markets. For more information about the Underlier, see “Indices—The
S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
The graph below sets forth the historical performance of the
Underlier from January 2, 2015 to October 23, 2020, based on the daily Closing Levels of the Underlier. The Closing Level of the
Underlier on October 23, 2020 was 3,465.39.
We obtained the Closing Levels of the Underlier from Bloomberg
Professional® service, without independent verification. Historical performance of the Underlier should not be taken
as an indication of future performance. Future performance of the Underlier may differ significantly from historical performance,
and no assurance can be given as to the Closing Level of the Underlier during the term of the Notes, including on any of the Averaging
Dates. We cannot give you assurance that the performance of the Underlier will not result in a loss on your initial investment.
* The dotted line indicates the Barrier Value of 85.00% of the
Initial Underlier Value.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
Certain Employee Retirement Income Security Act Considerations
Your purchase of a Note in an Individual Retirement Account
(an “IRA”) will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf
of the IRA, that (i) neither the Issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary
authority or control or acts in a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment
advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security Act (“ERISA”)) with respect
to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA will pay no more than “adequate consideration”
(within the meaning of Section 408(b)(17) of ERISA) and in connection with any redemption of the Note pursuant to its terms will
receive at least adequate consideration, and, in making the foregoing representations and warranties, you have (x) applied sound
business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith.
Additional Information Regarding Our Estimated Value of
the Notes
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest
rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables,
such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels
at which our benchmark debt securities trade in the secondary market. Our estimated value on the Pricing Date is based on our internal
funding rates. Our estimated value of the Notes 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 Notes on the Pricing Date is less
than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value
of the Notes 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
Notes, the estimated cost that we may incur in hedging our obligations
under the Notes, and estimated development and other costs that we may incur in connection with the Notes.
Our estimated value on the Pricing 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
Pricing 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 Pricing Date for a temporary period expected to be approximately six months after the initial
Issue Date of the Notes 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 that 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 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 Notes based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-9 of this pricing supplement.
Supplemental Plan of Distribution
J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will
act as placement agents for the Notes pursuant to separate placement agency agreements with the Issuer. The placement agents will
forgo fees for sales to fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates per
Note as specified on the cover of this pricing supplement.
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special
United States products counsel to Barclays Bank PLC, when the Notes 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 Notes 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 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
August 3, 2020, filed as an exhibit to a report on Form 6-K by Barclays Bank PLC on August 3, 2020, 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 Notes and the validity, binding nature and enforceability of the indenture with respect
to the trustee, all as stated in the letter of Davis Polk & Wardwell LLP, dated August 3, 2020, which has been filed as an
exhibit to the report on Form 6-K referred to above.
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