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):
Our SEC file number is 1–10257. As
used in this pricing supplement, “we,” “us” or “our” refers to Barclays Bank PLC.
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.
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 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 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–8
of this pricing supplement.
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 can tolerate a loss of some 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 Least Performing Reference Asset.
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You are willing and able to accept the individual market risk of each Reference Asset and understand
that any decline in the value of one Reference Asset will not be offset or mitigated by a lesser decline or any potential increase
in the value of any other Reference Asset.
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You anticipate that the Final Value of the Least Performing Reference Asset will be greater than
its Initial Value.
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You understand and accept the risk that the payment at maturity will be based solely on
the Reference Asset Return of the Least Performing Reference Asset.
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You understand and are willing and able to accept the risks associated with an investment linked
to the performance of the Reference Assets.
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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 any Reference Asset or any securities to which any Reference Asset provides exposure, nor will you have
any voting rights with respect to any Reference Asset or any securities to which any Reference Asset provides exposure.
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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 Assets.
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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.
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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, and/or you
are unwilling or unable to accept the risk that you may lose some or all of the principal amount of your Notes in the event that
the Final Value of the Least Performing Reference Asset falls below its Barrier Value.
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You anticipate that the Final Value of the Least Performing Reference Asset will be less than its
Initial Value.
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You are unwilling or unable to accept the risk that the negative performance of any one
Reference Asset may cause you to earn no positive return or to suffer a loss of principal at maturity, regardless of the performance
of the other Reference Asset.
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You are unwilling or unable to accept the individual market risk of each Reference Asset and/or
do not understand that any decline in the value of one Reference Asset will not be offset or mitigated by a lesser decline or any
potential increase in the value of any other Reference Asset.
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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 Assets.
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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 Assets.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related
to any Reference Asset or any securities to which any Reference Asset provides exposure.
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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.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income
investments with comparable maturities and credit ratings.
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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 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 Final Valuation Date and the Maturity
Date are subject to postponement in certain circumstances, as described under “Reference Assets—Indices—Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset,” “Reference Assets—Least
or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption Events for Securities Linked to the Reference
Asset with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded Funds and/or Indices of Equity
Securities” and “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
In addition, the Reference Assets and the
Notes are subject to adjustment by the Calculation Agent under certain circumstances, as described under “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement.
HYPOTHETICAL EXAMPLES
OF AMOUNTS PAYABLE AT MATURITY
The following table illustrates the hypothetical
payment at maturity under various circumstances. The “total return” as used in these examples 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 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 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:
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Hypothetical Initial Value of each Reference Asset: 100.00*
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Hypothetical Barrier Value of each Reference Asset: 70.00* (70.00% of the hypothetical Initial Value set forth above)
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The hypothetical Initial Value of 100.00 for each Reference Asset and the hypothetical Barrier Value of 70.00
for each Reference Asset have been chosen for illustrative purposes only. The actual Initial Value and Barrier Value for each Reference
Asset are as set forth on the cover of this pricing supplement.
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Final Value
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Reference Asset Return
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SPX
Index
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NDX
Index
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INDU
Index
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SPX
Index
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NDX
Index
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INDU
Index
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Reference Asset
Return of the
Least Performing
Reference Asset
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Payment
at
Maturity**
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Total
Return on
Notes
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150.00
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175.00
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190.00
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50.00%
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75.00%
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90.00%
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50.00%
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$1,600.00
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60.00%
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145.00
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180.00
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140.00
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45.00%
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80.00%
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40.00%
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40.00%
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$1,480.00
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48.00%
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130.00
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140.00
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150.00
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30.00%
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40.00%
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50.00%
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30.00%
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$1,360.00
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36.00%
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125.00
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130.00
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120.00
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25.00%
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30.00%
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20.00%
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20.00%
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$1,240.00
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24.00%
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140.00
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120.00
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110.00
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40.00%
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20.00%
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10.00%
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10.00%
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$1,120.00
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12.00%
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115.00
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110.00
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105.00
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15.00%
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10.00%
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5.00%
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5.00%
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$1,060.00
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6.00%
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110.00
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115.00
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100.00
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10.00%
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15.00%
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0.00%
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0.00%
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$1,000.00
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0.00%
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90.00
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100.00
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102.50
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-10.00%
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0.00%
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2.50%
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-10.00%
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$1,000.00
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0.00%
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80.00
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105.00
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120.00
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-20.00%
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5.00%
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20.00%
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-20.00%
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$1,000.00
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0.00%
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70.00
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75.00
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80.00
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-30.00%
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-25.00%
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-20.00%
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-30.00%
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$1,000.00
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0.00%
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80.00
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60.00
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70.00
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-20.00%
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-40.00%
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-30.00%
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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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55.00
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60.00
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-50.00%
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-45.00%
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-40.00%
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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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90.00
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120.00
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-60.00%
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-10.00%
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20.00%
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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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85.00
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135.00
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-70.00%
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-15.00%
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35.00%
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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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50.00
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30.00
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-80.00%
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-50.00%
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-70.00%
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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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25.00
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20.00
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-90.00%
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-75.00%
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-80.00%
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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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80.00
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95.00
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-100.00%
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-20.00%
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-5.00%
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-100.00%
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$0.00
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-100.00%
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**
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per $1,000 principal amount Note
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The following examples illustrate how the payments at maturity
set forth in the table above are calculated:
Example
1: The Final Value of the SPX Index is 140.00, the Final Value of the NDX Index is 120.00 and the Final
Value of the INDU Index is 110.00.
Because the INDU Index has the lowest Reference
Asset Return, the INDU Index is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference
Asset is greater than or equal to its Initial Value, you will receive a payment at maturity of $1,120.00 per $1,000 principal amount
Note that you hold, calculated as follows:
$1,000 + [$1,000 × Reference Asset
Return of the Least Performing Reference Asset × Upside Leverage Factor]
$1,000 + [$1,000 × 10.00% ×
1.20] = $1,120.00
The total return on investment of the Notes is 12.00%.
Example
2: The Final Value of the SPX Index is 80.00, the Final Value of the NDX Index is 105.00 and the Final
Value of the INDU Index is 120.00.
Because the SPX Index has the lowest Reference
Asset Return, the SPX Index is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference
Asset is less than its Initial Value, but greater than or equal to its Barrier Value, you will receive a payment at maturity of
$1,000.00 per $1,000 principal amount Note that you hold.
The total return on investment of the Notes is 0.00%.
Example
3: The Final Value of the SPX Index is 40.00, the Final Value of the NDX Index is 90.00 and the Final
Value of the INDU Index is 120.00.
Because the SPX Index has the lowest Reference
Asset Return, the SPX Index is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference
Asset is less than its Barrier Value, 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 × Reference Asset Return of the Least Performing Reference Asset]
$1,000
+ [$1,000 × -60.00%] = $400.00
The total return on investment of the Notes is -60.00%.
Example
4: The Final Value of the SPX Index is 20.00, the Final Value of the NDX Index is 50.00 and
the Final Value of the INDU Index is 30.00.
Because the SPX Index has the lowest Reference
Asset Return, the SPX Index is the Least Performing Reference Asset. Because the Final Value of the Least Performing Reference
Asset is less than its Barrier Value, you will receive a payment at maturity of $200.00 per $1,000 principal amount Note that you
hold, calculated as follows:
$1,000
+ [$1,000 × Reference Asset Return of the Least Performing Reference Asset]
$1,000
+ [$1,000 × -80.00%] = $200.00
The total return on investment of the Notes is -80.00%.
Each example above demonstrates that the
payment at maturity on your Notes will be calculated solely based on the Reference Asset Return of the Least Performing
Reference Asset.
Examples
3 and 4 demonstrate that, if the Final Value of the Least Performing Reference Asset is less than its Barrier Value, your investment
in the Notes will be fully exposed to the decline of the Least Performing Reference Asset from its Initial Value. You will
not benefit in any way from the Reference Asset Return of any other Reference Asset being higher than the Reference Asset Return
of the Least Performing Reference Asset.
You may lose up to 100.00% of the
principal amount of your Notes. Any payment on the Notes is subject to the credit risk of Barclays Bank PLC.
Selected Risk Considerations
An investment in the Notes involves significant
risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets or their 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 Final Value of the Least Performing Reference Asset is less than its Barrier Value, your Notes will be fully exposed to
the decline of the Least Performing Reference Asset from its Initial Value. You may lose up to 100.00% of the principal amount
of your Notes.
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You are Exposed to the Market Risk of Each Reference Asset—Your return on the Notes
is not linked to a basket consisting of the Reference Assets. Rather, it will be contingent upon the independent performance of
each Reference Asset. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and
diversified among all the components of the basket, you will be exposed to the risks related to each Reference Asset. Poor performance
by any Reference Asset over the term of the Notes may negatively affect your return and will not be offset or mitigated by any
increases or lesser declines in the value of the other Reference Asset. To receive a positive return on your Notes at maturity,
the Final Value of each Reference Asset must be greater than its Initial Value. If the Final Value of any Reference Asset is less
than its Barrier Value, you will be exposed to the full decline in the Lesser Performing Reference Asset from its Initial Value.
Accordingly, your investment is subject to the market risk of each Reference Asset.
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The Payment at Maturity of the Notes is Based Solely on the Closing Value of the Least Performing
Reference Asset on the Final Valuation Date—The Final Value of any Reference Asset will be based solely on its
Closing Value on the Final Valuation Date. Accordingly, if the value of the Least Performing Reference Asset drops on the Final
Valuation Date, the payment at maturity on the Notes 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.
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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 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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Owning the Notes is Not the Same as Owning Any Reference Asset or Any Securities to which Any
Reference Asset Provides Exposure—The return on the Notes may not reflect the return you would realize if you actually
owned any Reference Asset or any securities to which any 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 any Reference
Asset or any securities to which any Reference Asset provides exposure may have.
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Historical Performance of the Reference Assets Should Not Be Taken as Any Indication of the
Future Performance of the Reference Assets Over the Term of the Notes—The value of each Reference Asset has fluctuated
in the past and may, in the future, experience significant fluctuations. The historical performance of a Reference Asset is not
an indication of the future performance of that Reference Asset over the term of the Notes. The historical correlation between
the Reference Assets is not an indication of the future correlation between them over the term of the Notes. Therefore, the performance
of the Reference Assets individually or in comparison to each other over the term of the Notes may bear no relation or resemblance
to the historical performance of either Reference Asset.
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Each Reference Asset Reflects the Price Return of the Securities Composing that Reference Asset,
Not the Total Return—The return on the Notes is based on the performance of the Reference Assets, which reflect changes
in the market prices of the securities composing the Reference Assets. The Reference Assets are not “total return”
indices that, in addition to reflecting those price returns, would also reflect dividends paid on the securities composing the
applicable Reference Asset. Accordingly, the return on the Notes will not include such a total return feature.
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Adjustments to Any Reference Asset Could Adversely Affect the Value of the Notes—The
sponsor of any Reference Asset may add, delete, substitute or adjust the securities composing that Reference Asset or make other
methodological changes to that Reference Asset that could affect their value. The Calculation Agent will calculate the value to
be used as the Closing Value of that Reference Asset in the event of certain material changes in or modifications to that Reference
Asset. In addition, the sponsor of any Reference Asset may also discontinue or suspend calculation or publication of that Reference
Asset at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines
to be comparable to any Reference Asset or, if no successor index is available, the Calculation Agent will determine the value
to be used as the Closing Value of that Reference Asset. Any of these actions could adversely affect the value of the Reference
Assets 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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The Notes Are Subject to Risks Associated with Non-U.S. Securities Markets—Certain
component securities of the NDX Index are issued by non-U.S. companies in non-U.S. securities markets. Investments in securities
linked to such non-U.S. equity securities, such as the Notes, involve risks associated with the securities markets in the home
countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention
in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S.
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws.
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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 Initial Valuation 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 (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 Assets or their 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.
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 Reference
Assets 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 Assets, including determining whether
a market disruption event has occurred or whether certain adjustments to the Reference Assets 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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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 Internal Revenue Service (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
below under “Tax Considerations.” 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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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 Assets or the components
of the Reference Assets, if any;
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correlation (or lack of correlation) of the Reference Assets;
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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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Information Regarding
the Reference Assets
S&P 500® Index
The
SPX Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more
information about the SPX Index, see “Indices—The S&P U.S. Indices” in the accompanying underlying supplement.
Historical Performance of the SPX Index
The
graph below sets forth the historical performance of the SPX Index based on the daily Closing Values from January 2,
2015 through November 24, 2020. We obtained the Closing Values shown in the graph below from Bloomberg Professional®
service (“Bloomberg”). We have not independently verified the accuracy or completeness of the information obtained
from Bloomberg.
Historical
Performance of the S&P 500® Index
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
Nasdaq-100 Index®
The
NDX Index is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on The
Nasdaq Stock Market. For more information about the NDX Index, see “Indices—The Nasdaq-100 Index®”
in the accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical
performance of the NDX Index based on the daily Closing Values from January 2, 2015 through November 24, 2020. We obtained
the Closing Values shown in the graph below from Bloomberg. We have not independently verified the accuracy or completeness of
the information obtained from Bloomberg.
Historical Performance of the Nasdaq-100
Index®
PAST PERFORMANCE
IS NOT INDICATIVE OF FUTURE RESULTS
Dow Jones Industrial Average®
The INDU Index is a price-weighted index that seeks to measure
the performance of 30 U.S. blue-chip companies and covers all industries with the exception of transportation and utilities. For
more information about the INDU Index, see “Indices—The Dow Jones Industrial Average®” in the
accompanying underlying supplement.
Historical Performance of the INDU Index
The graph below sets forth the historical
performance of the INDU Index based on the daily Closing Values from January 2, 2015 through November 24, 2020. We obtained
the Closing Values shown in the graph below from Bloomberg. We have not independently verified the accuracy or completeness of
the information obtained from Bloomberg.
Historical Performance of the Dow Jones
Industrial Average®
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
TAX CONSIDERATIONS
You
should review carefully the sections in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax
Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts” and,
if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” The following discussion, when read in
combination with those sections, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of the 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, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward
contracts with respect to the Reference Assets. Assuming this treatment is respected, upon a sale or exchange of the Notes (including
redemption at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale
or exchange and your tax basis in the 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 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.