Because the Closing Price of the Underlier is less than the Initial
Underlier Value on each Observation Date prior to the Final Observation Date, the Notes are not automatically called. Because the Final
Underlier Value is greater than or equal to the Coupon Barrier and the Buffer Value, at maturity, the Issuer will pay $1,068.625 per $1,000
principal amount Note, which is equal to your principal amount plus the Contingent Coupon for the Final Observation Date and the Unpaid
Contingent Coupons for the second and third Observation Dates.
In addition, because the Closing Price of the Underlier is greater
than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon of $22.875 on the first Coupon
Payment Date. Because the Closing Price of the Underlier is less than the Coupon Barrier on the second and third Observation Dates, the
Issuer will not pay any Contingent Coupon on the Coupon Payment Dates following those Observation Dates; however, because the Closing
Price of the Underlier on the Final Observation Date is greater than the Coupon Barrier, the Contingent Coupon that would have been paid
on each of the second and third Coupon Payment Dates had the Closing Price of the Underlier been greater than or equal to the Coupon Barrier
on the second and third Observation Dates will be paid on the Maturity Date. Accordingly, the Issuer will have paid a total of $1,091.50
per Note for a total return of 9.15% on the Notes.
Example 4 — Notes Are NOT Automatically Called and the Final
Underlier Value Is Below the Buffer Value
Date
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Closing Price
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Payment (per Note)
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First Observation Date
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$75.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
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Second Observation Date
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$70.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
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Third Observation Date
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$65.00
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Closing Price of Underlier below Initial Underlier Value and below Coupon Barrier; Notes NOT automatically called and Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
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Final Underlier Value
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Final Observation Date
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$70.00
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Final Underlier Value below Buffer Value (which equals Coupon Barrier); Issuer DOES NOT pay Contingent Coupon on Maturity Date and will repay less than the principal amount resulting in a loss of 1.25% of the principal amount of the Notes for every 1% that the Final Underlier Value is less than the Buffer Value.
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Total Payment (per $1,000 Note):
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$875.00 (a loss of 12.50% on the Notes)
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Because the Closing Price of the Underlier is less than the Initial
Underlier Value on each Observation Date prior to the Final Observation Date, the Notes are not automatically called. Because the Final
Underlier Value is less than the Buffer Value, at maturity, the Issuer will pay a total of $875.00 per $1,000 principal amount, calculated
as follows:
$1,000 × [1 + (Underlier Return + Buffer
Percentage) × Downside Leverage Factor]
= $1,000 × [1 + (-30.00% + 20.00%) ×
1.25] = $875.00
In addition, because the Closing Price of the Underlier is less than
the Coupon Barrier on each Observation Date prior to the Final Observation Date and the Final Underlier Value is less than the Coupon
Barrier on the Final Observation Date, the Issuer will not pay any Contingent Coupons over the term of the Notes.
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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·
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You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income.
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·
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You do not anticipate that the Final Underlier Value will be less than the Buffer Value on the Final Observation Date, and you are
willing and able to accept the risk that, if it is, you will lose some or all of the stated principal amount of your Notes.
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·
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You do not anticipate that the Closing Price of the Underlier will be less than the Coupon Barrier on any Observation Date (other
than the Final Observation Date) or that the Final Underlier Value will be less than the Coupon Barrier on the Final Observation Date,
and you are willing and able to accept the risk that, if it is, you may receive few or no Contingent Coupons over the term of the Notes.
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·
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You are willing and able to forgo participation in any appreciation of the Underlier, and you understand that any return on your investment
will be limited to the Contingent Coupons that may be payable on the Notes.
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·
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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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·
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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 Underlier,
nor will you have any voting rights with respect to the Underlier.
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·
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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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·
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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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·
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You are willing and able to assume our credit risk for all payments on the Notes.
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·
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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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·
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You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current income.
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·
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You seek an investment that provides for the full repayment of principal at maturity.
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·
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You anticipate that the Final Underlier Value will be less than the Buffer Value on the Final Observation Date, or you are unwilling
or unable to accept the risk that, if it is, you will lose some or all of the stated principal amount of your Notes.
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|
·
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You anticipate that the Closing Price of the Underlier will be less than the Coupon Barrier on one or more Observation Dates (other
than the Final Observation Date) or that the Final Underlier Value will be less than the Coupon Barrier on the Final Observation Date,
or you are unwilling or unable to accept the risk that, if it is, you may receive few or no Contingent Coupons over the term of the Notes.
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·
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You seek exposure to any upside performance of the Underlier or you seek an investment with a return that is not limited to the Contingent
Coupons that may be payable on the Notes.
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·
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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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·
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Underlier.
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·
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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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·
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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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·
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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·
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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 and the prospectus supplement addendum. 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 with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities,
if any, we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent
Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it
believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”)
or a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming the treatment described above is respected, 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 (assuming Contingent Coupons are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will
be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from
the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could
be treated as ordinary income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments, the relevance of factors such as the nature of the underlying property
to which the instruments are linked, and whether investors in short-term instruments should be required to accrue income. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should
consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. Holders. Insofar as we have responsibility
as a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading
“—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, we expect that
these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding
the potential application of Section 871(m) to the Notes.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in 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”
section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear the risks of investing in the
Notes.
Risks Relating to the Notes Generally
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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 Buffer Value, you will lose 1.25% of the principal amount of your Notes for every 1% that the Final Underlier Value is less than
the Buffer Value. Accordingly, if the Notes are not automatically called and the Final Underlier Value is less than the Buffer Value,
the Notes will be exposed on a leveraged basis to the decline in the value of the Underlier below the Buffer Value and you will lose some
or all of your investment at maturity.
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|
·
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You May Not Receive Any Contingent Coupons — The Notes differ from ordinary debt securities in that they do not provide
for regular interest payments. If the Closing Price of the Underlier is less than the Coupon Barrier on any Observation Date (other than
the Final Observation Date) or if the Final Underlier Value is less than the Coupon Barrier on the Final Observation Date, Barclays Bank
PLC will not pay the Contingent Coupon applicable to that Observation Date or any Unpaid Contingent Coupons. If a Contingent Coupon is
not paid on any Coupon Payment Date because the Closing Price of the Underlier is less than the Coupon Barrier on the related Observation
Date, that Contingent Coupon will be paid as an Unpaid Contingent Coupon on a later Coupon Payment Date only if the Closing Price of the
Underlier or the Final Underlier Value, as applicable, on the Observation Date related to that later Coupon Payment Date is greater than
or equal to the Coupon Barrier. You will not receive any Unpaid Contingent Coupons if the Closing Price of the Underlier or the Final
Underlier Value, as applicable, on each subsequent Observation Date is less than the Coupon Barrier. If the Closing Price of the Underlier
is less than the Coupon Barrier on each Observation Date prior to the Final Observation Date and the Final Underlier Value is less than
the Coupon Barrier on the Final Observation Date, Barclays Bank PLC will not pay any Contingent Coupons during the term of the Notes,
and you will not receive a positive return on your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period
of greater risk of principal loss on your Notes.
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|
·
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Your Potential Return on the Notes Is Limited, and You Will Not Participate in Any Appreciation of the Underlier — The
return potential of the Notes is limited to the Contingent Coupons, regardless of the appreciation in the value of the Underlier. In addition,
any return on the Notes will be based on the number and sequence of Observation Dates on which the Closing Price of the Underlier or the
Final Underlier Value, as applicable, has equaled or exceeded the Coupon Barrier prior to maturity or an automatic call. Further, if the
Notes are automatically called due to the automatic call feature, you will not receive any Contingent Coupons or any other payment in
respect of any Observation Dates after the applicable Call Settlement Date. Because the Notes could be automatically called as early as
the first Observation Date, the total return on the Notes could be minimal. If the Notes are not automatically called, you will not participate
in any appreciation in the value of the Underlier even though you will be subject to the Underlier’s risk of decline. As a result,
the return on an investment in the Notes could be less than the return on a direct investment in the Underlier.
|
|
·
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Your Potential Return on the Notes Will Be Different Depending on the Sequence of Closing Prices on Different Observation Dates
and the Final Underlier Value on the Final Observation Date — Depending on the sequence in which the Closing Price of the Underlier
or the Final Underlier Value, as applicable, is greater than or equal to the Coupon Barrier on specific Observation Dates (if at all),
you could receive a lesser or greater return regardless of the number of Observation Dates on which the Closing Price of the Underlier
or the Final Underlier Value, as applicable, is greater than or equal to the Coupon Barrier. For example, if the Closing Price of the
Underlier is less than the Coupon Barrier on each of the first three Observation Dates but the Final Underlier Value is greater than or
equal to the Coupon Barrier on the Final Observation Date, you will receive four Contingent Coupons (three in the form of Unpaid Contingent
Coupons). However, if the Closing Price of the Underlier or the Final Underlier Value, as applicable, is greater than or equal to the
Coupon Barrier on each of the first two Observation Dates but on no subsequent Observation Dates, you will receive only two Contingent
Coupons, even though the Closing Price of the Underlier or the Final Underlier Value, as applicable, was greater than or equal to the
Coupon Barrier on twice as many Observation Dates as in the previous example.
|
|
·
|
Reinvestment Risk — If your Notes are automatically called early, the holding period over which you may receive Contingent
Coupons could be as short as approximately 3 months. 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 page of this pricing supplement will not be rebated
if the Notes are automatically called.
|
|
·
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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. 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 Buffer 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 Buffer Value. See “Risks Relating to
|
the Estimated Value of the Notes and the
Secondary Market—Many Economic and Market Factors Will Impact the Value of the Notes” below.
|
·
|
The Notes Are Subject to Volatility Risk — Volatility is a measure of the degree of variation in the price of the Underlier
over a period of time. The Contingent Coupon was determined based on a number of factors, including the expected volatility of the Underlier.
The Contingent Coupon will be paid at a per annum rate that is higher than the fixed rate that we would pay on a conventional debt security
of the same tenor and will be higher than it otherwise would have been had the expected volatility of the Underlier, calculated at the
time the terms of the Notes were set, been lower. As volatility of an Underlier increases, there will typically be a greater likelihood
that (a) the Closing Price of that Underlier or the Final Underlier Value, as applicable, will be less than its Coupon Barrier on one
or more Observation Dates and (b) the Final Underlier Value of that Underlier will be less than its Buffer Value.
|
Accordingly, you should understand that a higher Contingent
Coupon will reflect, among other things, an indication of a greater likelihood that you will (a) not receive a Contingent Coupon with
respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case had the Contingent
Coupons been lower. In addition, actual volatility over the term of the Notes may be significantly higher than the expected volatility
at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will face an even greater risk that
you will not receive Contingent Coupons and/or that you will lose some or all of your principal at maturity for the reasons described
above.
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·
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Owning the Notes Is Not the Same as Owning the Underlier — The return on your Notes may not reflect the return you would
realize if you actually owned the Underlier. For instance, as a holder of the Notes, you will not have voting rights, rights to receive
cash dividends or other distributions, or any other rights that holders of the Underlier would have.
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·
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Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor
about your tax situation. See “Tax Consequences” above.
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Risks Relating to the Issuer
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·
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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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·
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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 and to the exclusion of any other term of the Notes or 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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Risks Relating to the Underlier
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·
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Single Equity Risk — The value of the Underlier can rise or fall sharply due to factors specific to the Underlier and
its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest
rates and economic and political conditions. We urge you to review financial and other information filed periodically with the SEC by
the issuer of the Underlier.
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·
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Anti-dilution Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-dilution Adjustments —The
Calculation Agent may in its sole discretion make adjustments affecting the amounts payable on the Notes upon the occurrence of certain
corporate events (such as stock splits or extraordinary or special dividends) that the Calculation Agent determines have a diluting or
concentrative effect on the theoretical value of the Underlier. However, the Calculation Agent
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might not make such adjustments in response
to all events that could affect the Underlier. The occurrence of any such event and any adjustment made by the Calculation Agent (or a
determination by the Calculation Agent not to make any adjustment) may adversely affect the market price of, and any amounts payable on,
the Notes. See “Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security
as a Reference Asset” in the accompanying prospectus supplement.
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·
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Reorganization or Other Events Could Adversely Affect the Value of the Notes or Result in the Notes Being Accelerated —
Upon the occurrence of certain reorganization events or a nationalization, expropriation, liquidation, bankruptcy, insolvency or de-listing
of the Underlier, the Calculation Agent will make adjustments to the Underlier that may result in payments on the Notes being based on
the performance of shares, cash or other assets distributed to holders of the Underlier upon the occurrence of such event or, in some
cases, the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation Agent. Any of these actions
could adversely affect the value of the Underlier and, consequently, the value of the Notes. Any amount payable upon acceleration could
be significantly less than the amount(s) that would be due on the Notes if they were not accelerated. See “Reference Assets—Equity
Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus
supplement.
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Risks Relating to Conflicts of Interest
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·
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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. 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; determining whether to adjust any variable described herein in the case of certain corporate events related to the
Underlier that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of the shares of the
Underlier; and determining whether to accelerate the Maturity Date upon the occurrence of certain reorganization events and additional
adjustment events. 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.
Risks Relating to the Estimated Value of the Notes
and the Secondary Market
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·
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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 able and willing
to hold your Notes to maturity.
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·
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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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o
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the expected volatility of the Underlier;
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o
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the time to maturity of the Notes;
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the dividend rate on the Underlier;
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interest and yield rates in the market generally;
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the existence of any Unpaid Contingent Coupons;
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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 Expected to Be Lower Than the Initial Issue Price of Your Notes — The estimated
value of your Notes on the Pricing Date is expected to be lower, and may be significantly lower, than the initial issue price of your
Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of
our affiliates expect to earn in connection with structuring the 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 benchmark debt securities trade in the secondary
market. As a result of this difference, the estimated values referenced above might be lower if such estimated values were based on the
levels at which our benchmark debt securities trade in the secondary market.
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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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Information about the Underlier
We urge you to read the following section in the accompanying prospectus
supplement: “Reference Assets—Equity Securities—Reference Asset Issuer and Reference Asset Information.” Companies
with securities registered under the Securities Exchange Act of 1934, as amended, are required to file financial and other information
specified by the SEC periodically. Information provided to or filed with the SEC by the issuer of the Underlier can be located on a website
maintained by the SEC at http://www.sec.gov by reference to that issuer’s SEC file number provided below.
Included below is a brief description of the issuer of the Underlier.
This information has been obtained from publicly available sources. Information from outside sources is not incorporated by reference
in, and should not be considered part of, this pricing supplement or the accompanying prospectus or prospectus supplement. We have not
independently verified the accuracy or completeness of the information contained in outside sources.
Capital One Financial Corporation
According to publicly available information, Capital One Financial
Corporation (the “Company”) is a financial services holding company with banking and non-banking subsidiaries. The Company
offers a range of financial products and services to consumers, small businesses and commercial clients through digital channels, branches,
cafes and other distribution channels.
Information filed by the Company with the SEC can be located by reference
to its SEC file number: 001-13300. The Company’s common stock is listed on the New York Stock Exchange under the ticker symbol “COF.”
Historical Information
The graph below sets forth the historical performance of the Underlier
from January 4, 2016 to June 22, 2021, based on the daily Closing Prices of the Underlier. The Closing Price of the Underlier on June
22, 2021 was $154.89.
We obtained the Closing Prices of the Underlier from Bloomberg Professional®
service, without independent verification. Historical performance of the Underlier should not be taken as an indication of future performance.
Future performance of the Underlier may differ significantly from historical performance, and no assurance can be given as to the Closing
Price of the Underlier during the term of the Notes, including on any of the Observation Dates. We cannot give you assurance that the
performance of the Underlier will not result in a loss on your initial investment. The Closing Prices below may have been adjusted
to reflect certain corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, extraordinary dividends,
delistings and bankruptcy.
* The dotted line indicates the Coupon Barrier and Buffer Value of
80.00% 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
The final terms for the Notes will
be determined on the date the Notes are initially priced for sale to the public (the “Pricing Date”) based on prevailing market
conditions on or prior to the Pricing Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take
into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including
volatility, interest rates and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates
based on variables, such as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from
the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the 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 expected to be less than the initial issue price of the Notes. The difference between the initial issue price of
the Notes and our estimated value of the Notes is expected to result from several factors, including any sales commissions expected to
be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be
allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with
structuring the 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-10 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Pricing Date. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their Pricing Date.
In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with
your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
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.
Prohibition of Sales to UK Retail
Investors
The Notes are not intended to be
offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in the
United Kingdom (“UK”). For these purposes, a UK retail investor means a person who is one (or more) of: (i) a retail client
as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of UK domestic law by virtue of the European Union
(Withdrawal) Act 2018 (as amended, the “EUWA”); (ii) a customer within the meaning of the provisions of the Financial Services
and Markets Act 2000 (as amended, the “FSMA”) and any rules or regulations made under the FSMA to implement Directive (EU)
2016/97, where that customer would not qualify as a professional client as defined in point (8) of Article 2(1) of Regulation (EU) No
600/2014 as it forms part of UK domestic law by virtue of the EUWA; or (iii) not a qualified investor as defined in Article 2 of Regulation
(EU) 2017/1129 as it forms part of UK domestic law by virtue of the EUWA (as amended, the “UK Prospectus Regulation”). Consequently,
no key information document required by Regulation (EU) No 1286/2014 as it forms part of UK domestic law by virtue of the EUWA (as amended,
the “UK PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors in the
United Kingdom has been prepared and therefore offering or
selling the Notes or otherwise making
them available to any retail investor in the United Kingdom may be unlawful under the UK PRIIPs Regulation.
Prohibition of Sales to EEA Retail
Investors
The Notes are not intended to be
offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in the
European Economic Area (“EEA”). For these purposes, an EEA retail investor means a person who is one (or more) of: (i) a retail
client as defined in point (11) of Article 4(1) 2014/65/EU (as amended, “MiFID II”); (ii) a customer within the meaning of
Directive (EU) 2016/97, as amended, where that customer would not qualify as a professional client as defined in point (10) of Article
4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU) 2017/1129 (as amended, the “EU Prospectus Regulation”).
Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the “EU PRIIPs Regulation”)
for offering or selling the Notes or otherwise making them available to retail investors in the European Economic Area has been prepared
and therefore offering or selling the Notes or otherwise making them available to any retail investor in the European Economic Area may
be unlawful under the EU PRIIPs Regulation.
The preceding discussion supersedes
the discussion in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
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