You should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the prospectus supplement dated August 1, 2019 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, the prospectus supplement addendum dated February 18, 2021 and the underlying supplement dated August
1, 2019. This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement, 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.
If the terms set forth in this pricing supplement differ from those
set forth in the prospectus, prospectus supplement, prospectus supplement addendum or underlying supplement, the terms set forth herein
will control.
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):
The range of the estimated values of the Notes referenced above may
not correlate on a linear basis with the range for the Coupon Rate set forth in this pricing supplement. We determined the size of the
range for the Coupon Rate based on prevailing market conditions, as well as the anticipated duration of the marketing period for the Notes.
The final terms for the Notes will be determined on the date the Notes are initially priced for sale to the public (the “Trade Date”)
based on prevailing market conditions on or prior to the Trade 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 Trade 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 Trade 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 Trade 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 Trade 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 Trade Date for a temporary period expected to be approximately three 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.
|
Indicative Terms1
|
|
Issuer:
|
Barclays Bank PLC
|
|
Principal Amount:
|
$10 per Note (subject to minimum investment of 100 Notes)
|
|
Term2:
|
Approximately 1.25 years, unless called earlier at the election of the Issuer
|
|
Reference Assets3:
|
The Nasdaq-100 Index® (Bloomberg ticker symbol “NDX<Index>”) and the S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”) (each an “Underlying” and together the “Underlyings”)
|
|
Issuer Call:
|
The Issuer may elect to call the Notes on any monthly Optional Call Notice Date, beginning on March 9, 2022, regardless of the Closing Level of either Underlying on that Optional Call Notice Date. If the Notes are called, the Issuer will pay the principal amount of your Notes plus the Monthly Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under the Notes.
|
|
Optional Call Notice Dates2:
|
March 9, 2022, April 11, 2022, May 9, 2022, June 9, 2022, July 11, 2022, August 9, 2022, September 9, 2022, October 11, 2022, November 9, 2022, December 9, 2022, January 9, 2023 and February 9, 2023
|
|
Call Settlement Dates2:
|
The Coupon Payment Date immediately following the applicable Optional Call Notice Date
|
|
Coupon Payment Dates2:
|
January 12, 2022, February 11, 2022, March 11, 2022, April 13, 2022, May 11, 2022, June 13, 2022, July 13, 2022, August 11, 2022, September 13, 2022, October 13, 2022, November 14, 2022, December 13, 2022, January 11, 2023, February 13, 2023 and the Maturity Date
|
|
Monthly Coupon:
|
The Monthly Coupon is a fixed amount payable monthly based on the per
annum Coupon Rate, regardless of the performance of either Underlying, subject to an earlier call at the discretion of the Issuer.
The Coupon Rate is between 4.50% and 5.20% per annum. Accordingly, the
Monthly Coupon payable on each Coupon Payment Date is equal to between $0.0375 and $0.0433 per Note. The actual Monthly Coupon amount
will be based on the Coupon Rate as set on the Trade Date.
|
|
Payment at Maturity (per Note):
|
If the Issuer
does not elect to call the Notes and the Final Underlying Level of each Underlying is greater than or equal to its Downside Threshold,
the Issuer will pay you a cash payment on the Maturity Date equal to $10 per Note plus the final Monthly Coupon.
If the Issuer
does not elect to call the Notes and the Final Underlying Level of either Underlying is less than its Downside Threshold, on
the Maturity Date, the Issuer will pay you the final Monthly Coupon, but will repay less than your principal amount, resulting in a percentage
loss of principal equal to the negative Underlying Return of the Lesser Performing Underlying. You will receive a cash payment on the
Maturity Date per Note, calculated as follows:
[$10 × (1 + Underlying Return of the Lesser
Performing Underlying)] + final Monthly Coupon
Accordingly, you may lose a significant portion or all of your
principal at maturity, depending on how much the Lesser Performing Underlying declines, regardless of the performance of the other Underlying.
Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed
by any third party.
|
|
Underlying Return:
|
With respect to each Underlying:
Final Underlying Level – Initial Underlying
Level
Initial Underlying Level
|
|
Lesser Performing Underlying:
|
The Underlying with the lower Underlying Return
|
|
Downside Threshold:
|
With respect to each Underlying, a percentage of the Initial Underlying Level of that Underlying, as specified on the cover of this pricing supplement
|
|
Initial Underlying Level:
|
With respect to each Underlying, the Closing Level of that Underlying on the Trade Date
|
|
Final Underlying Level:
|
With respect to each Underlying, the Closing Level of that Underlying on the Final Valuation Date
|
|
Closing Level3:
|
With respect to each Underlying, Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement.
|
|
Calculation Agent:
|
Barclays Bank PLC
|
|
|
1
|
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
|
|
|
2
|
In the event that we make any change
to the expected Trade Date or Settlement Date, the Optional Call Notice Dates, the Final Valuation Date, the Call Settlement Dates, the
Coupon Payment Dates and/or the Maturity Date may be changed to ensure that the stated term of the Notes remains the same. The
Final Valuation Date may be postponed if the Final Valuation Date
is not a scheduled trading day with respect to either Underlying or if a market disruption event occurs with respect to either Underlying
on the Final Valuation Date as described under “Reference Assets—Indices—Market Disruption Events for Securities with
an Index of Equity Securities as a Reference Asset” and “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” in the prospectus supplement. In addition,
a Coupon Payment Date, a Call Settlement Date and/or the Maturity Date will be postponed if that day is not a business day or, with respect
to the Maturity Date, if the Final Valuation Date is postponed as described
under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
|
|
3
|
If an Underlying is discontinued or if the sponsor of an Underlying
fails to publish that Underlying, the Calculation Agent may select a successor index or, if no successor index is available, will calculate
the value to be used as the Closing Level of that Underlying. In addition, the Calculation Agent will calculate the value to be used
as the Closing Level of an Underlying in the event of certain changes in or modifications to that Underlying. For more information, see
“Reference Assets—Indices—Adjustments Relating to Securities with an Index as a Reference Asset” in the accompanying
prospectus supplement.
|
|
|
Trade Date:
|
|
The Closing Level of each Underlying (the Initial Underlying Level) is observed, the Coupon Rate is set and the Downside Threshold of each Underlying is determined.
|
|
|
|
|
|
|
|
Monthly (callable by Issuer at its election beginning on March 9, 2022):
|
|
The Issuer will pay you the applicable Monthly Coupon.
The Issuer may, at its election and upon written notice to the trustee,
call the Notes on any monthly Optional Call Notice Date, beginning on March 9, 2022, regardless of the Closing Level of either Underlying
on that Optional Call Notice Date. If the Issuer elects to call the Notes, the Issuer will pay the principal amount of your Notes plus
the Monthly Coupon due on the Coupon Payment Date that is also the Call Settlement Date, and no further amounts will be owed to you under
the Notes.
|
|
|
|
|
|
|
|
Maturity Date:
|
|
The Final Underlying Level of each Underlying is determined as of the
Final Valuation Date.
If the Issuer
does not elect to call the Notes and the Final Underlying Level of each Underlying is greater than or equal to its Downside Threshold,
the Issuer will pay you a cash payment on the Maturity Date equal to $10 per Note plus the final Monthly Coupon.
If the Issuer
does not elect to call the Notes and the Final Underlying Level of either Underlying is less than its Downside Threshold, on
the maturity date, the Issuer will pay you the final Monthly Coupon, but will repay less than your principal amount, resulting in a percentage
loss of principal equal to the negative Underlying Return of the Lesser Performing Underlying. You will receive a cash payment on the
Maturity Date per Note, calculated as follows:
[$10 × (1 + Underlying Return of the Lesser
Performing Underlying)] + final Monthly Coupon
Accordingly, you may lose a significant portion or all of your
principal at maturity, depending on how much the Lesser Performing Underlying declines, regardless of the performance of the other Underlying.
|
Investing in the Notes involves significant
risks. You may lose a significant portion or all of your principal amount. You will be exposed to the market risk of each Underlying on
the Final Valuation Date and any decline in the level of one Underlying may negatively affect your return and will not be offset or mitigated
by a lesser decline or any potential increase in the level of the other Underlying. The Final Underlying Level of each Underlying is observed
relative to its Downside Threshold only on the Final Valuation Date, and the contingent repayment of principal applies only if you hold
the Notes to maturity. Generally, the higher the Coupon Rate on a Note, the greater the risk of loss on that Note. Your return potential
on the Notes is limited to the Monthly Coupons paid on the Notes until maturity or earlier call, and you will not participate in any appreciation
of either Underlying. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Barclays Bank
PLC and is not guaranteed by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority, you might not receive any amounts owed to you under the
Notes.
An investment in the Notes involves
significant risks. Investing in the Notes is not equivalent to investing directly in either
or both of the Underlyings or the securities composing the Underlyings. 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
|
|
¨
|
You may lose a significant portion or all of your principal —
The Notes differ from ordinary debt securities in that the Issuer will not necessarily pay the full principal amount of the Notes at maturity.
If the Issuer does not elect to call the Notes, at maturity, the Issuer will pay you the principal amount of your Notes only if the Final
Underlying Level of each Underlying is greater than or equal to its Downside Threshold and will make such payment only at maturity. If
the Issuer does not elect to call the Notes and the Final Underlying Level of either Underlying is less than its Downside Threshold, you
will receive the final Monthly Coupon, but you will be exposed to the full decline in the Lesser Performing Underlying and the Issuer
will repay less than the full principal amount of the Notes at maturity, if anything, resulting in a percentage loss of principal equal
to the negative Underlying Return of the Lesser Performing Underlying. Accordingly, you may lose a significant portion or all of your
principal.
|
|
|
¨
|
Your return potential on the Notes is limited to the Monthly Coupons paid
on the Notes, and you will not participate in any appreciation of either Underlying — Any positive return on the Notes
is limited to the Monthly Coupons that are paid on each Coupon Payment Date until maturity or earlier call, regardless of any appreciation
of either Underlying. If the Notes are called at the election of the Issuer, you will not receive Monthly Coupons or any other payment
after the applicable Call Settlement Date. Because the Notes could be called as early as approximately three months after the Trade Date,
the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the decline in the level of the Lesser
Performing Underlying even though you will not participate in any appreciation of either Underlying.
As a result, the return on an investment in the Notes could be less than the return on a direct investment in either or both of the Underlyings
or the securities composing the Underlyings.
|
|
|
¨
|
You are exposed to the market risk of each Underlying,
with respect to the payment at maturity, if any — Your return on the Notes (other
than the Monthly Coupons) is not linked to a basket consisting of the Underlyings. Rather, it will be contingent upon the independent
performance of each Underlying. 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 Underlying. Poor performance
by either Underlying as of the Final Valuation Date may negatively affect your return and will not be offset or mitigated by any increases
or lesser declines in the level of the other Underlying. If the Notes have not been called prior to maturity and the Final Underlying
Level of either Underlying is less than its Downside Threshold, you will be exposed to the full decline in the Lesser Performing Underlying.
Accordingly, your investment is subject to the market risk of each Underlying.
|
|
|
¨
|
Because the Notes are linked to the Lesser Performing
Underlying, you are exposed to greater risk of sustaining a significant loss of principal at maturity than if the Notes were linked to
a single Underlying — The risk that you will lose a significant portion or all
of your principal amount in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities
that are linked to the performance of a single Underlying. With two Underlyings, it is more likely that the Final Underlying Level of
either Underlying will be less than its Downside Threshold and, therefore, it is more likely that you will suffer a significant loss of
principal at maturity. In addition, the performance of the Underlyings may not be correlated or may be negatively correlated. The lower
the correlation between two Underlyings, the greater the potential for one of those Underlyings to close below its Downside Threshold
on the Final Valuation Date. See “Correlation of the Underlyings” below.
|
It is impossible to
predict what the correlation between the Underlyings will be over the term of the Notes. The Underlyings represent different equity markets.
The Nasdaq-100 Index® represents 100 of the largest non-financial companies listed on The Nasdaq Stock Market and the S&P
500® Index represents the large-capitalization segment of the United States equity market. These different equity markets
may not perform similarly over the term of the Notes.
Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the Coupon Rate is determined, in part, based on the correlation
of the Underlyings’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher
Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for a loss of principal
at maturity. The correlation referenced in setting the terms of the Notes is calculated using our internal models and is not derived from
the returns of the Underlyings over the period set forth under “Correlation of the Underlyings” below. In addition, other
factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the Notes.
|
|
¨
|
If the Issuer does not elect to call the Notes,
the payment at maturity, if any, is calculated based solely on the performance of the Lesser Performing Underlying —
If the Issuer does not elect to call the Notes pursuant to the Call Feature, the payment at maturity (other than the final Monthly Coupon),
if any, will be linked solely to the performance of the Lesser Performing Underlying. As a result, in the event that the Final Underlying
Level of the Lesser Performing Underlying is less than its Downside Threshold, the Underlying Return of only the Lesser Performing Underlying
will be used to determine the payment at maturity (other than the final Monthly Coupon) on your Notes, and you will not benefit from the
performance of the other Underlying, even if the Final Underlying Level of the other Underlying is greater than or equal to its Downside
Threshold or Initial Underlying Level.
|
|
|
¨
|
Call and reinvestment risk — The Issuer may, in its sole
discretion, call the Notes on any monthly Optional Call Notice Date, beginning on March 9, 2022, regardless of the Closing Level of either
Underlying on that Optional Call Notice Date. If the Issuer elects to call the Notes early, the holding period over which you would receive
the per annum Coupon Rate could be as short as approximately three months. In the event the Issuer calls the Notes, there is no guarantee
that you would be able to reinvest the proceeds at a comparable return and/or with a comparable Coupon Rate for a similar level of risk.
|
It is more likely that the Issuer will call
the Notes at its election prior to maturity to the extent that the Monthly Coupons payable on the Notes are greater than the interest
that would be payable on other instruments issued by the Issuer of comparable maturity, terms and credit rating trading in the market.
The greater likelihood of the Issuer calling the Notes in that environment increases the risk that you will not be able to reinvest the
proceeds from the called Notes in an equivalent investment with a similar Coupon Rate. The Issuer is less likely
to call the Notes prior to maturity when
the Monthly Coupons on the Notes are less than the interest that would be payable on other comparable instruments issued by the Issuer.
Therefore, the Notes are more likely to remain outstanding when the Monthly Coupons on the Notes are less than what would be payable on
other comparable instruments.
|
|
¨
|
Any payment on the Notes (other than Monthly Coupons) will be determined based on the Closing Levels of the Underlyings on the
dates specified — Any payment on the Notes (other than Monthly Coupons) will be determined based on the Closing Levels of the
Underlyings on the dates specified. You will not benefit from any more favorable values of the Underlyings determined at any other time.
|
|
|
¨
|
Contingent repayment of principal applies only at maturity —
You should be willing to hold your Notes to maturity. The market value of the Notes may fluctuate between the date you purchase them and
the Final Valuation Date. If you are able to sell your Notes prior to maturity in the secondary market, if any, you may have to sell them
at a loss relative to your principal amount even if at that time the level of either or both of the Underlyings is greater than or equal
to its Downside Threshold.
|
|
|
¨
|
A higher Coupon Rate and/or a lower Downside Threshold may reflect greater
expected volatility of the Underlyings, which is generally associated with a greater risk of loss — Volatility is a measure
of the degree of variation in the levels of the Underlyings over a period of time. The greater the expected volatilities of the Underlyings
at the time the terms of the Notes are set, the greater the expectation is at that time that you may lose a significant portion or all
of your principal at maturity. In addition, the economic terms of the Notes, including the Coupon Rate and the Downside Threshold, are
based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities
will generally be reflected in a higher Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity
and/or on otherwise comparable securities and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly,
a higher Coupon Rate will generally be indicative of a greater risk of loss while a lower Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of returning your principal at maturity. You should be willing to accept the downside market
risk of each Underlying and the potential loss of a significant portion or all of your principal at maturity.
|
|
|
¨
|
Owning the Notes is not the same as owning the securities composing either
or both Underlyings — The return on your Notes may not reflect the return you would realize if you actually owned the
securities composing either or both Underlyings. As a holder of the Notes, you will not have voting rights or rights to receive dividends
or other distributions or other rights that holders of the securities composing either Underlying would have.
|
|
|
¨
|
No assurance that the investment view implicit in the Notes will be successful
— It is impossible to predict whether and the extent to which the level of either Underlying will rise or fall. There can be no
assurance that the level of either Underlying will not close below its Downside Threshold on the Final Valuation Date. The level of each
Underlying will be influenced by complex and interrelated political, economic, financial and other factors that affect that Underlying.
You should be willing to accept the downside risks associated with equities in general and each Underlying in particular, and the risk
of losing a significant portion or all of your principal amount.
|
|
|
¨
|
Tax treatment — Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax advisor about your tax situation. See “What Are the Tax Consequences of
an Investment in the Notes?” on page PS-15 of this pricing supplement.
|
Risks Relating to the Issuer
|
|
¨
|
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.
|
|
|
¨
|
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.
|
Risks Relating
to the Underlyings
|
|
¨
|
Each Underlying reflects the price return of the securities composing that
Underlying, not the total return — The return on the Notes is based on the performance of the Underlyings, which reflect
changes in the market prices of the securities composing each Underlying. Each Underlying is not a “total return” index that,
in addition to reflecting those price returns, would also reflect dividends paid on the securities composing the applicable Underlying.
Accordingly, the return on the Notes will not include such a total return feature.
|
|
|
¨
|
Adjustments to the Underlyings could adversely affect the value of the
Notes — The sponsor of an Underlying may add, delete, substitute or adjust the securities composing that Underlying or
make other methodological changes to that Underlying that could affect its performance. The Calculation Agent will calculate the value
to be used as the Closing Level of an Underlying in the event of certain material changes in or modifications to that Underlying. In addition,
the sponsor of an Underlying may also discontinue or suspend calculation or publication of that Underlying at any time. Under these circumstances,
the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the discontinued Underlying
or, if no successor index is available, the Calculation Agent will determine the value to be used as the Closing Level of that Underlying.
Any of these actions could adversely affect the value of the relevant Underlying 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.
|
|
|
¨
|
Non-U.S. securities risks with respect to the Nasdaq-100 Index®
— Some of the equity securities composing the Nasdaq-100 Index® are issued by non-U.S. companies. Investments in
securities linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home countries
of the issuers of those non-U.S. equity securities. 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.
|
Risks Relating to Conflicts of Interest
|
|
¨
|
Dealer incentives — We, the Agents and affiliates of the
Agents act in various capacities with respect to the Notes. The Agents and various affiliates may act as a principal, agent or dealer
in connection with the Notes. Such Agents, including the sales representatives of UBS Financial Services Inc., will derive compensation
from the distribution of the Notes and such compensation may serve as an incentive to sell these Notes instead of other investments. We
will pay compensation as specified on the cover of this pricing supplement to the Agents in connection with the distribution of the Notes,
and such compensation may be passed on to affiliates of the Agents or other third party distributors.
|
|
|
¨
|
Potentially inconsistent research, opinions or recommendations by Barclays
Capital Inc., UBS Financial Services Inc. or their respective affiliates — Barclays Capital Inc., UBS Financial Services
Inc. or their respective affiliates and agents may publish research from time to time on financial markets and other matters that may
influence the value of the Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the
Notes. Any research, opinions or recommendations expressed by Barclays Capital Inc., UBS Financial Services Inc. or their respective affiliates
or agents may not be consistent with each other and may be modified from time to time without notice. You should make your own independent
investigation of the merits of investing in the Notes and each Underlying.
|
|
|
¨
|
Potential Barclays Bank PLC impact on the levels of the Underlyings
— Trading or transactions by Barclays Bank PLC or its affiliates in the securities composing the Underlyings and/or over-the-counter
options, futures or other instruments with returns linked to the performance of either or both Underlyings or the securities composing
the Underlyings, may adversely affect the level of either Underlying and, therefore, the market value of the Notes.
|
|
|
¨
|
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.
|
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 Underlyings or their components. In any such
market making, trading and hedging activity, investment banking and other financial services, we or our affiliates may take positions
or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates
have no obligation to take the needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such market
making, trading and hedging activity, investment banking and other financial services may negatively impact the value of the Notes.
In
addition, the role played by Barclays Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the
role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or
financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell the
Notes instead of other investments. Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the
public, and the offering price is not based upon any independent verification or valuation.
In
addition to the activities described above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine
any values of the Underlyings 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 an Underlying is to be determined; if an Underlying is discontinued or if the sponsor of an Underlying fails to publish that
Underlying, selecting a successor index or, if no successor index is available, determining any value necessary to calculate any payments
on the Notes; and calculating the value of an Underlying on any date of determination in the event of certain changes in or modifications
to an Underlying. 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
|
|
¨
|
There may be little or no secondary market for the Notes —
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. 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.
|
|
¨
|
Many economic and market factors will impact the value of the Notes —
Structured notes, including the Notes, can be thought of as securities that combine a debt instrument with one or more options or other
derivative instruments. As a result, the factors that influence the values of debt instruments and options or other derivative instruments
will also influence the terms and features of the Notes at issuance and their value in the secondary market. Accordingly, in addition
to the levels of the Underlyings 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:
|
|
|
¨
|
the expected volatility of the Underlyings and the securities composing the Underlyings;
|
|
|
¨
|
correlation (or lack of correlation) of the Underlyings;
|
|
|
¨
|
the time to maturity of the Notes;
|
|
|
¨
|
the market prices of, and dividend rates on, the securities composing the Underlyings;
|
|
|
¨
|
interest and yield rates in the market generally;
|
|
|
¨
|
supply and demand for the Notes;
|
|
|
¨
|
a variety of economic, financial, political, regulatory and judicial events; and
|
|
|
¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
|
¨
|
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 Trade 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.
|
|
|
¨
|
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 Trade 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.
Also, this difference in funding rate as well as certain factors, such as sales commissions, selling concessions, estimated costs and
profits mentioned below, reduces the economic terms of the Notes to you.
|
|
|
¨
|
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 Trade 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.
|
|
|
¨
|
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.
|
|
|
¨
|
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 Trade 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 Trade 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. Please see “Additional Information Regarding Our Estimated Value of the Notes” on page PS-3
for further information.
|
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the payment upon a call or at maturity
for a $10 principal amount Note on a hypothetical offering of the Notes under various scenarios, with the assumptions set forth below.*
You should not take these examples as an indication or assurance of the expected performance of the Notes. The examples below do not take
into account any tax consequences from investing in the Notes. Numbers appearing in the examples below have been rounded for ease of analysis.
In these examples, we refer to the Nasdaq-100 Index® and the S&P 500® Index as the “NDX Index”
and the “SPX Index,” respectively.
|
Term:
|
Approximately 1.25 years (unless called earlier at the election of the Issuer)
|
|
Hypothetical Coupon Rate:
|
4.50% per annum (or 0.375% per month) (the bottom of the range of 4.50% to 5.20% per annum)
|
|
Hypothetical Monthly Coupon:
|
$0.0375 per month
|
|
Hypothetical Initial Underlying Level:
|
100.00 for the NDX Index and 100.00 for the SPX Index
|
|
Hypothetical Downside Threshold:
|
60.00 for the NDX Index and 60.00 for the SPX Index (which, with respect to each Underlying, is 60.00% of the hypothetical Initial Underlying Level of that Underlying)
|
|
Optional Call Notice Dates:
|
Monthly, beginning on March 9, 2022, as set forth under “Indicative Terms” in this pricing supplement
|
|
|
*
|
Terms used for purposes of these hypothetical examples may not represent the actual Coupon Rate per annum, Initial Underlying Levels
or Downside Thresholds. The actual Coupon Rate per annum will be set on the Trade Date. The hypothetical Initial Underlying Levels of
100.00 for the NDX Index and 100.00 for the SPX Index have been chosen for illustrative purposes only and may not represent likely actual
Initial Underlying Levels for the Underlyings. The actual Initial Underlying Level and Downside Threshold of each Underlying will be based
on the Closing Level of that Underlying on the Trade Date. For historical Closing Levels of the Underlyings, please see the historical
information set forth under the sections titled “Nasdaq-100 Index®” and “S&P 500®
Index” below. We cannot predict the Closing Level of either Underlying on any day during the term of the Notes, including on the
Final Valuation Date.
|
The examples below are purely hypothetical. These examples are intended
to illustrate (a) the effect of an Issuer-elected call, (b) how the value of the payment at maturity on the Notes will depend on whether
the Final Underlying Level of either Underlying is less than its Downside Threshold and (c) how the total return on the Notes may be less
than the total return on a direct investment in either or both Underlyings in certain scenarios. The “total return” as used
in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments per Note over the
term of the Notes to the $10 principal amount.
Example 1 — Issuer Elects to Call the Notes on the First Optional
Call Notice Date
|
Date
|
|
|
Payment (per Note)
|
|
First Optional Call Notice Date
|
|
|
Issuer elects to call the Notes on the first Optional Call Notice Date, which occurs approximately three months after the Trade Date. Issuer previously paid the Monthly Coupon of $0.0375 on each of the first two Coupon Payment Dates. On the Call Settlement Date (which is the third Coupon Payment Date), Issuer pays principal plus Monthly Coupon of $0.0375.
|
|
|
Payment on Call Settlement Date:
|
$10.0375 ($10.00 + $0.0375)
|
|
|
Prior Monthly Coupons:
|
$0.075 ($0.0375 × 2)
|
|
|
Total:
|
$10.1125
|
|
|
Total Return:
|
1.125%
|
|
|
|
|
On the first Optional Call Notice Date (which occurs approximately three
months after the Trade Date), the Issuer elects to call the Notes. The Issuer will pay you on the Call Settlement Date $10.0375 per Note,
which is equal to your principal amount plus the Monthly Coupon due on the Coupon Payment Date that is also the Call Settlement
Date. No further amounts will be owed to you under the Notes.
In addition, the Issuer has previously paid the Monthly Coupon of $0.0375
on each of the first two Coupon Payment Dates. Accordingly, the Issuer will have paid a total of $10.1125 per Note for a total return
of 1.125% on the Notes.
Example 2 — Notes Are NOT Called and the Final Underlying Level
of Each Underlying Is At or Above Its Downside Threshold
|
Date
|
|
|
Final Underlying Level
|
|
Payment (per Note)
|
|
Optional Call Notice Dates
|
|
|
N/A
|
|
Issuer does NOT elect to call the Notes on any of the Optional Call Notice Dates. Therefore, the Issuer pays the Monthly Coupon of $0.0375 on each of the first fourteen Coupon Payment Dates that occur prior to the Final Valuation Date.
|
|
Final Valuation Date
|
|
|
NDX Index: 80.00
SPX Index: 110.00
|
|
Notes NOT callable. Final Underlying Level of each Underlying at or above its Downside Threshold; Issuer pays principal plus the final Monthly Coupon of $0.0375 on Maturity Date.
|
|
|
Payment at Maturity:
|
$10.0375 ($10.00 + $0.0375)
|
|
|
Prior Monthly Coupons:
|
$0.525 ($0.0375 × 14)
|
|
|
Total:
|
$10.5625
|
|
|
Total Return:
|
5.625%
|
|
|
|
|
In this example, the Issuer does not elect to call the Notes and the
Notes remain outstanding until maturity. Because the Final Underlying Level of each Underlying is greater than or equal to its Downside
Threshold, the Issuer will pay you on the Maturity Date $10.0375 per Note, which is equal to your principal amount plus the final
Monthly Coupon.
In addition, the Issuer has previously paid the Monthly Coupon of $0.0375
on each of the first fourteen Coupon Payment Dates that occur prior to the Final Valuation Date. Accordingly, the Issuer will have paid
a total of $10.5625 per Note for a total return of 5.625% on the Notes.
Example 3 — Notes Are NOT Called and the Final Underlying Level
of At Least One Underlying Is Below Its Downside Threshold
|
Date
|
|
|
Final Underlying Level
|
|
Payment (per Note)
|
|
Optional Call Notice Dates
|
|
|
N/A
|
|
Issuer does NOT elect to call the Notes on any of the Optional Call Notice Dates. Therefore, the Issuer pays the Monthly Coupon of $0.0375 on each of the first fourteen Coupon Payment Dates that occur prior to the Final Valuation Date.
|
|
Final Valuation Date
|
|
|
NDX Index: 110.00
SPX Index: 45.00
|
|
Notes NOT callable. Final Underlying Level of SPX Index below its Downside Threshold. On the Maturity Date, the Issuer will pay the final Monthly Coupon, but will repay less than the principal amount, resulting in a percentage loss of principal equal to the decline of the Lesser Performing Underlying.
|
|
|
|
Payment at Maturity:
|
$4.5375 ($4.50 + $0.0375)
|
|
|
|
Prior Monthly Coupons:
|
$0.525 ($0.0375 × 14)
|
|
|
|
Total:
|
$5.0625
|
|
|
|
Total Return:
|
-49.375%
|
|
|
|
|
|
In this example, the Issuer does not elect to call the Notes and the
Notes remain outstanding until maturity. Because the Final Underlying Level of at least one Underlying is less than its Downside Threshold
on the Final Valuation Date, at maturity, the Issuer will pay the final Monthly Coupon, but will repay less than the principal amount,
resulting in a loss of principal proportionate to the decline of the Lesser Performing Underlying. The payment at maturity will be calculated
as follows:
[$10 × (1 + Underlying Return of the Lesser
Performing Underlying)] + final Monthly Coupon
Step 1: Calculate the Underlying
Return of each Underlying:
Underlying
Return of the NDX Index:
|
Final Underlying Level – Initial Underlying Level
|
=
|
110.00 – 100.00
|
= 10.00%
|
|
Initial Underlying Level
|
100.00
|
Underlying
Return of the SPX Index:
|
Final Underlying Level – Initial Underlying Level
|
=
|
45.00 – 100.00
|
= -55.00%
|
|
Initial Underlying Level
|
100.00
|
Step 2: Determine the Lesser
Performing Underlying: The SPX Index is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment
at Maturity:
[$10 × (1 + Underlying Return of the Lesser
Performing Underlying)] + final Monthly Coupon
= [$10 × (1 + -55.00%)] + $0.0375
= $4.50 + $0.0375
= $4.5375
In addition, the Issuer has previously paid the Monthly Coupon of $0.0375
on each of the first fourteen Coupon Payment Dates that occur prior to the Final Valuation Date. Accordingly, the Issuer will have paid
a total of $5.0625 per Note for a total return of -49.375% on the Notes.
|
What Are the Tax Consequences of an Investment in the Notes?
|
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
Put Options and Deposits” 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.
Due to the lack of direct legal authority, there is substantial uncertainty
regarding the U.S. federal income tax consequences of an investment in the Notes. Our special tax counsel believes that it is reasonable
to treat a Note for U.S. federal income tax purposes as a put option (the “Put Option”) written by you to us with respect
to the Lesser Performing Underlying, secured by a cash deposit equal to the initial issue price of the Notes (the “Deposit”),
which will have an annual yield based on our cost of borrowing, as shown below. If this treatment is respected, only a portion of each
Monthly Coupon will be attributable to interest on the Deposit; the remainder will represent premium attributable to your grant of the
Put Option (“Put Premium”). We will determine the portion of each Monthly Coupon that we will allocate to interest on the
Deposit and to Put Premium, respectively, and will provide that allocation in the pricing supplement for the Notes. By purchasing the
Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently with the treatment and allocation as described above.
We will follow this approach in determining our information reporting responsibilities, if any. The following discussion supersedes the
discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Assuming the treatment and allocation described above are respected,
interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to the taxable disposition
of the Notes (including upon early redemption or at maturity). Assuming that you are an initial purchaser of Notes purchasing the Notes
at the initial issue price for cash, (i) if your Notes are called or held to maturity and the Put Option expires unexercised (i.e.,
you receive a cash payment—not including the final Monthly Coupon—at maturity equal to the amount of the Deposit), you will
recognize short-term capital gain in an amount equal to the total Put Premium received, and (ii) if, instead, the Put Option is deemed
to be exercised at maturity (i.e., you receive a cash payment at maturity—not including the final Monthly Coupon—that
is less than the amount of the Deposit), you will recognize short-term capital gain or loss in an amount equal to the difference between
(x) the total Put Premium received and (y) the cash settlement value of the Put Option (i.e., the amount of the Deposit minus the
cash you receive at maturity, not including the final Monthly Coupon).
There are, however, other reasonable treatments that the Internal Revenue
Service (the “IRS”) or a court may adopt for the Notes, in which case the timing and character of your income or loss 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 on a number
of issues, the most relevant of which for investors in the Notes are the character of income or loss (including whether the Put Premium
might be currently included as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject
to withholding tax. While it is not clear whether the Notes would be viewed as similar to the typical prepaid forward contract described
in the notice, it is possible that 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 all aspects of the U.S. federal income tax consequences of an investment in the Notes, including possible alternative
treatments and the issues presented by this notice. Purchasers who are not initial purchasers of Notes at the initial issue price should
also consult their tax advisors with respect to the tax consequences of an investment in the Notes, including possible alternative treatments,
as well as the allocation of the purchase price of the Notes between the Deposit and the Put Option.
The discussions above and in the accompanying prospectus supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
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 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. 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.
Consistent with the position described above, below are the portions
of each Monthly Coupon that we intend, in determining our reporting responsibilities (if any), to treat as attributable to interest on
the Deposit and to Put Premium:
Coupon Rate
per Annum(1)
|
Interest on Deposit
per Annum(1)
|
Put Premium
per Annum(1)
|
|
%
|
%
|
%
|
|
(1) To be determined on the Trade Date
|
The Nasdaq-100 Index® (the “NDX Index”) is
a modified market capitalization-weighted index that is designed to measure the performance of 100 of the 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 Information
The following graph sets forth the historical performance of the NDX
Index from January 2, 2008 through December 6, 2021, based on the daily Closing Levels of the NDX Index. The Closing Level of the NDX
Index on December 6, 2021 was 15,846.16. The dotted line represents a hypothetical Downside Threshold of 9,507.70, which is equal to 60.00%
of the Closing Level of the NDX Index on December 6, 2021. The actual Downside Threshold for the NDX Index will be determined on the Trade
Date and will be based on the Initial Underlying Level of the NDX Index.
We obtained the Closing Levels of the NDX Index from Bloomberg Professional®
service (“Bloomberg”), without independent verification. Historical performance of the NDX Index should not be taken as an
indication of future performance. Future performance of the NDX Index may differ significantly from historical performance, and no assurance
can be given as to the Closing Level of the NDX Index during the term of the Notes, including on the Final Valuation Date. We cannot give
you assurance that the performance of the NDX Index will not result in a loss of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
The 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 Information
The following graph sets forth the historical performance of the SPX
Index from January 2, 2008 through December 6, 2021, based on the daily Closing Levels of the SPX Index. The Closing Level of the SPX
Index on December 6, 2021 was 4,591.67. The dotted line represents a hypothetical Downside Threshold of 2,755.00, which is equal to 60.00%
of the Closing Level of the SPX Index on December 6, 2021. The actual Downside Threshold for the SPX Index will be determined on the Trade
Date and will be based on the Initial Underlying Level of the SPX Index.
We obtained the Closing Levels of the SPX Index from Bloomberg, without
independent verification. Historical performance of the SPX Index should not be taken as an indication of future performance. Future performance
of the SPX Index may differ significantly from historical performance, and no assurance can be given as to the Closing Level of the SPX
Index during the term of the Notes, including on the Final Valuation Date. We cannot give you assurance that the performance of the SPX
Index will not result in a loss of your principal amount.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
|
Correlation of the Underlyings
|
The following graph sets forth the historical performances of the Nasdaq-100
Index® and the S&P 500® Index from January 2, 2008 through December 6, 2021, based on the daily Closing
Levels of the Underlyings. For comparison purposes, each Underlying has been normalized to have a Closing Level of 100.00 on January 2,
2008 by dividing the Closing Level of that Underlying on each day by the Closing Level of that Underlying on January 2, 2008 and multiplying
by 100.00.
We obtained the Closing Levels used to determine the normalized Closing
Levels set forth below from Bloomberg, without independent verification. Historical performance of the Underlyings should not be taken
as an indication of future performance. Future performance of the Underlyings may differ significantly from historical performance, and
no assurance can be given as to the Closing Levels of the Underlyings during the term of the Notes, including on the Final Valuation Date.
We cannot give you assurance that the performances of the Underlyings will not result in a loss of your principal amount.
PAST PERFORMANCE AND CORRELATION OF THE UNDERLYINGS
ARE NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e., the
value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating
no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating perfect
negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the ratio of their
returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each
Underlying relative to each other over the time period shown and provides an indication of how close the relative performance of each
Underlying has historically been to the other Underlying. However, the graph does not provide a precise measurement of the correlation
of the Underlyings. Moreover, any historical correlation of the Underlyings is not indicative of the degree of correlation of the Underlyings,
if any, that will be experienced over the term of the Notes.
The lower (or more negative) the correlation between the Underlyings,
the less likely it is that the Underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the Underlyings to close below its Downside Threshold on the Final Valuation Date. This is because the less positively correlated
the Underlyings are, the greater the likelihood that at least one of the Underlyings will decrease in value. However, even if the Underlyings
have a higher positive correlation, one or both of the Underlyings might close below its Downside Threshold on the Final Valuation Date,
as both of the Underlyings may decrease in value together.
Although the correlation of the Underlyings’ performance may change
over the term of the Notes, the Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance calculated
using our internal models at the time when the terms of the Notes are finalized. A higher Coupon Rate is generally associated with lower
correlation of the Underlyings, which reflects a greater potential for a loss of principal at maturity. The correlation referenced in
setting the terms of the Notes is calculated using our internal models and is not derived from the returns of the Underlyings over the
period set forth above. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and
the performance of the Notes.