See “Additional Information about the
Issuer and the Securities” on page PS-5 of this pricing supplement. The securities will have the terms specified in the prospectus
dated August 1, 2019, the prospectus supplement dated August 1, 2019, the prospectus supplement addendum dated February 18, 2021 and the
underlying supplement dated August 1, 2019, as supplemented or superseded by this pricing supplement.
The securities have complex features and investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations”
on page PS-12 herein and “Risk Factors” beginning on page S-7 of the prospectus supplement.
The securities constitute our unsecured and
unsubordinated obligations. The securities are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial
Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit
insurance agency of the United States, the United Kingdom or any other jurisdiction.
Neither the U.S. Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of these securities or determined that this pricing
supplement is truthful or complete. Any representation to the contrary is a criminal offense.
We may use this document in the initial sale
of the securities. In addition, Barclays Capital Inc. or another of our affiliates may use this document in market resale transactions
in any of the securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this document
is being used in a market resale transaction.
Notwithstanding and to the exclusion of any
other term of the securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial
owner of the securities, by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees
to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent
to U.K. Bail-in Power” on page PS-7 of this pricing supplement.
Additional
Information about the Issuer and the Securities
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 securities 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 securities and supersedes
all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth under “Risk Factors” in the prospectus supplement and “Selected
Risk Considerations” in this pricing supplement, as the securities 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 securities.
To the extent the information or terms in this
pricing supplement are different from or inconsistent with the information or terms in the prospectus, prospectus supplement, prospectus
supplement addendum or underlying supplement, the information and terms in this pricing supplement 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):
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Prospectus Supplement Addendum dated February 18,
2021:
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http://www.sec.gov/Archives/edgar/data/312070/000095010321002483/dp146316_424b3.htm
Our SEC file number is 1-10257. As used in this
pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Additional
Information Regarding Our Estimated Value of the Securities
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 securities 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 securities on the pricing
date is less than the original offering price of the securities. The difference between the original offering price of the securities
and our estimated value of the securities results from several factors, including any sales commissions to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, the estimated cost
that we may incur in hedging our obligations under the securities, and estimated development and other costs that we may incur in connection
with the securities.
Our estimated value on the pricing date is not
a prediction of the price at which the securities may trade in the secondary market, nor will it be the price at which Barclays Capital
Inc. may buy or sell the securities 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 securities 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 securities 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 three months after the initial issue
date of the securities because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost
of hedging our obligations under the securities and other costs in connection with the securities that we will no longer expect to incur
over the term of the securities. 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 securities and/or any agreement we may have with the distributors of the securities.
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 securities 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-12 of this pricing supplement.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Consent
to U.K. Bail-in Power
Notwithstanding and to the exclusion of any
other term of the securities or any other agreements, arrangements or understandings between us and any holder or beneficial owner of
the securities, by acquiring the securities, each holder and beneficial owner of the securities acknowledges, accepts, agrees to be bound
by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
Under the U.K. Banking Act 2009, as amended, the
relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution authority
is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment firm is failing or is likely
to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold conditions for authorization
to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that
is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant EEA or third
country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The U.K. Bail-in Power includes any write-down,
conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of
the principal amount of, interest on, or any other amounts payable on, the securities; (ii) the conversion of all, or a portion, of the
principal amount of, interest on, or any other amounts payable on, the securities into shares or other securities or other obligations
of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the securities such shares,
securities or obligations); (iii) the cancellation of the securities and/or (iv) the amendment or alteration of the maturity of the securities,
or amendment of the amount of interest or any other amounts due on the securities, or the dates on which interest or any other amounts
become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation
of the terms of the securities solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in Power.
Each holder and beneficial owner of the securities further acknowledges and agrees that the rights of the holders or beneficial owners
of the securities are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by
the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the securities may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K.
resolution authority in breach of laws applicable in England.
For more information, please see “Selected
Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is
Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is
failing or likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks Relating
to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power
by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
The preceding discussion supersedes the discussion
in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Investor
Considerations
The securities are not suitable for all investors.
The securities may be a suitable investment for you if all of the following statements are true:
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You do not seek an investment
that produces fixed periodic interest or coupon payments or other non-contingent sources of current income.
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You do not anticipate that the
ending level of the lowest performing Index on the final calculation day will be less than its threshold level, and you are willing and
able to accept the risk that, if it is, you will lose more than 25%, and possibly all, of the original offering price at stated maturity.
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You do not anticipate that the
closing level of the lowest performing Index will be less than its threshold level on any calculation day, and you are willing and able
to accept the risk that, if it is, you may receive few or no contingent coupon payments over the term of the securities.
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You are willing and able to
accept the individual market risk of each Index and you understand that poor performance by any Index over the term of the securities
may negatively affect your return and will not be offset or mitigated by any positive performance by the other Indices.
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You are willing and able to
forgo participation in any appreciation of any Index, and you understand that any return on your investment will be limited to the contingent
coupon payments that may be payable on the securities.
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You are willing and able to
accept the risks associated with an investment linked to the performance of the lowest performing Index, as explained in more detail in
the “Selected Risk Considerations” section of this pricing supplement.
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You understand and accept that
you will not be entitled to receive dividends or distributions that may be paid to holders of the securities composing the Indices, nor
will you have any voting rights with respect to the securities composing the Indices.
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You are willing and able to
accept the risk that the securities may be automatically called prior to stated maturity and that you may not be able to reinvest your
money in an alternative investment with comparable risk and yield.
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You do not seek an investment
for which there will be an active secondary market and you are willing and able to hold the securities to stated maturity if the securities
are not automatically called.
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You are willing and able to
assume our credit risk for all payments on the securities.
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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 securities may not be a suitable
investment for you if any of the following statements are true:
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You seek an investment that produces fixed periodic
interest or coupon payments or other non-contingent sources of current income.
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You seek an investment that provides for the
full repayment of principal at stated maturity.
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You anticipate that the ending level of the lowest
performing Index on the final calculation day will be less than its threshold level, or you are unwilling or unable to accept the risk
that, if it is, you will lose more than 25%, and possibly all, of the original offering price at stated maturity.
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You anticipate that the closing level of the
lowest performing Index will be less than its threshold level on any calculation day, or you are unwilling or unable to accept the risk
that, if it is, you may receive few or no contingent coupon payments over the term of the securities.
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You are unwilling or unable to accept the individual
market risk of each Index or the risk that poor performance by any Index over the term of the securities may negatively affect your return
and will not be offset or mitigated by any positive performance by the other Indices.
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You seek exposure to any upside performance of
the Indices or you seek an investment with a return that is not limited to the contingent coupon payments that may be payable on the securities.
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You are unwilling or unable to accept the risks
associated with an investment linked to the performance of the lowest performing Index, as explained in more detail in the “Selected
Risk Considerations” section of this pricing supplement.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
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You seek an investment that entitles you to dividends
or distributions on, or voting rights related to, the securities composing the Indices.
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You are unwilling or unable to accept the risk
that the securities may be automatically called prior to stated maturity.
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You seek an investment for which there will be
an active secondary market and/or you are unwilling or unable to hold the securities to stated maturity if they are not automatically
called.
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You are unwilling or unable to assume our credit
risk for all payments on the securities.
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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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The suitability considerations identified above
are not exhaustive. Whether or not the securities are a suitable investment for you will depend on your individual circumstances, and
you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the suitability of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected
Risk Considerations” beginning on page PS-12 of this pricing supplement and the “Risk Factors” beginning on page S-7
of the accompanying prospectus supplement for risks related to an investment in the securities. For more information about the Indices,
please see the sections titled “The Nasdaq-100 Index®,” “The Russell 2000® Index”
and “The S&P 500® Index” below.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Determining
Payment on a Contingent Coupon Payment Date and at Maturity
On each quarterly contingent coupon payment date
prior to the stated maturity date, whether the securities are automatically called and whether you receive a contingent coupon payment
will each be determined based on the closing level of the lowest performing Index on the related quarterly calculation day.
Step 1: Determine which Index is the lowest
performing Index on the relevant calculation day prior to the final calculation day. The lowest performing Index on any calculation day
is the Index that has the lowest performance factor on that calculation day, calculated for each Index as the closing level of that Index
on that calculation day divided by its starting level.
Step 2: Determine if the securities are
automatically called and whether a contingent coupon is paid on the applicable contingent coupon payment date prior to the stated maturity
date, based on the closing level of the lowest performing Index on the relevant calculation day, as follows:
On the stated maturity date, if the securities
have not been automatically called prior to the stated maturity date, you will receive a cash payment per security calculated as described
below.
Step 1: Determine which Index is the lowest
performing Index on the final calculation day. The lowest performing Index on the final calculation day is the Index that has the lowest
performance factor on the final calculation day, calculated for each Index as its ending level divided by its starting level.
Step 2: Calculate the maturity payment
amount based on the ending level of the lowest performing Index on the final calculation day, as follows:
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Hypothetical
Payout Profile
The following profile illustrates the potential
maturity payment amount on the securities (excluding any contingent coupon payment otherwise due) for a range of hypothetical performances
of the lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities have
not been automatically called prior to the stated maturity date. This graph has been prepared for purposes of illustration only. Your
actual return will depend on the actual ending level of the lowest performing Index on the final calculation day and whether you hold
your securities to stated maturity. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in any or all of the Indices or their components. Some of the
risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of risks
relating to the securities generally in the “Risk Factors” section of the prospectus supplement. You should not purchase the
securities unless you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities Generally
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If The Securities Are Not Automatically Called
Prior to Stated Maturity, You May Lose Some Or All Of The Original Offering Price Of Your Securities At Stated Maturity — We
will not repay you a fixed amount on your securities at stated maturity. If the securities are not automatically called prior to stated
maturity, you will receive a maturity payment amount that will be equal to or less than the original offering price, depending on the
ending level of the lowest performing Index on the final calculation day.
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If the ending level
of the lowest performing Index on the final calculation day is less than its threshold level, the maturity payment amount will be reduced
by an amount equal to the decline in the level of the lowest performing Index from its starting level (expressed as a percentage of its
starting level). The threshold level for each Index is 75% of its starting level. For example, if the securities are not automatically
called and the lowest performing Index on the final calculation day has declined by 25.1% from its starting level to its ending level,
you will not receive any benefit of the contingent downside protection feature and you will lose 25.1% of the original offering price.
As a result, you will not receive any protection if the level of the lowest performing Index on the final calculation day declines significantly
and you may lose some, and possibly all, of the original offering price at stated maturity, even if the level of the lowest performing
Index is greater than or equal to its starting level or its threshold level at certain times during the term of the securities.
Even if the ending
level of the lowest performing Index on the final calculation day is greater than its threshold level, the maturity payment amount will
not exceed the original offering price, and your yield on the securities, taking into account any contingent coupon payments you may have
received during the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt
security of Barclays Bank PLC or another issuer with a similar credit rating.
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The Securities Do Not Provide For Fixed Payments
Of Interest And You May Receive No Coupon Payments On One Or More Quarterly Contingent Coupon Payment Dates, Or Even Throughout The Entire
Term Of The Securities — On each quarterly contingent coupon payment date you will receive a contingent coupon payment if the
closing level of the lowest performing Index on the related calculation day is greater than or equal to its threshold level. If the closing
level of the lowest performing Index on any calculation day is less than its threshold level, you will not receive any contingent coupon
payment on the related contingent coupon payment date, and if the closing level of the lowest performing Index is less than its threshold
level on each calculation day over the term of the securities, you will not receive any contingent coupon payments over the entire term
of the securities.
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The Securities Are Subject To The Full Risks
Of Each Index And Will Be Negatively Affected If Any Index Performs Poorly, Even If The Other Indices Perform Favorably — You
are subject to the full risks of each Index. If any Index performs poorly, you will be negatively affected, even if the other Indices
perform favorably. The securities are not linked to a basket composed of the Indices, where the better performance of some Indices could
offset the poor performance of others. Instead, you are subject to the full risks of whichever Index is the lowest performing Index on
each calculation day. As a result, the securities are riskier than an alternative investment linked to only one of the Indices or linked
to a basket composed of each Index. You should not invest in the securities unless you understand and are willing to accept the full downside
risks of each Index.
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You May Be Fully Exposed To The Decline In
The Lowest Performing Index On The Final Calculation Day From Its Starting Level, But Will Not Participate In Any Positive Performance
Of Any Index — Even though you will be fully exposed to a decline in the level of the lowest performing Index on the final calculation
day if its ending level is below its threshold level, you will not participate in any increase in the level of any Index over the term
of the securities. Your maximum possible return on the securities will be limited to the sum of the contingent coupon payments you receive,
if any. Consequently, your return on the securities may be significantly less than the return you could achieve on an alternative investment
that provides for participation in an increase in the level of any or each Index.
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Your Return On The Securities Will Depend
Solely On The Performance Of The Index That Is The Lowest Performing Index On Each Calculation Day, And You Will Not Benefit In Any Way
From The Performance Of The Better Performing Indices — Your return on the securities will depend solely on the performance
of the Index that is the lowest performing Index on each calculation day. Although it is necessary for each Index to close above its respective
threshold level on the relevant calculation day in order for you to receive a quarterly contingent coupon payment and for you to be repaid
the original offering price of your securities at maturity, you will not benefit in any way from the performance of the better performing
Indices. The securities may underperform an alternative investment linked to a basket composed of the Indices, since in such case the
performance of the better performing Indices would be blended with the performance of the lowest performing Index, resulting in a better
return than the return of the lowest performing Index alone.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
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Higher Contingent Coupon Rates Are Associated
With Greater Risk — The securities offer contingent coupon payments at a higher rate, if paid, than the fixed rate we would
pay on conventional debt securities of the same maturity. These higher potential contingent coupon payments are associated with greater
levels of expected risk as of the pricing date as compared to conventional debt securities, including the risk that you may not receive
a contingent coupon payment on one or more, or any, contingent coupon payment dates and the risk that you may lose a substantial portion,
and possibly all, of the original offering price at maturity. The volatility of the Indices and the correlation among the Indices are
important factors affecting this risk. Volatility is a measure of the degree of variation in the levels of the Indices over a period of
time. Volatility can be measured in a variety of ways, including on a historical basis or on an expected basis as implied by option prices
in the market. The correlation of a pair of Indices represents a statistical measurement of the degree to which the returns of those Indices
are similar to each other over a given period in terms of timing and direction. Greater expected volatility of the Indices or lower expected
correlation among the Indices as of the pricing date may result in a higher contingent coupon rate, but it also represents a greater expected
likelihood as of the pricing date that the closing level of at least one Index will be less than its threshold level on one or more calculation
days, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that the closing
level of at least one Index will be less than its threshold level on the final calculation day such that you will lose a substantial portion,
and possibly all, of the original offering price at maturity. In general, the higher the contingent coupon rate is relative to the fixed
rate we would pay on conventional debt securities, the greater the expected risk that you will not receive one or more, or any, contingent
coupon payments during the term of the securities and that you will lose a substantial portion, and possibly all, of the original offering
price at maturity.
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You Will Be Subject To Reinvestment Risk —
If your securities are automatically called, the term of the securities may be reduced to as short as approximately six months. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar
level of risk in the event the securities are automatically called prior to maturity.
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You Will Be Subject To Risks Resulting From
The Relationship Between The Indices — The correlation of a pair of Indices represents a statistical measurement of the degree
to which the returns of those Indices are similar to each other over a given period in terms of timing and direction. By investing in
the securities, you assume the risk that the returns of the Indices will not be correlated. The less correlated the Indices, the more
likely it is that any one of the Indices will be performing poorly at any time over the term of the securities. All that is necessary
for the securities to perform poorly is for one of the Indices to perform poorly; the performance of the better performing Indices is
not relevant to your return on the securities. It is impossible to predict what the relationship between the Indices will be over the
term of the securities. Each Index represents a different equity market. The Nasdaq-100 Index® represents 100 of the largest
non-financial securities listed on The Nasdaq Stock Market, the Russell 2000® Index represents the small-capitalization
segment of the United States equity 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 securities.
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Any Payment On The Securities Will Be Determined
Based On The Closing Levels Of The Indices On The Dates Specified — Any payment on the securities will be determined based on
the closing levels of the Indices on the dates specified. You will not benefit from any more favorable values of the Indices determined
at any other time.
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Owning The Securities Is Not The Same As Owning
The Securities Composing Any Or All Of The Indices — The return on your securities may not reflect the return you would realize
if you actually owned the securities composing any or all of the Indices. For instance, as a holder of the securities, you will not have
voting rights or rights to receive cash dividends or other distributions or any other rights that holders of the securities composing
any Index would have.
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No Assurance That The Investment View Implicit
In The Securities Will Be Successful — It is impossible to predict whether and the extent to which the level of any Index will
rise or fall. There can be no assurance that the level of any Index will not close below its threshold level on any calculation day. The
level of each Index will be influenced by complex and interrelated political, economic, financial and other factors that affect that Index
and the component securities of that Index. You should be willing to accept the downside risks associated with equities in general and
each Index in particular, and the risk of losing a significant portion or all of the original offering price.
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Tax Treatment — Significant aspects
of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See “Tax Considerations”
below.
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Risks Relating to the Issuer
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The Securities Are Subject To The Credit Risk
Of Barclays Bank PLC — The securities 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 securities, 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 securities
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 securities.
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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 securities or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial
owner of the securities, by acquiring the
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
securities, each
holder and beneficial owner of the securities 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 securities losing all or a part of the value of your investment in the securities or receiving a different security from
the securities, which may be worth significantly less than the securities 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 securities. The exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority with respect to the securities 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 securities. 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 Indices
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There Are Risks Associated With Investments
In Securities Linked To The Value Of Non-U.S. Equity Securities 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 securities, 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.
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The Securities Are Subject To Small-Capitalization
Companies Risk With Respect To The Russell 2000® Index — The Russell 2000® Index tracks companies
that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies, and therefore securities linked to the Russell 2000® Index may be more
volatile than an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization
companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition,
small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number
of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage
and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse
product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
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Each Index Reflects The Price Return Of The
Securities Composing That Index, Not The Total Return — The return on the securities is based on the performance of the Indices,
which reflect changes in the market prices of the securities composing each Index. Each Index 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 Index.
Accordingly, the return on the securities will not include such a total return feature.
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We Cannot Control Actions Of Any Of The Unaffiliated
Companies Whose Securities Are Included As Components Of The Indices — Actions by any company whose securities are components
of an Index may have an adverse effect on the price of its security, the closing level of such Index on any calculation day, the ending
level of such Index and the value of the securities. These unaffiliated companies will not be involved in the offering of the securities
and will have no obligations with respect to the securities, including any obligation to take our or your interests into consideration
for any reason. These companies will not receive any of the proceeds of the offering of the securities and will not be responsible for,
and will not have participated in, the determination of the timing of, prices for, or quantities of, the securities to be issued. These
companies will not be involved with the administration, marketing or trading of the securities and will have no obligations with respect
to any amounts to be paid to you on the securities.
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We And Our Affiliates Have No Affiliation
With Any Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information — We, our affiliates and WFS
and its affiliates are not affiliated in any way with any index sponsor and have no ability to control or predict their actions, including
any errors in or discontinuation of disclosure regarding the methods or policies relating to the calculation of the applicable Index.
We have derived the information about each Index contained in this pricing supplement and the accompanying underlying supplement from
publicly available information, without independent verification. You, as an investor in the securities, should make your own investigation
into each Index and the index sponsors. The index sponsors will not be involved in the offering of the securities made hereby in any way,
and the index sponsors do not have any obligation to consider your interests as an owner of the securities in taking any actions that
might affect the value of the securities.
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Adjustments To The Indices Could Adversely
Affect The Value Of The Securities And The Amount You Will Receive At Maturity — The sponsor of an Index (an “index
sponsor”) may add, delete, substitute or adjust the securities composing that Index or make other methodological changes to
that Index that could affect its performance. The calculation agent will calculate the value to be used as the closing level of an Index
in the event of certain material changes in or modifications to that Index. In addition, an index sponsor may also discontinue or suspend
calculation or publication of that Index at any time. Under these circumstances,
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
the calculation
agent may select a successor index that the calculation agent determines to be comparable to the discontinued index or, if no successor
index is available, the calculation agent will determine the value to be used as the closing level of that Index. Any of these actions
could adversely affect the value of the relevant Index and, consequently, the value of the securities. See “Additional Terms of
the Securities—Adjustments to an Index” and “Additional Terms of the Securities—Discontinuance of an Index”
in this pricing supplement.
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The Historical Performance Of The Indices
Is Not An Indication Of Their Future Performance — The historical performance of the Indices should not be taken as an indication
of the future performance of the Indices. It is impossible to predict whether the closing levels of the Indices will fall or rise during
the term of the securities, in particular in the environment in the last several years, which has been characterized by volatility across
a wide range of asset classes. Past fluctuations and trends in the levels of the Indices are not necessarily indicative of fluctuations
or trends that may occur in the future.
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Risks Relating to Conflicts of Interest
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Potentially Inconsistent Research, Opinions
Or Recommendations By Barclays Capital Inc., WFS Or Their Respective Affiliates — Barclays Capital Inc., WFS or their respective
affiliates may publish research from time to time on financial markets and other matters that may influence the value of the securities
or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions
or recommendations expressed by Barclays Capital Inc., WFA or their respective affiliates 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 each Index and the merits of investing
in the securities.
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We, Our Affiliates And Any Other Agent And/Or
Participating Dealer May Engage In Various Activities Or Make Determinations That Could Materially Affect Your Securities In Various Ways
And Create Conflicts Of Interest — We, our affiliates, WFS and any dealer participating in the distribution of the securities
(a “participating dealer”) may play a variety of roles in connection with the issuance of the securities, as described
below. In performing these roles, our economic interests and the economic interests of our affiliates, WFS and any participating dealer
are potentially adverse to your interests as an investor in the securities.
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In connection with
our normal business activities and in connection with hedging our obligations under the securities, 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 Indices 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 securities. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the securities 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 securities. Participating
dealers may also engage in such activities that may negatively impact the value of the securities.
In addition, the
role played by Barclays Capital Inc., as the agent for the securities, could present significant conflicts of interest with the role of
Barclays Bank PLC, as issuer of the securities. For example, Barclays Capital Inc. or its representatives may derive compensation or financial
benefit from the distribution of the securities and such compensation or financial benefit may serve as an incentive to sell the securities
instead of other investments. Furthermore, we and our affiliates establish the offering price of the securities for initial sale to the
public, and the offering price is not based upon any independent verification or valuation.
Furthermore, if any
dealer participating in the distribution of the securities or any of its affiliates conducts hedging activities for us in connection with
the securities, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities, and
this projected profit will be in addition to any selling concession and/or any fee that the participating dealer realizes for the sale
of the securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities
to you.
In addition to the
activities described above, Barclays Bank PLC will also act as the calculation agent for the securities. As calculation agent, we will
determine any levels of the Indices and make any other determinations necessary to calculate any payments on the securities. 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 level of an Index is to be determined; if an Index is discontinued or if the sponsor of an Index fails to
publish that Index, selecting a successor index or, if no successor index is available, determining any value necessary to calculate any
payments on the securities; and calculating the level of an Index on any date of determination in the event of certain changes in or modifications
to an Index. In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor
in the securities, and any of these determinations may adversely affect any payments on the securities. Absent manifest error, all determinations
of the calculation agent will be final and binding, without any liability on the part of the calculation agent. You will not be entitled
to any compensation from Barclays Bank PLC for any loss suffered as a result of any determinations made by the calculation agent with
respect to the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Risks Relating to the Estimated
Value of the Securities and the Secondary Market
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The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop — The securities 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 securities 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 securities easily. Because other dealers are not likely
to make a secondary market for the securities, the price at which you may be able to trade your securities 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 securities. The securities
are not designed to be short-term trading instruments. Accordingly, you should be willing and able to hold your securities to maturity.
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The Value Of The Securities Prior To Maturity Will Be Affected By Numerous
Factors, Some Of Which Are Related In Complex Ways — Structured notes, including the securities, 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 securities at issuance
and their value in the secondary market. Accordingly, in addition to the levels of the Indices on any day, the value of the securities
will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Indices and the
securities composing the Indices;
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correlation (or lack of correlation) of the Indices;
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the time to maturity of the securities;
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the market prices of, and dividend rates on,
the securities composing the Indices;
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interest and yield rates in the market generally;
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supply and demand for the securities;
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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 Securities Is
Lower Than The Original Offering Price Of Your Securities — The estimated value of your securities on the pricing date is lower
than the original offering price of your securities. The difference between the original offering price of your securities and the estimated
value of the securities is a result of certain factors, such as any sales commissions, selling concessions, discounts, commissions or
fees to be allowed or paid to Barclays Capital Inc., another affiliate of ours, WFS or its affiliates or other non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, the estimated cost
that we may incur in hedging our obligations under the securities, and estimated development and other costs that we may incur in connection
with the securities.
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The Estimated Value Of Your Securities 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 securities 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 value referenced above might be lower if such estimated value were based on the levels at which our benchmark debt securities
trade in the secondary market.
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The Estimated Value Of The Securities 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 securities 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 securities may not be consistent with those of other financial
institutions that may be purchasers or sellers of securities in the secondary market. As a result, the secondary market price of your
securities may be materially different from the estimated value of the securities determined by reference to our internal pricing models.
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The Estimated Value Of Your Securities Is
Not A Prediction Of The Prices At Which You May Sell Your Securities In The Secondary Market, If Any, And Such Secondary Market Prices,
If Any, Will Likely Be Lower Than The Original Offering Price Of Your Securities And May Be Lower Than The Estimated Value Of Your Securities
— The estimated value of the securities 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 securities 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 securities 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 securities. Further, as secondary market prices of your securities take
into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
related to the
securities such as fees, commissions, discounts, and the costs of hedging our obligations under the securities, secondary market prices
of your securities will likely be lower than the original offering price of your securities. As a result, the price at which Barclays
Capital Inc., other affiliates of ours or third parties may be willing to purchase the securities from you in secondary market transactions,
if any, will likely be lower than the price you paid for your securities, and any sale prior to the stated maturity date could result
in a substantial loss to you.
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The Temporary Price At Which We May Initially
Buy The Securities 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 Securities — Assuming that all relevant factors remain
constant after the pricing date, the price at which Barclays Capital Inc. may initially buy or sell the securities in the secondary market
(if Barclays Capital Inc. makes a market in the securities, 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 securities on
the pricing date, as well as the secondary market value of the securities, for a temporary period after the initial issue date of the
securities. The price at which Barclays Capital Inc. may initially buy or sell the securities 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 securities.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Hypothetical
Returns
If the securities are automatically called:
If the securities are automatically called prior
to stated maturity, you will receive the original offering price of your securities plus the contingent coupon payment otherwise due.
In the event the securities are automatically called, your total return on the securities will equal any contingent coupon payments received
prior to the call settlement date and the contingent coupon payment received on the call settlement date.
If the securities are not automatically called:
If the securities are not automatically called
prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Index
on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding any contingent
coupon payment otherwise due). The performance factor of the lowest performing Index on the final calculation day is calculated as its
ending level divided by its starting level.
Hypothetical performance factor of lowest performing Index on final calculation day
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Hypothetical maturity payment amount per security
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175.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
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110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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75.00%
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$1,000.00
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74.00%
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$740.00
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70.00%
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$700.00
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60.00%
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$600.00
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50.00%
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$500.00
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40.00%
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$400.00
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25.00%
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$250.00
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The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity (excluding any contingent coupon payment otherwise due); any positive
return will be based solely on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual
amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Hypothetical
Automatic Calls and Contingent Coupon Payments
Set forth below are three examples that illustrate
how to determine whether the securities will be automatically called and whether a contingent coupon payment will be paid on a quarterly
contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific quarterly contingent coupon
payment date. The following examples assume the hypothetical starting level, threshold level and closing levels for each Index indicated
in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting level or threshold level.
The hypothetical starting level of 100.00 for each Index has been chosen for illustrative purposes only and does not represent the actual
starting level for any Index. The actual starting level and threshold level for each Index are set forth under “Terms of the Securities”
above. For historical closing levels of the Indices, see the historical information set forth under the sections titled “The Nasdaq-100
Index®,” “The Russell 2000® Index” and “The S&P 500® Index”
below. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The closing level of the lowest
performing Index on the relevant calculation day is greater than or equal to its threshold level and less than its starting level. As
a result, the securities are not automatically called and investors receive a contingent coupon payment on the applicable quarterly contingent
coupon payment date.
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Nasdaq-100 Index®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.000
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100.00
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Hypothetical closing level on relevant calculation day:
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95.00
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115.000
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90.00
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Hypothetical threshold level:
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75.00
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75.000
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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95.00%
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115.00%
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90.00%
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Step 1: Determine which Index
is the lowest performing Index on the relevant calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent coupon
payment date.
Since the hypothetical closing level
of the lowest performing Index on the relevant calculation day is greater than or equal to its threshold level, but less than its starting
level, the securities would not be automatically called and you would receive a contingent coupon payment on the applicable contingent
coupon payment date. The contingent coupon payment would be equal to $23.33 per security, determined as follows: (i) $1,000 multiplied
by 9.33% per annum divided by (ii) 4, rounded to the nearest cent.
Example 2. The closing level of the lowest
performing Index on the relevant calculation day is less than its threshold level. As a result, the securities are not automatically called
and investors do not receive a contingent coupon payment on the applicable quarterly contingent coupon payment date.
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Nasdaq-100 Index®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.000
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100.00
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Hypothetical closing level on relevant calculation day:
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125.00
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55.000
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105.00
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Hypothetical threshold level:
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75.00
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75.000
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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125.00%
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55.00%
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105.00%
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Step 1: Determine which Index
is the lowest performing Index on the relevant calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent coupon
payment date.
The securities would not be automatically
called, even though the closing levels of the better performing Indices on the relevant calculation day are greater than their starting
levels. In addition, since the hypothetical closing level of the lowest performing Index on the relevant calculation day is less than
its threshold level, you would not receive a contingent coupon payment on the applicable contingent coupon payment date. As this example
illustrates, whether the securities are automatically called and whether you receive a contingent coupon payment on a quarterly contingent
coupon payment date will depend solely on the closing level of the lowest performing Index on the relevant calculation day. The performance
of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Example 3. The closing level of the lowest
performing Index on the relevant calculation day is greater than or equal to its starting level. As a result, the securities are automatically
called on the applicable quarterly contingent coupon payment date for the original offering price plus the contingent coupon payment otherwise
due.
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Nasdaq-100 Index®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.000
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100.00
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Hypothetical closing level on relevant calculation day:
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105.00
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115.000
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130.00
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Hypothetical threshold level:
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75.00
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75.000
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75.00
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Performance factor (closing level on calculation day divided by starting level):
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105.00%
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115.00%
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130.00%
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Step 1: Determine which Index
is the lowest performing Index on the relevant calculation day.
In this example, the Nasdaq-100 Index®
has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether the
securities will be automatically called and whether a contingent coupon payment will be paid on the applicable quarterly contingent coupon
payment date.
Since the hypothetical closing level
of the lowest performing Index on the relevant calculation day is greater than or equal to its starting level, the securities would be
automatically called and you would receive the original offering price plus the contingent coupon payment otherwise due on the call settlement
date. On the call settlement date, you would receive $1,023.33 per security.
If the securities are automatically called prior
to maturity, you will not receive any further payments after the call settlement date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Hypothetical
Maturity Payment Amount
Set forth below are examples of calculations of
the maturity payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated
maturity and assuming the hypothetical starting level, threshold level and ending levels for each Index indicated in the examples. The
terms used for purposes of these hypothetical examples do not represent any actual starting level or threshold level. The hypothetical
starting level of 100.00 for each Index has been chosen for illustrative purposes only and does not represent the actual starting level
for any Index. The actual starting level and threshold level for each Index are set forth under “Terms of the Securities”
above. For historical closing levels of the Indices, see the historical information set forth under the sections titled “The Nasdaq-100
Index®,” “The Russell 2000® Index” and “The S&P 500® Index”
below. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending level of the lowest
performing Index on the final calculation day is greater than its starting level, the maturity payment amount is equal to the original
offering price of your securities at maturity and you receive the contingent coupon payment otherwise due.
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Nasdaq-100 Index®
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Russell 2000® Index
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S&P 500® Index
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Hypothetical starting level:
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100.00
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100.000
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100.00
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Hypothetical ending level:
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135.00
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145.000
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125.00
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Hypothetical threshold level:
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75.00
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75.000
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75.00
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Performance factor (ending level divided by starting level):
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135.00%
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145.00%
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125.00%
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Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is greater than its hypothetical threshold level, the maturity payment amount
would equal the original offering price. Although the hypothetical ending level of the lowest performing Index on the final calculation
day is significantly greater than its hypothetical starting level in this scenario, the maturity payment amount will not exceed the original
offering price.
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000.00 per security as well as the
contingent coupon payment otherwise due.
Example 2. The ending level of the lowest
performing Index on the final calculation day is less than its starting level but greater than its threshold level, the maturity payment
amount is equal to the original offering price of your securities at maturity and you receive the contingent coupon payment otherwise
due.
|
Nasdaq-100 Index®
|
Russell 2000® Index
|
S&P 500® Index
|
Hypothetical starting level:
|
100.00
|
100.000
|
100.00
|
Hypothetical ending level:
|
115.00
|
90.000
|
110.00
|
Hypothetical threshold level:
|
75.00
|
75.000
|
75.00
|
Performance factor (ending level divided by starting level):
|
115.00%
|
90.00%
|
110.00%
|
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is not less than its hypothetical threshold level, you would be repaid the original
offering price of your securities at maturity.
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $1,000.00 per security as well as the
contingent coupon payment otherwise due.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Example 3. The ending level of the lowest
performing Index on the final calculation day is less than its threshold level, the maturity payment amount is less than the original
offering price of your securities at maturity and you do not receive a contingent coupon payment at maturity.
|
Nasdaq-100 Index®
|
Russell 2000® Index
|
S&P 500® Index
|
Hypothetical starting level:
|
100.00
|
100.000
|
100.00
|
Hypothetical ending level:
|
45.00
|
120.000
|
90.00
|
Hypothetical threshold level:
|
75.00
|
75.000
|
75.00
|
Performance factor (ending level divided by starting level):
|
45.00%
|
120.00%
|
90.00%
|
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the Nasdaq-100 Index®
has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is less than its hypothetical threshold level, you would lose a portion of the
original offering price of your securities and receive the maturity payment amount equal to $450.00 per security, calculated as follows:
$1,000 × performance factor of the lowest
performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $450.00 per security, but no contingent
coupon payment.
These examples illustrate that you will not participate
in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the ending level of the lowest
performing Index on the final calculation day is less than its threshold level, even if the ending levels of the other Indices have appreciated
or have not declined below their respective threshold level.
To the extent that the starting level, threshold
level and ending level of the lowest performing Index on the final calculation day differ from the values assumed above, the results indicated
above would be different.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Additional
Terms of the Securities
Barclays Bank PLC will issue the securities as
part of a series of unsecured and unsubordinated debt securities entitled “Global Medium-Term Notes, Series A,” which are
more fully described in the accompanying prospectus supplement. In the event the terms of the securities described in this pricing supplement
differ from, or are inconsistent with, the terms described in the prospectus, prospectus supplement, prospectus supplement addendum or
underlying supplement, the terms described in this pricing supplement will control.
Certain Definitions
A “trading day” with respect
to an Index means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security
underlying such Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures
or options exchange with respect to such Index is scheduled to be open for trading for its regular trading session.
The “relevant stock exchange”
for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined by
the calculation agent.
The “related futures or options exchange”
for an Index means an exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the
overall market for futures or options contracts relating to such Index.
Market Disruption Events
A “market disruption event”
with respect to an Index means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant
stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of such Index or any successor equity
index at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding
limits permitted by those relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by any related
futures or options exchange or otherwise in futures or options contracts relating to such Index or any successor equity index on any related
futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of
movements in price exceeding limits permitted by the related futures or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs
the ability of market participants in general to effect transactions in, or obtain market values for, securities that then comprise 20%
or more of the level of such Index or any successor equity index on their relevant stock exchanges at any time during the one-hour period
that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs
the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating
to such Index or any successor equity index on any related futures or options exchange at any time during the one-hour period that ends
at the close of trading on that day.
|
|
(E)
|
The closure on any exchange business day of the relevant stock exchanges on which securities that then
comprise 20% or more of the level of such Index or any successor equity index are traded or any related futures or options exchange with
respect to such Index or any successor equity index prior to its scheduled closing time unless the earlier closing time is announced by
the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual
closing time for the regular trading session on such relevant stock exchange or related futures or options exchange, as applicable, and
(2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or options exchange, as applicable,
system for execution at such actual closing time on that day.
|
|
(F)
|
The relevant stock exchange for any security underlying such Index or successor equity index or any related
futures or options exchange with respect to such Index or successor equity index fails to open for trading during its regular trading
session.
|
For purposes of determining whether a market disruption
event has occurred with respect to an Index:
|
(1)
|
the relevant percentage contribution of a security to the level of such Index or any successor equity
index will be based on a comparison of (x) the portion of the level of such Index attributable to that security and (y) the overall level
of such Index or successor equity index, in each case immediately before the occurrence of the market disruption event;
|
|
(2)
|
the “close of trading” on any trading day for such Index or any successor equity index
means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying such Index or successor equity
index on such trading day; provided that, if the actual closing time of the regular trading session of any such relevant stock
exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and (C) of the definition
of “market disruption event” above, with respect to any security underlying such Index or successor equity index for which
such relevant
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
stock exchange
is its relevant stock exchange, the “close of trading” means such actual closing time and (y) for purposes of clauses (B)
and (D) of the definition of “market disruption event” above, with respect to any futures or options contract relating to
such Index or successor equity index, the “close of trading” means the latest actual closing time of the regular trading session
of any of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant stock exchanges;
|
(3)
|
the “scheduled closing time” of any relevant stock exchange or related futures or options
exchange on any trading day for such Index or any successor equity index means the scheduled weekday closing time of such relevant stock
exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular
trading session hours; and
|
|
(4)
|
an “exchange business day” means any trading day for such Index or any successor equity
index on which each relevant stock exchange for the securities underlying such Index or any successor equity index and each related futures
or options exchange with respect to such Index or any successor equity index are open for trading during their respective regular trading
sessions, notwithstanding any such relevant stock exchange or related futures or options exchange closing prior to its scheduled closing
time.
|
If a market
disruption event occurs or is continuing with respect to an Index on any calculation day, then such calculation day for such Index will
be postponed to the first succeeding trading day for such Index on which a market disruption event for such Index has not occurred and
is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day for such Index after the
originally scheduled calculation day, that eighth trading day shall be deemed to be such calculation day for such Index. If a calculation
day has been postponed eight trading days for an Index after the originally scheduled calculation day and a market disruption event occurs
or is continuing with respect to such Index on such eighth trading day, the calculation agent will determine the closing level of such
Index on such eighth trading day in accordance with the formula for and method of calculating the closing level of such Index last in
effect prior to commencement of the market disruption event, using the closing price (or, with respect to any relevant security, if a
market disruption event has occurred with respect to such security, its good faith estimate of the value of such security at the scheduled
closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of
such relevant stock exchange) on such date of each security included in such Index. As used herein, “closing price” means,
with respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant
stock exchange. Notwithstanding the postponement of a calculation day for an Index due to a market disruption event with respect to such
Index on such calculation day, the originally scheduled calculation day will remain such calculation day for any Index not affected by
a market disruption event on such day.
Adjustments to an Index
If at any time the method of calculating an Index
or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor equity index
is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent the level of that
index had those changes or modifications not been made, then the calculation agent will, at the close of business in New York, New York,
on each date that the closing level of that index is to be calculated, make such calculations and adjustments as, in the good faith judgment
of the calculation agent, may be necessary in order to arrive at a level of an index comparable to that Index or successor equity index
as if those changes or modifications had not been made, and the calculation agent will calculate the closing level of that Index or successor
equity index with reference to such index, as so adjusted. Accordingly, if the method of calculating an Index or successor equity index
is modified so that the level of that index is a fraction or a multiple of what it would have been if it had not been modified (e.g.,
due to a split or reverse split in that index), then the calculation agent will adjust that Index or successor equity index in order to
arrive at a level of that index as if it had not been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of an Index
If an index sponsor discontinues publication of
an Index, and such index sponsor or another entity publishes a successor or substitute equity index that the calculation agent determines,
in its sole discretion, to be comparable to that Index (a “successor equity index”), then, upon the calculation agent’s
notification of that determination to the trustee and Barclays Bank PLC, as issuer of the securities, the calculation agent will substitute
the successor equity index as calculated by the relevant index sponsor or any other entity for purposes of calculating the closing level
of that Index on any date of determination. Upon any selection by the calculation agent of a successor equity index, Barclays Bank PLC,
as issuer of the securities, will cause notice to be given to holders of the securities.
In the event that an index sponsor discontinues
publication of an Index prior to, and the discontinuance is continuing on, any calculation day and the calculation agent determines that
no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for that Index in
accordance with the formula for and method of calculating that Index last in effect prior to the discontinuance, but using only those
securities that comprised that Index immediately prior to that discontinuance. If a successor equity index is selected or the calculation
agent calculates a level as a substitute for that Index, the successor equity index or level will be used as a substitute for that Index
for all purposes, including the purpose of determining whether a market disruption event exists.
If on any calculation day an index sponsor fails
to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of that Index in accordance
with the formula for and method of calculating that Index last in effect prior to the failure, but using only those securities that comprised
that Index immediately prior to that failure; provided that, if a market disruption event occurs or is continuing on such day with
respect to that Index, then the provisions set forth above under “—Market Disruption Events” shall apply in lieu of
the foregoing.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Notwithstanding these alternative arrangements,
discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index may
adversely affect the value of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
The
Nasdaq-100 Index®
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
We obtained the closing levels of the NDX Index
displayed in the graph below from Bloomberg Professional® service (“Bloomberg”) without independent
verification. The historical performance of the NDX Index should not be taken as an indication of the future performance of the NDX Index.
Future performance of the NDX Index may differ significantly from historical performance, and no assurance can be given as to the closing
levels of the NDX Index during the term of the securities, including on any calculation day. We cannot give you assurance that the performance
of the NDX Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the NDX Index for the period from January 1, 2016 to December 6, 2021. The closing level on December 6, 2021 was 15,846.16.
|
* The dotted line indicates the threshold level of 75% of the starting level of the NDX Index.
|
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
The
Russell 2000® Index
The Russell 2000® Index (the “RTY
Index”) measures the capitalization-weighted price performance of 2,000 small-capitalization stocks and is designed to track
the performance of the small-capitalization segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The
Russell Indices” in the accompanying underlying supplement.
Historical Information
We obtained the closing levels of the RTY Index
displayed in the graph below from Bloomberg without independent verification. The historical performance of the RTY Index should not be
taken as an indication of the future performance of the RTY Index. Future performance of the RTY Index may differ significantly from historical
performance, and no assurance can be given as to the closing levels of the RTY Index during the term of the securities, including on any
calculation day. We cannot give you assurance that the performance of the RTY Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the RTY Index for the period from January 1, 2016 to December 6, 2021. The closing level on December 6, 2021 was 2,203.479.
|
* The dotted line indicates the threshold level of 75% of the starting level of the RTY Index.
|
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
The
S&P 500® Index
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
We obtained the closing levels of the SPX Index
displayed in the graph below from Bloomberg without independent verification. The historical performance of the SPX Index should not be
taken as an indication of the future performance of the SPX Index. Future performance of the SPX Index may differ significantly from historical
performance, and no assurance can be given as to the closing levels of the SPX Index during the term of the securities, including on any
calculation day. We cannot give you assurance that the performance of the SPX Index will not result in a loss on your initial investment.
The following graph sets forth daily closing levels
of the SPX Index for the period from January 1, 2016 to December 6, 2021. The closing level on December 6, 2021 was 4,591.67.
|
* The dotted line indicates the threshold level of 75% of the starting level of the SPX Index.
|
PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024
Tax
Considerations
You should review carefully the sections in the
accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, as defined
in the accompanying prospectus supplement, “—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 securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any contingent coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised
that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the
“IRS”) or a court may adopt.
Sale, exchange or redemption of a security.
Assuming the treatment described above is respected, if you are a U.S. holder, as defined in the accompanying prospectus supplement, upon
a sale or exchange of the securities (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 securities, which should equal
the amount you paid to acquire the securities (assuming contingent coupon payments are properly treated as ordinary income, consistent
with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the securities for more
than one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of
the securities at the issue price. The deductibility of capital losses is subject to limitations. If you sell your securities between
the time your right to a contingent coupon payment is fixed and the time it is paid, it is likely that you will be treated as receiving
ordinary income equal to the contingent coupon payment. Although uncertain, it is possible that proceeds received from the sale or exchange
of your securities prior to a calculation day 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 securities could be materially
affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require
investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying
property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income
tax consequences of an investment in the securities, 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 representation that the securities do not have a “delta of one” within the meaning of the regulations,
our special tax counsel believes that these regulations should not apply to the securities with regard to non-U.S. holders, and we have
determined to treat the securities as not being subject to Section 871(m). Our determination is not binding on the IRS, and the IRS may
disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential
application of Section 871(m) to the securities.
Non-U.S. holders should also discuss with their
tax advisers the estate tax consequences of investing in the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index due December 11, 2024