Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
December 08 2021 - 1:53PM
Edgar (US Regulatory)
Barclays Bank PLC has filed a registration statement (including a prospectus)
with the U.S. Securities and Exchange Commission (“SEC”) for the offering to which this free writing prospectus relates. Before
you invest, you should read 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 and other documents Barclays Bank PLC has filed with
the SEC for more complete information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays
Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer
participating in this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC
sales representative, such dealer or toll-free 1-888-227-2275 (Extension 2-3430). A copy of each of these documents may be obtained from
Barclays Capital Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019.
Free writing prospectus dated December 8, 2021 (to 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)
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Filed Pursuant to Rule 433
Registration Statement No. 333-232144
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Barclays Bank PLC – Contingent Income Auto-Callable Securities
due December 21, 2023 Based on the Value of the Worst Performing of the Nasdaq-100 Index®, the Russell 2000®
Index and the S&P 500® Index
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying pricing supplement, the prospectus, prospectus supplement, prospectus supplement addendum
and underlying supplement, as well as the “Risk Factors” on the following page, prior to making an investment decision.
Summary
Terms
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Issuer:
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Barclays Bank
PLC
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Underliers:
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Nasdaq-100 Index®
(Bloomberg ticker symbol “NDX<Index>”) (the “NDX Index”), Russell 2000® Index
(Bloomberg ticker symbol “RTY<Index>”) (the “RTY Index”) and S&P 500® Index (Bloomberg
ticker symbol “SPX <Index>”) (the “SPX Index”)
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Pricing date:
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December 17, 2021
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Original issue date:
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December 22, 2021
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Maturity date:
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December 21, 2023
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Automatic early redemption:
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If, on
any determination date (other than the final determination date), the closing level of each underlier is greater than or equal to
its initial underlier value, the securities will be automatically redeemed for an early redemption payment on the contingent payment
date immediately following that determination date.
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Early redemption payment:
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An amount
per security equal to (i) the stated principal amount plus (ii) the contingent quarterly payment otherwise due
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Contingent quarterly payment:
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·
If, on any determination date, the closing level of each underlier is greater than or equal to its downside threshold level,
we will pay a contingent quarterly payment of at least $18.25 (at least 1.825% of the stated principal amount) per security on the
related contingent payment date.
·
If, on any determination date, the closing level of any underlier is less than its downside threshold level, no contingent
quarterly payment will be made with respect to that determination date.
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Payment at maturity:
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If the securities are not automatically
redeemed prior to maturity, you will receive on the maturity date a cash payment per security determined as follows:
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If the final underlier value of each underlier is greater than or equal to its downside threshold level:
(i) stated
principal amount plus (ii) the contingent quarterly payment otherwise due
·
If the final underlier value of any underlier is less than its downside threshold level:
stated
principal amount × underlier performance factor of the worst performing underlier
Under these circumstances, the
payment at maturity will be less than the stated principal amount of $1,000 and will represent a loss of more than 30%, and possibly
all, of an investor’s initial investment. Investors may lose their entire initial investment in the securities.
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Downside threshold level:
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With respect to each underlier,
70% of its initial underlier value (rounded to three decimal places)
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Initial underlier value:
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With respect to each underlier,
the closing level of that underlier on the pricing date
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Final underlier value:
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With respect to each underlier,
the closing level of that underlier on the final determination date
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Underlier performance
factor:
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With respect to each underlier,
its final underlier value divided by its initial underlier value
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Worst performing underlier:
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The underlier with the lowest underlier
performance factor
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Determination dates:
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Quarterly, as specified
in the accompanying pricing supplement
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Contingent payment dates:
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Quarterly, as specified
in the accompanying pricing supplement
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CUSIP/ISIN:
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06748WXV0 / US06748WXV08
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Additional terms
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Terms used in this document,
but not defined herein, will have the meanings ascribed to them in the accompanying pricing supplement.
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Pricing supplement
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http://www.sec.gov/Archives/edgar/data/312070/
000095010321019468/dp163424_424b2-4360ms.htm
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Payment on the securities is not guaranteed
by any third party and is subject to the creditworthiness of Barclays Bank PLC and the risk of exercise of any U.K. Bail-in Power
by the relevant U.K. resolution authority.
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Hypothetical Payment at Maturity*
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Change in Worst Performing Underlier
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Payment at Maturity
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Total Return on Securities
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50.00%
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$1,000.00
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0.00%
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40.00%
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$1,000.00
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0.00%
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30.00%
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$1,000.00
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0.00%
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20.00%
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$1,000.00
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0.00%
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10.00%
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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0.00%
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-5.00%
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$1,000.00
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0.00%
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-10.00%
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$1,000.00
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0.00%
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-20.00%
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$1,000.00
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0.00%
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-30.00%
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$1,000.00
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0.00%
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-30.01%
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$699.90
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-30.01%
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-40.00%
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$600.00
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-40.00%
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-50.00%
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$500.00
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-50.00%
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-60.00%
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$400.00
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-60.00%
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-70.00%
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$300.00
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-70.00%
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-80.00%
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$200.00
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-80.00%
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-90.00%
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$100.00
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-90.00%
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-100.00%
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$0.00
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-100.00%
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*The table above assumes the securities are not automatically redeemed prior to maturity and excludes any contingent quarterly payment otherwise due.
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Our estimated value of the securities on the pricing date, based
on our internal pricing models, is expected to be between $944.30 and $964.30 per security. The estimated value is expected to be less
than the initial issue price of the securities. See “Additional Information Regarding Our Estimated Value of the Securities”
in the accompanying pricing supplement.
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U.K. Bail-in Power Acknowledgment:
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.
The Underliers
For more information about the underliers, including historical performance
information, see the accompanying pricing supplement.
Risk Factors
An investment in the securities involves significant risks. We
urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. 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” sections in the accompanying pricing supplement and 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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·
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The
securities do not guarantee the return of any principal.
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·
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You
will not receive any contingent quarterly payment for any quarterly period where the closing level of any underlier on the applicable
determination date is less than its downside threshold level.
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·
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You
will not participate in any appreciation in the value of any underlier.
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·
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You
are exposed to the market risk of each underlier, with respect to both the contingent quarterly payments, if any, and the payment at
maturity, if any.
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·
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Because
the securities are linked to the performance of the worst performing underlier, you are exposed to greater risks of no contingent quarterly
payments and sustaining a significant loss on your investment than if the securities were linked to just one underlier.
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·
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The
securities are subject to early redemption risk.
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·
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Any
payment on the securities will be determined based on the closing levels of the underliers on the dates specified.
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·
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Contingent
repayment of principal applies only at maturity.
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·
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The
securities are subject to volatility risk.
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·
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Investing
in the securities is not equivalent to investing in any or all underliers or the securities composing the underliers.
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·
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Significant
aspects of the tax treatment of the securities are uncertain.
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Risks Relating to the Issuer
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·
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Any
payments on the securities are subject to issuer credit risk.
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·
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You
may lose some or all of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority.
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Risks Relating to the Underliers
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·
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Adjustments
to the underliers could adversely affect the value of the securities.
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·
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Governmental
legislative or regulatory actions, such as sanctions,
could adversely affect your investment in the securities.
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·
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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 NDX Index.
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·
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The
securities are subject to small-capitalization companies risk with respect to the RTY Index.
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Risks Relating to Conflicts of Interest
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·
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Hedging
and trading activity by the issuer and its affiliates could potentially adversely affect the value of the securities.
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·
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We
and our affiliates, and any dealer participating in the distribution of the securities, may engage in various activities or make determinations
that could materially affect your securities in various ways and create conflicts of interest.
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Risks Relating to the Estimated Value of the Securities and the
Secondary Market
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·
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The
securities will not be listed on any securities exchange, and secondary trading may be limited.
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·
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The
market price of the securities will be influenced by many unpredictable factors.
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·
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The
estimated value of your securities is expected to be lower than the initial issue price of your securities.
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·
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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.
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·
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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.
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·
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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 initial issue price of your securities and may be lower
than the estimated value of your securities.
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·
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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.
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Tax Considerations
You should review carefully the section entitled “Additional Information
about the Securities—Tax considerations” in the accompanying pricing supplement.
In the event that any of the terms set forth or defined in this document
conflict with the terms or defined terms set forth in the accompanying pricing supplement, the terms or defined terms set forth in the
accompanying pricing supplement will control.
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