The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus and prospectus supplement do not constitute an offer to sell the securities and we are not soliciting an offer to buy the securities in any state where the offer or sale is not permitted.
Subject to Completion. Dated October 3, 2024 |
 |
October 2024
Registration Statement No. 333-265158
Pricing Supplement dated October , 2024
Filed pursuant to Rule 424(b)(2) |
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due October
14, 2027
Based on the Performance of the
Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Unlike conventional debt securities, the securities do not guarantee
the payment of interest or the return of the full principal amount at maturity. Instead, the securities offer the opportunity for investors
to receive a contingent quarterly payment equal to at least 2.475% of the stated principal amount (the actual contingent quarterly payment
will be determined on the pricing date) with respect to each quarterly determination date on which the closing price of the underlier
is greater than or equal to 80% of the initial underlier value, which we refer to as the downside threshold level. If the closing price
of the underlier is greater than or equal to the initial underlier value on any determination date (other than the final determination
date), the securities will be automatically redeemed for an amount per security equal to the stated principal amount plus the contingent
quarterly payment otherwise due. However, if on any determination date the closing price of the underlier is less than the initial underlier
value, the securities will not be redeemed and if that closing price is less than the downside threshold level, investors will not receive
any contingent quarterly payment for the related quarterly period. If the securities are not redeemed prior to maturity and the final
underlier value is greater than or equal to the downside threshold level, the payment at maturity due on the securities will be equal
to the stated principal amount plus the contingent quarterly payment otherwise due. However, if the securities are not redeemed
prior to maturity and the final underlier value is less than the downside threshold level, at maturity investors will lose 1% of the stated
principal amount for every 1% that the final underlier value is less than the initial underlier value. Under these circumstances, the
amount investors receive will be less than 80% of the stated principal amount and could be zero. The securities are for investors who
are willing and able to risk their principal and forgo guaranteed interest payments, in exchange for the opportunity to potentially receive
contingent quarterly payments at an above-market rate, subject to automatic early redemption. Investors will not participate in any appreciation
of the underlier even though investors will be exposed to the depreciation in the value of the underlier if the securities have not been
redeemed prior to maturity and the final underlier value is less than the downside threshold level. Investors may lose their entire
initial investment in the securities. The securities are unsecured and unsubordinated debt obligations of Barclays Bank PLC. Any payment
on the securities, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed
by any third party. If Barclays Bank PLC were to default on its payment obligations or become subject to the exercise of any U.K. Bail-in
Power (as described on page 5 of this document) by the relevant U.K. resolution authority, you might not receive any amounts owed to you
under the securities. See “Risk Factors” and “Consent to U.K. Bail-in Power” in this document and “Risk
Factors” in the accompanying prospectus supplement.
| SUMMARY TERMS |
|
| Issuer: |
Barclays Bank PLC |
| Reference asset*: |
JPMorgan Chase & Co. common stock (Bloomberg ticker symbol “JPM UN<Equity>”) (the “underlier”) |
| Aggregate principal amount: |
$ |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
October 11, 2024 |
| Original issue date: |
October 17, 2024 |
| Maturity date*†: |
October 14, 2027 |
| Automatic early redemption: |
If, on any determination date (other than the final determination date), the closing price of the underlier is greater than or equal to the initial underlier value, the securities will be automatically redeemed for an early redemption payment on the contingent payment date immediately following that determination date. The securities will not be redeemed early if the closing price of the underlier is less than the initial underlier value on the related determination date. No further payments will be made on the securities after they have been redeemed. |
| Early redemption payment: |
The early redemption payment will be an amount per security equal to (i) the stated principal amount plus (ii) the contingent quarterly payment otherwise due. |
| Contingent quarterly payment: |
· If,
on any determination date, the closing price of the underlier is greater than or equal to the downside threshold level, we will
pay a contingent quarterly payment of at least $24.75 (at least 2.475% of the stated principal amount) per security on the related contingent
payment date. The actual contingent quarterly payment will be determined on the pricing date.
· If,
on any determination date, the closing price of the underlier is less than the downside threshold level, no contingent quarterly
payment will be made with respect to that determination date. |
| Payment at maturity: |
If the securities are not redeemed prior to maturity, you will receive
on the maturity date a cash payment per security determined as follows:
· If
the final underlier value is greater than or equal to the downside threshold level:
(i) stated principal amount plus
(ii) the contingent quarterly payment otherwise due
· If
the final underlier value is less than the downside threshold level:
stated principal amount × underlier
performance factor
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 20%, and possibly all, of an investor’s initial
investment. Investors may lose their entire initial investment in the securities. Any payment on the securities, including any repayment
of principal, is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of
exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority.
|
| 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 (or the trustee on behalf of the holders 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 5 of this document. |
| Downside threshold level*: |
$ , which is equal to 80% of the initial underlier value (rounded to three decimal places) |
| Initial underlier value*: |
$ , which is the closing price of the underlier on the pricing date |
| Final underlier value*: |
The closing price of the underlier on the final determination date |
| Underlier performance factor: |
final underlier value / initial underlier value |
| |
(terms continued on the next page) |
| Commissions and initial issue price: |
Initial issue price(1) |
Price to public(1) |
Agent’s commissions |
Proceeds to issuer |
| Per security |
$1,000 |
$1,000 |
$17.50(2)
$5.00(3)
|
$977.50 |
| Total |
$ |
$ |
$ |
$ |
| (1) | Our estimated value of the securities on the pricing date, based on our internal pricing models, is expected to be between $933.80
and $963.80 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” on page 4 of this document. |
| (2) | Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a
fixed sales commission of $17.50 for each security they sell. See “Supplemental Plan of Distribution” in this document. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each security. |
One or more of our affiliates may purchase up to 15% of the aggregate
principal amount of the securities and hold such securities for investment for a period of at least 30 days. Accordingly, the total principal
amount of the securities may include a portion that was not purchased by investors on the original issue date. Any unsold portion held
by our affiliate(s) may affect the supply of securities available for secondary trading and, therefore, could adversely affect the price
of the securities in the secondary market. Circumstances may occur in which our interests or those of our affiliates could be in conflict
with your interests.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Risk Factors” beginning on page 12 of this document and beginning
on page S-9 of the prospectus supplement. You should read this document together with the related prospectus and prospectus supplement,
each of which can be accessed via the hyperlinks below, before you make an investment decision.
The securities will not be listed on any U.S. securities exchange
or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has
approved or disapproved of the securities or determined that this document is truthful or complete. Any representation to the contrary
is a criminal offense.
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.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
| Terms continued from previous page: |
| Determination dates†: |
January 13, 2025, April 11, 2025, July 11, 2025, October 13, 2025, January 12, 2026, April 13, 2026, July 13, 2026, October 12, 2026, January 11, 2027, April 12, 2027, July 12, 2027 and October 11, 2027. We also refer to October 11, 2027 as the final determination date. |
| Contingent payment dates†: |
January 16, 2025, April 16, 2025, July 16, 2025, October 16, 2025, January 15, 2026, April 16, 2026, July 16, 2026, October 15, 2026, January 14, 2027, April 15, 2027, July 15, 2027 and the maturity date |
| Closing price*: |
Closing price has the meaning set forth under “Reference Assets—Equity Securities—Special Calculation Provisions” in the prospectus supplement. |
| Calculation agent: |
Barclays Bank PLC |
| Additional terms: |
Terms used in this document, but not defined herein, will have the meanings ascribed to them in the prospectus supplement. |
| CUSIP / ISIN: |
06745YBZ4 / US06745YBZ43 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Selected dealer: |
Morgan Stanley Wealth Management (“MSWM”) |
| * |
In the case of certain corporate events related to the underlier, the calculation agent may adjust any variable, including but not limited to, the underlier, initial underlier value, final underlier value, downside threshold level and closing price of the underlier if the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of the shares of the underlier. The calculation agent may accelerate the maturity date upon the occurrence of certain reorganization events and additional adjustment events. For more information, see “Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement. |
| † |
Each determination date may be postponed if that determination date is not a scheduled trading day or if a market disruption event occurs on that determination date as described under “Reference Assets—Equity Securities—Market Disruption Events for Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement. In addition, a contingent payment date and/or the maturity date will be postponed if that day is not a business day or if the relevant determination date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement. |
| Barclays Capital Inc. |
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Additional Terms of the Securities
You should read this document together with the prospectus dated May
23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series A, of which
the securities are a part. This document, 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, 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.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our SEC file number is 1-10257 and our Central Index Key, or CIK, on
the SEC website is 0000312070. As used in this document, “we,” “us” and “our” refer to Barclays Bank
PLC.
In connection with this offering, Morgan Stanley Wealth Management is
acting in its capacity as a selected dealer.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
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 expected
to be less than the initial issue price of the securities. The difference between the initial issue price of the securities and our estimated
value of the securities is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the 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. These other costs will include a fee paid to LFT Securities, LLC, an entity in which an affiliate
of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this
offering.
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 40 days 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 “Risk Factors” beginning on page
12 of this document.
You may revoke your offer to purchase
the securities at any time prior to the pricing date. We reserve the right to change the terms of, or reject any offer to purchase, the
securities prior to their pricing date. In the event of any changes to the terms of the securities, we will notify you and you will be
asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject
your offer to purchase.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
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 (or the trustee
on behalf of the holders 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 “Risk Factors—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 document 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, including the exercise
by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of
any 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.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
The Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co., which we refer to as the securities, provide an opportunity
for investors to receive a contingent quarterly payment, which is an amount equal to at least $24.75 (at least 2.475% of the stated principal
amount), with respect to each quarterly determination date on which the closing price of the underlier is greater than or equal to 80%
of the initial underlier value, which we refer to as the downside threshold level. However, if the closing price of the underlier is less
than the downside threshold level on a determination date, investors will not receive any contingent quarterly payment for that determination
date. The actual contingent quarterly payment will be determined on the pricing date. The closing price of the underlier could be below
the downside threshold level on most or all of the determination dates so that you receive few or no contingent quarterly payments over
the term of the securities.
If the closing price of the underlier is greater than or equal to the
initial underlier value on any determination date (other than the final determination date), the securities will be automatically redeemed
for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment otherwise due. If the
securities are automatically redeemed prior to maturity, investors will receive no further contingent quarterly payments. At maturity,
if the securities have not previously been redeemed and the final underlier value is greater than or equal to the downside threshold level,
the payment at maturity will be equal to the stated principal amount plus the contingent quarterly payment otherwise due. However,
if the securities have not previously been redeemed and the final underlier value is less than the downside threshold level, investors
will lose 1% of the stated principal amount for every 1% that the final underlier value is less than the initial underlier value. Under
these circumstances, the amount investors receive will be less than 80% of the stated principal amount and could be zero. Investors in
the securities must be willing and able to accept the risk of losing their entire initial investment and also the risk of not receiving
any contingent quarterly payment throughout the entire term of the securities. In addition, investors will not participate in any appreciation
of the underlier.
Key Investment Rationale
The securities are for investors who are willing and able to risk their
principal and forgo guaranteed interest payments, in exchange for the opportunity to potentially receive contingent quarterly payments
at an above-market rate, subject to automatic early redemption. The securities offer investors an opportunity to receive a contingent
quarterly payment of at least $24.75 (at least 2.475% of the stated principal amount) with respect to each determination date on which
the closing price of the underlier is greater than or equal to the downside threshold level. The actual contingent quarterly payment will
be determined on the pricing date. In addition, the following scenarios reflect the potential payment on the securities, if any, upon
an automatic early redemption or at maturity:
| Scenario 1 |
On any determination date (other than the final determination
date), the closing price of the underlier is greater than or equal to the initial underlier value.
§ The
securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly payment otherwise
due.
§ Investors
will not participate in any appreciation of the underlier from the initial underlier value and will receive no further contingent quarterly
payments.
|
| Scenario 2 |
The securities are not automatically redeemed prior
to maturity and the final underlier value is greater than or equal to the downside threshold level.
§ The
payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly payment otherwise due.
§ Investors
will not participate in any appreciation of the underlier from the initial underlier value.
|
| Scenario 3 |
The securities are not automatically redeemed prior
to maturity and the final underlier value is less than the downside threshold level.
§ The
payment due at maturity will be equal to the stated principal amount times the underlier performance factor. In this case, at maturity,
the securities pay less than 80% of the stated principal amount and the percentage loss of the stated principal amount will be equal to
the percentage decrease in the final underlier value from the initial underlier value. For example, if the final underlier value is 55%
less than the initial underlier value, the securities will pay $450.00 per security, or 45% of the stated principal amount, for a loss
of 55% of the stated principal amount. Investors will lose a significant portion and may lose all of their principal in this scenario.
|
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Selected Purchase Considerations
The securities are not appropriate
for all investors. The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces fixed periodic
interest or coupon payments or other non-contingent sources of current income. |
| § | You do not anticipate that the final underlier value will
be less than the downside threshold level on the final determination date, and you are willing and able to accept the risk that, if it
is, you will lose a significant portion or all of the stated principal amount. |
| § | You do not anticipate that the closing price of the underlier
will be less than the downside threshold level on any determination date, and you are willing and able to accept the risk that, if it
is, you may receive few or no contingent quarterly payments over the term of the securities. |
| § | You are willing and able to forgo participation in any appreciation
of the underlier, and you understand that any return on your investment will be limited to the contingent quarterly payments that may
be payable on the securities. |
| § | You are willing and able to accept the risks associated with
an investment linked to the performance of the underlier, as explained in more detail in the “Risk Factors” section of this
document. |
| § | You understand and accept that you will not be entitled to
receive dividends or distributions that may be paid to holders of the underlier, nor will you have any voting rights with respect to the
issuer of the underlier. |
| § | You are willing and able to accept the risk that the securities
may be automatically redeemed prior to scheduled maturity and that you may not be able to reinvest your money in an alternative investment
with comparable risk and yield. |
| § | 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 maturity if the securities are not automatically redeemed.
|
| § | You are willing and able to assume our credit risk for all
payments on the securities. |
| § | You are willing and able to consent to the exercise of any
U.K. Bail-in Power by any relevant U.K. resolution authority. |
The securities may not
be an appropriate investment for you if any of the following statements are true:
| § | You seek an investment that produces fixed periodic interest
or coupon payments or other non-contingent sources of current income. |
| § | You seek an investment that provides for the full repayment
of principal at maturity. |
| § | You anticipate that the final underlier value will be less
than the downside threshold level on the final determination date, or you are unwilling or unable to accept the risk that, if it is, you
will lose a significant portion or all of the stated principal amount. |
| § | You anticipate that the closing price of the underlier will
be less than the downside threshold level on one or more determination dates, or you are unwilling or unable to accept the risk that,
if it is, you may receive few or no contingent quarterly payments over the term of the securities. |
| § | You seek exposure to any upside performance of the underlier
or you seek an investment with a return that is not limited to the contingent quarterly payments that may be payable on the securities.
|
| § | You are unwilling or unable to accept the risks associated
with an investment linked to the performance of the underlier, as explained in more detail in the “Risk Factors” section of
this document. |
| § | You seek an investment that entitles you to dividends or
distributions on, or voting rights related to, the underlier. |
| § | You are unwilling or unable to accept the risk that the securities
may be automatically redeemed prior to scheduled maturity. |
| § | 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 maturity if they are not automatically redeemed. |
| § | You are unwilling or unable to assume our credit risk for
all payments on the securities. |
| § | You are unwilling or unable to consent to the exercise of
any U.K. Bail-in Power by any relevant U.K. resolution authority. |
You must rely on your own evaluation of the merits of an investment
in the securities. You should reach a decision whether to invest in the securities after carefully considering, with your advisors,
the appropriateness of the securities in light of your investment objectives and the specific information set forth in this document,
the prospectus and the prospectus supplement. Neither the issuer nor Barclays Capital Inc. makes any recommendation as to the appropriateness
of the securities for investment.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on the closing price of the underlier on the determination dates.
Diagram #1: Determination Dates Prior to the Final
Determination Date
Diagram #2: Payment at Maturity If No Automatic Early
Redemption Occurs
For more information about the payment upon an automatic early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Hypothetical Examples
The numbers appearing in the following examples may have been rounded
for ease of analysis. The examples below assume that the securities will be held until maturity or earlier redemption and do not take
into account the tax consequences of an investment in the securities. The examples below are based on the following terms:*
| Hypothetical Initial Underlier Value: |
$100.00 |
| Hypothetical Downside Threshold Level: |
$80.000, which is 80% of the hypothetical initial underlier value |
| Hypothetical Contingent Quarterly Payment: |
$24.75 (2.475% of the stated principal amount). The actual contingent quarterly payment will be set on the pricing date and will be at least 2.475% of the stated principal amount. |
| Stated Principal Amount: |
$1,000 per security |
* Terms used for purposes of these hypothetical examples may not represent
the actual initial underlier value, downside threshold level or contingent quarterly payment applicable to the securities. In particular,
the hypothetical initial underlier value of $100.00 used in these examples has been chosen for illustrative purposes only and may not
represent a likely actual initial underlier value. Please see “JPMorgan Chase & Co. Overview” below for recent actual
values of the underlier. The actual initial underlier value, downside threshold level and contingent quarterly payment applicable to the
securities will be determined on the pricing date.
In Examples 1 and 2, the closing price of the underlier is greater than
or equal to the hypothetical initial underlier value of $100.00 on one of the determination dates prior to the final determination date
(the actual initial underlier value will be determined on the pricing date). Because the closing price of the underlier is greater than
or equal to the initial underlier value on one of the determination dates prior to the final determination date, the securities are automatically
redeemed following the relevant determination date. In Examples 3 and 4, the closing price of the underlier on the determination dates
prior to the final determination date is less than the initial underlier value, and, consequently, the securities are not automatically
redeemed prior to, and remain outstanding until, maturity.
| |
Example 1 |
Example 2 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent Quarterly Payment (per security) |
Early Redemption Payment (per security) |
Hypothetical
Closing Price |
Contingent
Quarterly Payment (per security) |
Early
Redemption
Payment (per security) |
| #1 |
$70.00 |
$0 |
N/A |
$95.00 |
$24.75 |
N/A |
| #2 |
$100.00 |
—* |
$1,024.75 |
$55.00 |
$0 |
N/A |
| #3 |
N/A |
N/A |
N/A |
$70.00 |
$0 |
N/A |
| #4 |
N/A |
N/A |
N/A |
$75.00 |
$0 |
N/A |
| #5 |
N/A |
N/A |
N/A |
$85.00 |
$24.75 |
N/A |
| #6 |
N/A |
N/A |
N/A |
$82.50 |
$24.75 |
N/A |
| #7 |
N/A |
N/A |
N/A |
$75.00 |
$0 |
N/A |
| #8 |
N/A |
N/A |
N/A |
$95.00 |
$24.75 |
N/A |
| #9 |
N/A |
N/A |
N/A |
$85.00 |
$24.75 |
N/A |
| #10 |
N/A |
N/A |
N/A |
$125.00 |
—* |
$1,024.75 |
| #11 |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
| Final Determination Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
| Payment at Maturity |
N/A |
N/A |
* If the securities are automatically redeemed, the early redemption
payment will include the contingent quarterly payment otherwise due.
In Example 1, the securities are automatically redeemed following the
second determination date, as the closing price of the underlier on the second determination date is greater than or equal to the initial
underlier value. Following the second determination date, you receive the early redemption payment, calculated as follows:
stated principal amount + contingent quarterly payment
= $1,000 + $24.75 = $1,024.75
In this example, the automatic early redemption feature limits the
term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the securities
are redeemed early, you will stop receiving contingent quarterly payments.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
In Example 2, the securities are automatically redeemed following the
tenth determination date, as the closing price of the underlier on the tenth determination date is greater than the initial underlier
value. As the closing prices of the underlier on the first, fifth, sixth, eighth and ninth determination dates are greater than or equal
to the downside threshold level, you receive the contingent quarterly payment of $24.75 with respect to those determination dates. Following
the tenth determination date, you receive an early redemption payment of $1,024.75, which includes the contingent quarterly payment with
respect to that determination date.
In this example, the automatic early redemption feature limits the
term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or returns. If the securities
are redeemed early, you will stop receiving contingent quarterly payments. Further, although the underlier has appreciated by 25% from
the initial underlier value on the tenth determination date, upon automatic early redemption, you receive only $1,024.75 per security
and do not benefit from such appreciation.
| |
Example 3 |
Example 4 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment (per
security) |
Early
Redemption
Payment (per
security) |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment (per
security) |
Early
Redemption
Payment (per
security) |
| #1 |
$70.00 |
$0 |
N/A |
$50.00 |
$0 |
N/A |
| #2 |
$75.00 |
$0 |
N/A |
$65.00 |
$0 |
N/A |
| #3 |
$65.00 |
$0 |
N/A |
$62.50 |
$0 |
N/A |
| #4 |
$60.00 |
$0 |
N/A |
$70.00 |
$0 |
N/A |
| #5 |
$50.00 |
$0 |
N/A |
$75.00 |
$0 |
N/A |
| #6 |
$45.00 |
$0 |
N/A |
$65.00 |
$0 |
N/A |
| #7 |
$50.00 |
$0 |
N/A |
$70.00 |
$0 |
N/A |
| #8 |
$60.00 |
$0 |
N/A |
$60.00 |
$0 |
N/A |
| #9 |
$67.50 |
$0 |
N/A |
$50.00 |
$0 |
N/A |
| #10 |
$55.00 |
$0 |
N/A |
$72.50 |
$0 |
N/A |
| #11 |
$70.00 |
$0 |
N/A |
$70.00 |
$0 |
N/A |
| Final Determination Date |
$55.00 |
$0 |
N/A |
$90.00 |
—* |
N/A |
Payment at
Maturity |
$550.00 |
$1,024.75 |
* The final contingent quarterly payment, if any, will be paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per security based
on the final underlier value.
In Example 3, the closing price of the underlier is below the downside
threshold level on each determination date throughout the term of the securities. As a result, you do not receive any contingent quarterly
payments during the term of the securities. In addition, because the final underlier value is less than the downside threshold level,
at maturity, you are fully exposed to the decline in the closing price of the underlier. Thus, investors will receive a cash payment at
maturity that is significantly less than the stated principal amount, calculated as follows:
$1,000 × underlier performance factor
= $1,000 × (final underlier value / initial
underlier value)
= $1,000 × ($55.00 / $100.00)
= $550.00
In this example, the cash payment you receive at maturity is significantly
less than the stated principal amount.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
In Example 4, the closing price of the underlier is below the downside
threshold level on each of the determination dates prior to the final determination date. As a result, you do not receive any contingent
quarterly payments following those determination dates. In addition, the closing price of the underlier decreases to a final underlier
value of $90.00. Although the final underlier value is less than the initial underlier value, because the final underlier value is still
not less than the downside threshold level, you receive the stated principal amount plus the contingent quarterly payment otherwise
due. Your payment at maturity is calculated as follows:
$1,000 + $24.75 = $1,024.75
In this example, although the final underlier value represents a
decline of 10% from the initial underlier value, you receive the stated principal amount plus the contingent quarterly payment
otherwise due, equal to a total payment of $1,024.75 per security at maturity.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
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. Investing in the securities
is not equivalent to investing directly in the underlier. 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
| § | The securities do not guarantee the return of any principal.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of
the stated principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the
final underlier value is less than the downside threshold level, you will be exposed to the decline in the closing price of the underlier,
as compared to the initial underlier value, on a 1-to-1 basis and you will receive for each security that you hold at maturity an amount
in cash equal to the stated principal amount times the underlier performance factor. Under these circumstances, your payment at maturity
will be less than 80% of the stated principal amount and could be zero. |
| § | You will not receive any contingent quarterly payment
for any quarterly period where the closing price of the underlier on the applicable determination date is less than the downside threshold
level. The terms of the securities differ from those of ordinary debt securities in that they do not provide for regular interest
payments. Instead, a contingent quarterly payment will be made with respect to a quarterly period only if the closing price of the underlier
is greater than or equal to the downside threshold level on the related determination date. If the closing price of the underlier is below
the downside threshold level on any determination date, you will not receive a contingent quarterly payment for the related quarterly
period. The closing price of the underlier could be below the downside threshold level on most or all of the determination dates so that
you receive few or no contingent quarterly payments over the term of the securities. If you do not receive sufficient contingent quarterly
payments over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional
debt security of the issuer of comparable maturity. |
| § | You will not participate in any appreciation in the value
of the underlier. You will not participate in any appreciation in the value of the underlier from the initial underlier value even
though you will be exposed to the depreciation in the value of the underlier if the securities have not been redeemed prior to maturity
and the final underlier value is less than the downside threshold level. The return on the securities will be limited to the contingent
quarterly payment that is paid with respect to each determination date on which the closing price of the underlier is greater than or
equal to the downside threshold level. |
| § | Automatic early redemption risk. The term of your
investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature of the
securities. If the securities are redeemed prior to maturity, no further contingent quarterly payments will be made on the securities
and you may be forced to reinvest in a lower interest rate environment. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the securities in a comparable investment with a similar level of risk in the event the securities are redeemed
prior to the maturity date. |
| § | Any payment on the securities will be determined based
on the closing prices of the underlier on the dates specified. Any payment on the securities will be determined based on the closing
prices of the underlier on the dates specified. You will not benefit from any more favorable value of the underlier determined at any
other time. |
| § | Contingent repayment of principal applies only at maturity
or upon any automatic early redemption. You should be willing and able to hold the securities to maturity or any automatic early redemption.
If you sell the securities prior to maturity in the secondary market, if any, you may have to sell the securities at a loss relative to
your initial investment even if the price of the underlier is above the downside threshold level. |
| § | The securities are subject to volatility risk. Volatility
is a measure of the degree of variation in the price of the underlier over a period of time. The contingent quarterly payment is determined
based on a number of factors, including the expected volatility of the underlier. The contingent quarterly payment is higher than the
fixed rate that we would pay on a conventional debt security of the same tenor and is higher than it otherwise would be if the level of
expected volatility of the underlier taken into account in determining the terms of the securities were lower. As volatility of the underlier
increases, there will typically be a greater likelihood that (a) the closing price of the underlier will be less than the downside threshold
level on one or more determination dates and (b) the final underlier value will be less than the downside threshold level. |
Accordingly, you should understand that a higher contingent
quarterly payment reflects, among other things, an indication of a greater likelihood that you will (a) not receive contingent quarterly
payments with respect to one or more determination dates and/or (b) incur a loss of principal at maturity than would have been the case
had the contingent quarterly payment been lower. In addition, actual volatility over the term of the securities may be significantly higher
than the expected volatility at the time the terms of the securities were determined. If actual volatility is higher than expected, you
will face an even greater risk that you will not receive contingent quarterly payments and/or that you will lose a significant portion
or all of your principal at maturity for the reasons described above.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
| § | Investing in the securities is not equivalent to investing
in the underlier. Investors in the securities will not own the underlier or have voting rights or rights to receive dividends or other
distributions or any other rights with respect to the underlier. |
| § | Tax treatment. Significant
aspects of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See “Additional
provisions—Tax considerations” below. |
Risks Relating to the Issuer
| § | Credit of issuer. 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. |
| § | 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 (or the trustee on behalf of the holders 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 as set forth under “Consent to U.K. Bail-in Power” in this document. 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 document 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, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially
adversely affect the value of any 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 Underlier
| § | No affiliation with the issuer of the underlier. The
issuer of the underlier is not an affiliate of ours, is not involved with this offering in any way, and has no obligation to consider
your interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry
with respect to the issuer of the underlier in connection with this offering. |
| § | Single equity risk. The price of the underlier can
rise or fall sharply due to factors specific to the underlier and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial
and other information filed periodically with the SEC by the issuer of the underlier. |
| § | Anti-dilution protection is limited, and the calculation
agent has discretion to make anti-dilution adjustments. The calculation agent may in its sole discretion make adjustments affecting
the amounts payable on the securities upon the occurrence of certain corporate events (such as stock splits or extraordinary or special
dividends) that the calculation agent determines have a diluting or concentrative effect on the theoretical value of the underlier. However,
the calculation agent might not make such adjustments in response to all events that could affect the underlier. The occurrence of any
such event and any adjustment made by the calculation agent (or a determination by the calculation agent not to make any adjustment) may
adversely affect the market price of, and any amounts payable on, the securities. See “Reference Assets—Equity Securities—Share
Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement. |
| § | Reorganization or other events could adversely affect
the value of the securities or result in the securities being accelerated. Upon the occurrence of certain reorganization events or
a nationalization, expropriation, liquidation, bankruptcy, insolvency or de-listing of the underlier, the calculation agent will make
adjustments to the underlier that may result in payments on the securities being based on the performance of shares, cash or other assets
distributed to holders of the underlier upon the occurrence of such event or, in some cases, the calculation agent may accelerate the
maturity date for a payment determined by the calculation agent. Any of these actions could adversely affect the value of the underlier
and, consequently, the value of the securities. Any amount payable upon acceleration could be significantly less than the amount(s) |
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
that would be due on the securities
if they were not accelerated. However, if we elect not to accelerate the securities, the value of, and any amount payable on, the securities
could be adversely affected, perhaps significantly. See “Reference Assets—Equity Securities—Share Adjustments Relating
to Securities with an Equity Security as a Reference Asset” in the accompanying prospectus supplement.
| § | Governmental legislative or regulatory actions, such as
sanctions, could adversely affect your investment in the securities. Governmental legislative or regulatory actions, including, without
limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the
securities or the underlier, or engaging in transactions in them, and any such action could adversely affect the value of the underlier.
These legislative or regulatory actions could result in restrictions on the securities or the de-listing of the underlier. You may lose
a significant portion or all of your initial investment in the securities if the underlier is de-listed or if you are forced to divest
the securities due to government mandates, especially if such de-listing occurs or such divestment must be made at a time when the value
of the securities has declined. See “—Reorganization or other events could adversely affect the value of the securities or
result in the securities being accelerated” above. |
Risks Relating to Conflicts of Interest
| § | We may engage in business with or involving the issuer
of the underlier without regard to your interests. We or our affiliates may presently or from time to time engage in business with
the issuer of the underlier without regard to your interests and thus may acquire non-public information about the issuer of the underlier.
Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to
time have published and in the future may publish research reports with respect to the issuer of the underlier, which may or may not recommend
that investors buy or hold the underlier. |
| § | Hedging and trading activity by the issuer and its affiliates
could potentially adversely affect the value of the securities. Hedging or trading activities of the issuer’s affiliates and
of any other hedging counterparty with respect to the securities could adversely affect the value of the underlier and, as a result, could
decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging or trading activities on or prior
to the pricing date could potentially increase the initial underlier value and, as a result, the downside threshold level, which is the
price at or above which the underlier must close on each determination date in order for you to receive a contingent quarterly payment
or, if the securities are not redeemed prior to maturity, in order for you to avoid being exposed to the negative performance of the underlier
at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the price of
the underlier on the determination dates and, accordingly, whether investors will receive one or more contingent quarterly payments, whether
the securities are automatically redeemed prior to maturity and, if the securities are not redeemed prior to maturity, the payment at
maturity, if any. |
| § | 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. We and our affiliates play a variety of roles in connection with the issuance of
the securities, as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse
to your interests as an investor in the securities. |
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 underlier. In any such market making, trading and hedging activity, investment banking and other financial
services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives
of the holders of the 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.
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, the selected dealer or its affiliates will have
the option to conduct a material portion of the hedging activities for us in connection with the securities. The selected dealer or its
affiliates would expect to realize a projected profit from such hedging activities, and this projected profit would be in addition to
any selling concession that the selected dealer realizes for the sale of the securities to you. This additional projected profit
may create a further incentive for the selected dealer to sell the securities to you.
In addition to the activities described above, we will also
act as the calculation agent for the securities. As calculation agent, we will determine any values of the underlier 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
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
whether a market disruption event has occurred on any date
that the value of the underlier is to be determined; determining whether to adjust any variable described herein in the case of certain
corporate events related to the underlier that the calculation agent determines have a diluting or concentrative effect on the theoretical
value of the shares of the underlier; and determining whether to accelerate the maturity date upon the occurrence of certain reorganization
events and additional adjustment events. In making these discretionary judgments, our economic interests are potentially adverse to your
interests as an investor in the securities, and any of these determinations may adversely affect any payments on the securities.
Risks Relating to the Estimated Value of the Securities
and the Secondary Market
| § | The securities will not be listed on any securities exchange,
and secondary trading may be limited. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer to purchase
the securities in the secondary market but are not required to do so and may cease any such market making activities at any time, without
notice. Even if a secondary market develops, 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, if any, 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. In addition, Barclays Capital Inc. or one or more of our other affiliates may at any time hold an unsold
portion of the securities (as described on the cover page of this document), which may inhibit the development of a secondary market for
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. |
| § | The market price of the securities will be influenced
by many unpredictable factors. Several factors will influence the value of the securities in the secondary market and the price at
which Barclays Capital Inc. and other affiliates of Barclays Bank PLC may be willing to purchase or sell the securities in the secondary
market. Although we expect that generally the value of the underlier on any day will affect the value of the securities more than any
other single factor, other factors that may influence the value of the securities include: |
| o | the volatility (frequency and magnitude of changes in value) of the underlier; |
| o | whether the closing price has been, or is expected to be, below the downside threshold level on any determination date; |
| o | dividend rates on the underlier; |
| o | interest and yield rates in the market; |
| o | time remaining until the securities mature; |
| o | supply and demand for the securities; |
| o | geopolitical conditions and economic, financial, political, regulatory and judicial events that affect the underlier and that may
affect the final underlier value; and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
The value of the underlier may be, and has recently been,
volatile, and we can give you no assurance that the volatility will lessen. See “JPMorgan Chase & Co. Overview” below.
You may receive less, and possibly significantly less, than the stated principal amount if you try to sell your securities prior to maturity.
| § | The estimated value of your securities is expected to
be lower than the initial issue price of your securities. The estimated value of your securities on the pricing date is expected to
be lower, and may be significantly lower, than the initial issue price of your securities. The difference between the initial issue price
of your securities and the estimated value of the securities is expected as a result of certain factors, such as any sales commissions
expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected
to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection
with structuring the 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. These other costs will include a fee paid to LFT Securities, LLC,
an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform
services with respect to this offering. |
| § | 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
values referenced above might be lower if such estimated values were based on the levels at which our benchmark debt securities trade
in the secondary market. |
| § | 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 |
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
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.
| § | 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. 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 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 initial issue 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 maturity date could result in a substantial loss to you. |
| § | 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. |
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
JPMorgan Chase & Co. Overview
According to publicly available information, JPMorgan Chase & Co.
(the “Company”) is a financial services firm engaged in investment banking, financial services for consumers and small businesses,
commercial banking, financial transaction processing and asset management.
Information filed by the Company with the SEC under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”), can be located by reference to its SEC file number: 001-05805. The Company’s
common stock is listed on the New York Stock Exchange under the ticker symbol “JPM.”
We urge you to read the following section in the accompanying prospectus
supplement: “Reference Assets—Equity Securities—Reference Asset Issuer and Reference Asset Information.” Companies
with securities registered under the Exchange Act are required to file financial and other information specified by the SEC periodically.
Information provided to or filed with the SEC by the Company can be located on a website maintained by the SEC at http://www.sec.gov by
reference to the Company’s SEC file number provided above.
The summary information above regarding the Company comes from the Company’s
SEC filings. You are urged to refer to the SEC filings made by the Company and to other publicly available information (such as the Company’s
annual report) to obtain an understanding of the Company’s business and financial prospects. The summary information contained above
is not designed to be, and should not be interpreted as, an effort to present information regarding the financial prospects of any issuer
or any trends, events or other factors that may have a positive or negative influence on those prospects or as an endorsement of any particular
issuer.
Information from outside sources is not incorporated by reference
in, and should not be considered part of, this document or the accompanying prospectus or prospectus supplement. We have not independently
verified the accuracy or completeness of the information contained in outside sources.
Information about the underlier as of market close on October 2, 2024:
| Bloomberg Ticker Symbol: |
JPM UN<Equity> |
52 Week High: |
$224.80 |
| Current Closing Price: |
$207.29 |
52 Week Low: |
$135.69 |
| 52 Weeks Ago (10/4/2023): |
$143.35 |
|
|
The following table sets forth the published high, low and period-end
closing prices of the underlier for each quarter for the period of January 2, 2019 through October 2, 2024. The associated graph shows
the closing prices of the underlier for each day in the same period. The closing price of the underlier on October 2, 2024 was $207.29.
We obtained the closing prices of the underlier from Bloomberg Professional® service, without independent verification.
Historical performance of the underlier should not be taken as an indication of future performance. Future performance of the underlier
may differ significantly from historical performance, and no assurance can be given as to the closing price of the underlier during the
term of the securities, including on any of the determination dates. We cannot give you assurance that the performance of the underlier
will not result in a loss on your initial investment. The closing prices below may have been adjusted to reflect certain corporate
actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, extraordinary dividends, delistings and bankruptcy.
| Common Stock of JPMorgan Chase & Co. |
High |
Low |
Period End |
| 2019 |
|
|
|
| First Quarter |
$107.19 |
$97.11 |
$101.23 |
| Second Quarter |
$116.12 |
$104.64 |
$111.80 |
| Third Quarter |
$120.23 |
$104.80 |
$117.69 |
| Fourth Quarter |
$139.40 |
$111.82 |
$139.40 |
| 2020 |
|
|
|
| First Quarter |
$141.09 |
$79.03 |
$90.03 |
| Second Quarter |
$113.45 |
$84.03 |
$94.06 |
| Third Quarter |
$103.82 |
$91.28 |
$96.27 |
| Fourth Quarter |
$127.07 |
$96.54 |
$127.07 |
| 2021 |
|
|
|
| First Quarter |
$157.65 |
$125.65 |
$152.23 |
| Second Quarter |
$166.44 |
$147.37 |
$155.54 |
| Third Quarter |
$166.98 |
$146.97 |
$163.69 |
| Fourth Quarter |
$171.78 |
$153.94 |
$158.35 |
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
| Common Stock of JPMorgan Chase & Co. |
High |
Low |
Period End |
| 2022 |
|
|
|
| First Quarter |
$168.44 |
$128.30 |
$136.32 |
| Second Quarter |
$135.91 |
$112.61 |
$112.61 |
| Third Quarter |
$123.63 |
$104.50 |
$104.50 |
| Fourth Quarter |
$138.18 |
$101.96 |
$134.10 |
| 2023 |
|
|
|
| First Quarter |
$143.80 |
$124.91 |
$130.31 |
| Second Quarter |
$145.44 |
$127.47 |
$145.44 |
| Third Quarter |
$158.00 |
$143.21 |
$145.02 |
| Fourth Quarter |
$170.30 |
$135.69 |
$170.10 |
| 2024 |
|
|
|
| First Quarter |
$200.30 |
$167.09 |
$200.30 |
| Second Quarter |
$204.79 |
$180.08 |
$202.26 |
| Third Quarter |
$224.80 |
$194.90 |
$210.86 |
| Fourth Quarter (through October 2, 2024) |
$207.29 |
$207.04 |
$207.29 |
JPMorgan Chase & Co. common stock — daily closing prices*
January 2, 2019 to October 2, 2024 |
 |
| * The dotted line indicates a hypothetical downside threshold level of 80% of the closing price of the underlier on October 2, 2024. The actual downside threshold level will be equal to 80% of the initial underlier value. |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the cover
page of this document.
| Additional provisions: |
|
| Minimum ticketing size: |
$1,000 / 1 security |
| 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, “—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 quarterly 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, 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 quarterly 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 quarterly 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 quarterly payment. Although uncertain, it is possible that
proceeds received from the sale or exchange of your securities prior to a determination date but that can be attributed to an expected
contingent quarterly 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 quarterly 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, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the securities do not have a “delta of one” within the meaning of the regulations, we expect
that these regulations will not apply to the securities with regard to non-U.S. holders. Our determination is not binding on the IRS,
and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances,
including whether you enter into other transactions
|
Contingent Income Auto-Callable Securities due October 14, 2027
Based on the Performance of the Common Stock of JPMorgan Chase & Co.
Principal at Risk Securities
| |
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the securities. You should consult your tax advisor regarding the potential application of Section 871(m) to the securities. |
| Trustee: |
The Bank of New York Mellon |
| Use of proceeds and hedging: |
The net proceeds we receive from the sale of the securities will be
used for various corporate purposes as set forth in the prospectus and prospectus supplement and, in part, in connection with hedging
our obligations under the securities through one or more of our subsidiaries.
We, through our subsidiaries or others, hedge our anticipated exposure
in connection with the securities by taking positions in futures and options contracts on the underlier and any other securities or instruments we
may wish to use in connection with such hedging. Trading and other transactions by us or our affiliates could affect the value of the
underlier, the market value of the securities or any amounts payable on the securities. For further information on our use of proceeds
and hedging, see “Use of Proceeds and Hedging” in the prospectus supplement.
|
| ERISA: |
See “Benefit Plan Investor Considerations” in the accompanying prospectus supplement. |
This document represents a summary of the terms and conditions of
the securities. We encourage you to read the accompanying prospectus and prospectus supplement for this offering, which can be accessed
via the hyperlinks on the cover page of this document.
Supplemental Plan of Distribution
Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”)
and its financial advisors will collectively receive from the agent, Barclays Capital Inc., a fixed sales commission for each security
they sell, and Morgan Stanley Wealth Management will receive a structuring fee for each security, in each case as specified on the cover
page of this document.
We expect that delivery of the securities will be made against payment
for the securities on the original issue date, which is more than one business day following the pricing date. Notwithstanding anything
to the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective
May 28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on any date prior to one business day before delivery
will be required to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
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