Pricing Supplement dated May 10, 2024
(To the Prospectus dated May 23, 2022, the Prospectus Supplement dated June 27, 2022
and the Underlying Supplement dated June 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
|
$1,529,000
Contingent
Coupon Buffered Notes due May 15, 2028
Linked
to the Least Performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500®
Index
Global
Medium-Term Notes, Series A
|
Unlike ordinary debt securities, the Notes do not guarantee the payment
of interest or the return of the full principal amount at maturity. Instead, as described below, if on any Observation Date the Closing
Value of each Underlier is greater than or equal to its Coupon Barrier Value, the Notes will pay on the related Contingent Coupon Payment
Date a Contingent Coupon plus all previously unpaid Contingent Coupons, if any. Investors should be willing to forgo dividend payments
and, if the Final Underlier Value of any Underlier is less than its Buffer Value, be willing to lose up to 70.00% of their investment
at maturity. Investors will be exposed to the market risk of each Underlier and any decline in the value of one Underlier may negatively
affect their return and will not be offset or mitigated by a lesser decline or any potential increase in the values of the other Underliers.
Terms used in this pricing supplement,
but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
Issuer: |
Barclays Bank PLC |
Denominations: |
Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof |
Initial Valuation Date: |
May 10, 2024 |
Final Valuation Date:† |
May 10, 2028 |
Issue Date: |
May 15, 2024 |
Maturity Date:† |
May 15, 2028 |
Reference Assets:* |
The Nasdaq-100 Index® (the “NDX Index”), the Russell 2000® Index (the “RTY Index”) and the S&P 500® Index (the “SPX Index”) (each, an “Underlier” and together, the “Underliers”), as set forth in the following table: |
|
Underliers |
Bloomberg Ticker |
Initial Underlier Value(1) |
Coupon Barrier Value(2) |
Buffer Value(2) |
|
NDX Index |
NDX<Index> |
18,161.18 |
12,712.83 |
12,712.83 |
|
RTY Index |
RTY<Index> |
2,059.778 |
1,441.84 |
1,441.84 |
|
SPX Index |
SPX<Index> |
5,222.68 |
3,655.88 |
3,655.88 |
|
(1) With respect to each Underlier, the Closing Value of that Underlier on the Initial Valuation Date |
|
(2) With respect to each Underlier, 70.00% of its Initial Underlier Value (rounded to two decimal places) |
Contingent Coupon: |
$5.417 per $1,000 principal amount Note (based on a rate of 6.50% per
annum or 0.5417% per month, rounded to four decimal places, if applicable)
If the Closing Value of each Underlier on
an Observation Date is greater than or equal to its Coupon Barrier Value, you will receive on the related Contingent Coupon
Payment Date a Contingent Coupon plus the amounts of all Contingent Coupons, if any, that would have been paid on a previous Contingent
Coupon Payment Date had the Closing Value of each Underlier been greater than or equal to its Coupon Barrier Value on the related Observation
Date and that have not been previously paid (“Unpaid Contingent Coupons”). If the Closing Value of any
Underlier on an Observation Date is less than its Coupon Barrier Value, the Contingent Coupon applicable to that Observation Date
will not be payable on the related Contingent Coupon Payment Date. |
Payment at Maturity: |
You will receive on the Maturity Date a cash payment per $1,000 principal
amount Note determined as follows:
§ If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, you will receive
a payment of $1,000 per $1,000 principal amount Note plus the Contingent Coupon and any Unpaid Contingent Coupons otherwise due
§ If
the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, you will receive an amount per $1,000
principal amount Note calculated as follows:
$1,000 + [$1,000 × (Underlier Return
of the Least Performing Underlier + Buffer Percentage)]
If the Final Underlier Value of any Underlier is less than its
Buffer Value, your Notes will be exposed to the decline of the Least Performing Underlier in excess of the Buffer Percentage from its
Initial Underlier Value and you will lose up to 70.00% of your investment at maturity. Any payment on the Notes, 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 (as described on page PS- 4 of this pricing supplement) by the relevant U.K. resolution authority.
See “Selected Risk Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk
Factors” in the accompanying prospectus supplement.
|
Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement. |
(Terms of the Notes continue on the next page)
|
Initial Issue
Price(1)(2)
|
Price to Public
|
Agent’s
Commission(3)
|
Proceeds to
Barclays Bank PLC
|
Per Note |
$1,000 |
100% |
0.75% |
99.25% |
Total |
$1,529,000.00 |
$1,529,000.00 |
$11,467.50 |
$1,517,532.50 |
| (1) | Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions,
fees or commissions, the public offering price for investors purchasing the Notes in such fee-based advisory accounts may be between $992.50
and $1,000 per Note. Investors that hold their Notes in fee-based advisory or trust accounts may be charged fees by the investment advisor
or manager of such account based on the amount of assets held in those accounts, including the Notes. |
| (2) | Our estimated value of the Notes on the Initial Valuation Date, based on our internal pricing models, is $976.90 per $1,000 principal
amount Note. The estimated value is less than the initial issue price of the Notes. See “Additional Information Regarding Our Estimated
Value of the Notes” on page PS-5 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of $7.50 per $1,000 principal amount Note. Barclays Capital Inc. will
use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers. |
Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-9 of the prospectus supplement and “Selected Risk Considerations”
beginning on page PS-12 of this pricing supplement.
We may use this pricing supplement in the initial sale of the Notes.
In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market resale transactions in any
Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being
used in a market resale transaction.
The Notes 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 these Notes or determined that this pricing supplement is truthful or complete. Any representation to the contrary is
a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes 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.
(Terms of the Notes continued from previous page)
Buffer Percentage: |
30.00% |
Final Underlier Value: |
With respect to each Underlier, the Closing Value of that Underlier on the Final Valuation Date |
Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
Underlier Return: |
With respect to each Underlier, an amount calculated as follows:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
|
Observation Dates:† |
June 10, 2024, July 10, 2024, August 12, 2024, September 10, 2024, October 10, 2024, November 11, 2024, December 10, 2024, January 10, 2025, February 10, 2025, March 10, 2025, April 10, 2025, May 12, 2025, June 10, 2025, July 10, 2025, August 11, 2025, September 10, 2025, October 10, 2025, November 10, 2025, December 10, 2025, January 12, 2026, February 10, 2026, March 10, 2026, April 10, 2026, May 11, 2026, June 10, 2026, July 10, 2026, August 10, 2026, September 10, 2026, October 12, 2026, November 10, 2026, December 10, 2026, January 11, 2027, February 10, 2027, March 10, 2027, April 12, 2027, May 10, 2027, June 10, 2027, July 12, 2027, August 10, 2027, September 10, 2027, October 11, 2027, November 10, 2027, December 10, 2027, January 10, 2028, February 10, 2028, March 10, 2028, April 10, 2028 and the Final Valuation Date |
Contingent Coupon Payment Dates:† |
June 17, 2024, July 17, 2024, August 19, 2024, September 17, 2024, October 18, 2024, November 18, 2024, December 17, 2024, January 17, 2025, February 18, 2025, March 17, 2025, April 17, 2025, May 19, 2025, June 17, 2025, July 17, 2025, August 18, 2025, September 17, 2025, October 20, 2025, November 18, 2025, December 17, 2025, January 20, 2026, February 18, 2026, March 17, 2026, April 17, 2026, May 18, 2026, June 17, 2026, July 17, 2026, August 17, 2026, September 17, 2026, October 19, 2026, November 18, 2026, December 17, 2026, January 19, 2027, February 18, 2027, March 17, 2027, April 19, 2027, May 17, 2027, June 17, 2027, July 19, 2027, August 17, 2027, September 17, 2027, October 18, 2027, November 18, 2027, December 17, 2027, January 18, 2028, February 17, 2028, March 17, 2028, April 17, 2028 and the Maturity Date |
Closing Value:* |
Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
Calculation Agent: |
Barclays Bank PLC |
CUSIP / ISIN: |
06745QTR0 / US06745QTR01 |
| * | If an Underlier is discontinued or if the sponsor of an Underlier fails to publish that Underlier, the Calculation Agent may select
a successor index or, if no successor index is available, will calculate the value to be used as the Closing Value of that Underlier.
In addition, the Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event of certain changes
in or modifications to that Underlier. For more information, see “Reference Assets—Indices—Adjustments Relating to Securities
with an Index as a Reference Asset” in the accompanying prospectus supplement. |
| † | Each Observation Date may be postponed if that Observation Date is not a scheduled trading day with respect to any Underlier or if
a market disruption event occurs with respect to any Underlier on that Observation Date as described under “Reference Assets—Indices—Market
Disruption Events for Securities with an Index of Equity Securities as a Reference Asset” and “Reference Assets—Least
or Best Performing Reference Asset—Scheduled Trading Days and Market Disruption Events for Securities Linked to the Reference Asset
with the Lowest or Highest Return in a Group of Two or More Equity Securities, Exchange-Traded Funds and/or Indices of Equity Securities”
in the accompanying prospectus supplement. In addition, a Contingent Coupon Payment Date and/or the Maturity Date will be postponed if
that day is not a business day or if the relevant Observation Date is postponed as described under “Terms of the Notes—Payment
Dates” in the accompanying prospectus supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement 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 these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
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):
| · | Prospectus dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| · | Prospectus Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
| · | Underlying Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011304/dp169384_424b2-underl.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
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 Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes 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
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, 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 Notes 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 Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes 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 Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of
Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as
well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail, 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.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
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 Initial Valuation Date is based on our internal funding
rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is less
than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the
Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost that we may incur in hedging our
obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or
sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of
ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial
Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the tenor
of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-12 of this pricing supplement.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes 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, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value of at least
one Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates. |
| · | You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and that your
potential return on the Notes is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You can tolerate a loss of up to 70.00% of your principal amount, and you are willing and able to make an investment that may have
downside market risk similar to that of an investment in the Least Performing Underlier. |
| · | You do not anticipate that the Closing Value of any Underlier will fall below its Coupon Barrier Value on any Observation Date
or below its Buffer Value on the Final Valuation Date. |
| · | You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value of one
Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You understand and accept the risks that (a) you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date
if the Closing Value of any Underlier is less than its Coupon Barrier Value on an Observation Date and (b) you will lose up to
70.00% of your principal at maturity if the Final Underlier Value of any Underlier is less than its Buffer Value. |
| · | You understand and accept the risk that the payment at maturity, if any, will be based solely on the Underlier Return of the
Least Performing Underlier. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underliers. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Underliers, nor will you have any voting rights with respect to the securities composing the Underliers. |
| · | You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of
the Underliers. |
| · | You do not seek an investment for which there will be an active secondary market, and you are willing and able to hold the Notes to
maturity. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | 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 Notes 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,
and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value of at least
one Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates. |
| · | You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment with a
return that is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose up to 70.00% of the principal amount of your Notes in the event that the Final Underlier Value of the Least
Performing Underlier falls below its Buffer Value. |
| · | You anticipate that the Closing Value of at least one Underlier will decline during the term of the Notes such that the Closing
Value of at least one Underlier will fall below its Coupon Barrier Value on one or more Observation Dates and/or the Final Underlier
Value of at least one Underlier will fall below its Buffer Value. |
| · | You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline in the
value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underliers. |
| · | You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to not receive
Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of any other Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Underliers. |
| · | You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underliers. |
| · | You seek an investment for which there will be an active secondary market, and/or you are unwilling or unable to hold the Notes to
maturity. |
| · | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings. |
| · | You are unwilling or unable to assume our credit risk for all payments on the Notes. |
| · | 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 Notes. You should reach a decision whether to invest in the Notes after carefully considering,
with your advisors, the appropriateness of the Notes in light of your investment objectives and the specific information set out in this
pricing supplement, the prospectus, the prospectus supplement and the underlying supplement. Neither the Issuer nor Barclays Capital Inc.
makes any recommendation as to the appropriateness of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF CONTINGENT COUPON PAYMENTS DURING the TERM OF THE NOTES
The following examples demonstrate the circumstances under which you
may receive Contingent Coupons during the term of the Notes. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following tables and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: 100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| * | The hypothetical Initial Underlier Value of 100.00 and the hypothetical Coupon Barrier Value of 70.00
for each Underlier have been chosen for illustrative purposes only and do not represent the actual Initial Underlier Values or Coupon
Barrier Values for the Underliers. The actual Initial Underlier Value and Coupon Barrier Value for each Underlier are set forth on the
cover of this pricing supplement. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Example 1: The Closing Value of each Underlier is greater than or
equal to its Coupon Barrier Value on the first and second Observation Dates, but the Closing Value of at least one Underlier is less than
its Coupon Barrier Value on each other Observation Date.
Observation Date |
Underlier |
Closing Value on Observation Date |
Total Contingent Coupon Payment on Related Contingent Coupon Payment Date per $1,000 Principal Amount Note |
1 |
NDX Index |
150.00 |
$5.417 |
RTY Index |
100.000 |
SPX Index |
90.00 |
2 |
NDX Index |
115.00 |
$5.417 |
RTY Index |
95.000 |
SPX Index |
120.00 |
3-47 |
NDX Index |
Various (at least one Underlier below Coupon Barrier Value) |
$0 |
RTY Index |
SPX Index |
Final |
NDX Index |
65.00 |
$0 |
RTY Index |
40.000 |
SPX Index |
30.00 |
Because the Closing Value of each Underlier is greater than or equal
to its Coupon Barrier Value on each of the first and second Observation Dates, you will receive a Contingent Coupon of $5.417 (0.5417%
of the principal amount per Note) on each related Contingent Coupon Payment Date. Because the Closing Value of at least one Underlier
is less than its Coupon Barrier Value on the remaining Observation Dates, the Contingent Coupons applicable to those Observation Dates
will not be payable at any time.
Example 2: The Closing Value of at least one Underlier is less than
its Coupon Barrier Value on the second through forty-seventh Observation Dates, but the Closing Value of each Underlier is greater than
its Coupon Barrier Value on the first and final Observation Dates.
Observation Date |
Underlier |
Closing Value on Observation Date |
Total Contingent Coupon Payment on Related Contingent Coupon Payment Date per $1,000 Principal Amount Note |
1 |
NDX Index |
150.00 |
$5.417 |
RTY Index |
100.000 |
SPX Index |
90.00 |
2 |
NDX Index |
115.00 |
$0 |
RTY Index |
55.000 |
SPX Index |
120.00 |
3-47 |
NDX Index |
Various (at least one Underlier below Coupon Barrier Value) |
$0 |
RTY Index |
SPX Index |
Final |
NDX Index |
85.00 |
$254.599 (reflecting Contingent Coupon for final Observation Date and Unpaid Contingent Coupons for second through forty-seventh Observation Dates) |
RTY Index |
140.000 |
SPX Index |
130.00 |
Because the Closing Value of each Underlier is greater than or equal
to its Coupon Barrier Value on the first Observation Date, you will receive a Contingent Coupon of $5.417 (0.5417% of the principal amount
per Note) on the related Contingent Coupon Payment Date. Because the Closing Value of at least one Underlier is less than its Coupon Barrier
Value on the second through forty-seventh Observation Dates, the Contingent Coupons applicable to those Observation Dates will not be
payable on the related Contingent Coupon Payment Dates; however, because the Closing Value of each Underlier on the final Observation
Date is greater than its Coupon Barrier Value, the Contingent Coupons that would have been paid on the second through forty-seventh Contingent
Coupon Payment Dates had the Closing Value of each Underlier been greater than or equal to its Coupon Barrier Value on the second through
forty-seventh Observation Dates will be paid on the final Contingent Coupon Payment Date.
Example 3: The Closing Value of at least one Underlier is less than
its Coupon Barrier Value on each Observation Date.
Observation Date |
Underlier |
Closing Value on Observation Date |
Total Contingent Coupon Payment on Related Contingent Coupon Payment Date per $1,000 Principal Amount Note |
1 |
NDX Index |
30.00 |
$0 |
RTY Index |
100.000 |
SPX Index |
90.00 |
2 |
NDX Index |
115.00 |
$0 |
RTY Index |
45.000 |
SPX Index |
120.00 |
3-47 |
NDX Index |
Various (at least one Underlier below Coupon Barrier Value) |
$0 |
RTY Index |
SPX Index |
Final |
NDX Index |
65.00 |
$0 |
RTY Index |
40.000 |
SPX Index |
30.00 |
Because the Closing Value of at least one Underlier is less than its
Coupon Barrier Value on each Observation Date, you will not receive a Contingent Coupon on any related Contingent Coupon Payment Date.
Example 3 demonstrates that you may not receive a Contingent Coupon
on any Contingent Coupon Payment Date. If the Closing Value of at least one Underlier is below its Coupon Barrier Value on each Observation
Date, you will not receive any Contingent Coupons during the term of the Notes.
Hypothetical EXAMPLES OF
AMOUNTS PAYABLE at Maturity
The following table illustrates the
hypothetical payment at maturity under various circumstances. The examples set forth below are purely hypothetical and are provided for
illustrative purposes only. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical
examples below do not take into account any tax consequences from investing in the Notes and make the following key assumptions:
| § | Hypothetical Initial Underlier Value of each Underlier: 100.00* |
| § | Hypothetical Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | Hypothetical Buffer Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)* |
| * | The hypothetical Initial Underlier Value of 100.00,
the hypothetical Coupon Barrier Value of 70.00 and the hypothetical Buffer
Value of 70.00 for each Underlier have been chosen for illustrative purposes only and do not represent the actual Initial Underlier Values,
Coupon Barrier Values or Buffer Values for the Underliers. The actual Initial Underlier Value, Coupon Barrier Value and Buffer Value for
each Underlier are set forth on the cover of this pricing supplement. |
For information regarding recent values of the Underliers, please see
“Information Regarding the Underliers” in this pricing supplement.
Final Underlier Value of
the Least Performing Underlier |
Underlier Return of
the Least Performing Underlier |
Payment at Maturity** |
150.00 |
50.00% |
$1,000.00 |
140.00 |
40.00% |
$1,000.00 |
130.00 |
30.00% |
$1,000.00 |
120.00 |
20.00% |
$1,000.00 |
110.00 |
10.00% |
$1,000.00 |
100.00 |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
$1,000.00 |
80.00 |
-20.00% |
$1,000.00 |
70.00 |
-30.00% |
$1,000.00 |
60.00 |
-40.00% |
$900.00 |
50.00 |
-50.00% |
$800.00 |
40.00 |
-60.00% |
$700.00 |
30.00 |
-70.00% |
$600.00 |
20.00 |
-80.00% |
$500.00 |
10.00 |
-90.00% |
$400.00 |
0.00 |
-100.00% |
$300.00 |
** per $1,000 principal amount
Note, excluding the final Contingent Coupon and any Unpaid Contingent Coupons that may be payable on the Maturity Date
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The Final Underlier Value of the NDX Index is
150.00, the Final Underlier Value of the RTY Index is 130.000 and the Final Underlier Value of the SPX Index is 140.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Buffer Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent
Coupon and any Unpaid Contingent Coupons otherwise due).
Example 1 demonstrates that you will not participate in any appreciation
in the value of any Underlier. Even though each Underlier appreciated significantly, the payment at maturity is limited to $1,000 per
$1,000 principal amount Note that you hold (plus the Contingent Coupon and any Unpaid Contingent Coupons otherwise due).
Example 2: The Final Underlier Value of the NDX Index is 75.00,
the Final Underlier Value of the RTY Index is 140.000 and the Final Underlier Value of the SPX Index is 95.00.
Because the NDX Index has the lowest Underlier Return, the NDX Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Buffer Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent
Coupon and any Unpaid Contingent Coupons otherwise due).
Example 3: The Final Underlier Value of the NDX Index is 80.00,
the Final Underlier Value of the RTY Index is 40.000 and the Final Underlier Value of the SPX Index is 150.00.
Because the RTY Index has the lowest Underlier Return, the RTY Index
is the Least Performing Underlier. Because the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value,
you will receive a payment at maturity of $700.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + [$1,000 × (Underlier Return of the
Least Performing Underlier + Buffer Percentage)]
$1,000 + [$1,000 × (-60.00% + 30.00%)] =
$700.00
In addition, because the Final Underlier Value of at least one Underlier
is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 3 demonstrates that, if the Final Underlier Value of the Least
Performing Underlier is less than its Buffer Value, your investment in the Notes will be exposed to the decline of the Least Performing
Underlier in excess of the Buffer Percentage from its Initial Underlier Value. You will not benefit in any way from the Underlier Return
of any other Underlier being higher than the Underlier Return of the Least Performing Underlier.
You may lose up to 70.00% of the principal amount of your Notes.
Any payment on the Notes, including the repayment of principal, is subject to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underliers or their components. Some of the risks that apply to an investment
in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes generally in the
“Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless you understand and can bear
the risks of investing in the Notes.
Risks Relating to the Notes Generally
| · | Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in that
the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Final Underlier Value of the Least Performing
Underlier is less than its Buffer Value, your Notes will be exposed to the decline of the Least Performing Underlier in excess of the
Buffer Percentage from its Initial Underlier Value. You may lose up to 70.00% of the principal amount of your Notes. |
| · | You May Not Receive Any Contingent Coupon Payments on the Notes—The Issuer will not necessarily make periodic coupon
payments on the Notes. You will receive on the related Contingent Coupon Payment Date a Contingent Coupon plus all previously Unpaid Contingent
Coupons, if any, only if the Closing Value of each Underlier on an Observation Date is greater than or equal to its Coupon Barrier Value.
If the Closing Value of any Underlier on an Observation Date is less than its Coupon Barrier Value, the Contingent Coupon applicable to
that Observation Date will not be payable on the related Contingent Coupon Payment Date. If a Contingent Coupon is not paid on any Contingent
Coupon Payment Date, that Contingent Coupon will be paid as an Unpaid Contingent Coupon on a later Contingent Coupon Payment Date only
if the Closing Value of each Underlier on a subsequent Observation Date is greater than or equal to its Coupon Barrier Value. If the Closing
Value of at least one Underlier is less than its Coupon Barrier Value on each Observation Date, you will not receive any Contingent Coupons
during the term of the Notes. |
| · | Your Potential Return on the Notes Is Limited to the Contingent Coupons, If Any, and You Will Not Participate in Any Appreciation
of Any Underlier—The potential positive return on the Notes is limited to the Contingent Coupons ,if any, that may be payable
during the term of the Notes. You will not participate in any appreciation in the value of any Underlier, which may be significant, even
though you will be exposed to the depreciation in the value of the Least Performing Underlier in excess of the Buffer Percentage if the
Final Underlier Value of the Least Performing Underlier is less than its Buffer Value. |
| · | Your Potential Return on the Notes Will Be Different Depending on the Sequence of Closing Values of Each Underlier on Different
Observation Dates—Depending on the sequence in which the Closing Value of each Underlier is greater than or equal to its Coupon
Barrier Value on specific Observation Dates (if at all), you could receive a lesser or greater return regardless of the number of Observation
Dates on which the Closing Value of each Underlier is greater than or equal to its Coupon Barrier Value. For example, if the Closing Value
of any Underlier is less than its Coupon Barrier Value on each of the first forty-seven Observation Dates but is greater than or equal
to its Coupon Barrier Value on the final Observation Date, you will receive forty-eight Contingent Coupons (forty-seven in the form of
Unpaid Contingent Coupons). However, if the Closing Value of each Underlier is greater than or equal to its Coupon Barrier Value on each
of the first two Observation Dates but on no subsequent Observation Dates, you will receive only two Contingent Coupons, even though the
Closing Value of each Underlier was greater than or equal to the Coupon Barrier Value on twice as many Observation Dates as in the previous
example. |
| · | Because the Notes Are Linked to the Least Performing Underlier, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining
a Significant Loss of Principal at Maturity Than If the Notes Were Linked to a Single Underlier—The risk that you will not receive
any Contingent Coupons and lose up to 70.00% of your principal amount in the Notes at maturity is greater if you invest in the Notes as
opposed to substantially similar securities that are linked to the performance of a single Underlier. With multiple Underliers, it is
more likely that the Closing Value of at least one Underlier will be less than its Coupon Barrier Value on the specified Observation Dates
or less than its Buffer Value on the Final Valuation Date, and therefore, it is more likely that you will not receive any Contingent Coupons
and that you will lose up to 70.00% of principal at maturity. Further, the performance of the Underliers may not be correlated or may
be negatively correlated. The lower the correlation between multiple Underliers, the greater the potential for one of those Underliers
to close below its Coupon Barrier Value or Buffer Value on an Observation Date or the Final Valuation Date, respectively. |
It is impossible to predict what the correlation
among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These different equity markets
may not perform similarly over the term of the Notes.
Although the correlation of the Underliers’
performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on the correlation of the
Underliers’ performance calculated using our internal models at the time when the terms of the Notes are finalized. A higher Contingent
Coupon is generally associated with lower correlation of the Underliers, which reflects a greater potential for missed Contingent Coupons
and for a loss of principal at maturity.
| · | You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting of
the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with a return linked
to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed
to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively affect your return
and will not be offset or mitigated by any increases or lesser declines in the values of the other Underliers. To receive a Contingent
Coupon on any Contingent Coupon Payment Date, the Closing Value of each Underlier must be greater than or equal to its Coupon Barrier
Value on the related Observation Date. In addition, if the Final Underlier Value of any Underlier is |
less than its Buffer Value, you will
be exposed to the decline of the Least Performing Underlier in excess of the Buffer Percentage. Accordingly, your investment is subject
to the market risk of each Underlier.
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified—Any
payment on the Notes will be determined based on the Closing Values of the Underliers on the dates specified. You will not benefit from
any more favorable values of the Underliers determined at any other time. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity—You should be willing to hold your Notes to maturity.
If you sell your Notes prior to such time in the secondary market, if any, you may have to sell your Notes at a price that is less than
the principal amount even if at that time the value of each Underlier has increased from its Initial Underlier Value. See “—Risks
Relating to the Estimated Value of the Notes and the Secondary Market—Many Economic and Market Factors Will Impact the Value of
the Notes” below. |
| · | The Notes Are Subject to Volatility Risk—Volatility is a measure of the degree of variation in the price of an asset
(or level of an index) over a period of time. The Contingent Coupon is determined based on a number
of factors, including the expected volatility of the Underliers. The Contingent Coupon will be paid at a per annum rate that is higher
than the fixed rate that we would pay on a conventional debt security of the same tenor and is higher than it otherwise would be if the
level of expected volatility of the Underliers taken into account in determining the terms of the Notes were lower. As volatility of an
Underlier increases, there will typically be a greater likelihood that (a) the Closing Value of that Underlier on one or more Observation
Dates will be less than its Coupon Barrier Value and (b) the Final Underlier Value of that Underlier will be less than its Buffer Value. |
Accordingly, you should understand that
a higher Contingent Coupon reflects, among other things, an indication of a greater likelihood that you will (a) not receive Contingent
Coupons with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have been the case had
the Contingent Coupon been lower. In addition, actual volatility over the term of the Notes may be significantly higher than expected
volatility at the time the terms of the Notes were determined. If actual volatility is higher than expected, you will face an even greater
risk that you will not receive Contingent Coupons and/or that you will lose up to 70.00% of your principal at maturity for the reasons
described above.
| · | Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may not reflect
the return you would realize if you actually owned the securities composing the Underliers. As a holder of the Notes, you will not have
voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing the Underliers
would have. |
| · | Tax Treatment—Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor
about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of
the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents
to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in
Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and
other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in
the Group is failing or likely to fail, 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 Underliers
| · | Each Underlier Reflects the Price Return of the Securities Composing That Underlier, Not the Total Return—The return
on the Notes is based on the performance of the Underliers, which reflects changes in the market prices of the securities composing each
Underlier. Each Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the Notes
will not include such a total return feature. |
| · | Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add, delete,
substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that could affect
its performance. The Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in the event of certain
material changes in or modifications to that Underlier. In addition, the sponsor of an Underlier may also discontinue or suspend calculation
or publication of that Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the discontinued Underlier or, if no successor index is available, the Calculation Agent will determine
the value to be used as the Closing Value of that Underlier. Any of these actions could adversely affect the value of the relevant Underlier
and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments Relating to Securities with an
Index as a Reference Asset” in the accompanying prospectus supplement. |
| · | There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities with Respect to the
NDX Index—Some of the equity securities composing the NDX Index are issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities, such as the Notes, involve risks associated with the home countries of the issuers
of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected by political, economic, financial and
social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange
laws. |
| · | The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index—The RTY Index tracks companies
that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies, and therefore Notes linked to the RTY Index may be more volatile than an investment
linked to an index with component stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are
also more vulnerable than those of large-capitalization companies to adverse business and economic developments. In addition, small-capitalization
companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be
in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products. |
| · | Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers Over
the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience significant
fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier over the term
of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between them over the term
of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over the term of the Notes may
bear no relation or resemblance to the historical performance of any Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underliers or their components. In any such market making, trading and hedging activity,
and other financial services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment
objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the
Notes into account in conducting these activities. Such market making, trading and hedging activity, investment banking and other financial
services may negatively impact the value of the Notes.
In addition, the role played by Barclays
Capital Inc., as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer
of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments. Furthermore,
we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon
any independent verification or valuation.
In addition to the activities described
above, we will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, we may be required
to make discretionary judgments, including determining whether a market
disruption event has occurred on any date
that the value of an Underlier is to be determined; if an Underlier is discontinued or if the sponsor of an Underlier fails to publish
that Underlier, selecting a successor index or, if no successor index is available, determining any value necessary to calculate any payments
on the Notes; and calculating the value of an Underlier on any date of determination in the event of certain changes in or modifications
to that Underlier. In making these discretionary judgments, our economic interests are potentially adverse to your interests as an investor
in the Notes, and any of these determinations may adversely affect any payments on the Notes.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the values and expected volatility of the Underliers and the components of each Underlier; |
| o | correlation (or lack of correlation) of the Underliers; |
| o | the time to maturity of the Notes; |
| o | dividend rates on the components of each Underlier; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes
on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your
Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays Capital
Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which
we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur in connection with
the Notes. |
| · | The Estimated Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade
in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value were
based on the levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which
may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing
models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value
of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary
market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined
by reference to our internal pricing models. |
| · | The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, If
Any, and Such Secondary Market Prices, If Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they
are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market
at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take
into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs
related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market
prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be |
willing to purchase the Notes from
you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity
Date could result in a substantial loss to you.
| · | The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not
obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements
at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes,
for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the
Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future
prices of your Notes. |
Information Regarding
the UNDERLIERS
Nasdaq-100 Index®
The NDX Index is a modified market capitalization-weighted index that
is designed to measure the performance of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For more information
about the NDX Index, see “Indices—The Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Performance of the NDX Index
The graph below sets forth the historical performance of the NDX Index
based on the daily Closing Values from January 2, 2019 through May 10, 2024. We obtained the Closing Values shown in the graph below from
Bloomberg Professional® service (“Bloomberg”). We have not independently verified the accuracy or completeness
of the information obtained from Bloomberg.
Historical Performance of the Nasdaq-100 Index®
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Russell 2000® Index
The RTY Index measures the capitalization-weighted price performance
of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed to track the performance of the small-capitalization
segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The Russell Indices” in the
accompanying underlying supplement.
Historical Performance of the RTY Index
The graph below sets forth the historical performance of the RTY Index
based on the daily Closing Values from January 2, 2019 through May 10, 2024. We obtained the Closing Values shown in the graph below from
Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the Russell 2000®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
S&P 500® Index
The SPX Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the SPX Index, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Performance of the SPX Index
The graph below sets forth the historical performance of the SPX Index
based on the daily Closing Values from January 2, 2019 through May 10, 2024. We obtained the Closing Values shown in the graph below from
Bloomberg. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg.
Historical Performance of the S&P 500®
Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
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 Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any
Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons”
in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment
to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, exchange or redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption at maturity), you should recognize capital gain
or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal
the amount you paid to acquire the Notes (assuming Contingent Coupon payments are properly treated as ordinary income, consistent with
the position referred to above). This gain or loss should be long-term capital gain or loss if you hold the Notes for more than one year,
whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon payment is fixed and the time it is paid, it is likely that
you will be treated as receiving ordinary income equal to the Contingent Coupon payment. Although uncertain, it is possible that proceeds
received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax advisor regarding this issue.
As noted above, there are other reasonable treatments that the IRS
or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments 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
Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an
investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility as a withholding
agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying prospectus supplement)
as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8
or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information
Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required
to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, our special
tax counsel is of the opinion that these regulations should not apply to the Notes with regard to non-U.S. holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax advisor regarding the potential application of Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the “agent”),
and the agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing
supplement. The agent commits to take and pay for all of the Notes, if any are taken.
VALIDITY OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special United
States products counsel to Barclays Bank PLC, when the Notes offered by this pricing supplement have been executed and issued by Barclays
Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Notes
will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or
regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’ rights, provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York.
Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLC’s
permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of July 14, 2023, filed as an exhibit to a report on Form
6-K by Barclays Bank PLC on July 14, 2023, and this opinion is subject to the same assumptions, qualifications and limitations as set
forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding nature
and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP, dated
July 14, 2023, which has been filed as an exhibit to the report on Form 6-K referred to above.
Exhibit 107.1
Calculation of Filing Fee
Table
Rule 424(b)(2)
(Form Type)
Barclays Bank PLC
(Exact Name of Registrant as Specified in its Charter)
Table 1—Newly Registered Securities
|
Security Type |
Security Class Title |
Fee Calculation or Carry Forward Rule |
Amount Registered |
Proposed Maximum Offering Price Per Unit |
Maximum Aggregate Offering Price |
Fee Rate |
Amount of Registration Fee |
Fees to be Paid |
Debt |
Global Medium-Term Notes, Series A |
457(r) |
1,529 |
$1,000 |
$1,529,000 |
0.0001476 |
$225.68 |
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering.
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