ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
The final terms for the Notes will be determined on the date the Notes
are initially priced for sale to the public, which we refer to as the Initial Valuation Date, based on prevailing market conditions on
or prior to the Initial Valuation Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such
as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the 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 expected
to be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value
of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc.
or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated
cost that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection
with the Notes.
Our estimated value on the 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-13 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Initial Valuation Date. We reserve the right to change the terms of, or reject any offer to purchase, the
Notes prior to the Initial Valuation Date. In the event of any changes to the terms of the Notes, 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.
Selected Purchase Considerations
The Notes are not suitable for all
investors. The Notes may be a suitable 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 Basket Return is below
the 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 the Basket, which may be significant, and that your
return potential on the Notes is limited to the Contingent Coupons, if any, paid on the Notes. |
| · | You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Basket. |
| · | You do not anticipate that the Basket Return will fall below the Coupon Barrier Value on any Observation Date or below the Barrier
Value on the Final Valuation Date. |
| · | You understand and accept the risks that (a) the performance of lesser performing Basket Components will mitigate the performance
of better performing Basket Components and (b) you may lose a significant portion of your investment even if one or more Basket Components
performs positively. |
| · | You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Basket Return is less than the Coupon
Barrier Value on an Observation Date and (b) you will lose some or all of your principal at maturity if the Final Basket Return is less
than the Barrier Value. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Basket
Components. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the Basket
Components, nor will you have any voting rights with respect to the Basket Components. |
| · | You are willing and able to accept the risk that the Notes may be automatically redeemed and that you may not be able to reinvest
your money in an alternative investment with comparable risk and yield. |
| · | 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 Basket. |
| · | 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 if the Notes are not automatically redeemed. |
| · | 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 a suitable
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 Basket Return is below the
Coupon Barrier Value on one or more of the specified Observation Dates. |
| · | You seek an investment that participates in the full appreciation of the Basket 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 some or all of the principal amount of your Notes in the event that the Final Basket Return is below the Barrier
Value. |
| · | You anticipate that the Basket Return will decline during the term of the Notes such that the Basket Return will fall below the Coupon
Barrier Value on one or more Observation Dates and/or the Final Basket Return will fall below the Barrier Value. |
| · | You are unwilling or unable to accept the risks that the performance of lesser performing Basket Components will mitigate the performance
of better performing Basket Components and that you may lose a significant portion of your investment even if one or more Basket Components
performs positively. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Basket Components. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Basket Components. |
| · | You are unwilling or unable to accept the risk that the Notes may be automatically redeemed. |
| · | 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 Basket. |
| · | 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 if the Notes are not automatically redeemed. |
| · | 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 suitability 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 prospectus supplement addendum. Neither the Issuer nor Barclays Capital
Inc. makes any recommendation as to the suitability of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT coupon PAYMENT DATE
The following examples demonstrate the circumstances under which you
may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. 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 assumption:
| § | Hypothetical Initial Component Value of each Basket Component: $100.00* |
| * | The hypothetical Initial Component Value of $100.00
for each Basket Component has been chosen for illustrative purposes only and does not represent likely actual Initial Component Values
for the Basket Components. The actual Initial Component Value for each Basket Component will be equal to its Closing Value on the Initial
Valuation Date. |
For information regarding recent values of the Basket Components, please
see “Information Regarding the Basket Components” in this pricing supplement.
Example 1: The Basket Return is greater than the Coupon Barrier
Value on the relevant Observation Date.
| Basket Component |
Initial Component Value |
Closing Value
on Observation Date |
Basket Component Return on Observation Date |
| AAL |
$100.00 |
$130.00 |
30.00% |
| JBLU |
$100.00 |
$145.00 |
45.00% |
| SAVE |
$100.00 |
$95.00 |
-5.00% |
| UAL |
$100.00 |
$150.00 |
50.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the relevant Observation Date.
The Basket Component Return for each Basket Component on the relevant
Observation Valuation will be equal to the performance of that Basket Component from its Initial Component Value to its Closing Value
on that Observation Date, calculated as follows:
Closing Value on the relevant Observation Date
– Initial Component Value
Initial Component Value
Step 2: Calculate the Basket Return on the relevant
Observation Date.
The Basket Return on the relevant Observation Date is equal to the
average of the Basket Component Returns for the Basket Components on that Observation Date as set forth in the table above. Accordingly,
the Basket Return on the relevant Observation Date is equal to 30.00%.
Step 3: Determine whether a Contingent Coupon
is payable.
Because the Basket Return is greater than the Coupon Barrier Value,
you will receive a Contingent Coupon of $8.75 (0.875% of the principal amount per Note) on the related Contingent Coupon Payment Date.
Example 2: The Basket Return is less than the Coupon Barrier Value
on the relevant Observation Date.
| Basket Component |
Initial Component Value |
Closing Value
on Observation Date |
Basket Component Return on Observation Date |
| AAL |
$100.00 |
$70.00 |
-30.00% |
| JBLU |
$100.00 |
$60.00 |
-40.00% |
| SAVE |
$100.00 |
$55.00 |
-45.00% |
| UAL |
$100.00 |
$65.00 |
-35.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the relevant Observation Date.
The Basket Component Return for each Basket Component on the relevant
Observation Valuation will be equal to the performance of that Basket Component from its Initial Component Value to its Closing Value
on that Observation Date, calculated as follows:
Closing Value on the relevant Observation Date
– Initial Component Value
Initial Component Value
Step 2: Calculate the Basket Return on the relevant
Observation Date.
The Basket Return on the relevant Observation Date is equal to the
average of the Basket Component Returns for the Basket Components on that Observation Date as set forth in the table above. Accordingly,
the Basket Return on the relevant Observation Date is equal to -37.50%.
Step 3: Determine whether a Contingent Coupon
is payable.
Because the Basket Return is less than the Coupon Barrier Value, you
will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 2 demonstrates that you may not receive a Contingent Coupon
on a Contingent Coupon Payment Date. If the Basket Return is below the 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 upon an automatic REDEMPTION
The following examples demonstrate the hypothetical total return upon
an automatic redemption under various circumstances. 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.
Example 1: The Notes are automatically redeemed on the sixth Observation
Date.
| Observation Date |
Basket Return |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
10.00% |
N/A |
N/A |
| 2-5 |
Various |
N/A |
N/A |
| 6 |
15.00% |
Yes |
$1,008.75 |
Because the Basket Return on the sixth Observation Date (which is six
months after the Issue Date and is the first Observation Date on which the Notes may be automatically redeemed) is greater than or equal
to 0%, the Notes are automatically redeemed on the immediately following Contingent Coupon Payment Date. You will receive on the relevant
Contingent Coupon Payment Date a cash payment of $1,008.75 per $1,000 principal amount Note, which is equal to your principal amount plus
the Contingent Coupon otherwise due. No further amounts will be payable on the Notes after they have been automatically redeemed.
Example 2: The Notes are automatically redeemed on the thirty-second
Observation Date.
| Observation Date |
Basket Return |
Are the Notes Automatically Redeemed? |
Payment upon Automatic Redemption |
| 1 |
-20.00% |
N/A |
N/A |
| 2-5 |
Various |
N/A |
N/A |
| 6-31 |
Various (below 0%) |
No |
N/A |
| 32 |
5.00% |
Yes |
$1,008.75 |
Because the Basket Return on the thirty-second Observation Date is
greater than 0%, the Notes are automatically redeemed on the immediately following Contingent Coupon Payment Date. You will receive on
the relevant Contingent Coupon Payment Date a cash payment of $1,008.75 per $1,000 principal amount Note, which is equal to your principal
amount plus the Contingent Coupon otherwise due. No further amounts will be payable on the Notes after they have been automatically
redeemed.
If the Basket Return is less than 0% on each Observation Date, the
Notes will not be automatically called and you may lose some or all of your investment at maturity. See “Hypothetical Examples of
Amounts Payable at Maturity” below.
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 Component Value of each Basket Component: $100.00* |
| § | You hold the Notes to maturity, and the Notes are NOT automatically redeemed. |
| * | The hypothetical Initial Component Value of $100.00
for each Basket Component has been chosen for illustrative purposes only and does not represent likely actual Initial Component Values
for the Basket Components. The actual Initial Component Value for each Basket Component will be equal to its Closing Value on the Initial
Valuation Date. |
For information regarding recent values of the Basket Components, please
see “Information Regarding the Basket Components” in this pricing supplement.
| Final Basket Return |
Payment at Maturity** |
| 50.00% |
$1,000.00 |
| 40.00% |
$1,000.00 |
| 30.00% |
$1,000.00 |
| 20.00% |
$1,000.00 |
| 10.00% |
$1,000.00 |
| 0.00% |
$1,000.00 |
| -10.00% |
$1,000.00 |
| -20.00% |
$1,000.00 |
| -30.00% |
$1,000.00 |
| -40.00% |
$1,000.00 |
| -40.01% |
$599.90 |
| -50.00% |
$500.00 |
| -60.00% |
$400.00 |
| -70.00% |
$300.00 |
| -80.00% |
$200.00 |
| -90.00% |
$100.00 |
| -100.00% |
$0.00 |
** per $1,000 principal amount
Note, excluding the final Contingent Coupon 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 Basket Return is 30.00%.
| Basket Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
| AAL |
$100.00 |
$130.00 |
30.00% |
| JBLU |
$100.00 |
$145.00 |
45.00% |
| SAVE |
$100.00 |
$95.00 |
-5.00% |
| UAL |
$100.00 |
$150.00 |
50.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date –
Initial Component Value
Initial Component Value
Step 2: Calculate the Final Basket Return.
The Final Basket Return is equal to the average of the Basket Component
Returns for the Basket Components on the Final Valuation Date as set forth in the table above. Accordingly, the Final Basket Return is
equal to 30.00%.
Step 3: Calculate the payment at maturity.
Because the Final Basket Return is greater than or equal to the Barrier
Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon
otherwise due). Example 1 demonstrates that you will not participate in any appreciation in the value of the Basket. Even though the Basket
appreciated significantly, the payment at maturity is limited to $1,000 per $1,000 principal amount Note that you hold (plus the
Contingent Coupon otherwise due).
Example 2: The Final Basket Return is -35.00%.
| Basket Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
| AAL |
$100.00 |
$60.00 |
-40.00% |
| JBLU |
$100.00 |
$50.00 |
-50.00% |
| SAVE |
$100.00 |
$110.00 |
10.00% |
| UAL |
$100.00 |
$40.00 |
-60.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date –
Initial Component Value
Initial Component Value
Step 2: Calculate the Final Basket Return.
The Final Basket Return is equal to the average of the Basket Component
Returns for the Basket Components on the Final Valuation Date as set forth in the table above. Accordingly, the Final Basket Return is
equal to -35.00%.
Step 3: Calculate the payment at maturity.
Because the Final Basket Return is greater than or equal to the Barrier
Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon
otherwise due).
Example 3: The Final Basket Return is -60.00%.
| Basket Component |
Initial Component Value |
Closing Value
on Final Valuation Date |
Basket Component Return on Final Valuation Date |
| AAL |
$100.00 |
$5.00 |
-95.00% |
| JBLU |
$100.00 |
$105.00 |
5.00% |
| SAVE |
$100.00 |
$10.00 |
-90.00% |
| UAL |
$100.00 |
$40.00 |
-60.00% |
Step 1: Calculate the Basket Component Return
of each Basket Component on the Final Valuation Date.
The Basket Component Return for each Basket Component on the Final
Valuation will be equal to the performance of that Basket Component from its Initial Component Value to its Closing Value on the Final
Valuation Date, calculated as follows:
Closing Value on the Final Valuation Date –
Initial Component Value
Initial Component Value
Step 2: Calculate the Final Basket Return.
The Final Basket Return is equal to the average of the Basket Component
Returns for the Basket Components on the Final Valuation Date as set forth in the table above. Accordingly, the Final Basket Return is
equal to -60.00%.
Step 3: Calculate the payment at maturity.
Because the Final Basket Return is less than the Barrier Value, you
will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as follows:
$1,000 + ($1,000 × Final Basket Return)
$1,000 + ($1,000 × -60.00%) = $400.00
In addition, because the Final Basket Return is less than the Coupon
Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 3 demonstrates that, if the Notes are not automatically redeemed,
and if the Final Basket Return is less than the Barrier Value, your investment in the Notes will be fully exposed to the decline of the
Basket represented by the Basket Return.
If the Notes are not automatically redeemed, you
may lose up to 100.00% 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 Basket 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 Notes are not automatically redeemed,
and if the Final Basket Return is less than the Barrier Value, your Notes will be fully exposed to the decline of the Basket represented
by the Basket Return. You may lose up to 100.00% 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 a Contingent Coupon on a Contingent Coupon Payment Date only if the Basket Return on the
related Observation Date is greater than or equal to the Coupon Barrier Value. If the Basket Return on an Observation Date is less than
the Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date. If the Basket Return
is less than the 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 the Basket—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 the Basket, which may be significant, even though
you will be exposed to the depreciation in the value of the Basket if the Notes are not automatically redeemed and the Final Basket Return
is less than the Barrier Value. |
| · | The Performance of the Basket Components May Offset Each Other; Correlation (or Lack of Correlation) Among the Basket Components
May Adversely Affect the Return on the Notes—The Basket Return will be calculated based on the weighted average performance
of the Basket Components, as described on the cover of this pricing supplement. The lesser performance of some Basket Components will
mitigate, and may completely offset, the greater performance of other Basket Components. You may lose a significant portion of your investment
even if one or more Basket Components performs positively. |
Correlation is a measure of the degree
to which the returns of a pair of assets are similar to each other over a given period in terms of timing and direction. Movements in
the values of the Basket Components may not correlate with each other. At a time when the value of a Basket Component increases in value,
the value of other Basket Components may not increase as much or may even decline in value. In addition, high correlation of movements
in the values of Basket Components could adversely affect your return during periods of decline for the Basket Components. Changes in
the values of the Basket Components and/or the correlation among them may adversely affect the market value of, and any payments on, your
Notes.
| · | Automatic Redemption and Reinvestment Risk—If the Notes are automatically redeemed, the holding period over which you
may receive Contingent Coupons could be as short as approximately six months. The payment upon an automatic redemption, together with
any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than the aggregate amount of payments
that you would have received had the Notes not been automatically redeemed. There is no guarantee that you would be able to reinvest the
proceeds from an investment in the Notes in a comparable investment with a similar level of risk in the event the Notes are automatically
redeemed prior to the Maturity Date. No additional payments will be due after an automatic redemption. The automatic redemption feature
of the Notes may also adversely impact your ability to sell your Notes and the price at which they may be sold. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Basket Components on the Dates Specified—Any
payment on the Notes will be determined based on the Closing Values of the Basket Components on the dates specified. You will not benefit
from any more favorable values of the Basket Components determined at any other time. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity or upon Any Automatic Redemption—You should be
willing to hold your Notes to maturity or any automatic redemption. Although the Notes provide for the contingent repayment of the principal
amount of your Notes at maturity, provided the Final Basket Return is greater than or equal to the Barrier Value, or upon any automatic
redemption, 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 the Basket has increased from the Initial Valuation Date. See “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 Basket Components. 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 Basket Components taken into account in determining the terms of the Notes were lower. As volatility of the Basket Components increase,
there will typically be a greater likelihood that (a) the Basket Return on one or more Observation Dates will be less than the Coupon
Barrier Value and (b) the Final Basket Return will be less than the Barrier 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 some or all of your principal
at maturity for the reasons described above.
| · | Owning the Notes Is Not the Same as Owning the Basket Components—The return on the Notes may not reflect the return you
would realize if you actually owned the Basket Components. 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 Basket Components 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, by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority as set forth under “Consent to U.K. Bail-in Power” in this pricing supplement. Accordingly, any
U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders and beneficial owners of the Notes losing all
or a part of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly
less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the
relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent
of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with
respect to the Notes will not be a default or an Event of Default (as each term is defined in the senior debt securities indenture) and
the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in accordance with the
exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See “Consent to U.K. Bail-in
Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities
Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely
affect the value of the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement. |
Risks Relating to the Basket Components
| · | There Are Risks Associated with Single Equities—The value of each Basket Component can rise or fall sharply
due to factors specific to that Basket Component 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 each Basket Component. |
| · | 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 Notes 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 any Basket Component. However, the Calculation Agent might not make such adjustments in response to
all events that could affect any Basket Component. 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 Notes. 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 Notes or Result in the Notes Being Accelerated—Upon
the occurrence of certain reorganization events or a nationalization, expropriation, liquidation, bankruptcy, insolvency or de-listing
of any Basket Components, the Calculation Agent will make adjustments to that Basket Component that may result in payments on the Notes
being based on the performance of shares, cash or other assets distributed to holders of that Basket Component 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 any Basket Component and, consequently, the value of the Notes. Any amount payable
upon acceleration could be significantly less than the amount(s) that would be due on the Notes if they were not accelerated. See “Reference
Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as a Reference Asset” in the
accompanying prospectus supplement. |
| · | Historical Performance of the Basket Components Should Not Be Taken as Any Indication of the Future Performance of the Basket Components
Over the Term of the Notes—The value of each Basket Component has fluctuated in the past and may, in the future, experience
significant fluctuations. The historical performance of a Basket Component is not an indication of the future performance of
that Basket Component over the term of the Notes. The historical correlation between Basket Components |
is not an indication of the future
correlation between them over the term of the Notes. Therefore, the performance of the Basket Components over the term of the Notes
may bear no relation or resemblance to the historical performance of any of the Basket Components.
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 Basket 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 Basket Components
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 a
Basket Component is to be determined; determining whether to adjust any variable described herein in the case of certain corporate events
related to a Basket Component that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of
the shares of that Basket Component; 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 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 Basket Components; |
| o | correlation (or lack of correlation) of the Basket Components; |
| o | the time to maturity of the Notes; |
| o | dividend rates on the Basket Components; |
| 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 Expected to Be Lower Than the Initial Issue Price of Your Notes—The estimated value
of your Notes on the Initial Valuation Date is expected to be lower, and may be significantly lower, than the initial issue price of your
Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of
our affiliates expect to earn in connection with structuring the Notes, the estimated cost 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 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 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 Basket Components
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 Securities Exchange Act of 1934, as amended (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 issuer of each
Basket Component can be located on a website maintained by the SEC at http://www.sec.gov by reference to that issuer’s SEC file
number provided below.
Included below is a brief description of the issuer of each Basket
Component. This information has been obtained from publicly available sources. Information from outside sources is not incorporated by
reference in, and should not be considered part of, this pricing supplement or the accompanying prospectus or prospectus supplement. We
have not independently verified the accuracy or completeness of the information contained in outside sources.
American Airlines Group Inc.
According to publicly available information, American Airlines Group
Inc. is a holding company that operates a network air carrier and provides scheduled air transportation for passengers and cargo.
Information filed by American Airlines Group Inc. with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001-08400. The common stock of American Airlines Group Inc. is listed
on The Nasdaq Stock Market under the ticker symbol “AAL.”
Historical Performance of the Common Stock of American
Airlines Group Inc.
The graph below sets forth the historical performance of the common
stock of American Airlines Group Inc. based on the daily Closing Values from January 3, 2017 through March 4, 2022. 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. The Closing Values 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.
Historical Performance of the Common Stock of
American Airlines Group Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
JetBlue Airways Corporation
According to publicly available information, JetBlue Airways Corporation is
an airline that serves destinations in the United States, the Caribbean and Latin America.
Information filed by JetBlue Airways Corporation with the SEC under
the Exchange Act can be located by reference to its SEC file number: 000-49728. The common stock of JetBlue Airways Corporation is listed
on The Nasdaq Stock Market under the ticker symbol “JBLU.”
Historical Performance of the Common Stock of JetBlue
Airways Corporation
The graph below sets forth the historical performance of the common
stock of JetBlue Airways Corporation based on the daily Closing Values from January 3, 2017 through March 4, 2022. 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. The Closing Values 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.
Historical Performance of the Common Stock of JetBlue
Airways Corporation
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Spirit Airlines, Inc.
According to publicly available information, Spirit Airlines, Inc.
operates an airline offering customers unbundled base fares that remove components traditionally included in the price of an airline ticket.
Information filed by Spirit Airlines, Inc. with the SEC under the Exchange
Act can be located by reference to its SEC file number: 001-35186. The common stock of Spirit Airlines, Inc. is listed on the New York
Stock Exchange under the ticker symbol “SAVE.” Prior to December 28, 2017, the common stock of Spirit Airlines, Inc. was listed
on The Nasdaq Stock Market.
Historical Performance of the Common Stock of Spirit Airlines, Inc.
The graph below sets forth the historical performance of the common
stock of Spirit Airlines, Inc. based on the daily Closing Values from January 3, 2017 through March 4, 2022. The common stock of Spirit
Airlines, Inc. began trading on the New York Stock Exchange on December 28, 2017. Prior to December 28, 2017, the common stock of Spirit
Airlines, Inc. was listed on The Nasdaq Stock Market. 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. The Closing Values 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.
Historical Performance of the Common Stock of
Spirit Airlines, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
United Airlines Holdings, Inc.
According to publicly available information, United Airlines Holdings,
Inc. transports people and cargo throughout North America and to destinations in Asia, Europe, the Middle East and Latin America.
Information filed by United Airlines Holdings, Inc. with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001-06033. The common stock of United Airlines Holdings, Inc. is
listed on The Nasdaq Stock Market under the ticker symbol “UAL.”
Historical Performance of the Common Stock of United Airlines Holdings,
Inc.
The graph below sets forth the historical performance of the common
stock of United Airlines Holdings, Inc. based on the daily Closing Values from January 3, 2017 through March 4, 2022. 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. The Closing Values 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.
Historical Performance of the Common Stock of
United Airlines Holdings, Inc.
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 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 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 short-term capital gain or loss unless you hold the Notes
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 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, 2023 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, we expect that
these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding
the potential application of Section 871(m) to the Notes.