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Pricing Supplement No. 4398
(To the Prospectus dated August 1,
2019, the Prospectus Supplement dated August 1, 2019, the Prospectus Supplement Addendum dated February 18, 2021 and the Product
Supplement EQUITY INDICES SUN-1 dated August 1, 2019)
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Filed Pursuant
to Rule 424(b)(2)
Registration
Statement No. 333-232144
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764,727 Units
$10
principal amount per unit
CUSIP No. 06748A4655
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Pricing Date
Settlement Date
Maturity Date
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January 20, 2022
January 27, 2022
January 28, 2027
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Autocallable Market-Linked Step Up Notes Linked
to the MSCI Emerging Markets Index
§
Maturity of approximately five years, if not called prior to maturity
§
Automatic call of the notes per unit at $10 plus the applicable Call Premium ($0.805 on the first Observation Date, $1.610 on
the second Observation Date, $2.415 on the third Observation Date, and $3.220 on the final Observation Date) if the Index is flat or
increases above 100% of the Starting Value on the relevant Observation Date
§
The Observation Dates will occur approximately one year, two years, three years and four years, respectively, after the pricing
date
§
If the notes are not called, at maturity:
§
a return of 25% if the Index is flat or increases up to the Step Up Value
§
a return equal to the percentage increase in the Index if the Index increases above the Step Up Value
§
1-to-1 downside exposure to decreases in the Index beyond a 10.00% decline, with up to 90.00% of your principal at risk
§
All payments are subject to the credit risk of Barclays Bank PLC
§
No periodic interest payments
§
In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See “Structuring
the Notes”.
§
Limited secondary market liquidity, with no exchange listing
§
The notes are our unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC. The notes 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.
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The notes are being issued by Barclays Bank PLC (“Barclays”).
There are important differences between the notes and a conventional debt security, including different investment risks. See “Risk
Factors” and “Additional Risk Factors” beginning on page TS-8 of this term sheet and “Risk Factors” beginning
on page PS-8 of product supplement EQUITY INDICES SUN-1 and beginning on page S-7 of the prospectus supplement.
Our initial estimated value of the notes, based on our internal
pricing models, is $9.56 per unit on the pricing date, which is less than the public offering price listed below. See “Summary”
on the following page, “Risk Factors” beginning on page TS-8 of this term sheet and “Structuring the Notes” on
page TS-16 of this term sheet.
Notwithstanding and to the exclusion of any other term of the notes
or any other agreements, arrangements or understandings between Barclays and any holder or beneficial owner of the notes, by acquiring
the notes, each holder and beneficial owner of the notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of,
any U.K. Bail-in Power by the relevant U.K. resolution authority. All payments are subject to the risk of exercise of any U.K. Bail-in
Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page TS-4 and “Risk Factors”
beginning on page TS-8 of this term sheet.
________________________
None of the Securities and Exchange Commission (the “SEC”),
any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note
Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
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Per Unit
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Total
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Public offering price
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$ 10.00
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$ 7,647,270.00
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Underwriting discount
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$ 0.20
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$ 152,945.40
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Proceeds, before expenses, to Barclays
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$ 9.80
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$ 7,494,324.60
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The notes:
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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BofA Securities
January 20, 2022
Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Summary
The Autocallable Market-Linked Step Up Notes Linked to the MSCI Emerging
Markets Index, due January 28, 2027 (the “notes”) are our unsecured and unsubordinated obligations and are not deposit liabilities
of Barclays. The notes 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.
The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment
of principal, will be subject to the credit risk of Barclays and to the risk of exercise of any U.K. Bail-in Power (as described herein)
or any other resolution measure by any relevant U.K. resolution authority. The notes will be automatically called at the applicable
Call Amount if the Observation Level of the Market Measure, which is the MSCI Emerging Markets Index (the “Index”), is equal
to or greater than the Call Level on the relevant Observation Date. If the notes are not called, at maturity, the notes provide you with
a Step Up Payment if the Ending Value of the Index is equal to or greater than the Starting Value, but is not greater than the Step Up
Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis in the increase in the level of
the Index above the Starting Value. If the Ending Value is less than the Starting Value, but greater than or equal to the Threshold Value,
you will receive the principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose a portion, which
could be significant, of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount
per unit and will depend on the performance of the Index, subject to our credit risk. See “Terms of the Notes” below.
On the cover page of this term sheet, we have provided the estimated
value for the notes. This estimated value was determined based on our internal pricing models, which take into account a number of variables,
including volatility, interest rates and our internal funding rates, which are our internally published borrowing rates and the economic
terms of certain related hedging arrangements. The notes are subject to an automatic call, and the initial estimated value is based on
an assumed tenor of the notes. This estimated value is less than the public offering price.
The economic terms of the notes (including the Call Amounts and Call
Premiums) are based on our internal funding rates, which may vary from the levels at which our benchmark debt securities trade in the
secondary market, and the economic terms of certain related hedging arrangements. The difference between these rates, as well as the underwriting
discount, the hedging-related charge and other amounts described below, reduced the economic terms of the notes. For more information
about the estimated value and the structuring of the notes, see “Structuring the Notes” on page TS-16.
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Terms of the Notes
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Issuer:
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Barclays Bank PLC (“Barclays”)
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Call Settlement Dates:
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Approximately the fifth business day following the applicable Observation Date, subject to postponement if the related Observation Date is postponed, as described on page PS-20 of product supplement EQUITY INDICES SUN-1.
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Principal Amount:
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$10.00 per unit
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Call Premiums:
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$0.805 per unit if called on the first Observation Date (which represents a return of 8.05% over the principal amount), $1.610 per unit if called on the second Observation Date (which represents a return of 16.10% over the principal amount), $2.415 per unit if called on the third Observation Date (which represents a return of 24.15% over the principal amount) and $3.220 per unit if called on the final Observation Date (which represents a return of 32.20% over the principal amount).
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Term:
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Approximately five years, if not called
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Ending Value:
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The closing level of the Market Measure on the calculation day. The scheduled calculation day is subject to postponement in the event of Market Disruption Events, as described beginning on page PS-22 of product supplement EQUITY INDICES SUN-1.
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Market Measure:
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The MSCI Emerging Markets Index (Bloomberg symbol: “MXEF”), a price return index
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Step Up Value:
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1,569.68 (125% of the Starting Value, rounded to two decimal places).
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Starting Value:
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1,255.74
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Step Up Payment:
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$2.50 per unit, which represents a return of 25% over the principal amount.
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Observation Level:
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The closing level of the Market Measure on the applicable Observation Date.
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Threshold Value:
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1,130.17 (90% of the Starting Value, rounded to two decimal places).
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Observation Dates:
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February 2, 2023, January 18, 2024, January 23, 2025 and January 22, 2026, subject to postponement in the event of Market Disruption Events, as described beginning on page PS-22 of product supplement EQUITY INDICES SUN-1.
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Calculation Day:
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January 21, 2027.
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Call Level:
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1,255.74 (100% of the Starting Value).
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Fees Charged:
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The public offering price of the notes includes the underwriting discount of $0.20 per unit as listed on the cover page and a hedging-related charge of $0.05 per unit described in “Structuring the Notes” on page TS-16.
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Call Amounts (per unit):
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$10.805 if called on the first Observation Date, $11.610 if called on the second Observation Date, $12.415 if called on the third Observation Date and $13.220 if called on the final Observation Date.
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Calculation Agents:
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Barclays and BofA Securities, Inc. (“BofAS”).
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Autocallable Market-Linked Step Up Notes
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TS-2
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Determining Payment on the Notes
Automatic Call Provision
The notes will be called automatically on an Observation Date if the
Observation Level on that Observation Date is equal to or greater than the Call Level. If the notes are called, you will receive $10 per
unit plus the applicable Call Premium.
Redemption Amount Determination
If the notes are not automatically called, on the maturity date, you
will receive a cash payment per unit determined as follows:
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Autocallable Market-Linked Step Up Notes
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TS-3
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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The terms and risks of the notes are contained in this term sheet and
the documents listed below (together, the “Note Prospectus”). The documents have been filed as part of a registration statement
with the SEC, which may, without cost, be accessed on the SEC website as indicated below or obtained from Merrill Lynch, Pierce, Fenner
& Smith Incorporated (“MLPF&S”) or BofAS by calling 1-800-294-1322:
Before you invest, you should read the Note Prospectus, including this
term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you
may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set
forth in product supplement EQUITY INDICES SUN-1. Unless otherwise indicated or unless the context requires otherwise, all references
in this document to “we,” “us,” “our” or similar references are to Barclays.
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, 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, any interest on, or any other amounts payable on, the notes; (ii) the conversion of all, or
a portion, of the principal amount of, any interest on, or any other amounts payable on, the notes into shares or other securities or
other obligations of Barclays 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 any interest or any other amounts due on the notes, or the dates on which any 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 “Risk Factors” below 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 “—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
The preceding discussion supersedes
the discussion in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
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Autocallable Market-Linked Step Up Notes
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TS-4
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Investor Considerations
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You may wish to consider an investment in the notes if:
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The notes may not be an appropriate investment for you if:
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You are willing to receive a return on your investment capped at the return represented by the applicable Call Premium if the relevant
Observation Level is equal to or greater than the Call Level.
§
You anticipate that the notes will be automatically called or that the Ending Value will not be less than the Starting Value.
§
You are willing to risk a loss of principal and return if the notes are not automatically called and the Index decreases from the
Starting Value to an Ending Value that is below the Threshold Value.
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You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.
§
You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
§
You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our actual and perceived creditworthiness, the inclusion in the public offering
price of the underwriting discount, the hedging-related charge and other amounts, as described on page TS-2.
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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You are willing to consent to the exercise of any U.K. Bail-in Power by U.K. resolution authorities.
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You want to hold your notes for the full term.
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You believe that the notes will not be automatically called and the Index will decrease from the Starting Value to the Ending Value.
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You seek 100% principal repayment or preservation of capital.
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You seek interest payments or other current income on your investment.
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You want to receive dividends or other distributions paid on the stocks included in the Index.
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You seek an investment for which there will be a liquid secondary market.
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
§
You are unwilling to consent to the exercise of any U.K. Bail-in Power by U.K. resolution authorities.
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We urge you to consult your investment, legal, tax, accounting, and
other advisors before you invest in the notes.
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Autocallable Market-Linked Step Up Notes
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TS-5
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Hypothetical Payout Profile at Maturity
The graph below shows a payout profile at maturity, which would only
apply if the notes are not called on any Observation Date.
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Autocallable Market-Linked Step Up Notes
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This graph reflects the returns on the notes,
based on the Threshold Value of 90% of the Starting Value, the Step Up Payment of $2.50 per unit and the Step Up Value of 125% of the
Starting Value. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment
in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes
of illustration only.
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Hypothetical Payments
at Maturity
The following table and examples are for purposes of illustration only.
They are based on hypothetical values and show hypothetical returns on the notes, assuming the notes are not called on any
Observation Date. The following table is based on a Starting Value of 100, a Threshold Value of 90, a Step Up Value of 125 and the Step
Up Payment of $2.50 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and
the total rate of return to holders of the notes. The actual amount you receive and the resulting total rate of return will depend
on the actual Starting Value, Threshold Value, Ending Value, Step Up Value, whether the notes are called on an Observation Date and term
of your investment. The following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see “The Index”
section below. The Index is a price return index and as such the Ending Value will not include any income generated by dividends paid
on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition,
all payments on the notes are subject to issuer credit risk.
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Ending
Value
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Percentage
Change from the Starting Value to the Ending Value
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Redemption
Amount per Unit
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Total
Rate of Return on the Notes
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0.00
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-100.00%
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$1.00
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-90.00%
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50.00
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-50.00%
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$6.00
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-40.00%
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60.00
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-40.00%
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$7.00
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-30.00%
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70.00
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-30.00%
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$8.00
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-20.00%
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80.00
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-20.00%
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$9.00
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-10.00%
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90.00(1)
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-10.00%
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$10.00
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0.00%
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95.00
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-5.00%
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$10.00
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0.00%
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100.00(2)
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0.00%
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$12.50(3)
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25.00%
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105.00
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5.00%
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$12.50
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25.00%
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110.00
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10.00%
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$12.50
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25.00%
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120.00
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20.00%
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$12.50
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25.00%
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125.00(4)
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25.00%
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$12.50
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25.00%
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130.00
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30.00%
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$13.00
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30.00%
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140.00
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40.00%
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$14.00
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40.00%
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150.00
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50.00%
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$15.00
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50.00%
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160.00
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60.00%
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$16.00
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60.00%
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(1)
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This is
the hypothetical Threshold Value.
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(2)
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The hypothetical
Starting Value of 100 used in these examples has been chosen for illustrative purposes
only. The actual Starting Value is 1,255.74, which was the closing level of the Market Measure
on the pricing date.
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(3)
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This amount
represents the sum of the principal amount and the Step Up Payment of $2.50.
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(4)
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This is
the hypothetical Step Up Value.
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Autocallable Market-Linked Step Up Notes
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TS-6
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Redemption Amount Calculation Examples
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Example 1
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The Ending Value is 50.00, or 50.00% of the Starting Value:
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Starting Value: 100.00
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Threshold Value: 90.00
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Ending Value: 50.00
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Redemption Amount per unit
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Example 2
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The Ending Value is 95.00, or 95.00% of the Starting Value:
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Starting Value: 100.00
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Threshold Value: 90.00
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Ending Value: 95.00
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Redemption Amount per unit = $10.00, the principal amount, since the Ending Value is less than the Starting Value, but is equal to or greater than the Threshold Value.
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Example 3
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The Ending Value is 110.00, or 110.00% of the Starting Value:
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Starting Value: 100.00
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Step Up Value: 125.00
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Ending Value: 110.00
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Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is equal to or greater than the Starting Value, but less than the Step Up Value.
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Example 4
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The Ending Value is 140.00, or 140.00% of
the Starting Value:
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Starting Value: 100.00
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Step Up Value: 125.00
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Ending Value: 140.00
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Redemption Amount per unit
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Autocallable Market-Linked Step Up Notes
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TS-7
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Risk Factors
There are important differences between the notes and a
conventional debt security. An investment in the notes involves significant risks, including those listed below. you should
carefully review the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning
on page PS-8 of product supplement EQUITY INDICES SUN-1 and page S-7 of the Series A MTN prospectus supplement identified above. We
also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Structure-related Risks
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§
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If the notes are not automatically called, depending on the
performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return
of principal.
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§
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Your return on the notes may be less than the yield you could
earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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§
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If the notes are called, your investment return is limited
to the return represented by the applicable Call Premium.
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§
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Your investment return may be less than a comparable investment
directly in the stocks included in the Index.
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Issuer-related Risks
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§
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Payments on the notes are subject to our credit risk, and
any actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are
unable to pay our obligations, you may lose your entire investment.
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§
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Payments on the notes are subject to the exercise of U.K.
Bail-in Power by the relevant U.K. resolution authority. As described above under “Consent to U.K. Bail-in Power,” the relevant
U.K. resolution authority may exercise any U.K. Bail-in Power under the conditions described in such section of this term sheet. If any
U.K. Bail-in Power is exercised, you may lose all or a part of the value of your investment in the notes or receive a different security,
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 its authority to implement the U.K. Bail-in Power without
providing any advance notice to the holders and beneficial owners of the notes. By your acquisition of the notes, you acknowledge, accept,
agree to be bound by, and consent to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. The exercise
of any U.K. Bail-in Power 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 relating to the notes). 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 with respect to the notes. See “Consent to U.K.
Bail-in Power” above 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 “—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 for more information.
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Valuation- and Market-related Risks
|
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§
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The estimated value of your notes is based on our internal pricing models. 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. These variables and assumptions are not evaluated or verified on an independent basis and may prove
to be inaccurate. Different pricing models and assumptions of different financial institutions could provide valuations for the notes
that are different from our estimated value.
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§
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The estimated value is based on a number of variables, including volatility, interest rates and 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 in this term sheet may be lower if such estimated value was based on the levels at which our benchmark
debt securities trade in the secondary market.
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§
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The estimated value of your notes is lower than the public offering price of your notes. This difference is a result of certain factors,
such as the inclusion in the public offering price of the underwriting discount, the hedging-related charge, the estimated profit, if
any, that we or any of our affiliates expect to earn in connection with structuring the notes, and the estimated cost which we may incur
in hedging our obligations under the notes, as further described in “Structuring the Notes” on page TS-16. If you attempt
to sell the notes prior to maturity, their market value may be lower than the price you paid for the notes and lower than the estimated
value because the secondary market prices take into consideration the levels at which our debt securities trade in the secondary market
but do not take into account such fees, charges and other amounts.
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§
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The estimated value of the notes is not a prediction of the prices at which MLPF&S, BofAS or its affiliates, or any of our affiliates
or any other third parties may be willing to purchase the notes from you in secondary market transactions. 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 size trades, and may be substantially less than our estimated value of the notes. Any
sale prior to the maturity date could result in a substantial loss to you.
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A trading market is not expected to develop for the notes. We, MLPF&S, BofAS and our respective affiliates are not obligated to
make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price
in any secondary market.
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Autocallable Market-Linked Step Up Notes
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TS-8
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Conflict-related Risks
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§
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Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trading in securities
of companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or our respective affiliates engage
in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with you.
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§
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There may be potential conflicts of interest involving the
calculation agents, one of which is us and one of which is BofAS. We have the right to appoint and remove the calculation agents.
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Market Measure-related Risks
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§
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The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
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§
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You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities or
dividends or other distributions by the issuers of those securities.
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§
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While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index,
we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Index, and have not verified any disclosure
made by any company.
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§
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Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international
securities markets.
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Tax-related Risks
§
The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a U.S. investor of the notes. See “Tax
Considerations” below.
Additional Risk Factors
An investment in the notes will involve risks that are associated
with investments that are linked to the equity securities of issuers from emerging markets.
The equity securities included in the Index have been issued by companies
based in emerging markets. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets
generally. Countries with emerging markets may have relatively unstable financial markets and governments; may present the risks of nationalization
of businesses; may impose restrictions on currency conversion, exports or foreign ownership and prohibitions on the repatriation of assets;
may pose a greater likelihood of regulation by the national, provincial and local governments of the emerging market countries, including
the imposition of currency exchange laws and taxes; and may have less protection of property rights, less access to legal recourse and
less comprehensive financial reporting and auditing requirements than more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be
unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible
at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions. The
currencies of emerging markets may also be less liquid and more volatile than those of developed markets and may be affected by political
and economic developments in different ways than developed markets. The foregoing factors may adversely affect the performance of companies
based in emerging markets.
Since June 2018, the Index has included equity securities that are traded
on mainland Chinese exchanges (as distinct from exchanges in Hong Kong). Shares traded on mainland Chinese exchanges, referred to as A-shares,
are subject to regulation by Chinese authorities, as well as certain foreign ownership restrictions. These regulations may adversely affect
the price of A-shares. Trading in A-shares may be less liquid and subject to greater volatility, including as a result of actions by the
Chinese government, than trading on international exchanges outside of mainland China.
Governmental legislative or regulatory actions, such as sanctions,
could adversely affect your investment in the notes.
Governmental legislative or regulatory actions, including, without limitation,
sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the notes or
securities included in the Index, or engaging in transactions in them, and any such action could adversely affect the value of the Index.
These legislative or regulatory actions could result in restrictions on the notes. You may lose a significant portion or all of your initial
investment in the notes if you are forced to divest the notes due to government mandates, especially if such divestment must be made at
a time when the value of the notes has declined.
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Autocallable Market-Linked Step Up Notes
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TS-9
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Other Terms of the Notes
Market Measure Business Day
The following definition shall supersede and replace the definition
of “Market Measure Business Day” set forth in product supplement EQUITY INDICES SUN-1.
A “Market Measure Business Day” means a day on which:
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(A)
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the London Stock Exchange, the Hong Kong Stock Exchange, the São Paulo Stock Exchange and the Korea Stock Exchange (or any
successor to the foregoing exchanges) are open for trading; and
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(B)
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the Index or any successor thereto is calculated and published.
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Autocallable Market-Linked Step Up Notes
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TS-10
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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The Index
All disclosures contained in this term sheet regarding the Index, including,
without limitation, its make-up, method of calculation and changes in its components, have been derived from publicly available sources
without independent verification. The information reflects the policies of, and is subject to change by, MSCI Inc. (“MSCI”
or the “Index sponsor”). The Index is calculated, maintained and published by the Index sponsor, which licenses the copyright
and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index.
The consequences of the Index sponsor discontinuing publication of the Index are discussed in the section entitled “Description
of the Notes—Discontinuance of an Index” beginning on page PS-23 of product supplement EQUITY INDICES SUN-1. None of us, the
calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of the Index or any
successor index.
General
The Index is a free float-adjusted market capitalization index that
is designed to measure the equity market performance of global emerging markets. The Index currently consists of the following 27 emerging
market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait,
Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and the United
Arab Emirates. As of June 2018, the Index includes shares traded on mainland Chinese exchanges, referred to as A-shares. The Index covers
approximately 85% of the free float-adjusted market capitalization in each country. The U.S. dollar price return version of the Index
is reported by Bloomberg L.P. under the ticker symbol “MXEF.”
Constructing the MSCI Global Investable Market Indices
The MSCI Global Investable Market Indices, including the Index, are
constructed and maintained at an individual market level. MSCI undertakes an index construction process that, with respect to the MSCI
Global Investable Market Indices, involves: (i) defining the equity universe for each market; (ii) determining the market investable equity
universe for each market; (iii) determining market capitalization size segments for each market and (iv) applying Index Continuity Rules
for the Standard Index.
Defining the Equity Universe
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(i)
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Identifying Eligible Equity Securities: All listed equity securities, including real estate investment trusts and certain income trusts
listed in Canada, are eligible for inclusion in the equity universe. Limited partnerships, limited liability companies, and business trusts,
which are listed in the United States and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion
in the equity universe. Conversely, mutual funds, exchange-traded funds (“ETFs”), equity derivatives and most investment trusts
are not eligible for inclusion in the equity universe. Preferred shares that exhibit characteristics of equity securities are eligible.
Stapled securities are considered eligible if each of the underlying components exhibit characteristics of equity securities.
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(ii)
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Country Classification of Eligible Securities: The equity universe initially looks at securities listed in any of the countries in
the MSCI Global Index Series, which will be classified as Developed Markets (“DM”), Emerging Markets (“EM”) or
Frontier Markets (“FM”). Each company and its securities (i.e., share classes) are classified in one and only one country,
which allows for a distinctive sorting of each company by its respective country.
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Determining the Market Investable Equity Universes
A market investable equity universe for a market is derived by (i) identifying
eligible listings for each security in the equity universe; and (ii) applying investability screens to individual companies and securities
in the equity universe that are classified in that market. A market is equivalent to a single country, except in DM Europe, where all
DM countries in Europe are aggregated into a single market for index construction purposes. Subsequently, individual DM Europe country
indices within the MSCI Europe Index are derived from the constituents of the MSCI Europe Index under the Global Investable Market Indices
methodology.
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(i)
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Identifying Eligible Listings: A security may have a listing that trades in the country where it is classified (a “local listing”)
and/or a listing that trades in a different country (a “foreign listing”). A security may be represented by either a local
listing or a foreign listing (including a depositary receipt) in the global investable equity universe as determined by MSCI.
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(ii)
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Applying Investability Screens: Some of the investability requirements are applied at the individual security level and some at the
overall company level, represented by the aggregation of individual securities of the company. As such, the inclusion or exclusion of
one security does not imply the automatic inclusion or exclusion of other securities of the same company.
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The investability screens used to determine the investable
equity universe in each market are as follows:
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a.
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Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In order to be included in a
market investable equity universe, a company must have the required minimum full market
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Autocallable Market-Linked Step Up Notes
|
TS-11
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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capitalization. A company will meet this requirement if its
cumulative free float-adjusted market capitalization is within the top 99% of the equity universe sorted in descending order by full market
capitalization.
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b.
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Equity Universe Minimum Float-Adjusted Market Capitalization Requirement: This investability screen is applied at the individual security
level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization
equal to or higher than 50% of the equity universe minimum size requirement.
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c.
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DM and EM Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for
inclusion in a market investable equity universe, a security must have adequate liquidity as measured by the annualized traded value ratio
(“ATVR”) and the frequency of trading. In addition to the ATVR and frequency of trading requirements, securities in the MSCI
China equity universe will not be eligible for inclusion in the market investable equity universe if the securities are suspended on the
price cutoff date of the index review or have been suspended for 50 consecutive days or more in the past 12 months.
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Only one listing per security may be included in the market
investable equity universe. In instances when a security has two or more eligible listings that meet the above liquidity requirements,
then the following priority rules are used to determine which listing will be used for potential inclusion of the security in the market
investable equity universe: (i) local listing; (ii) foreign listing in the same geographical region; and (iii) foreign listing in a different
geographical region.
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d.
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Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual security level. To be
eligible for inclusion in a market investable equity universe, a security’s foreign inclusion factor (“FIF”) must reach
a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the public
equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits
applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible for
inclusion in a market investable equity universe. Exceptions to this general rule are made only in the limited cases where the exclusion
of securities of a very large company would compromise the Standard Index’s ability to fully and fairly represent the characteristics
of the underlying market.
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e.
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The Minimum Length of Trading Requirement: This investability screen is applied at the individual security level. For an initial public
offering (“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading
at least three months before the implementation of a semi-annual index review. This requirement is applicable to small new issues in all
markets. Large IPOs and large primary / secondary offerings of non-index constituents are not subject to the Minimum Length of Trading
Requirement and may be included in a market investable equity universe and the Standard Index outside of a Quarterly or semi-annual index
review.
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f.
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The Minimum Foreign Room Requirement: This investability screen is applied at the individual security level. For a security that is
subject to a foreign ownership limit (“FOL”) to be eligible for inclusion in a market investable equity universe, the proportion
of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at
least 15%.
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g.
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Treatment of Securities that Exhibit Extreme Price Increase: This investability screen is applied at the individual security level.
Securities that exhibit extreme price increase will not be eligible for addition into the Standard Index but will continue to be considered
as part of the market investable equity universe. Such securities will be re-evaluated for Standard Index inclusion at the subsequent
index review using Standard Index inclusion criteria, including the applicable return-based thresholds for extreme price increase. MSCI
will evaluate the 5-day to 60-day excess returns, in increments of 5 days, as of the price cutoff date of the index review, for additions
to the Standard index. Excess return is calculated as the difference between the return of a security for the relevant period and the
average return of Investable Market Index constituents belonging to the same country-sector where the security is classified (in terms
of country of classification and Global Industry Classification Standard classification at the sector level). For country-sectors that
have five or fewer Investable Market Index constituents, the relevant country Investable Market Index return is used instead. IPOs that
do not meet the minimum length of trading requirement but meet all other criteria for Standard Index inclusion are not subject to this
requirement.
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Defining Market Capitalization Size Segments for Each Market
Once a market investable equity universe is defined, it is segmented
into the following size-based indices, with the following free float-adjusted market capitalization market coverage target ranges:
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(i)
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Investable Market Index (Large + Mid + Small): 99%+1% or -0.5%
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(ii)
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Standard Index (Large + Mid): 85% ± 5%
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|
Autocallable Market-Linked Step Up Notes
|
TS-12
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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(iii)
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Large Cap Index: 70% ± 5%
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(iv)
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Mid Cap Index: The Mid Cap Index market coverage in each market is derived as the difference between the market coverage of the Standard Index and the Large Cap Index in that market.
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(v)
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Small Cap Index: The Small Cap Index market coverage in each market is derived as the difference between the free float-adjusted market capitalization coverage of the Investable Market Index and the Standard Index in that market.
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Index Continuity Rules for the Standard Indices
In order to achieve index continuity, as well as provide some basic
level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of five
constituents will be maintained for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard
Index.
If after the application of the index construction methodology, a Standard
Index contains fewer than five securities in a Developed Market or three securities in an Emerging Market, then the largest securities
by free float-adjusted market capitalization among the securities included in the market investable equity universe are added to the Standard
Index in order to reach five constituents in that Developed Market or three in that Emerging Market. At subsequent index reviews, if after
the application of the index maintenance methodology a Standard Index contains less than five securities in a Developed Market or three
securities in an Emerging Market, then the remaining securities are selected for inclusion by multiplying market capitalization of such
securities by a factor of 1.5.
Constructing and Calculating the Individual Global Investable Market
Indices
After companies are allocated to their respective Size-Segments and
securities are reviewed for complying with the final Size-Segment requirements, the final list of constituents for each Market Size-Segment
Index is determined. The MSCI Investable Market Indices are composed of the MSCI Standard Indices and the MSCI Small Cap Indices. The
MSCI Standard Indices are further subdivided into the MSCI Large Cap and the MSCI Mid Cap Indices. Two or more Market Indices can be combined
to form Composite Indices. Market Indices can be grouped either on the basis of Market Classification definition, geographical regions,
economic regions or other criteria.
Maintenance of the MSCI Global Investable Market Indices
The MSCI Global Investable Market Indices are maintained with the objective
of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking to achieve index continuity,
continuous investability of constituents and replicability of the indices, and index stability and low index turnover.
In particular, index maintenance involves semi-annual index reviews
in May and November of the Size Segment and Global Value and Growth Indices and quarterly index reviews in February and August of the
Size Segment Indices. Semi-annual index review include updating the indices on the basis of a fully refreshed equity universe; taking
buffer rules into consideration for migration of securities across size and style segments; and updating FIFs and number of shares (“NOS”).
Quarterly index reviews include adding significant new eligible securities (such as IPOs that were not eligible for earlier inclusion)
in the index; allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the semi-annual
index reviews; and reflecting the impact of significant market events on FIFs and updating NOS.
In addition, ongoing event-related changes to the indices are made as
the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events. They can also result
from capital reorganizations in the form of rights issues, bonus issues, public placements and other similar corporate actions that take
place on a continuing basis. These changes are reflected in the indices at the time of the event. Significantly large IPOs are included
in the indices after the close of the company’s tenth day of trading.
Index Calculation
The MSCI Global Investable Market Indices are calculated using the Laspeyres’
concept of a weighted arithmetic average together with the concept of chain-linking. As a general principle, today’s index level
is obtained by applying the change in the market performance to the previous period index level.
Treatment of Investment Sanctions Related to U.S. Executive Order
13959
The U.S. Executive Order 13959 dated November 12, 2020 which prohibits
transactions by U.S. persons in certain Chinese companies (the “Order”), along with clarification from the Office of Foreign
Assets Control, results in the deletion from/non-inclusion in the MSCI Global Investable Market Indices of relevant impacted securities.
On January 5, 8 and 26, 2021, the Index sponsor deleted securities impacted
by the Order from the MSCI Global Investable Market Indices. At the time of their deletion from the MSCI Global Investable Market Indices,
the securities were retained in their existing Size-Segment and continue to be included in the market investable equity universe.
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Autocallable Market-Linked Step Up Notes
|
TS-13
|
Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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The Index Sponsor continues to monitor for updates the list of securities
impacted by the Order. Any changes to the list of securities would be publicly announced. The same treatment would be applicable for such
securities at the time of the deletion.
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Autocallable Market-Linked Step Up Notes
|
TS-14
|
Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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The following graph shows the daily historical performance of
the Index in the period from January 1, 2012 through January 20, 2022. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level
of the Index was 1,255.74.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative
of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of
the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease
at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the Index.
License Agreement
We have entered into a non-exclusive license agreement with MSCI whereby
we, in exchange for a fee, are permitted to use the MSCI Indices in connection with certain securities, including the notes. We are not
affiliated with MSCI; the only relationship between MSCI and us is any licensing of the use of MSCI’s indices and trademarks relating
to them.
The license agreement provides that the following language must be set
forth herein:
“THE NOTES ARE NOT SPONSORED OR ENDORSED BY MSCI, ANY AFFILIATE
OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE NOTES ARE NOT SOLD OR PROMOTED BY MSCI,
ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDICES ARE THE EXCLUSIVE
PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARKS OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN
PURPOSES BY BARCLAYS BANK PLC. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING
ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE HOLDERS OF THE NOTES OR ANY MEMBER OF THE PUBLIC REGARDING
THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE NOTES PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK
CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES
AND OF THE MSCI INDICES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES OR TO BARCLAYS BANK PLC OR ANY
HOLDER OF THE NOTES. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI
INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF BARCLAYS BANK PLC OR HOLDERS OF THE NOTES INTO CONSIDERATION IN DETERMINING, COMPOSING OR
CALCULATING THE MSCI INDICES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI
INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THE NOTES TO BE ISSUED
OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE NOTES ARE REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES
NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE HOLDERS
OF THE NOTES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT.
NOTWITHSTANDING THE FOREGOING, CERTAIN AFFILIATES OF MSCI MAY ACT AS
DEALERS IN CONNECTION WITH THE SALE OF THE NOTES AND, AS SUCH, MAY SELL OR PROMOTE THE NOTES OR MAY BE INVOLVED IN THE ADMINISTRATION,
MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT. ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION
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Autocallable Market-Linked Step Up Notes
|
TS-15
|
Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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IN OR FOR USE IN THE CALCULATION OF THE MSCI INDICES FROM SOURCES WHICH
MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI
INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER
MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS
OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, BARCLAYS BANK PLC’S CUSTOMERS OR COUNTERPARTIES, HOLDERS OF THE NOTES,
OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER
OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI
INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED
THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX
MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING
OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT
TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES
OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL,
PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
No purchaser, seller or holder of the notes, nor any other person or
entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote the notes without
first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim
any affiliation with MSCI without the prior written permission of MSCI.”
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Autocallable Market-Linked Step Up Notes
|
TS-16
|
Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Supplement to the Plan of Distribution
Under our distribution agreement with BofAS, BofAS will purchase the
notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
BofAS has advised us that MLPF&S will purchase the notes from BofAS
for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting
discount set forth on the cover of this term sheet.
We will deliver the notes against payment therefor in New York, New
York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of
1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly
agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the original issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original
offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes,
you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases
and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these prices will include MLPF&S’s
and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making
transactions; however, neither is obligated to engage in any such transactions. BofAS has advised us that, at MLPF&S’s and BofAS’s
discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes
in the secondary market at a price that may exceed the estimated value of the notes at the time of purchase. Any price offered by MLPF&S
or BofAS for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index,
the remaining term of the notes and our creditworthiness. However, none of us, MLPF&S, BofAS nor any of our respective affiliates
is obligated to purchase your notes at any price, or at any time, and we cannot assure you that we, MLPF&S, BofAS or our respective
affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
The value of the notes shown on your account statement produced by MLPF&S
will be based on BofAS’s estimate of the value of the notes if BofAS or another of its affiliates were to make a market in the notes,
which it is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing
market conditions, and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may
be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers
or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available
to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on
the Note Prospectus for information regarding Barclays or for any purpose other than that described in the immediately preceding sentence.
Prohibition of Sales to UK
Retail Investors
The notes are not intended to
be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in
the United Kingdom (“UK”). For these purposes, a UK retail investor means a person who is one (or more) of: (i) a retail client
as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of UK domestic law by virtue of the European Union
(Withdrawal) Act 2018 (as amended, the “EUWA”); (ii) a customer within the meaning of the provisions of the Financial Services
and Markets Act 2000 (as amended, the “FSMA”) and any rules or regulations made under the FSMA to implement Directive (EU)
2016/97, where that customer would not qualify as a professional client as defined in point (8) of Article 2(1) of Regulation (EU) No
600/2014 as it forms part of UK domestic law by virtue of the EUWA; or (iii) not a qualified investor as defined in Article 2 of Regulation
(EU) 2017/1129 as it forms part of UK domestic law by virtue of the EUWA (as amended, the “UK Prospectus Regulation”). Consequently,
no key information document required by Regulation (EU) No 1286/2014 as it forms part of UK domestic law by virtue of the EUWA (as amended,
the “UK PRIIPs Regulation”) for offering or selling the notes or otherwise making them available to retail investors in the
United Kingdom has been prepared and therefore offering or selling the notes or otherwise making them available to any retail investor
in the United Kingdom may be unlawful under the UK PRIIPs Regulation.
Prohibition of Sales to EEA
Retail Investors
The notes are not intended to
be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in
the European Economic Area (“EEA”). For these purposes, an EEA retail investor means a person who is one (or more) of: (i)
a retail client as defined in point (11) of Article 4(1) 2014/65/EU (as amended, “MiFID II”); (ii) a customer within the meaning
of Directive (EU) 2016/97, as amended, where that customer would not qualify as a professional client as defined in point (10) of Article
4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU) 2017/1129 (as amended, the “EU Prospectus Regulation”).
Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the “EU PRIIPs Regulation”)
for offering or selling the notes or otherwise making them available to retail investors in the European Economic Area has been prepared
and therefore offering or selling the notes or otherwise making them available to any retail investor in the European Economic Area may
be unlawful under the EU PRIIPs Regulation.
The preceding discussion supersedes
the discussion in the accompanying prospectus and prospectus supplement to the extent it is inconsistent therewith.
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Autocallable Market-Linked Step Up Notes
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TS-17
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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Structuring the Notes
The notes are our debt securities, the return on which is linked to
the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic terms of
the notes reflect our actual or perceived creditworthiness at the time of pricing. The economic terms of the notes are based on 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. Our internal funding rates may vary from the levels at which our benchmark debt securities
trade in the secondary market. Our estimated value on the pricing date was based on our internal funding rates. Our estimated value of
the notes may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Payments on the notes, including the amount you receive at maturity
or upon an automatic call, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index.
In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which
may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements
are determined by seeking bids from market participants, including MLPF&S, BofAS and its affiliates or our affiliates, and take into
account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Index, the tenor of the notes
and the tenor of the hedging arrangements. The economic terms of the notes and their estimated value depend in part on the terms of these
hedging arrangements, any estimated profit that we or any of our affiliates expect to earn in connection with structuring the notes, and
estimated costs which we may incur in hedging our obligations under the notes.
BofAS has advised us that the hedging arrangements will include a hedging
related charge of approximately $0.05 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since
hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements
may be realized by us, BofAS or any third party hedge providers.
For further information, see “Risk Factors—General Risks
Relating to the Notes” beginning on page PS-8 and “Use of Proceeds and Hedging” on page PS-18 of product supplement
EQUITY INDICES SUN-1.
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Autocallable Market-Linked Step Up Notes
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TS-18
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Autocallable Market-Linked Step Up Notes
Linked to the MSCI Emerging Markets Index, due January 28, 2027
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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” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.”
The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the notes.
Based on current market conditions, in the opinion of our special tax
counsel, it is reasonable to treat the notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Index.
Assuming this treatment 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. This gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the original
issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss
on the notes could be materially and adversely 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; the relevance
of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. 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 and adversely
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.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders. Subject
to estate tax treaty relief, a note may be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the note at the time
of his or her death. The gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated or deemed
situated in the United States. Individual Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences
of holding the notes at death.
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 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 August 5, 2021, filed as
an exhibit to a report on Form 6-K by Barclays Bank PLC on August 5, 2021, 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 letter of Davis Polk &
Wardwell LLP, dated August 5, 2021, which has been filed as an exhibit to the report on Form 6-K referred to above.
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Autocallable Market-Linked Step Up Notes
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TS-19
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