Pricing Supplement dated July 26, 2024
(To the Prospectus dated May 23, 2022, the Prospectus Supplement dated
June 27, 2022
and the Underlying Supplement dated June 21, 2023) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
 |
$85,000
Autocallable Step Up Notes due July 31, 2031
Linked to the Barclays Trailblazer Switch Index
Global Medium-Term Notes,
Series A |
Unlike ordinary debt securities, the Notes do not pay interest.
Instead, as described below, the Notes will be automatically redeemed for a Redemption Premium if the Closing Value of the Underlier
on any Observation Date (other than the Final Valuation Date) is greater than or equal to the then-applicable Call Value
(a percentage of the Initial Underlier Value that increases periodically over the term of the Notes). If the Notes are not automatically
redeemed, the Notes offer unleveraged exposure to potential appreciation of the Underlier from the Initial Underlier Value to the Final
Underlier Value. Investors should be willing to forgo dividend payments and, if the Notes are not automatically redeemed and the Final
Underlier Value is less than or equal to the Initial Underlier Value, be willing to receive
no more than their investment at maturity.
Terms used in
this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
| Issuer: |
Barclays Bank PLC |
| Denominations: |
Minimum denomination of $1,000, and integral multiples
of $1,000 in excess thereof |
| Initial Valuation Date: |
July 26, 2024 |
Final Valuation Date:† |
July 28, 2031 |
| Issue Date: |
July 31, 2024 |
Maturity Date:† |
July 31, 2031 |
| Reference Asset:* |
The Barclays Trailblazer Switch Index
(Bloomberg ticker symbol “BXIITBS5<Index>”) (the “Underlier” or the “Index”) |
| Automatic Redemption: |
The Notes will not be automatically redeemable for approximately
the first year after the Issue Date. If, on any Observation Date (other than the Final Valuation Date), the Closing Value of the
Underlier is greater than or equal to the then-applicable Call Value, the Notes will be automatically redeemed and you will
receive on the relevant Redemption Settlement Date a cash payment per $1,000 principal amount Note that will provide a return equal
to the applicable Redemption Premium, calculated as follows:
$1,000 + ($1,000 × applicable Redemption
Premium)
No further amounts will be payable on the Notes after they have
been automatically redeemed. |
| Call Value: |
With respect to an Observation Date, the Initial
Underlier Value times the Call Value Percentage applicable to that Observation Date (rounded to two decimal places) |
| Call Value Percentage and Redemption Premium: |
The Redemption Premium and Call Value Percentage
applicable to each Observation Date is set forth in the table below. |
| |
Observation
Date |
Redemption
Premium |
Call
Value Percentage |
Observation
Date |
Redemption
Premium |
Call
Value Percentage |
| |
First |
10.00% |
100.75% |
Fourth |
40.00% |
103.00% |
| |
Second |
20.00% |
101.50% |
Fifth |
50.00% |
103.75% |
| |
Third |
30.00% |
102.25% |
Sixth |
60.00% |
104.50% |
| |
If the Notes are automatically redeemed, your return on the Notes will
not exceed the applicable Redemption Premium, and your return will not be based on the amount of any appreciation in the value of
the Underlier, which may be significant. |
| Payment at Maturity: |
If the Notes are not automatically redeemed, you will receive
on the Maturity Date a cash payment per $1,000 principal amount Note determined as follows:
§ If
the Final Underlier Value is greater than the Initial Underlier Value, you will receive an amount per $1,000 principal amount
Note calculated as follows:
$1,000 + ($1,000 × Underlier
Return)
§
sIf the Final Underlier Value is less than or equal to the Initial Underlier Value, you will receive a payment
of $1,000 per $1,000 principal amount Note
Any payment on the Notes, including any repayment of principal,
is not guaranteed by any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise
of any U.K. Bail-in Power (as described on page PS-5 of this pricing supplement) by the relevant U.K. resolution authority. See “Selected
Risk Considerations” and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors”
in the accompanying prospectus supplement. |
| Index Fee and Costs: |
The Underlier includes an index fee of 0.85% per annum. In addition,
the Underlier is an “excess return” index, meaning that it tracks the performance of the Index Components (as defined
under “Information Regarding the Underlier” in this pricing supplement) minus a synthetic borrowing cost (represented
by the Effective Federal Funds Rate plus a fixed spread of 0.25%).
The Index Components must perform sufficiently well to offset
the effect of such index fee and such borrowing cost in order for the Underlier to appreciate in value and, accordingly, for you
to earn any positive return on your Notes. See “Information Regarding the Underlier” in this pricing supplement and “Selected
Risk Considerations—Risks Relating to the Underlier Generally—The Deduction of Synthetic Financing Costs and an Index
Fee Will Adversely Affect Index Performance” in this pricing supplement for additional information. |
| Index Sponsor: |
The Underlier was created by Barclays Bank PLC, which is the owner of the intellectual property
and licensing rights relating to the Underlier. The Underlier is operated by Barclays Index Administration, a distinct function within
Barclays Bank PLC (in such capacity, the “Index Sponsor” and as described under “Information Regarding the Underlier”
in this pricing supplement). |
| Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders
of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by,
and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in
Power” on page PS-5 of this pricing supplement. |
(Terms of the Notes continue on the next page)
| |
Initial Issue
Price(1)(2) |
Price to
Public |
Agent’s
Commission(3) |
Proceeds
to Barclays Bank PLC |
| Per Note |
$1,000 |
100% |
4.50% |
95.50% |
| Total |
$85,000 |
$85,000 |
$3,773 |
$81,227 |
| (1) | Because dealers who purchase the Notes for sale to certain fee-based
advisory accounts may forgo some or all selling concessions, fees or commissions, the public
offering price for investors purchasing the Notes in such fee-based advisory accounts may
be between $955.00 and $1,000 per Note. Investors that hold their Notes in fee-based advisory
or trust accounts may be charged fees by the investment advisor or manager of such account
based on the amount of assets held in those accounts, including the Notes. |
| (2) | Our estimated value of the Notes on the Initial Valuation Date, based
on our internal pricing models, is $940.30 per $1,000 principal amount Note. The estimated
value is less than the initial issue price of the Notes. See “Additional Information
Regarding Our Estimated Value of the Notes” on page PS-6 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of up
to $45.00 per $1,000 principal amount Note. Barclays Capital Inc. will use these commissions
to pay variable selling concessions or fees (including custodial or clearing fees) to other
dealers. The agent’s commission per Note shown above is the maximum agent’s commission,
and the proceeds to Issuer per Note shown above is the minimum amount of proceeds that the
Issuer receives per Note. The total agent’s commission and total proceeds to Issuer
shown above give effect to the actual amount of the variable agent’s commission. |
Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-9 of the prospectus supplement and “Selected
Risk Considerations” beginning on page PS-13 of this pricing supplement.
We may use this pricing supplement in the initial sale of the Notes.
In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market resale transactions in any
Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is
being used in a market resale transaction.
The Notes will not be listed on any U.S. securities exchange or quotation
system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved
or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation to the contrary
is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation
Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance
agency of the United States, the United Kingdom or any other jurisdiction.
(Terms of the Notes continued from previous page)
| Underlier Return: |
Final Underlier Value – Initial Underlier Value
Initial Underlier Value |
| Initial Underlier Value: |
192.3667, which is the Closing Value of the Underlier on the Initial Valuation Date |
| Final Underlier Value: |
The Closing Value of the Underlier on the Final Valuation Date |
| Observation Dates:† |
July 28, 2025, July 27, 2026, July 26, 2027, July 26, 2028, July
26, 2029, July 26, 2030 and the Final Valuation Date |
| Redemption Settlement Dates:† |
August 4, 2025, August 3, 2026, August 2, 2027, August 2, 2028,
August 2, 2029 and August 2, 2030 |
| Closing Value:* |
Closing Value means, with respect to the Underlier on any date, the official closing level of the
Underlier with respect to that date, as calculated and published by the Index Sponsor and displayed on Bloomberg Professional®
service (“Bloomberg”) page “BXIITBS5 <Index>” or any successor page on Bloomberg or any successor
service, as applicable. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745UEM8 / US06745UEM80 |
| * | If the Underlier is discontinued or if the sponsor of the Underlier fails
to publish the Underlier, the Calculation Agent may select a successor index or, if no successor
index is available, may calculate the value to be used as the Closing Value of the Underlier.
In addition, the Calculation Agent may calculate the value to be used as the Closing Value
of the Underlier in the event of certain changes in or modifications to the Underlier. For
more information, see “Supplemental Terms of the Notes—Discontinuation of the
Underlier; Alteration of Methodology or Calculation of the Underlier” in this pricing
supplement. |
| † | Each Observation Date may be postponed if a Market Disruption
Event occurs on that Observation Date as described under “Supplemental Terms of the
Notes—Market Disruption Events” in this pricing supplement. In addition, a Redemption
Settlement Date and/or the Maturity Date will be postponed if that day is not a business
day as described under “Terms of the Notes—Payment Dates” in the accompanying
prospectus supplement or if the relevant Observation Date is postponed as described under
“Supplemental Terms of the Notes—Market Disruption Events” in this pricing
supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 21, 2023. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus
dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| · | Prospectus
Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
| · | Underlying
Supplement dated June 21, 2023: |
http://www.sec.gov/Archives/edgar/data/312070/000095010323009073/dp195519_424b2-trailblazer.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
SUPPLEMENTAL TERMS OF THE NOTES
Notwithstanding anything to the contrary in the accompanying prospectus
supplement, the following provisions will apply for purposes of the Notes.
Market Disruption Events
If the Calculation Agent determines that, on any Observation Date,
a Market Disruption Event occurs or is continuing with respect to the Underlier, that Observation Date will be postponed to the immediately
succeeding Index Business Day (as defined under “Information Regarding the Underlier” in this pricing supplement) on which
no Market Disruption Event occurs or is continuing. In no event, however, will an Observation Date be postponed by more than five scheduled
Index Business Days. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing with respect to the Underlier
on that fifth day, the Calculation Agent will determine the Closing Value of the Underlier for that fifth day in good faith and in a
commercially reasonable manner.
If the Final Valuation Date is postponed, the Maturity Date will be
postponed such that the number of business days from the Final Valuation Date to the Maturity Date remains the same.
With respect to the Notes, a “Market Disruption Event”
means:
| · | the occurrence of a
Trading Disruption Event, an Index Market Disruption Event or an Index Disruption Event (each
as defined under “The Barclays Trailblazer Switch Index—Additional Index Determinations”
in the accompanying underlying supplement); or |
| · | the failure of the Index
Sponsor to calculate and publish the official closing level of the Underlier on an Index
Business Day |
in each case as determined by the Calculation Agent in its sole discretion.
Discontinuation of the Underlier; Alteration of Methodology or
Calculation of the Underlier
If the Index Sponsor discontinues publication of the Underlier and
the Index Sponsor or another entity publishes a successor or substitute index that the Calculation Agent determines, in its sole discretion,
to be comparable to the discontinued Index (such index being referred to herein as a “Successor Index”), then the Closing
Value of the Underlier on the Final Valuation Date, or any other relevant date on which the Closing Value of the Underlier is to be determined,
will be determined by reference to the level of that Successor Index at the time of daily final publication, or close of trading on the
relevant exchange or market for that Successor Index, as applicable, on that date. If a Successor Index is selected by the Calculation
Agent, the Successor Index will be used as a substitute for the Underlier for all purposes under the Notes, and the Calculation Agent
may in its sole discretion adjust any variable described in this pricing supplement, including but not limited to any level (including
but not limited to the Initial Underlier Value, the Final Underlier Value and the Closing Value on any relevant date), or any combination
thereof. The Calculation Agent will make any such adjustment with a view to offsetting, to the extent practicable, any difference in
the relative levels of the Index and the Successor Index at the time the Index is replaced by the Successor Index.
If an Index Cancellation occurs on or prior to any Observation Date
or any other relevant date on which the Closing Value of the Underlier is to be determined and is continuing on that date, then the Calculation
Agent may in its sole discretion determine to compute the Closing Value of the Underlier in accordance with the formula for and method
of calculating the Underlier or Successor Index, as applicable, last in effect prior to that Index Cancellation.
An “Index Cancellation” will occur if (a) the Index Sponsor
discontinues publication of the Closing Value of the Underlier on or prior to any Observation Date (or any other relevant date on which
the Closing Value of the Underlier is to be determined) and that discontinuation is continuing on that Observation Date (or other relevant
date) and the Calculation Agent determines that no Successor Index is available at that time or (b) the Calculation Agent has previously
selected a Successor Index and publication of that Successor Index is discontinued prior to, and that discontinuation is continuing on,
that Observation Date or that other relevant date.
If at any time the method of calculating the Underlier or a Successor
Index, or the level thereof, is changed in a material respect, or if the Underlier or a Successor Index is in any other way modified
such that the Underlier or that Successor Index does not, in the opinion of the Calculation Agent, fairly represent the level of the
Underlier or that Successor Index had those changes or modifications not been made, then the Calculation Agent may in its sole discretion
determine to make such calculations and adjustments as the Calculation Agent determines may be necessary in order to arrive at a level
for the Underlier or Successor Index comparable to the Underlier or Successor Index, as the case may be, as if those changes or modifications
had not been made, and determine whether the Notes are automatically redeemed and calculate the payment at maturity or any other payment
to be made on the Notes with reference to the Underlier (or Successor Index), as adjusted.
consent to u.k.
bail-in power
Notwithstanding and to the exclusion of any other term of the Notes
or any other agreements, arrangements or understandings between us and any holder or beneficial owner of the Notes (or the trustee on
behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees
to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
Under the U.K. Banking Act 2009, as amended, the relevant U.K. resolution
authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution authority is satisfied that the resolution
conditions are met. These conditions include that a U.K. bank or investment firm is failing or is likely to fail to satisfy the Financial
Services and Markets Act 2000 (the “FSMA”) threshold conditions for authorization to carry on certain regulated activities
(within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that is a European Economic Area (“EEA”)
or third country institution or investment firm, that the relevant EEA or third country relevant authority is satisfied that the resolution
conditions are met in respect of that entity.
The U.K. Bail-in Power includes any write-down, conversion, transfer,
modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of the principal amount
of, interest on, or any other amounts payable on, the Notes; (ii) the conversion of all, or a portion, of the principal amount of, interest
on, or any other amounts payable on, the Notes into shares or other securities or other obligations of Barclays Bank PLC or another person
(and the issue to, or conferral on, the holder or beneficial owner of the Notes such shares, securities or obligations); (iii) the cancellation
of the Notes and/or (iv) the amendment or alteration of the maturity of the Notes, or amendment of the amount of interest or any other
amounts due on the Notes, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary
period; which U.K. Bail-in Power may be exercised by means of a variation of the terms of the Notes solely to give effect to the exercise
by the relevant U.K. resolution authority of such U.K. Bail-in Power. Each holder and beneficial owner of the Notes further acknowledges
and agrees that the rights of the holders or beneficial owners of the Notes are subject to, and will be varied, if necessary, solely
to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this
consent and acknowledgment is not a waiver of any rights holders or beneficial owners of the Notes may have at law if and to the extent
that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see “Selected Risk Considerations—Risks
Relating to the Issuer—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating
to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail,
including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely
affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms
of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such
as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which
our benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal
funding rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt
securities trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is
less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of
the Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit
that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost that we may incur in hedging
our obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or
sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of
ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial
Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the
tenor of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-13 of this pricing supplement.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
| · | You
do not seek an investment that produces periodic interest or coupon payments or other sources
of current income. |
| · | You
understand and accept that, if the Notes are automatically redeemed, you will not participate
in any appreciation of the Underlier, which may be significant, and that your return potential
on the Notes is limited to the applicable Redemption Premium. |
| · | You
anticipate that the Closing Value of the Underlier will be greater than or equal to the then-applicable
Call Value or Initial Underlier Value, as applicable, on at least one Observation Date. |
| · | You
understand and accept that you may not earn any positive return on your Notes. |
| · | You
understand and accept that the performance of the Underlier will be affected by an index
fee of 0.85% per annum and by the reduction of a synthetic financing cost. |
| · | You
understand and accept that the investment strategy used to construct the Index may not be
successful and may underperform any alternative portfolio or strategy that might be constructed
from the Index Components. |
| · | You
understand and accept that the realized volatility of the Index may not approximate its target
volatility and that the realized volatility of the Index may be greater or less than its
target volatility, perhaps significantly. |
| · | You
understand and are willing and able to accept the other risks associated with an investment
linked to the performance of the Underlier, as explained in more detail in the “Selected
Risk Considerations” section of this pricing supplement. |
| · | You
understand and accept that you will not be entitled to receive dividends or distributions
that may be paid to holders of the Index Components or the component securities held by the
Index Components, nor will you have any voting rights with respect to the Index Components
or the component securities held by the Index 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
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 an appropriate
investment for you if any of the following statements are true:
| · | You
seek an investment that produces periodic interest or coupon payments or other sources of
current income. |
| · | You
seek an investment that, if the Notes are automatically redeemed, participates in the full
appreciation of the Underlier rather than an investment with a return that is limited to
the applicable Redemption Premium. |
| · | You
anticipate that the Closing Value of the Underlier will be less than the then-applicable
Call Value or Initial Underlier Value, as applicable, on each Observation Date. |
| · | You
do not understand and/or are unable to accept that you may not earn any positive return on
your Notes. |
| · | You
are unwilling or unable to accept that the performance of the Underlier will be affected
by an index fee of 0.85% per annum and by the reduction of a synthetic financing cost. |
| · | You
are unwilling or unable to accept that the investment strategy used to construct the Index
may not be successful and may underperform any alternative portfolio or strategy that might
be constructed from the Index Components. |
| · | You
are unwilling or unable to accept that the realized volatility of the Index may not approximate
its target volatility and that the realized volatility of the Index may be greater or less
than its target volatility, perhaps significantly. |
| · | You
are unwilling or unable to accept the other risks associated with an investment linked to
the performance of the Underlier, as explained in more detail in the “Selected Risk
Considerations” section of this pricing supplement. |
| · | You
seek an investment that entitles you to dividends or distributions on, or voting rights related
to, the Index Components or the component securities held by the Index Components. |
| · | You
are unwilling or unable to accept the risk that the Notes may be automatically redeemed. |
| · | 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 appropriateness of the Notes in light of your investment objectives and the specific information set out in this
pricing supplement, the prospectus, the prospectus supplement and the underlying supplement. Neither the Issuer nor Barclays Capital
Inc. makes any recommendation as to the appropriateness of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF 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 and make the following key assumptions:
| § | Hypothetical
Initial Underlier Value: 100.0000* |
| § | Hypothetical
Call Values: |
| Observation Date |
Hypothetical Call Value* |
| First |
100.75 |
| Second |
101.50 |
| Third |
102.25 |
| Fourth |
103.00 |
| Fifth |
103.75 |
| Sixth |
104.50 |
| § | Redemption Premiums
equal to the Redemption Premiums set forth on the cover of this pricing supplement* |
| * | The hypothetical Initial
Underlier Value of 100.0000 and the hypothetical Call
Values specified above have been chosen for illustrative purposes only and do not represent
the actual Initial Underlier Value or actual Call Values. The actual Initial Underlier Value
is set forth on the cover of this pricing supplement and the actual Call Values are equal
to a percentage of the Initial Underlier Value that increases periodically over the term
of the Notes as set forth on the cover of this pricing supplement. |
For information regarding recent values of the Underlier, please see
“Information Regarding the Underlier” in this pricing supplement.
Example 1: The Notes are automatically redeemed on the first Observation
Date.
| Observation Date |
Closing
Value of the Underlier on the Observation Date |
Are
the Notes Redeemed? |
Redemption
Premium |
| 1 |
110.0000 |
Yes |
10.00% |
Because the Closing Value of the Underlier on the first Observation
Date is greater than or equal to the then-applicable Call Value, the Notes are automatically redeemed on the related Redemption Settlement
Date. You will receive on the relevant Redemption Settlement Date a cash payment of $1,100.00 per $1,000 principal amount Note, which
is equal to your principal amount plus a return equal to the applicable Redemption Premium. No further amounts will be payable
on the Notes after they have been automatically redeemed.
Example 2: The Notes are automatically redeemed on the fourth Observation
Date.
| Observation Date |
Closing
Value of the Underlier on the Observation Date |
Are
the Notes Redeemed? |
Redemption
Premium |
| 1 |
99.0000 |
No |
N/A |
| 2 |
90.0000 |
No |
N/A |
| 3 |
101.2500 |
No |
N/A |
| 4 |
104.0000 |
Yes |
40.00% |
Because the Closing Value of the Underlier on the fourth Observation
Date is greater than the then-applicable Call Value, the Notes are automatically redeemed on the related Redemption Settlement Date.
In this example, the Notes are not automatically redeemed following the third Observation Date even though the Closing Value of the Underlier
on the third Observation Date is greater than both the Initial Underlier Value and the Call Value applicable to the first two Observation
Dates due to the step-up feature of the Notes. You will receive on the relevant Redemption Settlement Date a cash payment of $1,400.00
per $1,000 principal amount Note, which is equal to your principal amount plus a return equal to the applicable Redemption Premium.
No further amounts will be payable on the Notes after they have been automatically redeemed.
If the Closing Value of the Underlier is below the then-applicable
Call Value on each Observation Date, the Notes will not be automatically redeemed and you may receive no more than your principal 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 Underlier Value: 100.0000* |
| § | You hold the Notes
to maturity, and the Notes are NOT automatically redeemed. |
| * | The
hypothetical Initial Underlier Value of 100.0000
has been chosen for illustrative purposes only and does not represent the actual Initial
Underlier Value. The actual Initial Underlier Value is set forth on the cover of this pricing
supplement. |
For information regarding recent values of the Underlier, please see
“Historical and Hypothetical Historical Performance of the Underlier” in this pricing supplement.
| Final Underlier Value |
Underlier
Return |
Payment
at Maturity per $1,000 Principal Amount Note |
| 150.0000 |
50.00% |
$1,500.00 |
| 140.0000 |
40.00% |
$1,400.00 |
| 130.0000 |
30.00% |
$1,300.00 |
| 120.0000 |
20.00% |
$1,200.00 |
| 110.0000 |
10.00% |
$1,100.00 |
| 105.0000 |
5.00% |
$1,050.00 |
| 100.0000 |
0.00% |
$1,000.00 |
| 90.0000 |
-10.00% |
$1,000.00 |
| 80.0000 |
-20.00% |
$1,000.00 |
| 70.0000 |
-30.00% |
$1,000.00 |
| 60.0000 |
-40.00% |
$1,000.00 |
| 50.0000 |
-50.00% |
$1,000.00 |
| 40.0000 |
-60.00% |
$1,000.00 |
| 30.0000 |
-70.00% |
$1,000.00 |
| 20.0000 |
-80.00% |
$1,000.00 |
| 10.0000 |
-90.00% |
$1,000.00 |
| 0.0000 |
-100.00% |
$1,000.00 |
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The value of the Underlier increases from an Initial
Underlier Value of 100.0000 to a Final Underlier Value of 105.0000.
Because the Final Underlier Value is greater
than the Initial Underlier Value, you will receive a payment at maturity of $1,050.00 per $1,000 principal amount Note that you hold,
calculated as follows:
$1,000 + ($1,000 × Underlier Return)
$1,000 + ($1,000 × 5.00%) = $1,050.00
Example 2: The value of the Underlier
decreases from an Initial Underlier Value of 100.0000 to a Final Underlier Value of 40.0000.
Because the Final Underlier Value is less than
or equal to the Initial Underlier Value, you will receive a payment at maturity of $1,000.00 per $1,000 principal amount Note that you
hold.
If the Notes are not automatically redeemed,
you may receive no more than your principal at maturity. Any payment on the Notes, including the repayment of principal, is subject to
the credit risk of Barclays Bank PLC.
Information Regarding
the UNDERLIER
The Index is a rules-based proprietary index created and owned by
Barclays Bank PLC. The Index is operated by Barclays Index Administration, a distinct function within Barclays Bank PLC (in such capacity,
the “Index Sponsor”). The Index Sponsor has appointed a third party, MerQube, Inc. (together with any successor thereto,
the “Index Calculation Agent”), to calculate and maintain the Index. The Index is reported by Bloomberg under the
ticker symbol “BXIITBS5.”
The Index applies a rules-based methodology to track a dynamic synthetic
portfolio (the “Index Portfolio”) selected from a universe of 14 exchange-traded funds that provide exposure to U.S.
equity sectors or fixed-income assets (each, an “Index Component”). The Index generally seeks to maintain diversified
exposure to the Index Components over time, except that under market conditions potentially indicative of declining bond prices, the
Index will seek to eliminate exposure to fixed-income assets. The Index targets a realized volatility of approximately 5% over time.
Each day, a synthetic financing cost is deducted in calculating the value of each Index Component and an index fee of 0.85% per annum
is deducted in calculating the level of the Index.
Index Portfolio rebalancing. The Index Portfolio is not rebalanced
according to a predetermined schedule. Instead, on each Index Business Day (as defined below), the Index uses its Index Portfolio selection
methodology to determine a new synthetic portfolio of Index Components, but the Index will rebalance into that new synthetic portfolio
only if the composition of that synthetic portfolio differs sufficiently from its current Index Portfolio. Otherwise, the Index will
maintain its synthetic position in its current Index Portfolio. In addition, the Index will rebalance its current Index Portfolio back
to the target weights implemented in the immediately preceding rebalancing (i.e., a new Index Portfolio will not be selected) if the
realized volatility of its current Index Portfolio falls outside specified parameters and the Portfolio Exposure (as defined below) is
adjusted.
Index Portfolio selection methodology. Under the Index Portfolio
selection methodology, the Index uses third-party optimization software to identify on each Index Business Day the synthetic portfolio,
composed of the Index Components, that has the highest expected return with a recent realized volatility of 5% or less, subject to the
weighting constraints set forth below. For purposes of estimating the expected returns of the Index Components, the selection methodology
assumes that the expected return of each Index Component is proportional to the risk associated with that Index Component, as measured
by its recent realized volatility, and that the proportion is the same for each of the Index Components.
The weighting constraints applied by the selection methodology provide
a minimum target weight and maximum target weight for each Index Component that are set so as to prevent (i) short exposure to any Index
Component, (ii) excessive concentration in any Index Component and (iii) a change of 10% or more from one Index Business Day to the next
Index Business Day in the target weight of any Index Component in the Index Portfolio. In addition, subject to the foregoing, when the
fixed-income signal described below is negative, the maximum target weights of the fixed-income Index Components are set so as to seek
to eliminate exposure to those Index Components. Finally, the sum of the target weights of the Index Components in the synthetic portfolio
must be greater than or equal to 0% and less than or equal to 100%.
The fixed-income signal is determined on each Index Business Day by
reference to the level of the Barclays Switch USD Signal Index (the “Switch Signal Index”). The Switch Signal Index
references trends in expectations for short-term rates, trends in expected inflation and risk aversion levels indicated by trends in
broad-based U.S. equity markets and will yield a negative fixed-income signal if (a) at least two of those three trends indicate a likelihood
that bond prices may decline or (b) one of those trends indicates a likelihood that bond prices may decline and the other two trends
are inconclusive. For additional information about the Switch Signal Index, see “Background on the Barclays Switch USD Signal Index”
in the accompanying underlying supplement.
The Index will generally determine whether to rebalance into a new
synthetic portfolio on an Index Business Day by determining the difference between the target weight of each Index Component in that
new synthetic portfolio and the target weight of that Index Component in the current Index Portfolio. In general, the Index will rebalance
into the new synthetic portfolio only if the square root of the sum of the squares of those differences in target weights is greater
than or equal to 10%. However, in consequence of an amendment to the Index methodology, for any Index Business Day on or after February
16, 2024, the Index will also rebalance into the new synthetic portfolio if the fixed-income signal is negative and the target weight
of any fixed-income Index Component in the current Index Portfolio is positive, regardless of the differences between the target weights
of the Index Components in the new synthetic portfolio and the current Index Portfolio.
Volatility targeting. In addition to referencing the target
volatility of 5% in the Index Portfolio selection methodology described above, the Index also adjusts its synthetic exposure to the Index
Portfolio through two layers of volatility targeting in order to target a realized volatility of approximately 5% over time.
Under the first layer of volatility targeting, the Index applies an
exposure (the “Portfolio Exposure”) of between 0% and 150% to the Index Portfolio with the aim of targeting a realized
volatility of approximately 5%. The Portfolio Exposure will be set so as to increase exposure to the Index Portfolio if its realized
volatility is less than 5% and decrease exposure to the Index Portfolio if its realized volatility is greater than 5%. The Portfolio
Exposure is adjusted only when rebalancing into a new Index Portfolio or when the realized volatility of the current Index Portfolio
changes sufficiently from the time the Portfolio Exposure was last established. We refer to the synthetic portfolio represented by the
Index Portfolio with its weights adjusted by the Portfolio Exposure as the “Volatility-Adjusted Portfolio.”
Under the second layer of volatility targeting, the Index applies
an exposure (the “Index Exposure”) of between 0% and 100% to the Volatility-Adjusted Portfolio with the aim of targeting
a realized volatility of approximately 5%. The Index Exposure will be set so as to decrease exposure to the Volatility-Adjusted Portfolio
if its realized volatility is greater than 5%. The Index Exposure is adjusted only when the realized volatility of the current Volatility-Adjusted
Portfolio changes sufficiently from the time the Index Exposure was last established.
The effective exposure provided by the Index to the Index Portfolio
on any Index Business Day is equal to the Portfolio Exposure on that Index Business Day multiplied by the Index Exposure on that
Index Business Day. The effective exposure provided by the Index to the Index Portfolio on any Index Business Day may be significantly
less than 100%, and any such difference will be synthetically uninvested and will earn no return. The index fee is not reduced when the
Index is partially uninvested.
Index Components. The table below lists the Index Components.
For additional information about the Index Components, see “Background on the Index Components” in the accompanying underlying
supplement.
| Asset Class |
Index
Component |
Ticker |
| Equity |
Materials Select Sector SPDR®
Fund |
XLB UP |
| Energy Select Sector SPDR®
Fund |
XLE UP |
| Financial Select Sector SPDR®
Fund |
XLF UP |
| Industrial Select Sector SPDR®
Fund |
XLI UP |
| Technology Select Sector SPDR®
Fund |
XLK UP |
| Consumer Staples Select Sector SPDR®
Fund |
XLP UP |
| Utilities Select Sector SPDR®
Fund |
XLU UP |
| Health Care Select Sector SPDR®
Fund |
XLV UP |
| Consumer Discretionary Select Sector
SPDR® Fund |
XLY UP |
| Communication Services Select Sector
SPDR® Fund |
XLC UP |
| Vanguard® Real Estate
ETF |
VNQ UP |
| Fixed
Income |
iShares® 20+ Year Treasury
Bond ETF |
TLT UQ |
| iShares® iBoxx $ Investment
Grade Corporate Bond ETF |
LQD UP |
| iShares® iBoxx $ High
Yield Corporate Bond ETF |
HYG UP |
Index calculation and publication. On any given day, the closing
level of the Index (the “Index Level”) reflects (a) the performance of its Index Portfolio, as adjusted by the Portfolio
Exposure and the Index Exposure, less (b) the index fee of 0.85% per annum. The performance of the Index Portfolio reflects the weighted
excess-return performance of the Index Components. The amount deducted as a result of the index fee is not affected by the Portfolio
Exposure or the Index Exposure, and the index fee is not reduced when the Index is partially uninvested.
The performance of each Index Component is calculated on an excess-return
basis, which means that the value of each Index Component for purposes of the Index reflects the reinvestment of distributions and the
deduction of a synthetic financing cost equal to (a) the Effective Federal Funds Rate (Bloomberg Code: FEDL01 Index) plus
(b) 0.25%. The Effective Federal Funds Rate is a measure of the interest rate at which depository institutions lend balances at
the Federal Reserve to other depository institutions overnight, calculated as the volume-weighted median of overnight federal funds transactions
reported by U.S. banks and U.S. branches and agencies of non-U.S. banks, and is quoted on the basis of an assumed year of 360 days.
The Index Sponsor publishes the Index Level on each Index Business
Day as soon as reasonably practical following its calculation, subject to Index Market Disruption Events and Index Disruption Events,
both as defined and described under “The Barclays Trailblazer Switch Index—Additional Index Determinations” in the
accompanying underlying supplement. The Index Sponsor may at any time change the place, time and frequency of the publication of the
Index Level. The Index Calculation Agent began calculating the Index on a live basis on June 12, 2023.
“Index Business Day” means a day on which the New
York Stock Exchange (or any successor thereto) is scheduled to be open for business.
The Index is described as tracking a synthetic portfolio of assets
because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The
Index merely references certain assets, the performance of which will be used in determining the composition of the Index and calculating
the Index in accordance with its methodology.
No assurance can be given that the investment strategy used to
construct the Index will be successful or that the Index will outperform any alternative portfolio or strategy that might be constructed
from the Index Components. In addition, no assurance can be given that the realized volatility of the Index will approximate its target
volatility. The realized volatility of the Index may be greater or less than its target volatility, perhaps significantly. Furthermore,
no assurance can be given that the Switch Signal Index will accurately indicate price momentum in U.S. dollar bond markets.
For more information about the Index, see “The Barclays Trailblazer
Switch Index” in the accompanying underlying supplement, subject to the changes set forth above relating to the amendment to the
Index methodology that became effective on February 16, 2024.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underlier or the Index 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
| · | You
May Receive No More Than the Principal Amount of Your Notes—If the Notes are not
automatically redeemed and the Final Underlier Value is less than or equal to the Initial
Underlier Value, you will receive only the principal amount of your Notes. Therefore, you
may not receive a return on the Notes. Even if the Final Underlier Value is greater than
the Initial Underlier Value, the return on the Notes may be less than the amount that would
be paid on a conventional debt security of the Issuer of comparable maturity if the Underlier
does not appreciate sufficiently over the term of the Notes. |
| · | No Interest
Payments—As a holder of the Notes, you will not receive interest payments. |
| · | If the
Notes Are Automatically Redeemed, Your Potential Return on the Notes Is Limited to the Applicable
Redemption Premium—If the Notes are automatically redeemed, your return on the
Notes will be limited to the applicable Redemption Premium and will not be based on the amount
of any appreciation in the value of the Underlier, which may be significant. |
| · | Automatic
Redemption and Reinvestment Risk—While the original term of the Notes is as indicated
on the cover of this pricing supplement, the Notes may be automatically redeemed prior to
maturity for a term that could be as short as approximately one year. 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. |
| · | The
Call Value Applicable to Each Observation Date Is Greater than the Initial Underlier Value,
and the Call Value Increases Periodically Over the Term of the Notes—The Notes
will be automatically redeemed only if the Closing Value of the Underlier increases from
the Initial Underlier Value to be greater than or equal to the then-applicable Call Value
on an Observation Date (other than the Final Valuation Date). Even if the Closing Value of
the Underlier appreciates over the term of the Notes, it may not appreciate sufficiently
for the Notes to be redeemed early (including as a result of the step-up automatic redemption
feature, which causes the Call Value to increase periodically over the term of the Notes). |
| · | Any
Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the
Dates Specified—Any payment on the Notes will be determined based on the Closing
Values of the Underlier on the dates specified. You will not benefit from any more favorable
value of the Underlier determined at any other time. |
| · | 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. 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 Underlier has increased from the Initial Underlier Value. See “—Risks Relating
to the Estimated Value of the Notes and the Secondary Market—Many Economic and Market
Factors Will Impact the Value of the Notes” below. |
| · | Owning
the Notes Is Not the Same as Owning the Index Components or the Component Securities Held
by the Index Components—The return on the Notes may not reflect the return you
would realize if you actually owned the Index Components or the component securities held
by the Index 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 Index Components
or the component securities held by the Index Components would have. |
| · | Tax Treatment—
As discussed further below under “Tax Considerations” and in the accompanying
prospectus supplement, if you are a U.S. individual or taxable entity, you should be required
to accrue interest on a current basis in respect of the Notes over their term based on the
comparable yield for the Notes and pay tax accordingly, even though you will not receive
any payments from us until early redemption or redemption at maturity. This comparable yield
is determined solely to calculate the amount on which you will be taxed prior to early redemption
or redemption at maturity and is neither a prediction nor a guarantee of what the actual
yield will be. |
Risks Relating to the Issuer
| · | Credit
of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer,
Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third
party. Any payment to be made on the Notes, including any repayment of principal, is subject
to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not
guaranteed by any third party. As a result, the actual and perceived creditworthiness of
Barclays Bank PLC may affect the market value of the Notes, and in the event Barclays Bank
PLC were to default on its obligations, you may not receive any amounts owed to you under
the terms of the Notes. |
| · | You May
Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised
by the Relevant U.K. Resolution Authority—Notwithstanding and to
the exclusion of any other term of the Notes or any other agreements, arrangements or understandings
between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee
on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise
of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under |
“Consent to U.K. Bail-in Power”
in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and other holders
and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different security
from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically
afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any
advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power
by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each term is defined
in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking,
in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the
Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group
is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers,
could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under
the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority”
in the accompanying prospectus supplement.
Risks Relating to the Underlier Generally
| · | The Index
May Not Be Successful and May Underperform Alternative Investment Strategies—There
can be no assurance that the Index will achieve positive returns. The Index applies a rules-based
methodology to track a dynamic synthetic portfolio selected from a universe of 14 exchange-traded
funds that provide exposure to U.S. equity sectors or fixed-income assets. The Index generally
seeks to maintain diversified exposure to the Index Components over time, except that under
market conditions potentially indicative of declining bond prices, will seek to eliminate
exposure to fixed-income assets, as described under “Information Regarding the Underlier”
in this pricing supplement. The Index targets a realized volatility equal to approximately
5% over time. |
There can be no assurance that a synthetic
investment in the Index Portfolio will perform better than an alternative investment portfolio selected based on different criteria or
using any other methodology.
| · | The Deduction
of Synthetic Financing Costs and an Index Fee Will Adversely Affect Index Performance—While
a total return index tracks a synthetic funded investment in its components, with dividends
synthetically reinvested, an excess return index tracks a synthetic investment in its components,
with dividends synthetically reinvested, made through the use of borrowed funds for which
a financing cost is synthetically paid. The Notes are linked to an excess return index and
not a total return index. In the particular case of the Index, the level of each Index Component
is based on a synthetic investment in that Index Component minus a borrowing cost represented
by the Effective Federal Funds Rate plus a fixed spread. Accordingly, each Index Component
will underperform the total return performance of the corresponding exchange-traded fund. |
The Effective Federal Funds Rate is a
measure of the interest rate at which depository institutions lend balances at the Federal Reserve to other depository institutions overnight.
The Effective Federal Funds Rate will be affected by many factors, including, among others, the monetary policy of the Federal Reserve.
The Effective Federal Funds Rate has fluctuated significantly over time. For example, on May 1, 2020, the Effective Federal Funds Rate
was 0.05%, and on May 1, 2023, the Effective Federal Funds Rate was 5.06%. The Federal Reserve raised its federal funds target rate over
periods in the past and may do so again in the future. Any increase in the Effective Federal Funds Rate, due to the Federal Reserve raising
interest rates (specifically, its federal funds target rate) or otherwise, will increase the adverse effect of the borrowing cost on
the excess return performance of each Index Component (and, therefore, the performance of the Index).
In addition, the performance of the Index
will be reduced by the daily deduction of a fee of 0.85% per annum. As such, the Index performance will trail that of a hypothetical,
identically constituted index from which no such cost is deducted.
The deduction of the synthetic financing
cost and the index fee will place a significant drag on the performance of the Index, offsetting any positive total return of the Index
Components included in the Index Portfolio, exacerbating any negative total return of the Index Components included in the Index Portfolio
and causing the Closing Value of the Index to decline steadily if the total return of the Index Components included in the Index Portfolio
is relatively flat. The Index will not appreciate unless the total return performance of the Index Components included in the Index Portfolio
is sufficient to offset the negative effects of the synthetic financing cost and the index fee, and then only to the extent that the
total return performance of the Index Components included in the Index Portfolio is greater than the deducted amounts. As a result of
these deductions, the Closing Value of the Index may decline even if the total return of the Index Components included in the Index Portfolio
is positive.
| · | The Index’s
Selection Methodology May Not Be Successful—Under the Index’s portfolio selection
methodology, the Index seeks to identify the synthetic portfolio composed of the Index Components
that has the highest expected return with a recent realized volatility of 5% or less, subject
to the weighting constraints. The Index’s selection methodology uses the recent realized
volatility of each Index Component as a proxy for the expected return of that Index Component.
No assurance can be given that the realized volatility of an Index Component will accurately
predict its future performance. Even if the Index allocates exposure to the Index Components
with the highest returns, the Index will decline if there is a decline in the Index Components
that compose the Index. |
| · | The Fixed-Income
Switch Signal Feature of the Index May Not Be Successful—When the Index’s
fixed-income signal is negative, the Index will seek to eliminate exposure to the fixed-income
Index Components. However, no assurance can be given |
that the Index’s fixed-income signal
will accurately indicate price momentum in U.S. dollar bond markets. The fixed-income signal may indicate that exposure to fixed-income
Index Components should be eliminated at times when they are outperforming other Index Components or may fail to indicate that exposure
to fixed-income Index Components should be eliminated at times when they are underperforming other Index Components. In addition, even
if the fixed-income signal accurately indicates price momentum in U.S. dollar bond markets, exposure to fixed-income Index Components
may be eliminated only after several Index Business Days have elapsed and no assurance can be given that the Index will adjust its exposure
to fixed-income Index Components quickly enough to benefit from that accurate indication. The Index may underperform a comparable investment
portfolio that does not reference a fixed-income signal to adjust its exposure to fixed-income assets.
| · | The Index
May Not Achieve Its Target Volatility of 5%—The Index seeks to maintain a realized
volatility level of approximately 5% by employing two layers of volatility targeting to dynamically
adjust its exposure to the Index Portfolio at any given time, as described under “The
Barclays Trailblazer Switch Index—Volatility Targeting” in the accompanying underlying
supplement. There can, however, be no assurance that historical trends in volatility will
continue in the future. As a result, the realized volatility of the Index may be greater
or less than its target volatility, perhaps significantly. |
| · | The Index
May Not Be Fully Invested in the Index Components—If the sum of the target weights
of the Index Components in the portfolio selected by the Index is less than 100%, the difference,
which may be significant, will be synthetically uninvested and will earn no return. In addition,
the Index adjusts its synthetic exposure to the Index Portfolio through two layers of volatility
targeting in an attempt to target a realized volatility for the Index equal to approximately
5%, resulting in an effective exposure to the Index Portfolio of between 0% and 150%. If
the Index’s effective exposure to the Index Portfolio is less than 100%, the difference,
which may be significant, will be synthetically uninvested and will earn no return. As a
result, the Index may underperform a similar index that provides 100% exposure to the Index
Components in the Index Portfolio and 100% exposure to the Index Portfolio. The amount deducted
as a result of the index fee is not reduced when the Index is partially uninvested. |
| · | The Index
May Be Subject to Increased Volatility Due to the Use of Leverage—When the realized
volatility of the Index Portfolio is less than the Target Volatility of 5%, the Index will
employ leverage and the effective exposure of the Index to the Index Portfolio may be up
to 150%. When the effective exposure to the Index Portfolio is greater than 100%, any movements
in values of the Index Components will result in greater changes in the value of the Index
Portfolio than if leverage were not used. In particular, the use of leverage will magnify
any negative performance of the Index Portfolio. Accordingly, the Index may underperform
a comparable investment portfolio that does not employ leverage. |
| · | The Index’s
Target Volatility Feature May Negatively Affect the Appreciation Potential of the Index—Under
ordinary market conditions, equity markets tend to experience volatility that is significantly
above the Index’s target volatility of 5%. As a result, the Index’s target volatility
feature may skew the allocations among the Index Components in the Index Portfolio toward
fixed-income Index Components, which typically have lower volatility than equity Index Components,
or may result in the sum of the target weights of the Index Components being less than 100%,
which will reduce the volatility of the Index Portfolio. Fixed-income Index Components may
have lower return potential than equity Index Components, and any synthetically uninvested
portion of the Index Portfolio will earn no return. Moreover, if the Index has a relatively
high allocation to fixed-income Index Components, it will be particularly sensitive to factors
that adversely affect the value of fixed-income instruments, such as increases in interest
rates or declining perceptions of credit quality. |
In addition, the volatility targeting
feature of the Index may cause the Index to reduce its exposure to the Index Portfolio in periods of high volatility, even if the Index
Portfolio is generally performing positively. The performance of the Index may be negative or less positive than the performance of the
Index Portfolio during such periods. Accordingly, the return on the Index may be less, perhaps significantly, than the return on an index
that does not include a volatility targeting feature.
| · | The Index
Relies on Optimization Software That Is Subject to Inherent Limitations—Under the
Index Portfolio selection methodology, the Index uses third-party optimization software to
identify on each Index Business Day the synthetic portfolio composed of the Index Components
that has the highest expected return with a recent realized volatility of 5% or less, subject
to the relevant weighting constraints. In limited circumstances, the portfolio composition
used as the starting point for the model could theoretically cause the model to produce a
less optimal portfolio or to fail to produce a solution. If the optimization software fails
to identify a synthetic portfolio that satisfies the specified constraints on an Index Business
Day, the Index will make a second attempt to use the optimization software to identify a
synthetic portfolio that satisfies the specified constraints. If the second attempt also
fails, no new target weights will be determined for the Index Components on that Index Business
Day. The Index Sponsor has discretion to modify the settings used with the optimization software
or to modify the starting values for an optimization in order to limit any potential impact
on the Index from numerical accuracy or software issues, but no assurance can be given that
the Index Sponsor will be successful at doing so. |
| · | The Index
Sponsor Will Have the Authority to Make Determinations That Could Materially Affect the Closing
Value of the Index and the Amount Payable on the Notes and Their Market Value and Create
Conflicts of Interest—The Index Sponsor, a distinct function within Barclays Bank
PLC, is responsible for the operation of the Index, and the policies of the Index Sponsor
concerning the calculation of the Closing Value of the Index could affect the Closing Value
of the Index and, therefore, the amount payable on the Notes at maturity and the market value
of the Notes prior to scheduled maturity. |
The Index Sponsor may modify the methodology
for calculating the Closing Value of the Index. In addition, as described in “The Barclays Trailblazer Switch Index—Additional
Index Determinations” in the accompanying underlying supplement, the Index Sponsor may make certain changes to the way in which
the Index is calculated. For example, the Index Sponsor may discontinue or suspend calculation or publication of the Index upon the occurrence
of certain market disruptions or other events, in which case
it may become difficult to determine
the Closing Value of the Index and the value of the Notes. In addition, the Index Sponsor may replace an Index Component if that Index
Component ceases to exist or changes in a way that makes the calculation of the Index impossible or infeasible. The replacement Index
Component may perform significantly worse than the replaced Index Component. Any such changes could adversely affect the value of the
Notes. The circumstances in which the Index Sponsor might make any such a determination are described more fully under “The Barclays
Trailblazer Switch Index—Additional Index Determinations” in the accompanying underlying supplement.
The role played by the Index Sponsor,
and the exercise of the kinds of discretion described above and in the section entitled “The Barclays Trailblazer Switch Index—Additional
Index Determinations” in the accompanying underlying supplement, could present it with significant conflicts of interest in light
of the fact that Barclays Bank PLC is the issuer of the Notes. The Index Sponsor has no obligation to take the needs of any buyer, seller
or holder of the Notes into consideration at any time.
| · | The Values
of the Index Components That Comprise the Index May Offset Each Other—Price movements
between the Index Components may not correlate with each other. At a time when the value
of certain Index Components increases, the value of the other Index Components may not increase
as much or may decline. Therefore, in calculating the Closing Value of the Index, increases
in the value of one of the Index Components included in the portfolio tracked by the Index
may be moderated, or more than offset, by lesser increases or decreases in the value of the
other Index Components included in the portfolio tracked by the Index. In addition, high
correlation during periods of negative returns among Index Components could have an adverse
effect on the Closing Value of the Index. |
| · | The Index
Has a Limited Performance History—The Index Calculation Agent began calculating
the Index on a live basis on June 12, 2023, and the Index Sponsor has published limited information
about how the Index might have performed had it been calculated in the past. Because the
Index is new and limited historical performance data exists, your investment in the Notes
may involve a greater risk than investing in alternate securities linked to one or more indices
with an established record of performance. A longer history of actual performance would be
helpful in providing more reliable information on which to assess the validity of the methodology
that the Index uses as the basis for an investment decision. |
| · | Hypothetical
Back-Tested Data Relating to the Index Does Not Represent Actual Historical Data and Is Subject
to Inherent Limitations—All data relating to the period prior to the launch date
of the Index, including the table and graphs set forth under “Historical and Hypothetical
Historical Performance of the Underlier” below, is purely theoretical and does not
represent the actual historical performance of the Index and has not been verified by an
independent third party. The information is based on a hypothetical estimate by the Index
Sponsor using available historical data as to how the Index may have performed in the pre-launch
date period. Alternative modeling techniques or assumptions may produce different hypothetical
historical information that might prove to be more appropriate and that might differ significantly
from the hypothetical historical information set forth under “Historical and Hypothetical
Historical Performance of the Underlier” below. In addition, back-tested, hypothetical
historical results have inherent limitations. These back-tested results are achieved by means
of a retroactive application of a back-tested model designed with the benefit of hindsight.
Hypothetical back-tested data should not be taken as an indication of future performance. |
| · | Historical
or Hypothetical Historical Levels of the Index Should Not Be Taken as an Indication of the
Future Performance of the Index During the Term of the Notes—The actual performance
of the Index over the term of the Notes, as well as the amount payable at maturity, may bear
little relation to the historical or hypothetical historical levels of the Index. Past fluctuations
and trends in the Index are not necessarily indicative of fluctuations or trends that may
occur in the future. |
| · | The Index
Is Not Actively Managed—The Index operates by pre-determined rules, as described
under “Information Regarding the Underlier” in this pricing supplement. There
will be no active management of the Index to enhance returns or limit losses. An actively
managed investment may potentially respond more directly and appropriately to immediate market,
political, economic, financial or other factors than the non-actively managed Index, which
may adversely affect the Closing Value of the Index and the value of the Notes. |
| · | The Index
Is Comprised of Synthetic Assets and Liabilities—The exposure to the Index Components
that comprise the Index at any given time is purely synthetic and will exist solely in the
records maintained by or on behalf of the Index Sponsor. There is no actual portfolio of
assets to which any person or entity is entitled or in which any person or entity has any
ownership interest. Consequently, no person or entity will have any claim against any of
the Index Components that comprise the Index at any time. |
Risks Relating to the Index Components
| · | Certain
Features of the Index Components Will Impact the Value of the Notes—Each Index
Component is an exchange-traded fund, the performance of which will not fully replicate the
performance of the Underlying Index it is meant to track, and each Index Component may hold
securities not included in its Underlying Index. Accordingly, the performance of the Index
is subject to risks associated with investments in exchange-traded funds, including: |
| o | Management
risk. This is the risk that the investment strategy for each Index Component, the implementation
of which is subject to a number of constraints, may not produce the intended results. Each
Index Component’s investment adviser may have the right to use a portion of that Index
Component’s assets to invest in securities that are not included in its Underlying
Index. The Index Components are not actively managed, and each Index Component’s investment
adviser will generally not attempt to take defensive positions in declining markets. |
| o | Derivatives
risk. The Index Components may invest in derivatives, including forward contracts, futures
contracts, options on futures contracts, options and swaps. A derivative is a financial contract,
the value of which depends on, or is |
derived from, the value of an underlying
asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates
or to sudden fluctuations in market prices, and thus each Index Component’s losses may be greater than if each Index Component
invested only in conventional securities.
| o | Transaction
costs and fees. Unlike its Underlying Index, the Index Components will reflect transaction
costs and fees that will reduce its performance relative to its Underlying Index. |
Generally, the longer the time remaining
to maturity, the more the market price of the Notes will be affected by the factors described above. In addition, each Index Component
may diverge significantly from the performance of its Underlying Index due to differences in trading hours between that Index Component
and the securities composing the Underlying Index it is meant to track or other circumstances. During periods of market volatility, the
component securities held by an Index Component may be unavailable in the secondary market, market participants may be unable to calculate
accurately the intraday net asset value per share of an Index Component and the liquidity of an Index Component may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares in an Index Component.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and
sell shares of an Index Component. As a result, under these circumstances, the market value of an Index Component may vary substantially
from the net asset value per share of that Index Component. Because the Notes are linked to the performance of the Index Components and
not their Underlying Index, the return on your Notes may be less than that of an alternative investment linked directly to the Underlying
Indices.
| · | The Select
Sector Funds Involve Sector Concentration Risk—Each Index Component in the equity
sectors asset class (other than the Vanguard® Real Estate ETF) is a Select
Sector SPDR® Fund (each, a “Select Sector Fund” and collectively,
the “Select Sector Funds”). The Select Sector Indices upon which the Select Sector
Funds are based together comprise all of the companies in the S&P 500®
Index. |
The investment objective of each Select
Sector Fund is to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly
traded equity securities of companies in one particular sector or group of industries, as represented by a specified Select Sector Index.
Accordingly, the performance of each Select Sector Fund will not benefit from the diversification that could result if such funds held
securities issued by companies that operate in multiple sectors.
The performance of companies that operate
in any particular sector is subject to a number of complex and unpredictable factors such as industry competition, government action
and regulation, geopolitical events and supply and demand for the products and services offered by such company. Any adverse development
in the relevant sector tracked by any Select Sector Fund may have a material adverse effect on the securities held in the portfolio of
such Select Sector Fund and, as a result, may have a material adverse effect on the price of such Select Sector Fund, the Closing Value
of the Index and the value of your Notes.
| · | Risks
Associated with the Real Estate Industry Will Affect the Value of the Vanguard®
Real Estate ETF—The Vanguard® Real Estate ETF invests in
companies that invest in real estate, such as real estate investment trusts (or “REITs”)
or real estate holding companies. The value of real estate and, consequently, companies that
invest in real estate may be affected by many factors that interrelate with each other in
complex and unpredictable ways. Such factors may include, but are not limited to, general
economic and political conditions, liquidity in the real estate market, rising or falling
interest rates, governmental actions and the ability of borrowers to obtain financing for
real estate development or to repay their loans. Any negative developments in any such factor
may negatively affect the value of companies that invest in real estate and, consequently,
may adversely affect the Vanguard® Real Estate ETF, the Closing Value of
the Index and the value of your Notes. |
| · | The Index
Components Included in the Fixed-Income Asset Class Are Subject to Interest Rate-Related
Risks—All of the Index Components included in the fixed-income asset class (which
we collectively refer to as the “Fixed-Income ETFs”) are exchange-traded funds
that attempt to track the performance of indices composed of fixed-income securities. Investing
in the Notes linked to the performance of the Index (and, accordingly, indirectly to the
Fixed-Income ETFs) differs significantly from investing directly in bonds to be held to maturity
because the values of the Fixed-Income ETFs change, at times significantly, during each trading
day based upon the current market prices of their underlying bonds. The market prices of
these bonds are volatile and significantly influenced by a number of factors, particularly
the yields on these bonds as compared to current market interest rates and the actual or
perceived credit quality of the issuer of these bonds. |
In general, fixed-income securities are
significantly affected by changes in current market interest rates. As interest rates rise, the price of fixed-income securities, including
those underlying the Fixed-Income ETFs, is likely to decrease. Securities with longer durations tend to be more sensitive to interest
rate changes, usually making them more volatile than securities with shorter durations. The eligibility criteria for the securities included
in the indices that underlie the Fixed-Income ETFs, each of which mandate that each security must have a minimum term remaining to maturity
(ranging from one year to 20 years) for continued eligibility, means that, at any time, only longer-term securities underlie the Fixed-Income
ETFs, which thereby increases the risk of price volatility in the underlying securities and, consequently, the volatility in the Closing
Value of the Index. As a result, rising interest rates may cause the value of the bonds underlying the Fixed-Income ETFs, the Fixed-Income
ETFs and the Index to decline, possibly significantly. While the Index seeks to eliminate exposure to the Fixed-Income ETFs at times
when the fixed-income signal is negative, which may be triggered in part by rising interest rates, the fixed-income signal is affected
by trends in expected inflation and broad-based U.S. equity markets as well, and there is no assurance that the fixed-income signal will
be negative when interest rates are rising. See “—Risks Relating to the Underlier Generally—The Fixed-Income Switch
Signal Feature of the Index May Not Be Successful” above.
Interest rates are subject to volatility
due to a variety of factors that interrelate in complex and unpredictable ways, including, among others:
| o | sentiment
regarding underlying strength in the U.S. economy and global economies; |
| o | expectations
regarding the level of price inflation; |
| o | sentiment
regarding credit quality in the U.S. and global credit markets; |
| o | central
bank policies regarding interest rates; and |
| o | the
performance of U.S. and foreign capital markets. |
| · | The Index
Components Included in the Fixed-Income Asset Class Are Subject to Credit Risk—The
prices of the bonds underlying the Fixed-Income ETFs are significantly influenced by the
creditworthiness of the issuers of the bonds. The issuers of the bonds underlying the Fixed-Income
ETFs may have their credit ratings downgraded, a downgrade from investment grade to non-investment
grade status, or have their credit spreads widen significantly. In the case of the iShares®
20+ Year Treasury Bond ETF, perceptions of the credit quality of the U.S. government
may change. Following a ratings downgrade or the widening of credit spreads, or perceptions
of reduced credit quality of the U.S. government, some or all of the underlying bonds may
suffer significant and rapid price declines. Such events may have material adverse effects
on the value of the Fixed-Income ETFs, the Index and the Notes. |
Further, the iShares®
iBoxx $ High Yield Corporate Bond ETF is designed to provide a representation of the U.S. dollar high-yield corporate market and is therefore
subject to high-yield securities risk. Securities that are rated below investment grade (commonly known as “junk bonds”)
may be more volatile than higher-rated securities of similar maturity. High-yield securities may also be subject to greater levels of
credit or default risk than higher-rated securities. The value of high-yield securities can be adversely affected by overall economic
conditions, such as an economic downturn or a period of rising interest rates, and high-yield securities may be less liquid and more
difficult to sell at an advantageous time or price or to value than higher-rated securities. In particular, high-yield securities are
often issued by smaller, less creditworthy companies or by highly leveraged (indebted) firms, which are generally less able than more
financially stable firms to make scheduled payments of interest and principal.
| · | The iShares®
iBoxx $ Investment Grade Corporate Bond ETF and the iShares® iBoxx
$ High Yield Corporate Bond ETF Are Subject to Risks Associated with Non-U.S. Securities
Markets—The iShares® iBoxx $ Investment Grade Corporate Bond ETF
and the iShares® iBoxx $ High Yield Corporate Bond ETF may include U.S. dollar-denominated
bonds issued by non-U.S. companies. As such, the iShares® iBoxx $ Investment
Grade Corporate Bond ETF and the iShares® iBoxx $ High Yield Corporate Bond
ETF are subject to risks associated with the securities markets in those countries, including
risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings
in companies in certain countries. Also, there is generally less publicly available
information about non-U.S. companies than about U.S. companies that are subject to the reporting
requirements of the SEC, and non-U.S. companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies.
The prices of securities issued in non-U.S. markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in
government, economic and fiscal policies and currency exchange laws. Some or all of these
factors may adversely affect the value of the iShares® iBoxx $ Investment
Grade Corporate Bond ETF and the iShares® iBoxx $ High Yield Corporate Bond
ETF, which may adversely affect the Closing Value of the Index. |
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 Underlier or the Index 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 Underlier 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 the Underlier is to be determined; if the Underlier is discontinued or if the sponsor of the Underlier fails to
publish the Underlier, selecting a successor index or, if no successor index is available, determining any value necessary to calculate
any payments on the Notes; and calculating the value of the Underlier on any date of determination in the event of certain changes in
or modifications to the Underlier. In making these discretionary judgments, our economic interests are potentially adverse to your interests
as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes.
Furthermore, the role played by Barclays
Index Administration in its role as Index Sponsor creates additional conflicts of interest. See “—Risks Relating to the Underlier
Generally—The Index Sponsor Will Have the Authority to Make Determinations That Could Materially Affect the Closing Value of the
Index and the Amount Payable on the Notes and their Market Value and Create Conflicts of Interest” above.
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
value and expected volatility of the Underlier, the
Index Components and the component securities held by the Index Components; |
| o | the
time to maturity of the Notes; |
| o | interest
and yield rates in the market generally; |
| o | dividend
rates on the Index Components and the component securities held by the Index Components; |
| o | a
variety of economic, financial, political, regulatory or judicial events; |
| o | supply
and demand for the Notes; and |
| o | our
creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated
Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated
value of your Notes on the Initial Valuation Date is lower than the initial issue price of
your Notes. The difference between the initial issue price of your Notes and the estimated
value of the Notes is a result of certain factors, such as any sales commissions to be paid
to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts,
commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated
profit that we or any of our affiliates expect to earn in connection with structuring the
Notes, the estimated cost which we may incur in hedging our obligations under the Notes,
and estimated development and other costs which we may incur in connection with the Notes. |
| · | The Estimated
Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels at Which
Our Debt Securities Trade in the Secondary Market—The estimated value of your Notes
on the Initial Valuation Date is based on a number of variables, including our internal funding
rates. Our internal funding rates may vary from the levels at which our benchmark debt securities
trade in the secondary market. As a result of this difference, the estimated value referenced
above might be lower if such estimated value were based on the levels at which our benchmark
debt securities trade in the secondary market. |
| · | The Estimated
Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be
Inaccurate and May Be Different from the Pricing Models of Other Financial Institutions—The
estimated value of your Notes on the Initial Valuation Date is based on our internal pricing
models, which take into account a number of variables and are based on a number of subjective
assumptions, which may or may not materialize. These variables and assumptions are not evaluated
or verified on an independent basis. Further, our pricing models may be different from other
financial institutions’ pricing models and the methodologies used by us to estimate
the value of the Notes may not be consistent with those of other financial institutions which
may be purchasers or sellers of Notes in the secondary market. As a result, the secondary
market price of your Notes may be materially different from the estimated value of the Notes
determined by reference to our internal pricing models. |
| · | The Estimated
Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in
the Secondary Market, If Any, and Such Secondary Market Prices, If Any, Will Likely Be Lower
Than the Initial Issue Price of Your Notes and May Be Lower Than the Estimated Value of Your
Notes—The estimated value of the Notes will not be a prediction of the prices at
which Barclays Capital Inc., other affiliates of ours or third parties may be willing to
purchase the Notes from you in secondary market transactions (if they are willing to purchase,
which they are not obligated to do). The price at which you may be able to sell your Notes
in the secondary market at any time will be influenced by many factors that cannot be predicted,
such as market conditions, and any bid and ask spread for similar sized trades, and may be
substantially less than our estimated value of the Notes. Further, as secondary market prices
of your Notes take into account the levels at which our debt securities trade in the secondary
market, and do not take into account our various costs related to the Notes such as fees,
commissions, discounts, and the costs of hedging our obligations under the Notes, secondary
market prices of your Notes will likely be lower than the initial issue price of your Notes.
As a result, the price at which Barclays Capital Inc., other affiliates of ours or third
parties may be willing to purchase the Notes from you in secondary market transactions, if
any, will likely be lower than the price you paid for your Notes, and any sale prior to the
Maturity Date could result in a substantial loss to you. |
| · | The Temporary
Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May
Initially Use for Customer Account Statements, If We Provide Any Customer Account
Statements at All, May Not Be Indicative of Future Prices of Your Notes—Assuming
that all relevant factors remain constant after the Initial Valuation Date, the price at
which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market (if
Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the
value that we may initially use for customer account statements, if we provide any customer
account statements at all, may exceed our estimated value of the Notes on the Initial Valuation
Date, as well as the secondary market value of the Notes, for a temporary period after the
initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy
or sell the Notes in the secondary market and the value that we may initially use for customer
account statements may not be indicative of future prices of your Notes. |
HISTORICAL AND HYPOTHETICAL HISTORICAL PERFORMANCE OF THE UNDERLIER
The Index Calculation Agent began calculating the Index on a live
basis on June 12, 2023. All values of the Index prior to that date are calculated using available data as to how the Index may have performed
in the pre-launch date period. Accordingly, the graph below illustrates:
| · | on a hypothetical basis,
how the Index would have performed from January 1, 2014 to June 9, 2023; and |
| · | on an actual basis,
how the Index performed from June 12, 2023 through July 26, 2024. |
The hypothetical historical performance of the Index shown below was
determined using the methodology used to calculate the Index as of its inception, provided that each Index Component is eligible
to be included in the Index Portfolio only from its base date.
The hypothetical historical performance below does not reflect actual
performance of the Index and has not been verified by an independent third party. Hypothetical historical performance has inherent limitations
and is achieved by means of a retroactive setting of the selection criteria designed with the benefit of hindsight. Alternative selection
criteria or assumptions may produce different hypothetical historical performance that might prove to be more appropriate and that might
differ significantly from the hypothetical historical performance provided below.
We obtained the Closing Values shown in the graph below from Bloomberg
Professional® service (“Bloomberg”). We have not independently verified the accuracy or completeness of the
information obtained from Bloomberg.
Historical and Hypothetical Historical Performance
of the Barclays Trailblazer Switch Index*
* The vertical red line indicates June 12, 2023.
The performance to the left of the vertical red line reflects the hypothetical historical performance of the Index and the performance
to the right of the vertical red line reflects the actual historical performance of the Index.
HISTORICAL AND HYPOTHETICAL HISTORICAL 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
Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S.
Holders.” The discussion below applies to you only if you are an initial purchaser of the Notes; if you are a secondary purchaser
of the Notes, the tax consequences to you may be different. In the opinion of our special tax counsel, Davis Polk & Wardwell LLP,
the Notes should be treated as debt instruments for U.S. federal income tax purposes. The remainder of this discussion assumes that this
treatment is correct. The following discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is
inconsistent therewith.
Because the Notes will be offered to initial purchasers at varying
prices, it is expected that the "issue price" of the Notes for U.S. federal income tax purposes will be uncertain. We currently
intend to treat the issue price as $1,000 for each $1,000 principal amount Note, and the remainder of this discussion so assumes, unless
otherwise indicated. Our intended treatment will affect the amounts you will be required to include in income for U.S. federal income
tax purposes. You should consult your tax advisor regarding the uncertainty with respect to the Notes' issue price, including the tax
consequences to you if the actual issue price of the Notes for U.S. federal income tax purposes is not $1,000 per Note.
Assuming the treatment described above is correct, in the opinion
of our special tax counsel, the Notes will be treated as “contingent payment debt instruments” for U.S. federal income tax
purposes, as described under “—Contingent Payment Debt Instruments” in the accompanying prospectus supplement.
Regardless of your method of accounting for U.S. federal income tax
purposes, you generally will be required to accrue taxable interest income in each year on a constant yield to maturity basis at the
“comparable yield,” as determined by us, even though we will not be required to make any payment with respect to the Notes
prior to early redemption or redemption at maturity. Although it is not entirely clear how the comparable yield should be determined
when a debt instrument may be automatically called prior to maturity, we will determine the comparable yield based upon the term to maturity
of the Notes assuming no automatic call occurs. Upon a sale or exchange (including early redemption or redemption at maturity), you generally
will recognize taxable income or loss equal to the difference between the amount received from the sale or exchange and your adjusted
tax basis in the Notes. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous
interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations.
The discussions herein and in the accompanying prospectus supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b).
After the original issue date, you may obtain the comparable yield
and the projected payment schedule by requesting them from Barclays Cross Asset Sales Americas, at (212) 528-7198. Neither the comparable
yield nor the projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the Notes.
If you purchase Notes at their original issuance for an amount that
is different from their issue price, you will be required to account for this difference by making adjustments to your income when the
payment at maturity (or early redemption) is made. You should consult your tax advisor regarding the treatment of the difference between
your basis in your Notes and their issue price.
You should consult your tax advisor regarding the U.S. federal tax
consequences of an investment in the Notes, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing
jurisdiction.
Non-U.S. holders. We do not believe that
non-U.S. holders should be required to provide a Form W-8 in order to avoid 30% U.S. withholding tax with respect to the excess (if any)
of the payment on early redemption or the payment at maturity over the face amount of the Notes, although the Internal Revenue Service
(the “IRS”) could challenge this position. However, non-U.S. holders should in any event expect to be required to provide
appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading
“—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required,
we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the Notes do not have a “delta of one” within the meaning of the regulations, our special
tax counsel is of the opinion that these regulations should not apply to the Notes with regard to non-U.S. holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax advisor regarding the potential application of Section 871(m) to the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We have agreed to sell to Barclays Capital Inc. (the “agent”),
and the agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing
supplement. The agent commits to take and pay for all of the Notes, if any are taken.
We expect that delivery of the Notes will be made against payment
for the Notes on the Issue Date, which is more than one business day following the Initial Valuation Date. Notwithstanding anything to
the contrary in the accompanying prospectus supplement, under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, effective
May 28, 2024, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to one business day before delivery
will be required to specify alternative settlement arrangements to prevent a failed settlement and should consult their own advisor.
VALIDITY OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special United
States products counsel to Barclays Bank PLC, when the Notes offered by this pricing supplement have been executed and issued by Barclays
Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Notes
will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or
regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’ rights, provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York.
Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLC’s
permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of July 12, 2024, filed as an exhibit to a report on Form
6-K by Barclays Bank PLC on July 12, 2024, and this opinion is subject to the same assumptions, qualifications and limitations as set
forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding
nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP,
dated July 12, 2024, which has been filed as an exhibit to the report on Form 6-K referred to above.
Exhibit 107.1
Calculation of Filing Fee
Table
F-3
(Form Type)
Barclays Bank PLC
(Exact Name of Registrant as Specified in its Charter)
Table 1—Newly Registered Securities
| |
Security Type |
Security Class Title |
Fee Calculation or Carry Forward Rule |
Amount Registered |
Proposed Maximum Offering Price Per Unit |
Maximum Aggregate Offering Price |
Fee Rate |
Amount of Registration Fee |
| Fees to be Paid |
Debt |
Global Medium-Term Notes, Series A |
457(r) |
85 |
$1,000 |
$85,000 |
0.0001476 |
$12.55 |
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering.
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