|
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 27, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-265158 |
 |
$549,000
Callable
Range Accrual Buffered Notes due July 29, 2027
Linked
to the Nasdaq-100 Index®
Global
Medium-Term Notes, Series A |
Unlike ordinary debt securities, the Notes do not guarantee the payment
of interest or the return of the full principal amount at maturity. Instead, as described below and subject to early redemption at the
discretion of the Issuer, interest will accrue on the Notes during each Accrual Period only on scheduled trading days on which the Closing
Value of the Underlier is greater than or equal to the Coupon Barrier Value. Investors should be willing to forgo dividend
payments and, if the Final Underlier Value is less than the Buffer Value, be willing to lose up to 85.00% of their principal 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 |
| Issue Date: |
July 31, 2024 |
| Final Valuation Date:† |
July 26, 2027 |
| Maturity Date:† |
July 29, 2027 |
| Reference Asset:* |
The Nasdaq-100 Index® (Bloomberg ticker symbol “NDX<Index>”) (the “Underlier”) |
| Early Redemption at the Option of the Issuer: |
The Notes will not be redeemable by us for approximately the first year after the Issue Date. Beginning with the Interest Payment Date following the twelfth Observation Date, we may redeem the Notes (in whole but not in part) at our sole discretion without your consent on any Interest Payment Date (other than the final Interest Payment Date) for a cash payment per $1,000 principal amount Note equal to $1,000 plus any Interest Payment Amount otherwise due, provided that we give at least five business days’ prior written notice to the trustee. No further amounts will be payable on the Notes after they have been redeemed. |
| Interest Payment Amount: |
For each Accrual Period, the Interest Payment Amount per $1,000
principal amount Note will be calculated as follows:
$1,000 × Contingent Interest Rate ×
Accrual Factor
If, on any scheduled trading day in an Accrual Period, the Closing
Value of the Underlier is less than the Coupon Barrier Value, interest will not accrue for that day. The Notes may pay a below-market
rate or no interest at all for an extended period of time, or even throughout the entire term of the Notes.
|
| Contingent Interest Rate: |
0.5625% (based on a rate of 6.75% per annum or 0.5625% per month, rounded to four decimal places, if applicable) |
| Accrual Factor: |
With respect to each Accrual Period, the number of scheduled trading days in that Accrual Period on which the Closing Value of the Underlier is greater than or equal to the Coupon Barrier Value divided by the total number of scheduled trading days in that Accrual Period. If a market disruption event occurs on any scheduled trading day during an Accrual Period, solely for purposes of determining the Accrual Factor for that Accrual Period, the Closing Value on that day will equal the Closing Value on the immediately preceding scheduled trading day on which no market disruption event occurred. |
| Payment at Maturity: |
If we do not redeem the Notes early, 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 or equal to the Buffer Value, you will receive a payment of $1,000 per $1,000
principal amount Note plus any Interest Payment Amount otherwise due
§
If
the Final Underlier Value is less than the Buffer Value, you will receive an amount per $1,000 principal amount Note calculated
as follows:
$1,000 + [$1,000 × (Underlier Return
+ Buffer Percentage)] plus any Interest Payment Amount otherwise due
If we do not redeem the Notes early and the Final Underlier Value
is less than the Buffer Value, your Notes will be exposed to the decline of the Underlier in excess of the Buffer Percentage and you will
lose up to 85.00% of your principal at maturity. Any payment on the Notes, including any repayment of principal, is not guaranteed by
any third party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power
(as described on page PS-4 of this pricing supplement) by the relevant U.K. resolution authority. See “Selected Risk Considerations”
and “Consent to U.K. Bail-in Power” in this pricing supplement and “Risk Factors” in the accompanying prospectus
supplement.
|
| Consent to U.K. Bail-in Power: |
Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-4 of this pricing supplement. |
| Buffer Percentage: |
15.00% |
| Coupon Barrier Value: |
16,170.11, which is 85.00% of the Initial Underlier Value (rounded to two decimal places) |
| Buffer Value: |
16,170.11, which is 85.00% of the Initial Underlier Value (rounded to two decimal places) |
| Initial Underlier Value: |
19,023.66, 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 |
(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% |
2.50% |
97.50% |
| Total |
$549,000 |
$549,000 |
$13,725 |
$535,275 |
| (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 $975.00
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 $959.20 per $1,000 principal
amount Note. The estimated value is less than the initial issue price of the Notes. See “Additional Information Regarding Our Estimated
Value of the Notes” on page PS-5 of this pricing supplement. |
| (3) | Barclays Capital Inc. will receive commissions from the Issuer of $25.00 per $1,000 principal amount Note. Barclays Capital Inc. will
use these commissions to pay selling concessions or fees (including custodial or clearing fees) to other dealers. |
Investing in the Notes involves a number of risks.
See “Risk Factors” beginning on page S-9 of the prospectus supplement and “Selected Risk
Considerations” beginning on page PS-10 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)
| Accrual Period: |
The period from, but excluding, a scheduled Observation Date (or, in the case of the first Accrual Period, the Initial Valuation Date), to, and including, the following scheduled Observation Date. For the avoidance of doubt, if the Final Valuation Date is postponed, the final day of the final Accrual Period will be the originally scheduled Final Valuation Date. |
| Underlier Return: |
An amount calculated as follows:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value |
| Observation Dates: |
August 26, 2024, September 26, 2024, October 28, 2024, November 26, 2024, December 26, 2024, January 27, 2025, February 26, 2025, March 26, 2025, April 28, 2025, May 27, 2025, June 26, 2025, July 28, 2025, August 26, 2025, September 26, 2025, October 27, 2025, November 26, 2025, December 26, 2025, January 26, 2026, February 26, 2026, March 26, 2026, April 27, 2026, May 26, 2026, June 26, 2026, July 27, 2026, August 26, 2026, September 28, 2026, October 26, 2026, November 27, 2026, December 28, 2026, January 26, 2027, February 26, 2027, March 29, 2027, April 26, 2027, May 26, 2027, June 28, 2027 and the Final Valuation Date |
| Interest Payment Dates:† |
September 3, 2024, October 3, 2024, November 4, 2024, December 4, 2024, January 3, 2025, February 3, 2025, March 5, 2025, April 2, 2025, May 5, 2025, June 3, 2025, July 3, 2025, August 4, 2025, September 3, 2025, October 3, 2025, November 3, 2025, December 4, 2025, January 5, 2026, February 2, 2026, March 5, 2026, April 2, 2026, May 4, 2026, June 2, 2026, July 3, 2026, August 3, 2026, September 2, 2026, October 5, 2026, November 2, 2026, December 4, 2026, January 5, 2027, February 2, 2027, March 5, 2027, April 5, 2027, May 3, 2027, June 3, 2027, July 6, 2027 and the Maturity Date |
| Closing Value:* |
Closing Value has the meaning assigned to “closing level” set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP / ISIN: |
06745UFL9 / US06745UFL98 |
| * | 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, will calculate the value to be used as the Closing Value of the Underlier. In
addition, the Calculation Agent will 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 “Reference Assets—Indices—Adjustments Relating to Securities
with an Index as a Reference Asset” in the accompanying prospectus supplement. |
| † | The Final Valuation Date may be postponed if the Final Valuation Date is not a scheduled trading day or if a market disruption event
occurs on the Final Valuation Date as described under “Reference Assets—Indices—Market Disruption Events for Securities
with an Index of Equity Securities as a Reference Asset” in the accompanying prospectus supplement. In addition, an Interest Payment
Date and/or the Maturity Date will be postponed if that day is not a business day or, in the case of the Maturity Date, if the Final Valuation
Date is postponed as described under “Terms of the Notes—Payment Dates” in the accompanying prospectus supplement. |
ADDITIONAL DOCUMENTS RELATED TO THE OFFERING OF THE NOTES
You should read this pricing supplement together with the prospectus
dated May 23, 2022, as supplemented by the prospectus supplement dated June 27, 2022 relating to our Global Medium-Term Notes, Series
A, of which these Notes are a part, and the underlying supplement dated June 27, 2022. This pricing supplement, together with the documents
listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk
Factors” in the prospectus supplement and “Selected Risk Considerations” in this pricing supplement, as the Notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as
follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated May 23, 2022: |
http://www.sec.gov/Archives/edgar/data/312070/000119312522157585/d337542df3asr.htm
| · | Prospectus Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011301/dp169388_424b2-prosupp.htm
| · | Underlying Supplement dated June 27, 2022: |
http://www.sec.gov/Archives/edgar/data/0000312070/000095010322011304/dp169384_424b2-underl.htm
Our SEC file number is 1–10257.
As used in this pricing supplement, “we,” “us” and “our” refer to Barclays Bank PLC.
consent to u.k.
bail-in power
Notwithstanding
and to the exclusion of any other term of the Notes or any other agreements, arrangements or understandings between us and any holder
or beneficial owner of the Notes (or the trustee on behalf of the holders of the Notes), by acquiring the Notes, each holder and beneficial
owner of the Notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under
the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which
the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank
or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K.
banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant
EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The
U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction
or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other securities
or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the
Notes such shares, securities or obligations); (iii) the cancellation of the Notes and/or (iv) the amendment or alteration of the maturity
of the Notes, or amendment of the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other
amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of
a variation of the terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in
Power. Each holder and beneficial owner of the Notes further acknowledges and agrees that the rights of the holders or beneficial owners
of the Notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the
relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders
or beneficial owners of the Notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution
authority in breach of laws applicable in England.
For
more information, please see “Selected Risk Considerations—Risks Relating to the Issuer—You May Lose Some or All of
Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this pricing supplement as
well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution
authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk
Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise
of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such
as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the Initial Valuation Date is based on our internal funding
rates. Our estimated value of the Notes might be lower if such valuation were based on the levels at which our benchmark debt securities
trade in the secondary market.
Our estimated value of the Notes on the Initial Valuation Date is less
than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value of the
Notes results from several factors, including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost that we may incur in hedging our
obligations under the Notes, and estimated development and other costs that we may incur in connection with the Notes.
Our estimated value on the Initial Valuation Date is not a prediction
of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or
sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays Capital Inc. or another affiliate of
ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Initial
Valuation Date, the price at which Barclays Capital Inc. may initially buy or sell the Notes in the secondary market, if any, and the
value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our
estimated value on the Initial Valuation Date for a temporary period expected to be approximately six months after the Issue Date because,
in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under
the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the Notes. We made such
discretionary election and determined this temporary reimbursement period on the basis of a number of factors, which may include the tenor
of the Notes and/or any agreement we may have with the distributors of the Notes. The amount of our estimated costs that we effectively
reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the initial Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations”
beginning on page PS-10 of this pricing supplement.
Selected Purchase Considerations
The Notes are not appropriate for
all investors. The Notes may be an appropriate investment for you if all of the following statements are true:
| · | You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income. |
| · | You understand and accept that 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 Interest Payment Amounts, if any, paid on the Notes. |
| · | You can tolerate a loss of up to 85.00% of your principal amount, and you are willing and able to make an investment that may have
downside market risk similar to that of an investment in the Underlier. |
| · | You anticipate that the Closing Value of the Underlier will remain at or above the Coupon Barrier Value throughout the term of the
Notes. |
| · | You understand and accept that (a) the amount of interest that you receive with respect to any Accrual Period will depend on the number
of days in the Accrual Period on which the Closing Value of the Underlier is greater than or equal to the Coupon Barrier Value, (b) the
interest payable with respect to any Accrual Period may be as low as zero and (c) you may receive few or no Interest Payment Amounts over
the term of the Notes. |
| · | You understand and are willing and able to accept the risks associated with an investment linked to the performance of the Underlier. |
| · | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Underlier, nor will you have any voting rights with respect to the securities composing the Underlier. |
| · | You are willing and able to accept the risk that we may, in our sole discretion, redeem the Notes early and that you may not be able
to reinvest your money in an alternative investment with comparable risk and yield. |
| · | You can tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value of
the Underlier. |
| · | 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 we do not exercise our early redemption option. |
| · | You are willing and able to assume our credit risk for all payments on the Notes. |
| · | You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority. |
The Notes may not be an appropriate
investment for you if any of the following statements are true:
| · | You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current income. |
| · | You seek an investment that participates in the full appreciation of the Underlier rather than an investment with a return that is
limited to the Interest Payment Amounts, if any, paid on the Notes. |
| · | You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to accept
the risk that you may lose up to 85.00% of the principal amount of your Notes in the event that the Final Underlier Value falls below
the Buffer Value. |
| · | You do not anticipate that the Closing Value of the Underlier will remain at or above the Coupon Barrier Value throughout the term
of the Notes. |
| · | You are unwilling or unable to accept that (a) the amount of interest that you receive with respect to any Accrual Period will depend
on the number of days in the Accrual Period on which the Closing Value of the Underlier is greater than or equal to the Coupon Barrier
Value, (b) the interest payable with respect to any Accrual Period may be as low as zero and (c) you may receive few or no Interest Payment
Amounts over the term of the Notes. |
| · | You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance of
the Underlier. |
| · | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Underlier. |
| · | You are unwilling or unable to accept the risk that we may, in our sole discretion, redeem the Notes early. |
| · | You cannot tolerate fluctuations in the price of the Notes that may be similar to or exceed the downside fluctuations in the value
of the Underlier. |
| · | 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 we do not exercise our early redemption option. |
| · | 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 ON A SINGLE interest PAYMENT DATE
The following examples demonstrate how the Interest Payment Amount
would be calculated for a given Accrual Period under different Accrual Factor scenarios. The examples set forth below are purely hypothetical
and are provided for illustrative purposes only. The numbers appearing in the following examples have been rounded for ease of analysis.
The hypothetical examples below do not take into account any tax consequences from investing in the Notes and make the following key assumption:
| § | Hypothetical Number of Scheduled Trading Days in Accrual Period: 21 |
| Number of Scheduled Trading Days in an Accrual Period on which the Closing Value of the Underlier is greater than or equal to the Coupon Barrier Value |
Accrual
Factor
|
Interest Payment Amount
(per $1,000 principal amount Note)
|
| 21 |
100.0000% |
$5.625 |
| 14 |
66.6667% |
$3.750 |
| 7 |
33.3333% |
$1.875 |
| 0 |
0.0000% |
$0.000 |
Example 1: The Closing Value of the Underlier is greater than or
equal to the Coupon Barrier Value on every scheduled trading day during the Accrual Period.
In this case, the Accrual Factor is 100.0000% (21 / 21) and the interest
rate for the Accrual Period is equal to the Contingent Interest Rate, the maximum interest rate for any Accrual Period. Accordingly, you
will receive an Interest Payment Amount of $5.625 per $1,000 principal amount Note that you hold on the related Interest Payment Date,
calculated as follows:
$1,000 × Contingent Interest Rate ×
Accrual Factor
$1,000 × 0.5625% × 100.0000% = $5.625
Example 2: The Closing Value of the Underlier is greater than or
equal to the Coupon Barrier Value on seven scheduled trading days during the Accrual Period.
In this case, the Accrual Factor is 33.3333% (7 / 21) and the interest
rate for the Accrual Period is equal to 33.3333% of the Contingent Interest Rate, or 0.1875%. Accordingly, you will receive an Interest
Payment Amount of $1.875 per $1,000 principal amount Note that you hold on the related Interest Payment Date, calculated as follows:
$1,000 × Contingent Interest Rate ×
Accrual Factor
$1,000 × 0.5625% × 33.3333% = $1.875
Example 3: The Closing Value of the Underlier is less than the Coupon
Barrier Value on every scheduled trading day during the Accrual Period.
In this case, the Accrual Factor is 0.0000% (0 / 21) and the interest
rate for the Accrual Period equal to zero. Accordingly, no interest would accrue on any scheduled trading day during the Accrual Period,
and you would not receive any Interest Payment Amount on the related Interest Payment Date.
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: 100.000* |
| § | Hypothetical Coupon Barrier Value: 85.00 (85.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | Hypothetical Buffer Value: 85.00 (85.00% of the hypothetical Initial Underlier Value set forth above)* |
| § | You hold the Notes to maturity, and we do NOT exercise our option to redeem the Notes early. |
| * | The hypothetical Initial Underlier Value of 100.000,
the hypothetical Coupon Barrier Value of 85.00 and the hypothetical Buffer
Value of 85.00 have been chosen for illustrative purposes only and do not represent the actual Initial Underlier Value, Coupon Barrier
Value or Buffer Value. The actual Initial Underlier Value, Coupon Barrier Value and Buffer Value are 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.
| Final Underlier Value |
Underlier Return |
Payment at Maturity** |
| 150.000 |
50.00% |
$1,000.00 |
| 140.000 |
40.00% |
$1,000.00 |
| 130.000 |
30.00% |
$1,000.00 |
| 120.000 |
20.00% |
$1,000.00 |
| 110.000 |
10.00% |
$1,000.00 |
| 100.000 |
0.00% |
$1,000.00 |
| 90.000 |
-10.00% |
$1,000.00 |
| 85.000 |
-15.00% |
$1,000.00 |
| 80.000 |
-20.00% |
$950.00 |
| 70.000 |
-30.00% |
$850.00 |
| 60.000 |
-40.00% |
$750.00 |
| 50.000 |
-50.00% |
$650.00 |
| 40.000 |
-60.00% |
$550.00 |
| 30.000 |
-70.00% |
$450.00 |
| 20.000 |
-80.00% |
$350.00 |
| 10.000 |
-90.00% |
$250.00 |
| 0.000 |
-100.00% |
$150.00 |
| ** | per $1,000 principal amount Note, excluding the final Interest Payment Amount that may be payable
on the Maturity Date |
The following examples illustrate how the payments at maturity set
forth in the table above are calculated:
Example 1: The value of the Underlier increases from an Initial
Underlier Value of 100.000 to a Final Underlier Value of 130.000.
Because the Final Underlier Value is greater than or equal to the Buffer
Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus any Interest Payment
Amount otherwise due).
Example 1 demonstrates that you will not participate in any appreciation
in the value of the Underlier. Even though the Underlier appreciated significantly, the payment at maturity is limited to $1,000 per $1,000
principal amount Note that you hold (plus any Interest Payment Amount otherwise due).
Example 2: The value of the Underlier decreases from an Initial
Underlier Value of 100.000 to a Final Underlier Value of 90.000.
Because the Final Underlier Value is greater than or equal to the Buffer
Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold (plus any Interest Payment
Amount otherwise due).
Example 3: The value of the Underlier decreases from an Initial
Underlier Value of 100.000 to a Final Underlier Value of 40.000.
Because the Final Underlier Value is less than the Buffer Value, you
will receive a payment at maturity of $550.00 per $1,000 principal amount Note that you hold (plus any Interest Payment Amount
otherwise due), calculated as follows:
$1,000 + [$1,000 × (Underlier Return + Buffer
Percentage)]
$1,000 + [$1,000 × (-60.00% + 15.00%)] =
$550.00
Example 3 demonstrates that, if we do not redeem the Notes early, and
if the Final Underlier Value is less than the Buffer Value, your investment in the Notes will be exposed to the decline of the Underlier
in excess of the Buffer Percentage.
If we do not redeem the Notes early, you may lose
up to 85.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of principal, is subject
to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks.
Investing in the Notes is not equivalent to investing directly in the Underlier or its components. Some of the risks that apply to an
investment in the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to the Notes generally
in the “Risk Factors” section of the prospectus supplement. You should not purchase the Notes unless you understand and can
bear the risks of investing in the Notes.
Risks Relating to the Notes Generally
| · | Your Investment in the Notes May Result in a Significant Loss—The Notes differ from ordinary debt securities in that
the Issuer will not necessarily repay the full principal amount of the Notes at maturity. If the Notes are not redeemed early by us, and
if the Final Underlier Value is less than the Buffer Value, your Notes will be exposed to the decline of the Underlier in excess of the
Buffer Percentage. You may lose up to 85.00% of the principal amount of your Notes. |
| · | Interest Payment Amounts Are Subject to the Performance of the Underlier—Interest will accrue only on scheduled trading
days during an Accrual Period on which the Closing Value of the Underlier equals or exceeds the Coupon Barrier Value. If the Closing Value
of the Underlier falls below the Coupon Barrier Value on one or more scheduled trading days during an Accrual Period, the effective interest
rate applicable to that Accrual Period will be reduced from the Contingent Interest Rate in proportion to the number of scheduled trading
days during that Accrual Period on which the Closing Value is less than the Coupon Barrier Value. The Closing Value of the Underlier may
be less than the Coupon Barrier Value for the entirety of an Accrual Period, in which case the Interest Payment Amount for that Accrual
Period will be zero. If the Closing Value of the Underlier is less than the Coupon Barrier Value over each Accrual Period, you will not
receive any Interest Payment Amounts during the term of the Notes. |
| · | Your Potential Return on the Notes Is Limited to the Interest Payment Amounts, If Any, and You Will Not Participate in Any Appreciation
of the Underlier—The potential positive return on the Notes is limited to the Interest Payment Amounts, if any, that may be
payable during the term of the Notes. You will not participate in any appreciation in the value of the Underlier, which may be significant,
even though you will be exposed to the depreciation in the value of the Underlier if the Notes are not redeemed early by us and the Final
Underlier Value is less than the Buffer Value. |
| · | Issuer Redemption and Reinvestment Risk— Beginning with the Interest Payment Date following the twelfth Observation Date,
we may redeem your Notes (in whole but not in part) at our sole discretion without your consent on any Interest Payment Date (other than
the final Interest Payment Date), regardless of the Closing Value of the Underlier on any day on or prior to that Interest Payment Date
and without taking your interests into account. If we elect to redeem the Notes early, the holding period over which you may receive Interest
Payment Amounts could be as short as approximately one year. |
The payment upon early redemption, together
with any Interest Payment Amounts that you may have received on prior Interest Payment Dates, may be less than the aggregate amount of
payments that you would have received had we not redeemed the Notes early. 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 redeemed at
our election prior to the Maturity Date. No additional payments will be due after early redemption. Our right to redeem the Notes may
also adversely impact your ability to sell your Notes and the price at which they may be sold.
It is more likely that we will redeem
the Notes at our sole discretion prior to maturity to the extent that the expected interest payable on the Notes is greater than the interest
that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. We are
less likely to redeem the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would
be payable on other comparable instruments issued by us, which includes when the level of the Underlier is less than the Buffer Value.
Therefore, the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than what would be
payable on other comparable instruments and when your risk of not receiving an Interest Payment Amount or of receiving a reduced Interest
Payment Amount is relatively higher.
| · | 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. |
| · | Contingent Repayment of the Principal Amount Applies Only at Maturity or upon Any Earlier Redemption—You should be willing
to hold your Notes to maturity or any earlier 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. |
| · | The Notes Are Subject to Volatility Risk—Volatility is a measure of the degree of variation in the price of an asset
(or level of an index) over a period of time. The Contingent Interest Rate is determined based on a number of factors, including the expected
volatility of the Underlier. The Contingent Interest Rate is higher than the fixed rate that we would pay on a conventional debt security
of the same tenor and is higher than it otherwise would be if the level of expected volatility of the Underlier taken into account in
determining the terms of the Notes were lower. As volatility of the Underlier increases, there will typically be a greater likelihood
that (a) the Closing Value of the Underlier on one or more days during an Accrual Period will be less than the Coupon Barrier Value and
(b) the Final Underlier Value will be less than the Buffer Value. |
Accordingly, you should understand that
a higher Contingent Interest Rate reflects, among other things, an indication of a greater likelihood that you will (a) not receive an
Interest Payment Amount or that you will receive a reduced Interest Payment Amount on one or more Interest Payment Dates and/or (b) incur
a loss of principal at maturity than would have been the case had the Contingent Interest Rate been lower. In addition, actual volatility
over the term of the Notes may be significantly higher than expected volatility at the time the terms of the Notes were determined. If
actual volatility is higher than expected, you will face an even greater risk that you will not receive Interest Payment Amounts or will
receive reduced Interest Payment Amounts and/or that you will lose some or all of your principal at maturity for the reasons described
above.
| · | Owning the Notes Is Not the Same as Owning the Securities Composing the Underlier—The return on the Notes may not reflect
the return you would realize if you actually owned the securities composing the Underlier. As a holder of the Notes, you will not have
voting rights or rights to receive dividends or other distributions or other rights that holders of the securities composing the Underlier
would have. |
| · | Tax Treatment—Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor
about your tax situation. See “Tax Considerations” below. |
Risks Relating to the Issuer
| · | Credit of Issuer—The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of
principal, is subject to the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes, and in the
event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
| · | You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K.
Resolution Authority—Notwithstanding and to the exclusion of any other term of the Notes or any other agreements, arrangements
or understandings between Barclays Bank PLC and any holder or beneficial owner of the Notes (or the trustee on behalf of the holders of
the Notes), by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges, accepts, agrees to be bound by, and consents
to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set forth under “Consent to U.K. Bail-in
Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be exercised in such a manner as to result in you and
other holders and beneficial owners of the Notes losing all or a part of the value of your investment in the Notes or receiving a different
security from the Notes, which may be worth significantly less than the Notes and which may have significantly fewer protections than
those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without
providing any advance notice to, or requiring the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K.
Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default or an Event of Default (as each
term is defined in the senior debt securities indenture) and the trustee will not be liable for any action that the trustee takes, or
abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority
with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,”
“Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in
the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution
powers, could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities
Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant
U.K. resolution authority” in the accompanying prospectus supplement. |
Risks Relating to the Underlier
| · | The Underlier Reflects the Price Return of the Securities Composing the Underlier,
Not the Total Return—The return on the Notes is based on the performance of the Underlier, which reflects changes in the market
prices of the securities composing the Underlier. The Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing the Underlier. Accordingly, the return on the Notes
will not include such a total return feature. |
| · | Adjustments to the Underlier Could Adversely Affect the Value of the Notes—The
sponsor of the Underlier may add, delete, substitute or adjust the securities composing the Underlier or make other methodological changes
to the Underlier that could affect its performance. The Calculation Agent will calculate the value to be used as the Closing Value of
the Underlier in the event of certain material changes in or modifications to the Underlier. In addition, the sponsor of the Underlier
may also discontinue or suspend calculation or publication of the Underlier at any time. Under these circumstances,
the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the Underlier or, if no successor
index is available, the Calculation Agent will determine the value to be used as the Closing Value of the Underlier. Any of these actions
could adversely affect the value of the Underlier and, consequently, the value of the Notes. See “Reference Assets—Indices—Adjustments
Relating to Securities with an Index as a Reference Asset” in the accompanying prospectus supplement. |
| · | There Are Risks Associated with Investments in Securities Linked to the Value of Non-U.S. Equity Securities—Some of the
equity securities composing the Underlier are issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities, such as the Notes, involve risks associated with the home countries of the issuers of those non-U.S. |
equity securities. The prices of securities
in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws.
| · | Historical Performance of the Underlier Should Not Be Taken as Any Indication of the Future Performance of the Underlier Over the
Term of the Notes—The value of the Underlier has fluctuated in the past and may, in the future, experience significant fluctuations.
The historical performance of the Underlier is not an indication of the future performance of the Underlier over the term of the Notes.
Therefore, the performance of the Underlier over the term of the Notes may bear no relation or resemblance to the historical performance
of the Underlier. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect the Notes in Various
Ways and Create Conflicts of Interest—We and our affiliates play a variety of roles in connection with the issuance of the Notes,
as described below. In performing these roles, our and our affiliates’ economic interests are potentially adverse to your interests
as an investor in the Notes. |
In connection with our normal business
activities and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other financial
services with respect to these financial instruments and products. These financial instruments and products may include securities, derivative
instruments or assets that may relate to the Underlier or its 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.
Risks Relating to the Estimated Value of the Notes and the Secondary
Market
| · | Lack of Liquidity—The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary
market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the development
of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able
to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC
are willing to buy the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | Many Economic and Market Factors Will Impact the Value of the Notes—The value of the Notes will be affected by a number
of economic and market factors that interact in complex and unpredictable ways and that may either offset or magnify each other, including: |
| o | the values and expected volatility of the Underlier and the components of the Underlier; |
| o | the time to maturity of the Notes; |
| o | dividend rates on the components of the Underlier; |
| o | interest and yield rates in the market generally; |
| o | a variety of economic, financial, political, regulatory or judicial events; |
| o | supply and demand for the Notes; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes—The estimated value of your Notes
on the Initial Valuation Date is lower than the initial issue price of your Notes. The difference between the initial issue price of your
Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to Barclays |
Capital Inc. or another affiliate of ours,
any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that
we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging
our obligations under the Notes, and estimated development and other costs which we may incur in connection with the Notes.
| · | The Estimated Value of Your Notes Might Be Lower If Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market—The estimated value of your Notes on the Initial Valuation Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade
in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated value were
based on the levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions—The estimated value of your Notes on the Initial Valuation Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which
may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing
models may be different from other financial institutions’ pricing models and the methodologies used by us to estimate the value
of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary
market. As a result, the secondary market price of your Notes may be materially different from the estimated value of the Notes determined
by reference to our internal pricing models. |
| · | The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, If
Any, and Such Secondary Market Prices, If Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower Than the
Estimated Value of Your Notes—The estimated value of the Notes will not be a prediction of the prices at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they
are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your Notes in the secondary market
at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar
sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take
into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs
related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market
prices of your Notes will likely be lower than the initial issue price of your Notes. As a result, the price at which Barclays Capital
Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any,
will likely be lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss
to you. |
| · | The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for Customer
Account Statements, If We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your
Notes—Assuming that all relevant factors remain constant after the Initial Valuation Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not
obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements
at all, may exceed our estimated value of the Notes on the Initial Valuation Date, as well as the secondary market value of the Notes,
for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially buy or sell the
Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future
prices of your Notes. |
Information Regarding
the UNDERLIER
The Underlier is a modified market capitalization-weighted index that
is designed to measure the performance of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For more information
about the Underlier, see “Indices—The Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Performance of the Underlier
The graph below sets forth the historical performance of the Underlier
based on the daily Closing Values from January 2, 2019 through July 26, 2024. We obtained the Closing Values shown in the graph below
from Bloomberg Professional® service (“Bloomberg”). We have not independently verified the accuracy or completeness
of the information obtained from Bloomberg.
Historical Performance of the Nasdaq-100 Index®
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS
Tax Considerations
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts with Associated Contingent Coupons” and, if you are a non-U.S. holder, “—Tax
Consequences to Non-U.S. Holders.” The following discussion supersedes the discussion in the accompanying prospectus supplement
to the extent it is inconsistent therewith.
In determining our reporting responsibilities, if any, we intend to
treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any
Interest Payment Amounts as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Contingent Coupons”
in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has advised that it believes this treatment
to be reasonable, but that there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt.
Sale, exchange or redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including upon early redemption or redemption at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,
which should equal the amount you paid to acquire the Notes (assuming Interest Payment Amounts are properly treated as ordinary income,
consistent with the position referred to above). This gain or loss should be long-term capital gain or loss if you hold the Notes for
more than one year, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is
subject to limitations. If you sell your Notes between the time you accrue any portion of a Interest Payment Amount and the time it is
paid, it is likely that you will be treated as receiving ordinary income equal to the accrued portion of the Interest Payment Amount.
Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes that can be attributed to expected but
not yet accrued portions of a Interest Payment Amount could be treated as ordinary income. You should consult your tax advisor regarding
this issue.
As noted above, there are other reasonable treatments that the IRS
or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the
Notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an
investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility as a withholding
agent, we do not currently intend to treat Interest Payment Amounts to non-U.S. holders (as defined in the accompanying prospectus supplement)
as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8
or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information
Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required
to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on our determination that the 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) |
549 |
$1,000 |
$549,000 |
0.0001476 |
$81.03 |
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering.
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