|
The information
in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying prospectus,
prospectus supplement and underlying supplement do not constitute an offer to sell the Notes and we are not soliciting an offer to buy
the Notes in any state where the offer or sale is not permitted.
Subject
to Completion. Dated August 29, 2024 |
|
Pricing Supplement dated September , 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 |
|
|
$
Buffered
Digital Notes Due March 30, 2026
Linked to the S&P 500® Index
Global
Medium-Term Notes, Series A
|
General
| · | Unlike ordinary debt securities, the Notes do not pay interest and do not guarantee the return of the full principal amount at maturity.
Instead, as described below, the Notes offer a fixed return if, from the Initial Underlier Value to the Final Underlier Value, the Underlier
appreciates, remains flat or does not decline below the Buffer 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 some or all of their investment at maturity. |
| · | Unsecured and unsubordinated obligations of Barclays Bank PLC |
| · | Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof |
| · | The Notes are expected to price on or about September 25, 2024 (the “Pricing Date”) and are expected to issue on or about
September 30, 2024 (the “Issue Date”). |
| Key Terms |
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 |
| Reference Asset*: |
The S&P 500® Index (Bloomberg ticker symbol “SPX<Index>”) (the “Underlier”) |
| Payment at Maturity: |
If the Final Underlier Value is greater than or equal to the Buffer
Value, you will receive a fixed cash payment on the Maturity Date per $1,000 principal amount Note that will provide a return equal
to the Digital Return, calculated as follows:
$1,000 + ($1,000 × Digital Return)
If the Final Underlier Value is greater than or equal to the
Buffer Value, you will receive the maximum payment at maturity of at least $1,095.50 per $1,000 principal amount of Notes (to be determined
on the pricing date) regardless of any appreciation of the Underlier, which may be significant, and your return on the Notes will be less
than the Underlier Return if the Underlier Return is greater than the Digital Return.
If the Final Underlier Value is less than the Buffer Value,
you will lose 1.17647% of the principal amount of your Notes for every 1% that the Final Underlier Value is less than the Buffer Value.
Under these circumstances, you will receive a cash payment on the Maturity Date per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × (Underlier Return
+ Buffer Percentage) × Downside Leverage Factor]
If the Final Underlier Value is less than the Buffer Value, the
Notes will be exposed on a leveraged basis to the decline in the value of the Underlier below the Buffer Value and you will lose some
or all of your investment at maturity. Any payment on the Notes, including any repayment of principal, is not guaranteed by any third
party and is subject to (a) the creditworthiness of Barclays Bank PLC and (b) the risk of exercise of any U.K. Bail-in Power (as described
on page PS-3 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.
|
| U.K. Bail-in Power Acknowledgment: |
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-3 of this pricing supplement. |
| Digital Return: |
At least 9.55%. Accordingly, assuming a Digital Return of 9.55%, if the Final Underlier Value is greater than or equal to the Buffer Value, you will receive the Digital Return of 9.55%, which entitles you to the maximum payment at maturity of $1,095.50 per $1,000 principal amount Note. The actual Digital Return at maturity will be determined on the Pricing Date. |
| Underlier Return: |
Final Underlier Value – Initial Underlier Value
Initial Underlier Value |
| Buffer Value: |
, which is 85.00% of the Initial Underlier Value (rounded to two decimal places) |
| Buffer Percentage: |
15% |
| Downside Leverage Factor: |
1.17647 |
| Initial Underlier Value: |
, which is the Closing Level of the Underlier on the Pricing Date |
| Final Underlier Value: |
The Closing Level of the Underlier on the Final Valuation Date |
| Closing Level*: |
Closing Level has the meaning set forth under “Reference Assets—Indices—Special Calculation Provisions” in the prospectus supplement. |
| Final Valuation Date†: |
March 25, 2026 |
| Maturity Date†: |
March 30, 2026 |
| Calculation Agent: |
Barclays Bank PLC |
| CUSIP/ISIN: |
06745UVE7 / US06745UVE71 |
| * | 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 Level of the Underlier. In addition, the Calculation Agent will calculate the value to be used as the Closing Level 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, the Maturity Date
will be postponed if that day is not a business day or if the Final Valuation Date is postponed as described under “Terms of the
Notes—Payment Dates” in the accompanying prospectus supplement. |
| |
Initial
Issue Price1,2 |
Price
to Public |
Agent’s
Commission2 |
Proceeds
to Barclays Bank PLC |
| Per Note |
$1,000 |
100% |
1.25% |
98.75% |
| Total |
$● |
$● |
$● |
$● |
| 1 | Our estimated value of the Notes on the Pricing Date, based on our internal pricing models, is expected to be between $961.20 and
$981.20 per $1,000 principal amount Note. The estimated value is expected to be less than the initial issue price of the Notes. See “Additional
Information Regarding Our Estimated Value of the Notes” on page PS-12 of this pricing supplement. |
| 2 | J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the Notes. The placement agents will
forgo fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales to accounts
other than such fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates that will not exceed
$12.50 per $1,000 principal amount Note. |
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-7 of this pricing supplement.
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.
 |
JPMorgan
Placement Agent |
Additional Terms Specific to 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, 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):
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.
What Is the Total Return on the Notes at Maturity, Assuming a
Range of Performances for the Underlier?
The following table and examples illustrate the hypothetical payment
at maturity and the hypothetical total return on the Notes. The “total return” as used in this pricing supplement is the number,
expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Note to $1,000. The table and
examples set forth below assume a hypothetical Initial Underlier Value of 100.00, a hypothetical Digital Return of 9.55%, a hypothetical
Buffer Value of 85.00 (85.00% of the hypothetical Initial Underlier Value) and the Final Underlier Values set forth below. The actual
Initial Underlier Value, Digital Return and Buffer Value will be determined on the Pricing Date, and the actual Final Underlier Value
will be the Closing Level of the Underlier on the Final Valuation Date. The hypothetical Initial Underlier Value of 100.00 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Underlier Value. For historical Closing Levels of the Underlier,
see the historical information set forth under the section titled “The S&P 500® Index” below. Each hypothetical
payment at maturity or total return set forth below is for illustrative purposes only and may not be the actual payment at maturity or
total return applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease
of analysis. The table and examples below do not take into account any tax consequences from investing in the Notes.
| Final Underlier Value |
Underlier Return |
Payment at Maturity |
Total Return on Notes |
| 200.00 |
100.00% |
$1,095.50 |
9.550% |
| 190.00 |
90.00% |
$1,095.50 |
9.550% |
| 180.00 |
80.00% |
$1,095.50 |
9.550% |
| 170.00 |
70.00% |
$1,095.50 |
9.550% |
| 160.00 |
60.00% |
$1,095.50 |
9.550% |
| 150.00 |
50.00% |
$1,095.50 |
9.550% |
| 140.00 |
40.00% |
$1,095.50 |
9.550% |
| 130.00 |
30.00% |
$1,095.50 |
9.550% |
| 120.00 |
20.00% |
$1,095.50 |
9.550% |
| 115.00 |
15.00% |
$1,095.50 |
9.550% |
| 110.00 |
10.00% |
$1,095.50 |
9.550% |
| 109.55 |
9.55% |
$1,095.50 |
9.550% |
| 105.00 |
5.00% |
$1,095.50 |
9.550% |
| 100.00 |
0.00% |
$1,095.50 |
9.550% |
| 95.00 |
-5.00% |
$1,095.50 |
9.550% |
| 90.00 |
-10.00% |
$1,095.50 |
9.550% |
| 85.00 |
-15.00% |
$1,095.50 |
9.550% |
| 84.99 |
-15.01% |
$999.88 |
-0.012% |
| 80.00 |
-20.00% |
$941.18 |
-5.882% |
| 70.00 |
-30.00% |
$823.53 |
-17.647% |
| 60.00 |
-40.00% |
$705.88 |
-29.412% |
| 50.00 |
-50.00% |
$588.24 |
-41.176% |
| 40.00 |
-60.00% |
$470.59 |
-52.941% |
| 30.00 |
-70.00% |
$352.94 |
-64.706% |
| 20.00 |
-80.00% |
$235.29 |
-76.471% |
| 10.00 |
-90.00% |
$117.65 |
-88.235% |
| 0.00 |
-100.00% |
$0.00 |
-100.000% |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity and total
return in different hypothetical scenarios are calculated.
Example 1: The value of the Underlier increases from the Initial
Underlier Value of 100.00 to a Final Underlier Value of 120.00, resulting in an Underlier Return of 20.00%.
Because the Final Underlier Value is greater than or equal to the Buffer
Value, the investor receives a payment at maturity of $1,095.50 per $1,000 principal amount Note, calculated as follows:
$1,000 + ($1,000 × Digital Return)
$1,000 + ($1,000 × 9.55%) = $1,095.50
Even though the Underlier Return is 20.00%, the total return on the
Notes is limited to the Digital Return of 9.550%.
Example 2: The value of the Underlier decreases from the Initial
Underlier Value of 100.00 to a Final Underlier Value of 90.00, resulting in an Underlier Return of -10.00%.
Because the Final Underlier Value is greater than or equal to the Buffer
Value, the investor receives a payment at maturity of $1,095.50 per $1,000 principal amount Note, calculated as follows:
$1,000 + ($1,000 × Digital Return)
$1,000 + ($1,000 × 9.55%) = $1,095.50
Even though the Underlier Return is -10.00%, because the Final Underlier
Value is greater than or equal to the Buffer Value, the total return on the Notes is equal to the Digital Return of 9.550%.
Example 3: The value of the Underlier decreases from the Initial
Underlier Value of 100.00 to a Final Underlier Value of 50.00, resulting in an Underlier Return of -50.00%.
Because the Final Underlier Value is less than the Buffer Value and
the Underlier Return is -50.00%, the investor receives a payment at maturity of $588.24 per $1,000 principal amount Note, calculated as
follows:
$1,000 + [$1,000 × (Underlier Return + Buffer
Percentage) × Downside Leverage Factor]
$1,000 + [$1,000 × (-50.00% + 15%) ×
1.17647] = $588.24
The total return on the Notes is -41.176%.
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 seek a return equal to the Digital Return if the Final Underlier Value is greater than or equal to the Buffer Value in lieu of
full participation in any appreciation of the Underlier. |
| · | You do not anticipate that the Final Underlier Value will be less than the Buffer Value, and you are willing and able to accept the
risk that, if it is, you will lose some or all of your investment at maturity. |
| · | You understand and accept that any positive return on the Notes will be limited to the Digital Return, and you will not participate
in any percentage increase in the value of the Underlier above the Digital Return, which may be significant. |
| · | You are willing and able to accept the 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 securities
composing the Underlier, nor will you have any voting rights with respect to the securities composing 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. |
| · | 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 provides for the full repayment of principal at maturity. |
| · | You anticipate that the Final Underlier Value will be less than the Buffer Value, or you are unwilling or unable to accept the risk
that, if it is, you will lose some or all of your investment at maturity. |
| · | You seek an investment that provides for participation in any percentage increase in the value of the Underlier above the Digital
Return. |
| · | You are unwilling or unable to accept the 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 securities composing 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. |
| · | 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 forth 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.
Tax Consequences
You should review carefully the sections in the accompanying prospectus
supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as
Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.”
The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes. The following
discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.
Based on current market conditions, in the opinion of our special tax
counsel, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Underlier.
Assuming this treatment is respected, upon a sale or exchange of the Notes (including redemption at maturity), you should recognize capital
gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should
equal the amount you paid to acquire the Notes. This gain or loss on your Notes should be treated as long-term capital gain or loss if
you hold your Notes for more than a year, whether or not you are an initial purchaser of Notes at the original issue price. However, the
Internal Revenue Service (the “IRS”) or a court may not respect this treatment, in which case the timing and character of
any income or loss on the Notes could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the
IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax
advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and
the issues presented by this notice.
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, we expect that
these regulations will not apply to the Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax advisor regarding
the potential application of Section 871(m) to the Notes.
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 any of the securities composing the Underlier. 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 Lose Some or All of Your Principal — The Notes differ from ordinary debt securities in that the Issuer will not
necessarily pay the full principal amount at maturity. If the Final Underlier Value is less than the Buffer Value, you will lose 1.17647%
of the principal amount of your Notes for every 1% that the Final Underlier Value is less than the Buffer Value. Accordingly, if the Final
Underlier Value is less than the Buffer Value, the Notes will be exposed on a leveraged basis to the decline in the value of the Underlier
below the Buffer Value and you will lose some or all of your investment at maturity. |
| · | Your Maximum Gain on the Notes Is Limited to the Digital Return — If the Final Underlier Value is greater than or equal
to the Buffer Value, for each $1,000 principal amount Note, you will receive at maturity $1,000 plus a predetermined percentage
of the principal amount. We refer to this percentage as the Digital Return, which is equal to at least 9.55%. The actual Digital Return
will be determined on the Pricing Date. If the Final Underlier Value is greater than or equal to the Buffer Value, you will receive the
maximum payment at maturity of $1,095.50 per $1,000 principal amount of Notes regardless of any appreciation of the Underlier, which may
be significant, and your return on the Notes will be less than the Underlier Return if the Underlier Return is greater than the Digital
Return. |
| · | No Interest Payments — As a holder of the Notes, you will not receive interest payments. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Level of the Underlier on the Dates Specified — Any
payment on the Notes will be determined based on the Closing Level 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 Principal Applies Only at Maturity — You should be willing to hold your Notes to maturity. If
you sell your Notes prior to maturity in the secondary market, if any, you may have to sell your Notes at a loss relative to your initial
investment even if at that time the value of the Underlier is greater than or equal to the Buffer 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 Securities Composing the Underlier — The return on your Notes may not
reflect the return you would realize if you actually owned the securities composing the Underlier. For instance, as a holder of the Notes,
you will not have voting rights, rights to receive cash dividends or any other distributions or other rights that holders of the securities
composing the Underlier would have. |
| · | The U.S. Federal Income Tax Consequences of an Investment
in the Notes Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment of
the Notes, and we do not plan to request a ruling from the IRS. Consequently, significant aspects of the tax treatment of the Notes are
uncertain, and the IRS or a court might not agree with the treatment of the Notes as prepaid forward contracts, as described above under
“Tax Consequences.” If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences of
the ownership and disposition of the Notes could be materially and adversely affected. |
In addition, in 2007 the Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You
should review carefully the sections of the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts” and, if you are a non-U.S. holder,
“—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor regarding the U.S. federal tax consequences of
an investment in the Notes (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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 might not receive any amount 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 Level 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 Level 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. |
Risks Relating to Conflicts of Interest
| · | We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your 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, investment
banking 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 — In addition to the value of the Underlier on any
day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other,
including: |
| o | the expected volatility of the Underlier; |
| o | the time to maturity of the Notes; |
| o | the dividend rates on the securities composing the Underlier; |
| o | interest and yield rates in the market generally; |
| o | supply and demand for the Notes; |
| o | a variety of economic, financial, political, regulatory and judicial events; and |
| o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | The Estimated Value of Your Notes Is Expected to Be Lower Than the Initial Issue Price of Your Notes — The estimated
value of your Notes on the Pricing Date is expected to be lower, and may be significantly lower, than the initial issue price of your
Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result of certain
factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of
our affiliates expect to earn in connection with structuring the Notes, the estimated cost 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. |
| · | 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 Pricing Date is based on a number of variables, including
our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary
market. As a result of this difference, the estimated values referenced above might be lower if such estimated values were based on the
levels at which our benchmark debt securities trade in the secondary market. |
| · | The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions — The estimated value of your Notes on the Pricing 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 that 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 Pricing 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 Pricing 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. |
The S&P 500® Index
The Underlier consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the Underlier, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Information
The graph below sets forth the historical performance of the Underlier
from January 2, 2019 to August 28, 2024, based on the daily Closing Levels of the Underlier. The Closing Level of the Underlier on August
28, 2024 was 5,592.18.
We obtained the Closing Levels of the Underlier from Bloomberg Professional®
service, without independent verification. Historical performance of the Underlier should not be taken as an indication of future performance.
Future performance of the Underlier may differ significantly from historical performance, and no assurance can be given as to the Closing
Level of the Underlier during the term of the Notes, including on the Final Valuation Date. We cannot give you assurance that the performance
of the Underlier will not result in a loss on your initial investment.
* The dotted line indicates a hypothetical Buffer Value of 85.00% of
the Closing Level of the Underlier on August 28, 2024. The actual Buffer Value will be equal to 85.00% of the Initial Underlier Value.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Certain Employee Retirement Income Security Act Considerations
Your purchase of a Note in an Individual Retirement Account (an “IRA”)
will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the
Issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary authority or control or acts in
a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section
3(21)(A)(ii) of the Employee Retirement Income Security Act (“ERISA”)) with respect to any such IRA assets and (ii) in connection
with the purchase of the Note, the IRA will pay no more than “adequate consideration” (within the meaning of Section 408(b)(17)
of ERISA) and in connection with any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in
making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair market
value will be paid, and (y) made such determination acting in good faith.
Additional Information Regarding Our Estimated Value of the Notes
The final terms for the Notes will be determined on the date the Notes
are initially priced for sale to the public (the “Pricing Date”) based on prevailing market conditions on or prior to the
Pricing Date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables
and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables, such
as market benchmarks, our appetite for borrowing and our existing obligations coming to maturity) may vary from the levels at which our
benchmark debt securities trade in the secondary market. Our estimated value on the Pricing 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 Pricing Date is expected to
be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our estimated value
of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc.
or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated
intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated
cost that we may incur in hedging our obligations under the Notes, and estimated development and other costs that we may incur in connection
with the Notes.
Our estimated value on the Pricing 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 Pricing
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 Pricing Date for a temporary period expected to be approximately six months after the initial Issue Date of the Notes 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-7 of this pricing supplement.
You may revoke your offer to purchase the Notes at any time prior
to the Pricing Date. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their Pricing Date.
In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with
your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Supplemental Plan of Distribution
J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as
placement agents for the Notes pursuant to separate placement agency agreements with the Issuer. The placement agents will forgo fees
for sales to fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates per Note as specified
on the cover of this pricing supplement.
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 Pricing 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.
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