Unlike ordinary debt securities, the Notes do not guarantee
the payment of interest or any return of principal at maturity. Instead, as described below and subject to early redemption at
the discretion of the Issuer, the Notes offer a Contingent Coupon for each Observation Date on which the Closing Value of each
Underlier is greater than or equal to its Coupon Barrier Value. Investors should be willing to forgo dividend payments and, if
the Final Underlier Value of any Underlier is less than its Barrier Value, be willing to lose a significant portion or all of
their investment at maturity. Investors will be exposed to the market risk of each Underlier and any decline in the value of
one Underlier may negatively affect their return and will not be offset or mitigated by a lesser decline or any potential increase
in the value of the other Underlier.
You should read this pricing supplement together with the prospectus
dated August 1, 2019, as supplemented by the prospectus supplement dated August 1, 2019 relating to our Global Medium-Term Notes,
Series A, of which these Notes are a part, the prospectus addendum dated May 11, 2020 and the underlying supplement dated August
1, 2019. 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 the prospectus addendum 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):
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 and any structuring or other distribution-related 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-11 of this pricing supplement.
Selected Purchase
Considerations
The Notes are not suitable
for all investors. The Notes may be a suitable investment for you if all of the following statements are true:
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You do not seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income, and you can tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value of
any Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates.
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You understand and accept that you will not participate in any appreciation of any Underlier, which may be significant, and
that your return potential on the Notes is limited to the Contingent Coupons, if any, paid on the Notes.
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You can tolerate a loss of a significant portion or all of your principal amount, and you are willing and able to make an investment
that may have the full downside market risk of an investment in the Lesser Performing Underlier.
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You do not anticipate that the Closing Value of any Underlier will fall below its Coupon Barrier Value on any Observation
Date or below its Barrier Value on the Final Valuation Date.
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You are willing and able to accept the individual market risk of each Underlier and understand that any decline in the value
of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any other Underlier.
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You understand and accept the risks that (a) you will not receive a Contingent Coupon if the Closing Value of any Underlier
is less than its Coupon Barrier Value on an Observation Date and (b) you will lose some or all of your principal at maturity if
the Final Underlier Value of any Underlier is less than its Barrier Value.
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You understand and accept the risk that, if the Notes are not redeemed early by us, the payment at maturity, if any, will be
based solely on the Underlier Return of the Lesser Performing Underlier.
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You understand and are willing and able to accept the risks associated with an investment linked to the performance of the
Underliers.
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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 Underliers, nor will you have any voting rights with respect to the securities composing the Underliers.
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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.
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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 Underliers.
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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.
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You are willing and able to assume our credit risk for all payments on the Notes.
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You are willing and able to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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The Notes may not be
a suitable investment for you if any of the following statements are true:
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You seek an investment that produces fixed periodic interest or coupon payments or other non-contingent sources of current
income, and/or you cannot tolerate receiving few or no Contingent Coupons over the term of the Notes in the event the Closing Value
of any Underlier falls below its Coupon Barrier Value on one or more of the specified Observation Dates.
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You seek an investment that participates in the full appreciation of any or all of the Underliers rather than an investment
with a return that is limited to the Contingent Coupons, if any, paid on the Notes.
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You seek an investment that provides for the full repayment of principal at maturity, and/or you are unwilling or unable to
accept the risk that you may lose some or all of the principal amount of your Notes in the event that the Final Underlier Value
of the Lesser Performing Underlier falls below its Barrier Value.
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You anticipate that the Closing Value of at least one Underlier will decline during the term of the Notes such that
the Closing Value of at least one Underlier will fall below its Coupon Barrier Value on one or more Observation Dates and/or
the Final Underlier Value of at least one Underlier will fall below its Barrier Value.
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You are unwilling or unable to accept the individual market risk of each Underlier and/or do not understand that any decline
in the value of one Underlier will not be offset or mitigated by a lesser decline or any potential increase in the value of any
other Underlier.
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You do not understand and/or are unwilling or unable to accept the risks associated with an investment linked to the performance
of the Underliers.
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You are unwilling or unable to accept the risk that the negative performance of any Underlier may cause you to not receive
Contingent Coupons and/or suffer a loss of principal at maturity, regardless of the performance of any other Underlier.
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You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing
the Underliers.
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You are unwilling or unable to accept the risk that we may, in our sole discretion, redeem the Notes early.
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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 Underliers.
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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.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable
maturities and credit ratings.
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You are unwilling or unable to assume our credit risk for all payments on the Notes.
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You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority.
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You must rely on your own evaluation of the merits of
an investment in the Notes. You should reach a decision whether to invest in the Notes after
carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific
information set out in this pricing supplement, the prospectus, the prospectus supplement, the prospectus addendum and the underlying
supplement. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
HYPOTHETICAL EXAMPLES
OF AMOUNTS PAYABLE ON A SINGLE CONTINGENT coupon PAYMENT DATE
The following examples demonstrate the circumstances under which
you may receive a Contingent Coupon on a hypothetical Contingent Coupon Payment Date. The examples set forth below are purely hypothetical
and are provided for illustrative purposes only. The numbers appearing in the following tables and examples have been rounded for
ease of analysis. The hypothetical examples below do not take into account any tax consequences from investing in the Notes and
make the following key assumptions:
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Hypothetical Initial Underlier Value of each Underlier: 100.00*
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Hypothetical Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set
forth above)*
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*
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The hypothetical Initial
Underlier Value of 100.00 and the hypothetical Coupon Barrier Value of
70.00 for each Underlier have been chosen for illustrative purposes only and do not represent
the actual Initial Underlier Values or Coupon Barrier Values for the Underliers. The
actual Initial Underlier Value and Coupon Barrier Value for each Underlier are set forth
on the cover of this pricing supplement.
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For information regarding recent values of the Underliers, please
see “Information Regarding the Underliers” in this pricing supplement.
Example 1: The Closing Value of each Underlier is greater
than its Coupon Barrier Value on the relevant Observation Date.
Underlier
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Closing Value on Relevant Observation Date
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INDU Index
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105.00
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RTY Index
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85.00
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Because the Closing Value of each Underlier is greater than
its Coupon Barrier Value, you will receive a Contingent Coupon of $20.00 (2.00% of the principal amount per Note) on the related
Contingent Coupon Payment Date.
Example 2: The Closing Value of one Underlier is less than
its Coupon Barrier Value on the relevant Observation Date, and the Closing Value of the other Underlier is greater than its Coupon
Barrier Value on the relevant Observation Date.
Underlier
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Closing Value on Relevant Observation Date
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INDU Index
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140.00
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RTY Index
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40.00
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Because the Closing Value of at least one Underlier is less
than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Example 3: The Closing Value of each Underlier is less than
its Coupon Barrier Value on the relevant Observation Date.
Underlier
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Closing Value on Relevant Observation Date
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INDU Index
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45.00
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RTY Index
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55.00
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Because the Closing Value of at least one Underlier is less
than its Coupon Barrier Value, you will not receive a Contingent Coupon on the related Contingent Coupon Payment Date.
Examples 2 and 3 demonstrate that you may not receive a Contingent
Coupon on a Contingent Coupon Payment Date. If the Closing Value of any Underlier is below its Coupon Barrier Value on each
Observation Date, you will not receive any Contingent Coupons during the term of the Notes.
Hypothetical EXAMPLES
OF AMOUNTS PAYABLE 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:
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Hypothetical Initial Underlier Value of each Underlier: 100.00*
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§
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Hypothetical Coupon Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set
forth above)*
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Hypothetical Barrier Value for each Underlier: 70.00 (70.00% of the hypothetical Initial Underlier Value set forth above)*
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You hold the Notes to maturity, and we do NOT exercise our option to redeem the Notes
early.
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*
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The
hypothetical Initial
Underlier Value of 100.00, the hypothetical Coupon
Barrier Value of 70.00 and the hypothetical Barrier
Value of 70.00 for each Underlier have been chosen for illustrative purposes only and
do not represent the actual Initial Underlier Values, Coupon Barrier Values or Barrier
Values for the Underliers. The actual Initial Underlier Value, Coupon Barrier Value and
Barrier Value for each Underlier are set forth on the cover of this pricing supplement.
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For information regarding recent values of the Underliers, please
see “Information Regarding the Underliers” in this pricing supplement.
Final Underlier Value of
the Lesser Performing Underlier
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Underlier Return of
the Lesser Performing Underlier
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Payment at Maturity**
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150.00
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50.00%
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$1,000.00
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140.00
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40.00%
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$1,000.00
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130.00
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30.00%
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$1,000.00
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120.00
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20.00%
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$1,000.00
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110.00
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10.00%
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$1,000.00
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100.00
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0.00%
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$1,000.00
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90.00
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-10.00%
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$1,000.00
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80.00
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-20.00%
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$1,000.00
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70.00
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-30.00%
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$1,000.00
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69.99
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-30.01%
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$699.90
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60.00
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-40.00%
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$600.00
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50.00
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-50.00%
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$500.00
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40.00
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-60.00%
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$400.00
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30.00
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-70.00%
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$300.00
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20.00
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-80.00%
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$200.00
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10.00
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-90.00%
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$100.00
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0.00
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-100.00%
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$0.00
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** per $1,000 principal
amount Note, excluding the final Contingent Coupon that may be payable on the Maturity Date
The following examples illustrate how the payments at maturity
set forth in the table above are calculated:
Example 1: The Final Underlier Value of the INDU Index
is 150.00 and the Final Underlier Value of the RTY Index is 130.00.
Because the RTY Index has the lower Underlier Return, the RTY
Index is the Lesser Performing Underlier. Because the Final Underlier Value of the Lesser Performing Underlier is greater than
or equal to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold
(plus the Contingent Coupon otherwise due).
Example 1 demonstrates that you will not participate in any
appreciation in the value of any Underlier. Even though each Underlier appreciated significantly, the payment at maturity is limited
to $1,000 per $1,000 principal amount Note that you hold (plus the Contingent Coupon otherwise due).
Example 2: The Final Underlier Value of the INDU Index is
75.00 and the Final Underlier Value of the RTY Index is 140.00.
Because the INDU Index has the lower Underlier Return, the INDU
Index is the Lesser Performing Underlier. Because the Final Underlier Value of the Lesser Performing Underlier is greater than
or equal to its Barrier Value, you will receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold
(plus the Contingent Coupon otherwise due).
Example 3: The Final Underlier Value of the INDU Index is
80.00 and the Final Underlier Value of the RTY Index is 40.00.
Because the RTY Index has the lower Underlier Return, the RTY
Index is the Lesser Performing Underlier. Because the Final Underlier Value of the Lesser Performing Underlier is less than its
Barrier Value, you will receive a payment at maturity of $400.00 per $1,000 principal amount Note that you hold, calculated as
follows:
$1,000 + ($1,000 × Underlier Return
of the Lesser Performing Underlier)
$1,000 + ($1,000 ×-60.00%) = $400.00
In addition, because the Final Underlier Value of at least one
Underlier is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the Maturity Date.
Example 3 demonstrates that, if we do not redeem the Notes early,
and if the Final Underlier Value of the Lesser Performing Underlier is less than its Barrier Value, your investment in the Notes
will be fully exposed to the decline of the Lesser Performing Underlier from its Initial Underlier Value. You will not benefit
in any way from the Underlier Return of any other Underlier being higher than the Underlier Return of the Lesser Performing Underlier.
If we do not redeem the Notes early, you
may lose up to 100.00% of the principal amount of your Notes. Any payment on the Notes, including the repayment of principal,
is subject to the credit risk of Barclays Bank PLC.
Selected
Risk Considerations
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underliers or their 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” sections of the prospectus supplement and the prospectus addendum. You should not purchase
the Notes unless you understand and can bear the risks of investing in the Notes.
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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 of the Lesser Performing Underlier is less than its Barrier Value, your Notes will be fully
exposed to the decline of the Lesser Performing Underlier from its Initial Underlier Value. You may lose up to 100.00% of
the principal amount of your Notes.
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You May Not Receive Any Contingent Coupon Payments on the Notes—The Issuer will not necessarily make periodic
coupon payments on the Notes. You will receive a Contingent Coupon on a Contingent Coupon Payment Date only if the Closing
Value of each Underlier on the related Observation Date is greater than or equal to its Coupon Barrier Value. If the Closing Value
of any Underlier on an Observation Date is less than its Coupon Barrier Value, you will not receive a Contingent Coupon on the
related Contingent Coupon Payment Date. If the Closing Value of at least one Underlier is less than its Coupon Barrier Value on
each Observation Date, you will not receive any Contingent Coupons during the term of the Notes.
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Your Potential Return on the Notes Is Limited to the Contingent Coupons, if Any, and You Will Not Participate in Any Appreciation
of Any Underlier—The potential positive return on the Notes is limited to the Contingent Coupons, if any, that may be
payable during the term of the Notes. You will not participate in any appreciation in the value of any Underlier, which may be
significant, even though you will be exposed to the depreciation in the value of the Lesser Performing Underlier if the Notes are
not redeemed early by us and the Final Underlier Value of the Lesser Performing Underlier is less than its Barrier Value.
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Because the Notes Are Linked to the Lesser Performing Underlier, You Are Exposed to Greater Risks of No Contingent Coupons
and Sustaining a Significant Loss of Principal at Maturity Than if the Notes Were Linked to a Single Underlier—The risk
that you will not receive any Contingent Coupons and lose a significant portion or all of your principal amount in the Notes at
maturity is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance
of a single Underlier. With multiple Underliers, it is more likely that the Closing Value of at least one Underlier will be less
than its Coupon Barrier Value on the specified Observation Dates or less than its Barrier Value on the Final Valuation Date, and
therefore, it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss of principal
at maturity. Further, the performance of the Underliers may not be correlated or may be negatively correlated. The lower the correlation
between multiple Underliers, the greater the potential for one of those Underliers to close below its Coupon Barrier Value or Barrier
Value on an Observation Date or the Final Valuation Date, respectively.
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It is impossible to predict what
the correlation among the Underliers will be over the term of the Notes. The Underliers represent different equity markets. These
different equity markets may not perform similarly over the term of the Notes.
Although the correlation of the
Underliers’ performance may change over the term of the Notes, the Contingent Coupon rate is determined, in part, based on
the correlation of the Underliers’ performance calculated using our internal models at the time when the terms of the Notes
are finalized. A higher Contingent Coupon is generally associated with lower correlation of the Underliers, which reflects a greater
potential for missed Contingent Coupons and for a loss of principal at maturity.
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You Are Exposed to the Market Risk of Each Underlier—Your return on the Notes is not linked to a basket consisting
of the Underliers. Rather, it will be contingent upon the independent performance of each Underlier. Unlike an instrument with
a return linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket,
you will be exposed to the risks related to each Underlier. Poor performance by any Underlier over the term of the Notes may negatively
affect your return and will not be offset or mitigated by any increases or lesser declines in the value of the other Underlier.
To receive a Contingent Coupon, the Closing Value of each Underlier must be greater than or equal to its Coupon Barrier Value on
the applicable Observation Date. In addition, if the Notes have not been redeemed early by us, and if the Final Underlier Value
of any Underlier is less than its Barrier Value, you will be exposed to the full decline in the Lesser Performing Underlier from
its Initial Underlier Value. Accordingly, your investment is subject to the market risk of each Underlier.
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The Notes Are Subject to Volatility Risk—Volatility is a measure of the degree of variation in the price of an
asset (or level of an index) over a period of time. The Contingent Coupon is based on a number
of factors, including the expected volatility of the Underliers. The Contingent Coupon will be paid at a per annum rate that is
higher than the fixed rate that we would pay on a conventional debt security of the same tenor and is higher than it otherwise
would have been had the expected volatility of the Underliers been lower. As volatility of an Underlier increases, there will typically
be a greater likelihood that (a) the Closing Value of that Underlier on one or more Observation Dates will be less than its Coupon
Barrier Value and (b) the Final Underlier Value of that Underlier will be less than its Barrier Value.
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Accordingly, you should understand
that a higher Contingent Coupon reflects, among other things, an indication of a greater likelihood that you will (a) not receive
Contingent Coupons with respect to one or more Observation Dates and/or (b) incur a loss of principal at maturity than would have
been the case had the Contingent Coupon been lower. In addition, actual volatility over the term of the Notes may be significantly
higher than expected volatility at the time the terms of the Notes were determined. If
actual volatility is higher than
expected, you will face an even greater risk that you will not receive Contingent Coupons and/or that you will lose some or all
of your principal at maturity for the reasons described above.
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·
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Issuer Redemption and Reinvestment Risk—Beginning with the Contingent Coupon Payment Date following the second
Observation Date, we may redeem your Notes (in whole but not in part) at our sole discretion without your consent on any Contingent
Coupon Payment Date (other than the final Contingent Coupon Payment Date), regardless of the Closing Value of any Underlier on
any day on or prior to that Contingent Coupon 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 Contingent Coupons could be as short as approximately six months.
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The payment upon early redemption,
together with any Contingent Coupons that you may have received on prior Contingent Coupon Payment Dates, may be less than the
aggregate amount of payments that you would have received had 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 any Underlier
is less than its Coupon Barrier 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 a Contingent
Coupon is relatively higher.
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If the Notes Are Not Redeemed Early by Us, the Payment at Maturity, If Any, Is Based Solely on the Closing Value
of the Lesser Performing Underlier on the Final Valuation Date—If we do not redeem the Notes early, the Final Underlier
Values (and resulting Underlier Returns) will be based solely on the Closing Values of the Underliers on the Final Valuation Date,
and your payment at maturity, if any, will be determined based solely on the performance of the Lesser Performing Underlier. Accordingly,
if the value of the Lesser Performing Underlier drops on the Final Valuation Date, the payment at maturity on the Notes, if any,
may be significantly less than it would have been had it been linked to the value of the Underlier at any time prior to such drop.
If the Final Underlier Value of the Lesser Performing Underlier is less than its Barrier Value, you will lose some or all of the
principal amount of your Notes. Your losses will not be offset in any way by virtue of the Underlier Return of any other Underlier
being higher than the Underlier Return of the Lesser Performing Underlier.
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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.
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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 any other agreements, arrangements or understandings between Barclays Bank PLC
and any holder or beneficial owner of the Notes, by acquiring the Notes, each holder and beneficial owner of the Notes acknowledges,
accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority
as set forth under “Consent to U.K. Bail-in Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power
may be exercised in such a manner as to result in you and other holders and beneficial owners of the Notes losing all or a part
of the value of your investment in the Notes or receiving a different security from the Notes, which may be worth significantly
less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover,
the relevant U.K. resolution authority may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring
the consent of, the holders and beneficial owners of the Notes. The exercise of any U.K. Bail-in Power by the relevant U.K. resolution
authority with respect to the Notes will not be a default or an Event of Default (as each term is defined in the senior debt securities
indenture) and the trustee will not be liable for any action that the trustee takes, or abstains from taking, in either case, in
accordance with the exercise of the U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes. See
“Consent to U.K. Bail-in Power” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the
Group is failing or likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks
Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
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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. Although the Notes provide for the contingent repayment of
the principal amount of your Notes at maturity, provided the Final Underlier Value of the Lesser Performing Underlier is
greater than or equal to its Barrier Value, or upon 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
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each Underlier has increased
from its Initial Underlier Value. See “Many Economic and Market Factors Will Impact the Value of the Notes” below.
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Owning the Notes Is Not the Same as Owning the Securities Composing the Underliers—The return on the Notes may
not reflect the return you would realize if you actually owned the securities composing the Underliers. 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 Underliers would have.
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Each Underlier Reflects the Price Return of the Securities Composing that Underlier, Not the Total Return—The
return on the Notes is based on the performance of the Underliers, which reflect changes in the market prices of the securities
composing each Underlier. Each Underlier is not a “total return” index that, in addition to reflecting
those price returns, would also reflect dividends paid on the securities composing that Underlier. Accordingly, the return on the
Notes will not include such a total return feature.
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Adjustments to the Underliers Could Adversely Affect the Value of the Notes—The sponsor of an Underlier may add,
delete, substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that
could affect its performance. The Calculation Agent will calculate the value to be used as the Closing Value of an Underlier in
the event of certain material changes in or modifications to that Underlier. In addition, the sponsor of an Underlier may also
discontinue or suspend calculation or publication of that 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 discontinued Underlier or, if no successor
index is available, the Calculation Agent will determine the value to be used as the Closing Value of that Underlier. Any of these
actions could adversely affect the value of the relevant 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.
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The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index—The RTY Index tracks
companies that are considered small-capitalization companies. These companies often have greater stock price volatility, lower
trading volume and less liquidity than large-capitalization companies, and therefore Notes linked to the RTY Index may be more
volatile than an investment linked to an index with component stocks issued by large-capitalization companies. Stock prices of
small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic
developments. In addition, small-capitalization companies are typically less stable financially than large-capitalization companies
and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies
are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such
companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer
financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments
related to their products.
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Historical Performance of the Underliers Should Not Be Taken as Any Indication of the Future Performance of the Underliers
Over the Term of the Notes—The value of each Underlier has fluctuated in the past and may, in the future, experience
significant fluctuations. The historical performance of an Underlier is not an indication of the future performance of that Underlier
over the term of the Notes. The historical correlation between the Underliers is not an indication of the future correlation between
them over the term of the Notes. Therefore, the performance of the Underliers individually or in comparison to each other over
the term of the Notes may bear no relation or resemblance to the historical performance of any Underlier.
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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 and any structuring
or other distribution-related 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.
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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.
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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.
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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
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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.
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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.
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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.
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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 Underliers or their 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
Underliers 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 an Underlier is to be determined; if an Underlier is discontinued or if the sponsor of an Underlier fails
to publish that 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 an Underlier on any date of determination in the event of
certain changes in or modifications to that 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.
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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.
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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.
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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:
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the market prices of, dividend rate on and expected volatility of the Underliers and the components of each Underlier;
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correlation (or lack of correlation) of the Underliers;
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the time to maturity of the Notes;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Information Regarding
the UNDERLIERS
Dow Jones Industrial Average®
The INDU Index is a price-weighted index that seeks to measure
the performance of 30 U.S. blue-chip companies. The INDU Index covers all industries with the exception of transportation and utilities.
For more information about the INDU Index, see “Indices—The Dow Jones Industrial Average®” in
the accompanying underlying supplement.
Historical Performance of the INDU Index
The graph below sets forth the historical performance of the
INDU Index based on the daily Closing Values from January 2, 2015 through October 23, 2020. 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 Dow Jones
Industrial Average®
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS
Russell 2000® Index
The RTY Index measures the capitalization-weighted price performance
of 2,000 small-capitalization stocks and is designed to track the performance of the small-capitalization segment of the U.S. equity
market. For more information about the RTY Index, see “Indices—The Russell Indices” in the accompanying underlying
supplement.
Historical Performance of the RTY Index
The graph below sets forth the historical performance of the
RTY Index based on the daily Closing Values from January 2, 2015 through October 23, 2020. We obtained the Closing Values shown
in the graph below from Bloomberg. We have not independently verified the accuracy or completeness of the information obtained
from Bloomberg.
Historical Performance of the Russell
2000® 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 Contingent Coupon payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated
Contingent Coupons” in the accompanying prospectus supplement. Our special tax counsel, Davis Polk & Wardwell LLP, has
advised that it believes this treatment to be reasonable, but that there are other reasonable treatments that the Internal Revenue
Service (the “IRS”) or a court may adopt.
Sale, exchange or redemption of a Note. Assuming the
treatment described above is respected, upon a sale or exchange of the Notes (including 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 Contingent Coupon payments
are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term
capital gain or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital
gain or loss, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses
is subject to limitations. If you sell your Notes between the time your right to a Contingent Coupon payment is fixed and the time
it is paid, it is likely that you will be treated as receiving ordinary income equal to the Contingent Coupon payment. Although
uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that
can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax advisor
regarding this issue.
As noted above, there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult
your tax advisor regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. holders. Insofar as we have responsibility as
a withholding agent, we do not currently intend to treat Contingent Coupon payments to non-U.S. holders (as defined in the accompanying
prospectus supplement) as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required
to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described
under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.
If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a “delta of
one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on our determination that the Notes do not have a “delta of one” within
the meaning of the regulations, 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.