EFTA00597527.pdf

Free Writing Prospectus Filed Pursuant to Rule 433 (To the Prospectus dated July 19, 2013, Registration No. 333-190038 the Prospectus Supplement dated July 19, 2013 and September 15.2015 the Prospectus Addendum dated February 3, 2015) Barclays Bank PLC — Phoenix Autocallable Notes linked to the Common Stock of Apple Inc. Trade Details/Characteristics Hypothetical Scenario Analysis for Phoenix Autocallable Notes Issuer: Barclays Bank PLC Principal Amount: $1.000 per note First Three Observation Dates Initial Issue Price: $1.000 per note' Compare the Closing Price ol the Undone. on the Observation Dale to the Initial Underlies Value Reference Asset: The common stock of Apple Inc. (the 'Underber) and the Coupon Barrier until the Final Observation Date or any automatic call. Contingent Coupon: If the Closing Price' of the Underber is greater than or equal to the Coupon Barrier on any Automatic Call Observation Date. the Issuer WI pay a Contingent Coupon of $42.50 (equivalent to a rate ol II the Closing 17.00% per annum, payable at a rate of 4.25% per quarter) on the related Coupon Payment Date. Price of he Underlie( Is If the Closing Price ol the Undedier is less than the Coupon Barrier on any Observation Date, the greater than The notes wi be autornalicaly called and you will receive (gibe Contingent Coupon applicable to such Observation Date we riot accrue or be payable. or equal to principal amount plus I.) the Contingent Coupon applicable be such Coupon Barrier: 80.00% of the Closing Pnce of the Undedier on the pricing date (the "Initial Undedier Value) the Initial Observation Dale. No further amounts will be owed to you under the (rounded to two decimal places) Underlie( notes. Automatic Call Feature: The notes will be automaticaly called if the Closing Price' of the Underlie( on any Observation Value Date is greater than or equal to the Initial Underlie, Value. If the notes are automatically called. Barclays Bank PLC will pay on the applicable cal settlement date (as defined in the the Closing Price of You will receive the COntngeni accompanying FWP) a cash payment per note equal to the principal amount plus the Contingent If the Closing the Underlier Is Coupon abpliCable la Wail Coupon otherwise due on the related coupon payment date pursuant to the Contingent Coupon Price of the greater than or equal Observation Date. Proceed to feature. No further amounts will be owed to you under the notes. Undertrer Is No to the Coupon Barrier me next Observation Date. Trigger Value: 80.00% of the Initial Undedier Value (rounded to two decimal places) less than the Automatic Payment at Maturfty: e the notes are not automatically called and the Anal Undedier Value is greater than or equal to Initial Call the Closing Price of Underfrer the Underlier Is less NO Contingent Coupon will the Trigger Value. Barclays Bank PLC will repay you the principal amount of your notes. plus the Value accrue Or be payable. PrCeeed than the Coupon Contingent Coupon otherwise due for the final quarter (subject to issuer credit risk). 10 lee nest Observation Dale. Barrier If the notes are not automatically called and the Anal Undedier Value is less than the Trigger Value. you will have full 1.to.1 downside exposure to the negative performance of the Underlier from the Initial Undedier Value to the Final Undedier Value and you will lose some or all of your Payment at Maturity principal. U.K. Bail-in Power By acquiring the notes. you acknowledge. agree to be band by and consent to the exercise of. If the notes are not earned and the Final Underlier Value is greater than Acknowledgment: any U.K. Bail-in Power by the relevant U.K. resolution authority. or equal to the Trigger Value. Barclays Bank PLC will repay you the Maximum Potential Loss: 100% Payment al principal amount of your notes (subject to issuer credit Ink) Observation Dates: Quarterly (for determining applicability of Contingent Coupon and Automatic Call Feature) Maturity (assonant; Maturity Date: 54 weeks rotes are not II the notes are not called and he Final Underlier Virtue is less than the CUSIP4S1N: 06741UL51 / US06741UL511 called) Trigger Value. you wit have full 1.1 downside exposure to the negative (The "Closing Price- for purposes of he final Observation Dale as well as the Final Underher Value will be the usithnrclie avenge of the performance of the Undecier from the Initial Underlier Value to the Foal Closing Prices of the Underlier on the Averaging Dates. as set forth in the accompanying free writing prospectus "FWP- 1 Please see the Underlier Value and you will lose some or all of your principal. acco FWP for further detail on how the 'Chinn Pnce" and -Final linderler Value' will be determined. Selected Risk Considerations • 100% Principal al Risk. You will lose some or al ol your investment if the Final Underlie, Value is less than the Trigger Barclays Bank PLC has filed a registration statement (Including a prospectus) Value. as measured by determining the arkhmetic average of the Closing Prices of the Undedier on the Averaging Dates. with the U.S. Securities and Exchange Commission (the "SEC") for the • Any payments on the notes are subject to issuer credit risk. offering to which this free writing prospectus relates. Before you invest, you • You may lose some or all of your investment it any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority. should read the prospectus dated July 19, 2013, the prospectus supplement dated July 19. 2013. the prospectus addendum dated February 3, 2015 and • The notes do not guarantee the payment of any coupons over the term of the notes. You we, not receive a coupon payment in respect of any Observation Date where the Closing Price of the Undedier is less than the Coupon Barrier. other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. You may get these • The appreciation potential of the notes is limited to the coupon payments. and you will not participate in any appreciation in the value of the Undedier. which may be significant. documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively. Barclays • Investor does not receive dividends or have any other rights that holders of the Underlier would have. Bank PLC or any agent or dealer participating in this offering will arrange to • If the notes are automatically called early. there is no guarantee that you would be able to reinvest the proceeds in a send you each of these documents if you request them by calling your comparable investment. Your hotting period over which you could receive the per annum return could be as short as approximately 3.5 moMhs. Barclays Bank PLC sales representative, such dealer or toll-free 1.888.227- 2275 (Extension 2-3430). A copy of each of these documents may be obtained There may be no secondary market. Notes should be considered a 'hold until matumy" product. unless automatically called. from Barclays Capital Inc., 745 Seventh Avenue —Attn: US InvSol Support. • Additional risk factors can be found under 'Additional Risk Considerations" below. See also 'Risk Factors' beginning on page New York. NY 10019. S-6 of the accompanying prospectus supplement and "Selected Risk Considerations* beginning on page FW P-7 ol the accompanying FWP. • Barclays Bank PLC. the Issuer. acts as calculation agent. 'Our estimated value of the notes on the pricing date. based on our internal pricing models. is expected to be between 3958.20 and 5978.20 per 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" in the accompanying FWP. # BARCLAYS IP Morgan EFTA00597527 Additional Risk Considerations Please see the prospectus. prospectus supplement. prospectus addendum. index supplement (if applicable) and the related free writing prospectus for a more detailed discussion of risks, conflicts of interest. and tax consequences associated with an investment in the notes. Credit of the Issuer. The types of notes detailed herein 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, depends on 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 was to default on its obligations. you might not receive the amounts owed 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. By your acquisition of the notes, you acknowledge. agree to be bound by and consent to the exercise of. any U.K. Bail-in Power by the relevant U.K. resolution authority. No rights to the Underller. As a holder of the notes, you will not have any rights (including any voting rights or rights to receive cash dividends or other distributions) that the holders of any Underlier or components of the Underlier would have. Limited liquidity. You should be willing to hold the notes to maturity. There may be little or no secondary market for the notes. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market in the notes. If they do. however, they are not required to do so and may stop at any time, and there may not be a trading market in the notes. If you sell the notes prior to their maturity. you may have to sell them at a substantial loss. Certain built-In costs are likely to adversely affect the value of the notes prior to maturity. The original issue price of the notes includes the agent's commission and the cost of hedging our obligations under the notes. As a result, assuming no change in market conditions or any other relevant factors. the price. if any. at which Barclays Capital Inc. or other affiliates of Barclays Bank PLC will be willing to purchase notes from you in secondary market transactions may be lower than the original issue price. and any sale prior to the maturity date of the notes could result in a substantial loss to you. Your own evaluation of the merits. In connection with any purchase of the notes, we urge you to consult your own financial, tax and legal advisors as to the risks involved in an investment in the product and to investigate the Underlier and not rely on our views in any respect. You should make a complete investigation as to the merits of an investment in the notes before investing. Historical results not indicative of future performance. The historical or hypothetical performance of the Underlier should not be taken as an indication of the future performance of the Underlier. It is impossible to predict whether the level, value or price of the Underlier will fall or rise during the term of the notes. in particular in the environment in recent periods which has been characterized by unprecedented volatility across a wide range of asset classes. Past fluctuations and trends in the Undertiers are not necessarily indicative of fluctuations or trends that may occur in the future. Market risk. The return, if any. on the notes is dependent on the performance of the Underlier to which it is linked. Thus. changes in the level, value or price of the Underlier will determine the amount payable on the notes. Unless your notes are fully principal protected (in which case. all payments on the notes are subject to the credit risk of Barclays Bank PLC as the issuer). if the level, value or price of the Underlier declines, you may lose some or all of your investment at maturity. Price volatility. Movements in the levels, values or prices of the Underliers and their respective components are unpredictable and volatile, and are influenced by complex and interrelated political, economic, financial, regulatory, geographic, judicial and other factors. As a result. it is impossible to predict whether the levels. values or prices of the Underliers will rise or fall during the term of the notes. Changes in the levels. values or prices of the Underliers will determine the payment on the notes. Therefore, you may receive less, and potentially substantially less. than the amount you initially invested in the notes if the levels. values or prices of the Underliers decline. Unless your notes are fully principal protected (in which case. all payments on the notes are subject to the credit risk of Barclays Bank PLC as the issuer). you should be willing and able to bear the loss of some or all of your investment. Many unpredictable factors, including economic and market factors, will impact the value of the notes. In addition to the level, value or price of the Undedier on any day, the market value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other. including: the expected volatility of the Underlier or its underlying components: the time to maturity of the notes: interest and yield rates in the market generally: a variety of economic. financial, political, regulatory or judicial events: supply and demand for the notes: and the creditworthiness of the issuer, including actual or anticipated downgrades in the credit ratings of the issuer. Potential conflicts of Interest. Barclays Bank PLC and its affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging its obligations under the notes. In performing these duties, the economic interests of the calculation agent and other affiliates of the issuer are potentially adverse to your interests as an investor in the notes. Tax treatment. Significant aspects of the tax treatment of the notes are uncertain. See "Selected Purchase Considerations—Tax Consequences" in the accompanying FWP. An Investment in the notes involves significant risk. You should carefully consider the risks of an investment in the notes, including those discussed above. In addition, you should carefully consider the "Risk Factors" beginning on page S-6 of the prospectus supplement, - Risk Factors" beginning on page PA-1 of the prospectus addendum, - Risk Factors" beginning on page IS-2 of the Index supplement (If applicable) and "Selected Risk Considerations" beginning on page FWP-7 of the related free writing prospectus. EFTA00597528 net Wtnn3 Prospeou.e. Mod Remora to Role433 (To lite Prospootx. (laeJ July 19. 2013. Regninaton No. 333.190035 the Prcepectus &ippkIliC01 dated hly 19.2013 and &purer 13. 2015 the Prospectus Addendum doied Fettuory 3.2015) $ Oil BARCLAYS Phoenix Autocallable Notes Due October 5, 2016 Linked to the Common Stock of Apple Inc. Global Medium-Term Notes, Series A General • Unsecured and unsubordinated obligations of Barclays Bank PLC maturing October 5.2016' • Minimum denominations of S10.000 and integral multiples of $1.000 in excess thereof • The Notes are expected to price on or about September 18.2015' (the "Pricing Date") and am expected to issue on or about September 23.2015' (the "Issue Date"). Key Terms Terms used in thisfree writing prospectus. bur not defined herein. shall hare the meanings ascribed to them in the prospectus supplement. Issuer: Barclays Bank PLC Reference Asset: The common stock of Apple Inc. (Bloomberg ticker symbol "AAPL<Equity>") (the "Underlier") Automatic Call Feature: The Notes will be automatically called if the Closing Price of the Underlie, on any Observation Date is greater than or equal to the Initial Underlier Value. If the Notes are automatically called. Barclays Bank PLC will pay on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the Contingent Coupon otherwise due on the related Coupon Payment Date pursuant to the Contingent Coupon feature. No further amounts will be owed to you under the Notes. Contingent Coupon: It the Closing Price of the Underlier is greater than or equal to the Coupon Barrier on any Observation Date, Barclays Bank PLC will pay you a Contingent Coupon of $42.50 (equivalent to a rate of 17.00% per annum, payable at a rate of 4.25% per quarter) on the related Coupon Payment Date. If the Closing Price of the Underlier is less than the Coupon Barrier on any Observation Date, the Contingent Coupon applicable to that Observation Date will not accrue or be payable. and Barclays Bank PLC will not make any payment to you on the related Coupon Payment Date. Payment at Maturity: If the Notes are not automatically called and the Final Underlier Value is greater than or equal to the Trigger Value (which equals the Coupon Barrier). you will receive a cash payment on the Maturity Date equal to 51.000 per $1,000 principal amount Note plus the Contingent Coupon otherwise due for the final quarter. If the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, you will lose 1% of the principal amount of your Notes for every I% that the Final Underlier Value is less than the Initial Underlier Value. Under these circumstances. you will receive a cash payment on the Maturity Date per S1.000 principal amount Note calculated as follows: $1.000 x (1 + Underlier Return) If the Notes are not automatically called and the Final Underlier Value is less than the Trigger Value, the Notes will be fully exposed to the decline in the value of the Underlier andyou will lose some or all ofyour investment at maturity. Any payment on the Notes, including any repayment ofprincipal, is not guaranteed by any thirdparty and is subject to (a)the creditworthiness ofBarclays Bank PLC' and (b) the risk of exercise ofany U.K. Bail-in Power (as described on page FWP-3 ofthis free writing prospectus) by the relevant U.K. resolution authority. See "Selected Risk Considerations—Credit ofIssuer,""Selected Risk Considerations—You hay Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority" and "Consent to UK Bail-in Power" in this free writing prospectus and "Risk Factors" in the accompanyingprospectus addendum. U.K. Bail-in Power By acquiring the Notes. you acknowledge. agree to be bound by and consent to the exercise of. any U.K. Bail-in Power by the relevant U.K. Acknowledgment: resolution authority that may result in the cancellation of all. or a portion. of any amounts payable on or modification of the form of the Notes. In the event of the exercise of any U.K. Bail-in Power. you may lose some or all of your investment in the Notes. See "Consent to U.K. Bail-in Power" in this free writing prospectus and the accompanying prospectus addendum for more information. Underlier Return: Final Underlier Value — Initial Underlier Value Initial Underlier Value Coupon Barrier: . which is $0.(X)% of the Initial Underlier Value (rounded to two decimal places) Trigger Value: . which is 80.00% of the Initial Underlier Value (rounded to two decimal places) Final Underlier Value: The arithmetic average of the Closing Prices of the Underlier on the Averaging Dates (rounded to two decimal places) Maturity Date': October 5. 2016 (Key Terms continued on the next page) Initial Issue Price" Price to Public Agent's Commission' Proceeds to Barclays Bank PLC Per Note $1.000 100% , 99% Total S• S• S• o Our estimated value of the Notes on the Pricing Date, based on our Internal pricing models. is expected to he between $9ssao and $978.20 per 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 FVNP-12 of this free writing prospectus. Morgan Securities LLC and JPMorgan Chase Bank. 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 $10.00 per Note. Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-6 of the prospectus supplement and on page PA-I of the prospectus addendum and "Selected Risk Considerations" beginning on page FWP-7 of this free writing prospectus. 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 free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense. The Notes constitute our unsecured and unsubordinated obligations and are not deposit liabilities ofBarclays Bank PLC and are not insuredby the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States. the United Kingdom or any other jurisdiction. JPMorgan BARCLAYS Placement Agent EFTA00597529 Initial Underlier Value•: S . which is the Closing Price of the Underher on the Pricing Date Closing Price: Closing Price has the meaning set forth under "Reference Assets—Equity Securities—Special Calculation Provisions" in the prospectus supplement: provided that the "Closing Price- observed for purposes of the Final Observation Date will equal the Final Underlie. Value. which is the arithmetic average of the Closing Prices of the Underlier on the Averaging Dates Observation Dates: December 31.2015. March 31. 2016.1une 30.2016 and September 30. 2016. The final Observation Date. September 30. 2016. is the "Final Observation Date." Averaging Dates': September 26. 2016. September 27. 2016. September 28. 2016. September 29. 2016 and September 30. 2016 Call Settlement Dates': Three (3) business days following the applicable Observation Date: provided that if the Notes are automatically called on the Final Observation Date. the related Call Settlement Date will be the Maturity Date Coupon Payment Dates': Three (3) business days following the applicable Observation Date: provided that the final Coupon Payment Date will be the Maturity Date Calculation Agent: Barclays Bank PLC CUSIP/ISIN: 0674 IUL51 / US0674IUL511 Expected. In the event that we make any change to the expected Pricing Date or Issue Date, the Observation Dates. the Averaging Dates and/or the Maturity Date may be changed so that the stated term of the Notes remains the same. In addition. the Observation Data. the Averaging Dates. the Call Settlement Data. the Coupon Payment Dates and the Maturity Date are subject to postponement. Sec "Reference Assets—Equity Securities—Market Disruption Events Relating to Securities with an Equity Security as the Reference Assn" in the accompanying prospectus supplement. Notwithstanding anything to the contrary in the accompanying prospectus supplement. the Final Observation Date may be postponed by up to five scheduled trading days due to the occurrence or continuance of a market disruption event on that date. • The Initial Underlier Value. Final Underlier Value. Coupon Barrier. Trigger Value and other amounts may change due to stock splits or other corporate actions. See "Reference Assets—Equity Securities—Share Adjustments Relating to Securities with an Equity Security as the Reference Asset" in the accompanying prospectus supplement. FIVP-2 EFTA00597530 Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus dated July 19, 2013, the prospectus supplement dated July 19, 2013, the prospectus addendum dated February 3, 2015 and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in this offering will arrange to send you each of these documents if you request them by calling your Barclays Bank PLC sales representative, such dealer or toll-free 1.888-227.2275 (Extension 2-3430). A copy of each of these documents may be obtained from Barclays Capital Inc., 745 Seventh Avenue—Attn: US InvSol Support, New York, NY 10019. You may revoke your offer to purchase the Notes at any time prior to the pricing as described on the cover of this free writing prospectus. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. 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. Additional Terms Specific to the Notes You should read this free writing prospectus together with the prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013 and the prospectus addendum dated February 3, 2015 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This free writing prospectus, 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, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website): • Prospectus dated July 19, 2013: httplAvww.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm • Prospectus supplement dated July 19, 2013: httplAvww.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm • Prospectus addendum dated February 3, 2015: http:/Avww.sec.eov/Archives/edear/data/312070.1000119312515031134/d864437d424b3.htm Our SEC file number is 1-10257. As used in this free writing prospectus, "we," "us" and "our" refer to Barclays Bank PLC. Consent to U.K. Bail-in Power Under the U.K. Banking Act 2009, as recently amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power under certain conditions which, in summary, include that such authority determines that: (i) a relevant entity (such as the Issuer) is failing or is likely to fail, (ii) it is not reasonably likely that (ignoring the other stabilization powers under the U.K. Banking Act) any other action will be taken to avoid the entity's failure, (iii) the exercise of the stabilization powers are necessary taking into account certain public interest considerations such as the stability of the U.K. financial system, public confidence in the U.K banking system and the protection of depositors and (iv) the objectives of the resolution measures would not be met to the same extent by the winding up of the entity. Notwithstanding these conditions, there remains uncertainty regarding how the relevant U.K. resolution authority would assess these conditions in deciding whether to exercise any U.K. Bail-in Power. The U.K. Bail-in Power includes any statutory write-down and conversion power, which allows for the cancellation of all, or a portion, of any amounts payable on the Notes, including any repayment of principal and/or the conversion of all, or a portion, of any amounts payable on the Notes, including the repayment of principal, into shares or other securities or other obligations of ours or another person, including by means of a variation to the terms of the Notes. Accordingly, if any U.K. Bail-in Power is exercised you may lose all or a part of the value of your investment in the Notes or receive a different security, which may be worth significantly less than the Notes and which may have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power without providing any advance notice to the holders of the Notes. By your acquisition of the Notes, you acknowledge, agree to be bound by and consent to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. This is only a summary. For more information, please see "Selected Risk Considerations—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 thisfree writing prospectus and the full definition of "U.K. Bail-in Power" as well as the risk factors in the accompanying prospectus addendum. FIVP-3 EFTA00597531 Scenario Analysis and Hypothetical Examples The following examples are hypothetical and provided for illustrative purposes only. They do not purport to be representative of every possible scenario concerning increases or decreases in the value of the Underlier relative to its Initial Underlier Value. We cannot predict the Closing Price of the Underlier on any day during the term of the Notes. including on the Observation Dates or Avenging Dates. You should not take these examples as an indication or assurance of the expected performance of the Underlier. The numbers appearing in the examples below have been rounded for ease of analysis. These examples do not take into account any tax consequences from investing in the Notes. The "total return" as used in this free writing prospectus is the number, expressed as a percentage, that results from comparing the total payment on the Notes per $1.000 principal amount Note to the $1.000 issue price. The following examples illustrate amounts payable on a hypothetical offering of the Notes under various scenarios. based on the following assumptions: Principal Amount: 41.000 Tent: 54 weeks Hypothetical Initial Underlier Value: 4115.31 Contingent Coupon: 442.50 per quarter (equivalent to a rate of 17.00% per annum. payable at a rate of 4.25% per quarter) Observation Dates: Observation Dates will occur quarterly as set forth on the cover of this free writing prospectus. Hypothetical Coupon Barrier: 492.25 (which is 80.00% of the hypothetical Initial Underlie Value) Hypothetical Trigger Value: 492.25 (which is 80.00% of the hypothetical Initial Underlie Value) Example 1- Notes Are Automatically Called on the First Observation Date Date Closing Price Payment (per Note) First Observation Date $126.84 Closing Price of Underlier at or above Initial Underlier Value. Notes are automatically called: Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Call Settlement Date. Total Payment (per $ IMO Note): 41.042.50 (4.25% total return on the Notes) Because the Closing Price of the Underlier is greater than or equal to the Initial Underlier Value on the first Observation Date. the Notes are automatically called on the first Observation Date. The Issuer will pay you on the Call Settlement Date 41.042.50 per $1.000 principal amount Note. which is equal to your principal amount plus the Contingent Coupon payment due in connection with the first Observation Date. Example 2— Notes Are Automatically Called on the Third Observation Date Date Closing Price Payment (per Note) First Observation Date $109.54 Closing Price of Underlier below Initial Underlier Value and above Coupon Barrier. Notes NOT automatically called: Issuer pays Contingent Coupon payment of $42.50 on first Coupon Payment Date. Second Observation $86.48 Closing Price of Underlier below Initial Underlier Value and below Coupon Date Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on second Coupon Payment Date. Third Observation $132.61 Closing Price of Underlier at or above Initial Underlier Value. Notes are Date automatically called: Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Call Settlement Date. Total Payment (per $1.000 Note): $1,085.00 (8.50% total return on the Notes) Because the Closing Price of the Underlier is greater than or equal to the Initial Underlier Value on the third Observation Date the Notes are automatically called on the third Observation Date. The Issuer will pay you on the Call Settlement Date 41.042.50 per $1.000 principal amount Note. which is equal to your principal amount plus the Contingent Coupon payment due in connection with the third Observation Date. In addition, because the Closing Price of the Underlier was greater than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon payment of $42.50 on the first Coupon Payment Date. However, because the Closing Price of the Underlier was less than the Coupon Barrier on the second Observation Date, the Issuer will not pay any Contingent Coupon payment on the Coupon Payment Date following the second Observation Date. FWP-4 EFTA00597532 Example 3— Notes Are NOT Automatically Called and the Final Underlier Value* Is Above the Trigger Value Date Closing Price Payment (per Note) First Observation $98.01 Closing Price of Underlie below Initial Underlier Value and above Coupon Date Barrier. Notes NOT automatically called: Issuer pays Contingent Coupon payment of $42.50 on first Coupon Payment Date. Second $86.48 Closing Price of Underlier below Initial Underlie Value and below Coupon Observation Date Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on second Coupon Payment Date. Third $80.72 Closing Price of Underlier below Initial Underlie Value and below Coupon Observation Date Barrier. Notes NOT automatically called: Issuer DOES NOT pay Contingent Coupon payment on third Coupon Payment Date. Final $103.78 Closing Price* of Underlier below Initial Underlier Value and above Coupon Observation Date Barrier. Notes NOT automatically called: Final Underlier Value* above Trigger Value. Issuer repays principal plus pays Contingent Coupon payment of $42.50 on Maturity Date. Total Payment (per $1.000 Note): $1.085.00 (8.50% total return on the Notes) Because the Closing Price of the Undedier was less than the Initial Underlier Value on each Observation Date, the Notes are not automatically called. Because the Final Underlier Value* is greater than or equal to the Coupon Barrier and the Trigger Value, at maturity, the Issuer will pay you 51.042.50 per $1,000 principal amount Note which is equal to your principal amount plus the Contingent Coupon payment due in connection with the Final Observation Date. In addition, because the Closing Price of the Underlier was greater than or equal to the Coupon Barrier on the first Observation Date, the Issuer will pay the Contingent Coupon payment of $42.50 on the first Coupon Payment Date. However, because the Closing Price of the Underlier was less than the Coupon Barrier on the second Observation Date and on the third Observation Date. the Issuer will not pay any Contingent Coupon payment on the Coupon Payment Dates following the second Observation Date or third Observation Date. *The "Closing Price" for purposes of the Final Observation Date, as well as the Final Underlier Value. is equal to the arithmetic average of the Closing Prices of the Underlier on the Avenging Dates, as set forth on the cover of this free writing prospectus. Example 4 — Notes Are NOT Automatically Called and the Final Underlier Value* Is Below the Trigger Value Date Closing Price Payment (per Note) First $86.48 Closing Price of Underlier below Initial Underlier Value and below Coupon Observation Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Date Coupon payment on first Coupon Payment Date. Second $80.72 Closing Price of Underlier below Initial Underlier Value and below Coupon Observation Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Date Coupon payment on second Coupon Payment Date. Third $74.95 Closing Price of Underlier below Initial Underlier Value and below Coupon Observation Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Date Couponppynai third Coupon Payment aDm. Final $57.66 Closing Price* of Underlier below Initial Underlier Value and below Coupon Observation Bather. Notes NOT automatically called: Issuer DOES NOT pay Contingent Date Coupon payment on Maturity Date. The Final Underlier Value' is below the Trigger Value and Barclays Bank PLC will repay less than the principal amount resulting in a loss proportionate to the decline of the Underlie. Total Payment (per $1.009 Note): $500.00 (a 50.00% loss on the Notes) Because the Closing Price of the Underlier is less than the Initial Underlier Value on each Observation Date, the Notes are not automatically called. Because the Final Underlier Value' is less than the Trigger Value, at maturity. the Issuer will pay you a total of 4500.00 per $1,000 principal amount. calculated as follows: 51.000 x (I + Underlier Return) = $1.000 x (1 + -50.00%) = $500.00 In addition, because the Closing Price of the Underlier is less than the Coupon Bather on each Observation Date, the Issuer will not pay any Contingent Coupon payments over the term of the Notes. 'The "Closing Price" for purposes of the Final Observation Date, as well as the Final Underlier Value, is equal to the arithmetic average of the Closing Prices of the Underlier on the Avenging Dates, as set forth on the cover of this free writing prospectus. MVP-5