Barclays (DJP) sells NVDA‑linked STEP notes due Jun 11, 2027 (14% coupon)
Rhea-AI Filing Summary
Barclays is offering STEP Income Securities linked to NVIDIA Corporation with a total public offering price of $12,308,360. The notes are unsecured, unsubordinated obligations of Barclays due June 11, 2027, pay quarterly interest at 14.00% per year, and have a principal amount of $10.00 per unit. Barclays' initial estimated value was $9.677 per unit, below the public offering price; the offering price includes a $0.15 underwriting discount and a $0.05 hedging-related charge.
At maturity the Redemption Amount depends on NVIDIA’s Closing Market Price on the valuation date (scheduled June 4, 2027) and the relationship of the Ending Value to the Step Level $244.25 and Threshold Value $214.25. If Ending Value ≥ Step Level, investors receive principal plus a Step Payment of $0.938 per unit; if Ending Value ≥ Threshold but < Step Level, investors receive principal only; if Ending Value < Threshold, investors participate 1-for-1 in declines and may lose principal. All payments are subject to Barclays’ credit risk and the potential exercise of U.K. Bail-in Power.
Positive
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Insights
Notes offer high coupon but principal is exposed to issuer credit and equity downside.
The notes pay a $10 principal basis with a 14.00% annual coupon and a capped additional Step Payment of $0.938 if NVIDIA meets the Step Level. The economic terms reflect an initial estimated value of $9.677 per unit and explicit underwriting and hedging charges.
The main dependencies are Barclays’ creditworthiness, NVIDIA’s Ending Value on the June 4, 2027 valuation date, and the potential exercise of U.K. Bail-in Power. Secondary‑market liquidity is limited and pricing may include dealer spreads and mark‑ups.
Tax treatment is uncertain; issuer intends to treat notes as prepaid forwards with coupons taxed as ordinary income.
Barclays and its counsel state the notes are intended to be treated as prepaid forward contracts with associated coupons for U.S. federal income tax purposes, with coupon payments treated as ordinary income. Special tax counsel notes alternative treatments may exist and IRS guidance could alter timing or character of income.
The offering also requires consent to possible exercise of U.K. Bail-in Power, which can reduce, convert or cancel payments; holders are bound by that consent as described in the term sheet.
Key Figures
Key Terms
U.K. Bail‑in Power regulatory
Step Payment financial
Price Multiplier financial
Threshold Value financial
Offering Details
Term Sheet (To the Prospectus dated May 15,
2025, the |
Filed
Pursuant to Rule 424(b)(2) Registration Statement No. 333-287303 |
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1,230,836 Units $10 principal amount per unit |
Pricing Date Settlement Date Maturity Date |
May 28, 2026 June 4, 2026 June 11, 2027 |
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STEP Income Securities® Linked to the Common Stock of NVIDIA Corporation § Maturity of approximately one year and one week
§ Interest payable quarterly at the rate of 14.00% per year
§ If the Ending Value is greater than or equal to 114.00% of the Starting Value, a payment of $0.938 per unit
§ 1-to-1 downside exposure to decreases in the common stock of NVIDIA Corporation (the “Market Measure”), with 100% of your principal at risk
§ All payments are subject to the credit risk of Barclays Bank PLC.
§ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See “Structuring the Notes.”
§ Limited secondary market liquidity, with no exchange listing
§ The notes are our unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC. The notes are not covered by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United States, the United Kingdom, or any other jurisdiction.
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The notes are being issued by Barclays Bank PLC (“Barclays”). There are important differences between the notes and a conventional debt security, including different investment risks and certain additional costs. See “Risk Factors” beginning on page TS-7 of this term sheet and “Risk Factors” beginning on page PS-7 of product supplement STEPS-1 and beginning on page S-9 of the prospectus supplement.
Our initial estimated value of the notes, based on our internal pricing models, is $9.677 per unit on the pricing date, which is less than the public offering price listed below. See “Summary” on the following page, “Risk Factors” beginning on page TS-7 of this term sheet and “Structuring the Notes” below for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between Barclays and any holder or beneficial owner of the notes (or the trustee on behalf of the holders of the notes), by acquiring the notes, each holder or 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. All payments are subject to the risk of exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page TS-3 and “Risk Factors” beginning on page TS-7 of this term sheet.
None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
| Per Unit | Total | |
| Public offering price(1) | $ 10.00 | $12,308,360.00 |
| Underwriting discount | $ 0.15 | $184,625.40 |
| Proceeds, before expenses, to Barclays | $ 9.85 | $12,123,734.60 |
| (1) | Plus accrued interest from the scheduled settlement date, if settlement occurs after that date. |
The notes:
| Are Not FDIC Insured | Are Not Bank Guaranteed | May Lose Value |
BofA Securities
May 28, 2026
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Summary
The STEP Income Securities® Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 (the “notes”) are our unsecured and unsubordinated obligations and are not deposit liabilities of Barclays. The notes are not covered by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction. The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit risk of Barclays and to the risk of exercise of any U.K. Bail-in Power (as described herein) or any other resolution measure by any relevant U.K. resolution authority.
The notes provide quarterly interest payments. Additionally, if the Ending Value of the Market Measure, which is the common stock of NVIDIA Corporation (the “Market Measure”), is greater than or equal to the Step Level, you will receive the principal amount of your notes and a payment of $0.938 per unit at maturity. If the Ending Value is less than the Step Level but greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Market Measure, subject to our credit risk. See “Terms of the Notes” below.
On the cover page of this term sheet, we have provided the estimated value for the notes. This estimated value was determined based on our internal pricing models, which take into account a number of variables, including volatility, interest rates and our internal funding rates, which are our internally published borrowing rates and the economic terms of certain related hedging arrangements. This estimated value is less than the public offering price.
The economic terms of the notes (including the Step Payment) are based on our internal funding rates, which may vary from the levels at which our benchmark debt securities trade in the secondary market, and the economic terms of certain related hedging arrangements. The difference between these rates, as well as the underwriting discount, the hedging-related charge and other amounts described below, reduced the economic terms of the notes. For more information about the estimated value and the structuring of the notes, see “Structuring the Notes” below.
| Terms of the Notes | Redemption Amount Determination | ||
| Issuer: | Barclays Bank PLC (“Barclays”) | In addition to interest payable, on the maturity date, you will receive a cash payment per unit determined as follows: | |
| Principal Amount: | $10.00 per unit |  | |
| Term: | Approximately one year and one week | ||
| Market Measure: | The common stock of NVIDIA Corporation (the “Underlying Company”) (Nasdaq symbol: “NVDA”) | ||
| Starting Value: | $214.25 | ||
| Ending Value: | The Closing Market Price of the Market Measure on the valuation date multiplied by the Price Multiplier. The scheduled valuation date is subject to postponement in the event of Market Disruption Events, as described beginning on page PS-22 of product supplement STEPS-1. | ||
| Valuation Date: | June 4, 2027 | ||
| Interest Rate: | 14.00% per year | ||
| Interest Payment Dates: |
September 11, 2026, December 11, 2026, March 11, 2027 and June 11, 2027 | ||
| Step Payment: | $0.938 per unit, which represents a return of 9.38% over the principal amount | ||
| Step Level: | $244.25 (114.00% of the Starting Value, rounded to two decimal places) | ||
| Threshold Value: | $214.25 (100% of the Starting Value) | ||
| Price Multiplier: | 1, subject to adjustment for certain corporate events relating to the Market Measure described beginning on page PS-24 of product supplement STEPS-1 | ||
| Fees and Charges: | The public offering price of the notes includes the underwriting discount of $0.15 per unit listed on the cover page and a hedging-related charge of $0.05 per unit described in “Structuring the Notes” below. | ||
| Calculation Agents: | Barclays and BofA Securities, Inc. (“BofAS”) | ||
| STEP Income Securities® | TS-2 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
The terms and risks of the notes are contained in this term sheet and in the following:
| § | Product supplement STEPS-1 dated November 14, 2025: http://www.sec.gov/Archives/edgar/data/312070/000095010325014739/dp237335_424b2-steps1.htm |
| § | Series A MTN prospectus supplement dated May 15, 2025: http://www.sec.gov/Archives/edgar/data/312070/000095010325006051/dp228678_424b2-prosupp.htm |
| § | Prospectus dated May 15, 2025: http://www.sec.gov/Archives/edgar/data/312070/000119312525120720/d925982d424b2.htm |
These documents (together, the “Note Prospectus”) have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or obtained from us, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) or BofAS by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement STEPS-1. Unless otherwise indicated or unless the context requires otherwise, all references in this term sheet to “we,” “us,” “our” or similar references are to Barclays.
“STEP Income Securities®” and “STEPS®” are the registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.
Consent to U.K. Bail-in Power
Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between us and any holder or beneficial owner of the notes (or the trustee on behalf of the holders of the notes), by acquiring the notes, each holder or beneficial owner of the notes acknowledges, accepts, agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority.
Under the U.K. Banking Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case of a U.K. banking group company that is a European Economic Area (“EEA”) or third country institution or investment firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect of that entity.
The U.K. Bail-in Power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of the principal amount of, or interest on, or any other amounts payable on, the notes; (ii) the conversion of all, or a portion, of the principal amount of, or interest on, or any other amounts payable on, the notes into shares or other securities or other obligations of Barclays or another person (and the issue to, or conferral on, the holder or beneficial owner of the notes of such shares, securities or obligations); (iii) the cancellation of the notes and/or (iv) the amendment or alteration of the maturity of the notes, or the amendment of the amount of interest or any other amounts due on the notes, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation of the terms of the notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in Power. Each holder and beneficial owner of the notes further acknowledges and agrees that the rights of the holders or beneficial owners of the notes are subject to, and will be varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority. For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders or beneficial owners of the notes may have at law if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable in England.
For more information, please see “Risk Factors—Issuer-related Risks—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised by the Relevant U.K. Resolution Authority” in this term sheet as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
| STEP Income Securities® | TS-3 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Investor Considerations
| You may wish to consider an investment in the notes if: | The notes may not be an appropriate investment for you if: | |
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§ You anticipate that the Ending Value will be greater than or equal to the Threshold Value.
§ You seek interest payments on your investment.
§ You accept that the maximum return on the notes is limited to the sum of the quarterly interest payments and the Step Payment, if any.
§ You are willing to risk a loss of principal and return if the Market Measure decreases from the Starting Value to an Ending Value that is below the Threshold Value.
§ You are willing to forgo dividends and other benefits of directly owning the Market Measure.
§ You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness, the inclusion in the public offering price of the underwriting discount, the hedging-related charge and other amounts, as described above.
§ You are willing and able to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
§ You are willing and able to consent to the exercise of any U.K. Bail-in Power by U.K. resolution authorities.
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§ You anticipate that the Ending Value will be less than the Threshold Value.
§ You anticipate that the price of the Market Measure will increase substantially and do not want a return that is limited to the sum of the quarterly interest payments and the Step Payment, if any.
§ You seek principal repayment or preservation of capital.
§ In addition to periodic interest payments, you seek an additional guaranteed return above the principal amount.
§ You want to receive dividends or have other benefits of directly owning the Market Measure.
§ You seek an investment for which there will be a liquid secondary market.
§ You are unwilling or unable to take market risk on the notes or to take our credit risk as issuer of the notes.
§ You are unwilling or unable to consent to the exercise of any U.K. Bail-in Power by U.K. resolution authorities.
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We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the notes.
| STEP Income Securities® | TS-4 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Hypothetical Payments at Maturity
The following examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical payments on the notes. The actual amount you receive and the resulting return will depend on the actual Starting Value, Threshold Value, Ending Value and Step Level. The following examples do not take into account any tax consequences from investing in the notes. These examples are based on:
| (1) | a hypothetical Starting Value of 100.00; |
| (2) | a hypothetical Threshold Value of 100.00; |
| (3) | a hypothetical Step Level of 114.00; |
| (4) | the Step Payment of $0.938 per unit; |
| (5) | a term of the notes of approximately one year and one week; and |
| (6) | the interest rate of 14.00% per year. |
The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only, and does not represent the actual Starting Value for the Market Measure. For recent actual prices of the Market Measure, see “The Market Measure” section below. In addition, all payments on the notes are subject to issuer credit risk.
Example 1
The Ending Value is 120.00 (120.00% of the Starting Value)
The Ending Value is greater than the Step Level. Consequently, in addition to the quarterly interest payments, you will receive on the maturity date the principal amount of your notes plus the Step Payment of $0.938 per unit. The Redemption Amount per unit on the maturity date will therefore be equal to $10.938 ($10.00 plus the Step Payment of $0.938 per unit).
Example 2
The Ending Value is 105.00 (105.00% of the Starting Value)
The Ending Value is greater than the Starting Value and the Threshold Value but less than the Step Level. Consequently, you will receive the quarterly interest payments, but you will not receive the Step Payment on the maturity date. The Redemption Amount per unit on the maturity date will therefore be equal to $10.00.
Example 3
The Ending Value is 70.00 (70.00% of the Starting Value)
The Ending Value is less than the Starting Value and the Threshold Value. Consequently, you will receive the quarterly interest payments, but you will not receive the Step Payment on the maturity date, and you will participate on a 1-for-1 basis in the decrease in the price of the Market Measure. The Redemption Amount per unit will equal:
On the maturity date, you will receive the Redemption Amount per unit of $7.00.
| STEP Income Securities® | TS-5 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Summary of the Hypothetical Examples
| Example 1 | Example 2 | Example 3 | |
| The Ending Value is greater than or equal to the Step Level |
The Ending Value is less than the Step Level but greater than or equal to the Starting Value and the Threshold Value |
The Ending Value is less than the Starting Value and the Threshold Value | |
| Starting Value | 100.00 | 100.00 | 100.00 |
| Ending Value | 120.00 | 105.00 | 70.00 |
| Step Level | 114.00 | 114.00 | 114.00 |
| Threshold Value | 100.00 | 100.00 | 100.00 |
| Interest Rate (per year) |
14.00% | 14.00% | 14.00% |
| Step Payment | $0.938 | $0.00 | $0.00 |
| Redemption Amount per Unit |
$10.938 | $10.00 | $7.00 |
| Total Return of the Market Measure(1) |
20.02% | 5.02% | -29.98% |
| Total Return on the Notes(2) |
23.65% | 14.27% | -15.73% |
| (1) | The total return of the Market Measure assumes: |
| (a) | the percentage change in the price of the Market Measure from the Starting Value to the Ending Value; |
| (b) | a constant dividend yield of 0.02% per year; and |
| (c) | no transaction fees or expenses. |
| (2) | The total return on the notes includes interest paid on the notes and assumes an expected term of the notes of approximately one year and one week. |
| STEP Income Securities® | TS-6 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-7 of product supplement STEPS-1 and page S-9 of the Series A MTN prospectus supplement identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Structure-related Risks
| § | Depending on the performance of the Market Measure as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal. |
| § | Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity. |
| § | You will not receive a Step Payment at maturity unless the Ending Value is greater than or equal to the Step Level. |
| § | Your investment return is limited to the return represented by the periodic interest payments over the term of the notes and the Step Payment, if any, and may be less than a comparable investment directly in the Market Measure. |
Issuer-related Risks
| § | Payments on the notes are subject to our credit risk, and any actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment. |
| § | You may lose some or all of your investment if any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority. Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between Barclays and any holder or beneficial owner of the notes (or the trustee on behalf of the holders of the notes), by acquiring the notes, each holder or 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 term sheet. 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 term sheet as well as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the Group is failing or likely to fail, including the exercise by the relevant U.K. resolution authority of a variety of statutory resolution powers, could materially adversely affect the value of any securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement. |
Valuation- and Market-related Risks
| § | The estimated value of your notes is based on our internal pricing models. 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. These variables and assumptions are not evaluated or verified on an independent basis and may prove to be inaccurate. Different pricing models and assumptions of different financial institutions could provide valuations for the notes that are different from our estimated value. |
| § | The estimated value is based on a number of variables, including volatility, interest rates and 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 in this term sheet may be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market. |
| § | The estimated value of your notes is lower than the public offering price of your notes. This difference is a result of certain factors, such as the inclusion in the public offering price of the underwriting discount, the hedging-related charge, the estimated profit, if any, that we or any of our affiliates expect to earn in connection with structuring the notes, and the estimated cost which we may incur in hedging our obligations under the notes, as further described in “Structuring the Notes” below. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for the notes and lower than the estimated value because the secondary market prices take into consideration the levels at which our debt securities trade in the secondary market, but do not take into account such fees, charges and other amounts. |
| § | The estimated value of the notes is not a prediction of the prices at which MLPF&S, BofAS or its affiliates, or any of our affiliates or any other third parties may be willing to purchase the notes from you in secondary market transactions. 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 size trades, and may be substantially less than our estimated value of the notes. Any sale prior to the maturity date could result in a substantial loss to you. |
| STEP Income Securities® | TS-7 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
| § | A trading market is not expected to develop for the notes. None of us, MLPF&S, BofAS or our respective affiliates is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market. |
Conflict-related Risks
| § | Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in the Market Measure), and any hedging and trading activities we, MLPF&S, BofAS or our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with you. |
| § | There may be potential conflicts of interest involving the calculation agents, which are Barclays and BofAS. We have the right to appoint and remove the calculation agents. |
Market Measure-related Risks
| § | The Underlying Company will have no obligations relating to the notes, and none of us, MLPF&S or BofAS will perform any due diligence procedures with respect to the Underlying Company in connection with this offering. |
| § | You will have no rights of a holder of the Market Measure, and you will not be entitled to receive shares of the Market Measure or dividends or other distributions by the Underlying Company. |
| § | While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of the Underlying Company, we, MLPF&S, BofAS and our respective affiliates do not control the Underlying Company, and have not verified any disclosure made by the Underlying Company. |
| § | The Redemption Amount will not be adjusted for all corporate events that could affect the Market Measure. See “Description of the Notes—Anti-Dilution Adjustments” beginning on page PS-24 of product supplement STEPS-1. |
Tax-related Risks
| § | The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a U.S. investor of the notes. See “Tax Consequences” below. |
| STEP Income Securities® | TS-8 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
The Market Measure
We have derived the following information from publicly available documents. We have not independently verified the accuracy or completeness of the following information. NVIDIA Corporation is a data center scale AI infrastructure company whose technology stack includes the NVIDIA CUDA development platform that runs on all of its graphics processing units (GPUs), as well as domain-specific software libraries, frameworks, algorithms, software development kits and application programming interfaces.
Because the Market Measure is registered under the Securities Exchange Act of 1934, the Underlying Company is required to file periodically certain financial and other information specified by the SEC. Information provided to or filed with the SEC by the Underlying Company can be located through the SEC’s website at http://www.sec.gov by reference to SEC CIK number 0001045810.
This term sheet relates only to the notes and does not relate to the Market Measure or to any other securities of the Underlying Company. None of us, MLPF&S, BofAS or any of our respective affiliates has participated or will participate in the preparation of the Underlying Company’s publicly available documents. None of us, MLPF&S, BofAS or any of our respective affiliates has made any due diligence inquiry with respect to the Underlying Company in connection with the offering of the notes. None of us, MLPF&S, BofAS or any of our respective affiliates makes any representation that the publicly available documents or any other publicly available information regarding the Underlying Company are accurate or complete. Furthermore, there can be no assurance that all events occurring prior to the date of this term sheet, including events that would affect the accuracy or completeness of these publicly available documents that would affect the trading price of the Market Measure, have been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events concerning the Underlying Company could affect the value of the Market Measure and therefore could affect your return on the notes. The selection of the Market Measure is not a recommendation to buy or sell the Market Measure.
The Market Measure trades on The Nasdaq Stock Market under the symbol “NVDA.”
The following graph shows the daily historical performance of the Market Measure in the period from January 1, 2016 through May 28, 2026. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On May 28, 2026, the Closing Market Price of the Market Measure was $214.25. The graph below may reflect adjustments in response to certain corporate actions, such as stock splits and reverse stock splits.
Historical Performance of the Market Measure
This historical data on the Market Measure is not necessarily indicative of the future performance of the Market Measure or what the value of the notes may be. Any historical upward or downward trend in the price per share of the Market Measure during any period set forth above is not an indication that the price per share of the Market Measure is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the prices and trading pattern of the Market Measure.
| STEP Income Securities® | TS-9 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Supplement to the Plan of Distribution
Under our distribution agreement with BofAS, BofAS will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
BofAS has advised us that MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on the cover of this term sheet.
We will pay a fee to LFT Securities, LLC for providing certain electronic platform services with respect to this offering, which reduces the economic terms of the notes to you. An affiliate of BofAS has an ownership interest in LFT Securities, LLC.
We will deliver the notes against payment therefor in New York, New York on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than one business day prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these prices will include MLPF&S’s and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is obligated to engage in any such transactions. BofAS has advised us that, at MLPF&S’s and BofAS’s discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes. Any price offered by MLPF&S or BofAS for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Market Measure, the remaining term of the notes and our creditworthiness. However, none of us, MLPF&S, BofAS or any of our respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
The value of the notes shown on your account statement produced by MLPF&S will be based on BofAS’s estimate of the value of the notes if BofAS or another of its affiliates were to make a market in the notes, which it is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market conditions and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding Barclays or for any purpose other than that described in the immediately preceding sentence.
| STEP Income Securities® | TS-10 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Structuring the Notes
The notes are our debt securities, the return on which is linked to the performance of the Market Measure. As is the case for all of our debt securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. The economic terms of the notes are based on 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. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the pricing date was based on our internal funding rates. Our estimated value of the notes may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Payments on the notes, including the interest payments on the notes and the Redemption Amount, will be calculated based on the $10 per unit principal amount. The Redemption Amount will depend on the performance of the Market Measure. In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, including MLPF&S, BofAS and their or our affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Market Measure, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of these hedging arrangements, any estimated profit that we or any of our affiliates expect to earn in connection with structuring the notes and estimated costs which we may incur in hedging our obligations under the notes.
BofAS has advised us that the hedging arrangements will include a hedging-related charge of approximately $0.05 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by us, BofAS or any third party hedge providers.
For further information, see “Risk Factors—Valuation- and Market-related Risks” beginning on page PS-9 and “Use of Proceeds and Hedging” on page PS-18 of product supplement STEPS-1.
| STEP Income Securities® | TS-11 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Tax Consequences
You should review carefully the sections in the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward or Derivative Contracts with Associated Coupons” and, if you are a non-U.S. holder (as defined in the accompanying prospectus supplement), “—Tax Consequences to Non-U.S. Holders.”
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 coupons and (ii) the associated 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 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 redemption at maturity), you should recognize capital gain or loss equal to the difference between the amount you realize (other than any coupon payment or sales proceeds attributable to an accrued coupon, which we intend to treat as described above) and the amount you paid to acquire the notes. This gain or loss should be long-term capital gain or loss if you hold the notes for more than one year, whether or not you are an initial purchaser of the notes at the issue price. The deductibility of capital losses is subject to limitations. You should consult your tax advisor concerning the treatment of the coupons, including the possibility that they may not be treated as fully includible in income on a current basis. This treatment would affect the amount of your gain or loss upon the taxable disposition of the notes.
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 associated coupon payments to non-U.S. holders as subject to U.S. withholding tax. However, non-U.S. holders should in any event expect to be required to provide appropriate Forms W-8 or other documentation in order to establish an exemption from backup withholding, as described under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Treasury regulations under Section 871(m) generally impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the notes do not have a “delta of one” within the meaning of the regulations, our special tax counsel is of the opinion that these regulations should not apply to the notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax advisor regarding the potential application of Section 871(m) to the notes.
| STEP Income Securities® | TS-12 |
| STEP Income Securities® |
| Linked to the Common Stock of NVIDIA Corporation, due June 11, 2027 |
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to Barclays Bank PLC, when the notes offered by this pricing supplement have been executed and issued by Barclays Bank PLC and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of Barclays Bank PLC, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions or application giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) the validity, legally binding effect or enforceability of any provision that permits holders to collect any portion of the stated principal amount upon acceleration of the notes to the extent determined to constitute unearned interest. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by English law, Davis Polk & Wardwell LLP has relied, with Barclays Bank PLC’s permission, on the opinion of Davis Polk & Wardwell London LLP, dated as of May 15, 2025, filed as an exhibit to the Registration Statement on Form F-3ASR by Barclays Bank PLC on May 15, 2025, and this opinion is subject to the same assumptions, qualifications and limitations as set forth in such opinion of Davis Polk & Wardwell London LLP. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP, dated May 15, 2025, which has been filed as an exhibit to the Registration Statement referred to above.
| STEP Income Securities® | TS-13 |