Barclays (DJP) offers $10 Autocallable STARs® linked to GDX/SLV
Rhea-AI Filing Summary
Barclays Bank PLC is offering Autocallable Strategic Accelerated Redemption Securities® (STARs®) linked to a 50/50 basket of the VanEck Gold Miners ETF (GDX) and the iShares Silver Trust (SLV). The notes trade at a $10.00 per unit public offering price with proceeds to Barclays of $9.80 per unit. They have an expected approximately five-year term (if not auto‑called on earlier Observation Dates) and may be automatically called on annual Observation Dates if the Basket equals or exceeds the Call Level. Barclays estimates the notes' initial value between $8.665 and $9.465 per unit. Payments (including principal) depend on the Basket performance and are subject to Barclays' credit risk and the exercise of any U.K. Bail-in Power, to which purchasers consent by acquiring the notes.
Positive
- None.
Negative
- None.
Insights
Notes combine autocall feature with commodity‑linked ETF exposure and issuer credit risk.
The notes provide contingent upward payouts via annual automatic calls tied to a Basket equally weighted between GDX and SLV, with example Call Premiums shown for each Observation Date. The estimated initial value range is below the public offering price, reflecting underwriting and hedging charges and Barclays' internal funding rates.
Key dependencies include the Basket's observation‑date levels, Barclays' creditworthiness and potential exercise of U.K. Bail-in Power. Subsequent filings will state final Call Amounts, pricing date, and actual hedging terms.
Tax treatment is presented as prepaid forward contracts; regulatory bail‑in consent is a material contractual term.
The issuer's counsel views the notes as prepaid forward contracts for U.S. federal income tax purposes, producing capital gain/loss treatment on sale or redemption if that view is respected. The filing highlights IRS/Treasury commentary from 2007 and possible changes that could affect tax treatment.
The prospectus requires investor consent to potential U.K. Bail-in Power, which may write down or convert amounts payable; that consent is a contractual condition attached to purchase.
Key Figures
Key Terms
U.K. Bail-in Power regulatory
Autocallable Strategic Accelerated Redemption Securities® (STARs®) financial
prepaid forward contracts tax
Price Multiplier financial
Offering Details
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Preliminary Term Sheet (To the Prospectus dated May 15, 2025, the Prospectus Supplement dated May 15, 2025 and Product Supplement EQUITY STR-1 dated February 11, 2026) |
Subject to Completion Dated July 2, 2026 |
Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-287303 |
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Units $10 principal amount per unit |
Pricing Date* Settlement Date* Maturity Date* |
July , 2026 July , 2026 July , 2031 |
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*Subject to change based on the actual date the notes are priced for initial sale to the public (the “pricing date”) | |
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Autocallable Strategic Accelerated Redemption Securities® Linked to a Basket of Two ETFs § Automatically callable if the value of the Basket (as defined below) on any Observation Date, occurring approximately one, two, three, four and five years after the pricing date, is at or above the Starting Value. If the notes are called, on the relevant Call Payment Date you will receive the applicable Call Amount, and no further amounts will be payable on the notes. § In the event of an automatic call, the amount payable per unit will be: § [$11.65 to $11.75] if called on the first Observation Date § [$13.30 to $13.50] if called on the second Observation Date § [$14.95 to $15.25] if called on the third Observation Date § [$16.60 to $17.00] if called on the fourth Observation Date § [$18.25 to $18.75] if called on the final Observation Date § The Basket will be composed of the VanEck® Gold Miners ETF and the iShares® Silver Trust (the “Basket Components”). Each of the Basket Components will be given an equal weight. § If not called on any of the first four Observation Dates, a maturity of approximately five years § If not called on any of the Observation Dates, 1-to-1 downside exposure to decreases in the Basket, with 100% of your principal at risk § All payments are subject to the credit risk of Barclays Bank PLC. § No periodic interest payments § 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. |
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” and “Additional Risk Factors” beginning on page TS-7 of this term sheet and “Risk Factors” beginning on page PS-7 of product supplement EQUITY STR-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 expected to be between $8.665 and $9.465 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 | $ |
| Underwriting discount(1) | $ 0.20 | $ |
| Proceeds, before expenses, to Barclays | $ 9.80 | $ |
| (1) | For any purchase of 300,000 units or more in a single transaction by an individual investor or in combined transactions with the investor’s household in this offering, the public offering price and the underwriting discount will be $9.95 per unit and $0.15 per unit, respectively. See “Supplement to the Plan of Distribution” below. |
The notes:
| Are Not FDIC Insured | Are Not Bank Guaranteed | May Lose Value |
BofA Securities
July , 2026
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Summary
The Autocallable Strategic Accelerated Redemption Securities® Linked to a Basket of Two ETFs, due July , 2031 (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 will be automatically called if the Observation Level of the Market Measure, which is the basket of two exchange-traded funds described below (the “Basket”), on any Observation Date is equal to or greater than the Call Level. If your notes are called, you will receive the applicable Call Amount on the related Call Payment Date, and no further amounts will be payable on the notes. If your notes are not called on any Observation Date, at maturity 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 Basket, subject to our credit risk. See “Terms of the Notes” below.
The Basket will be composed of the VanEck® Gold Miners ETF and the iShares® Silver Trust (each a “Basket Component”). On the pricing date, each of the Basket Components will be given an equal weight.
On the cover page of this term sheet, we have provided the estimated value range for the notes. This range of estimated values 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. The notes are subject to an automatic call, and the initial estimated value is based on an assumed tenor of the notes. This range of estimated values may not correlate on a linear basis with the range of Call Amounts and Call Premiums for the notes. The estimated value of the notes calculated on the pricing date is expected to be less than the public offering price and will be set forth in the final term sheet made available to investors in the notes.
The economic terms of the notes (including the Call Amounts and Call Premiums) 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, will reduce 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 | |
| Issuer: | Barclays Bank PLC (“Barclays”) |
| Principal Amount: | $10.00 per unit |
| Term: | Approximately five years, if not called on any of the first four Observation Dates |
| Market Measure: | An equally weighted basket composed of the VanEck® Gold Miners ETF (Bloomberg symbol: “GDX”) and the iShares® Silver Trust (Bloomberg symbol: “SLV”) |
| Starting Value: | The Starting Value will be set to 100.00 on the pricing date. |
| Ending Value: | The Observation Level of the Basket on the final Observation Date |
| Observation Level: | The value of the Basket on the applicable Observation Date, calculated as specified in “The Basket” below |
| Observation Dates: | On or about July , 2027, July , 2028, July , 2029, July , 2030 and July , 2031 (the final Observation Date), approximately one, two, three, four and five years after the pricing date. The scheduled Observation Dates are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-25 of product supplement EQUITY STR-1. |
| Call Level: | 100% of the Starting Value |
| Call Amounts (per Unit) and Call Premiums: | [$11.65 to $11.75], representing a Call Premium of [16.50% to 17.50%] of the principal amount, if called on the first Observation Date; [$13.30 to $13.50], representing a Call Premium of [33.00% to 35.00%] of the principal amount, if called on the second Observation Date; [$14.95 to $15.25], representing a Call Premium of [49.50% to 52.50%] of the principal amount, if called on the third Observation Date; [$16.60 to $17.00], representing a Call Premium of [66.00% to 70.00%] of the principal amount, if called on the fourth Observation Date; and [$18.25 to $18.75], representing a Call Premium of [82.50% to 87.50%] of the principal amount, if called on the final Observation Date. The actual Call Amounts and Call Premiums will be determined on the pricing date. |
| Call Settlement Dates: | Approximately the fifth business day following the applicable Observation Date, subject to postponement if the related Observation Date is postponed, as described on page PS-25 of product supplement EQUITY STR-1; provided, however, that the Call Settlement Date related to the final Observation Date will be the maturity date |
| Threshold Value: | 100% of the Starting Value |
| Price Multiplier: | For each Basket Component, 1, subject to adjustment for certain events relating to that Basket Component, as described beginning on page PS-31 of product supplement EQUITY STR-1 |
| Fees and Charges: | The public offering price of the notes includes the underwriting discount of $0.20 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”) |
Payment Determination
Automatic Call Provision:
Redemption Amount Determination:
If the notes are not called you will receive the Redemption Amount per unit on the maturity date, determined as follows:
Because the Threshold Value for the notes is equal to the Starting Value, you will lose all or a portion of your investment if the Ending Value is less than the Starting Value.
| Autocallable Strategic Accelerated Redemption Securities® | TS-2 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The terms and risks of the notes are contained in this term sheet and in the following:
| § | Product supplement EQUITY STR-1 dated February 11, 2026: http://www.sec.gov/Archives/edgar/data/312070/000095010326001964/dp241434_424b2-equitystr1.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 EQUITY STR-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.
“Autocallable Strategic Accelerated Redemption Securities®” and “STARs®” 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.
| Autocallable Strategic Accelerated Redemption Securities® | TS-3 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Investor Considerations
You may wish to consider an investment in the notes if:
| § | You anticipate that the Observation Level of the Basket on any of the Observation Dates will be equal to or greater than the Call Level and, in that case, you accept an early exit from your investment. |
| § | You accept that any positive return on the notes will be limited to the return represented by the applicable Call Premium even if the percentage change in the value of the Basket is greater than the applicable Call Premium. |
| § | If the notes are not automatically called, you accept that your investment will result in a loss, which could be significant. |
| § | You are willing to forgo the interest payments that are paid on conventional interest-bearing debt securities. |
| § | You are willing to forgo dividends and other benefits of directly owning shares of the Basket Components or the securities and/or commodity held by the Basket Components. |
| § | You are willing to accept a limited or no market for sales of the notes 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 Call Amounts and 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. |
The notes may not be an appropriate investment for you if:
| § | You wish to make an investment that cannot be automatically called prior to maturity. |
| § | You anticipate that the Observation Level of the Basket will be less than the Call Level on each Observation Date. |
| § | You anticipate that the notes will not be automatically called and the value of the Basket will decrease from the Starting Value to the Ending Value. |
| § | You seek an uncapped return on your investment. |
| § | You seek principal repayment or preservation of capital. |
| § | You seek interest payments or other current income on your investment. |
| § | You want to receive dividends or have other benefits of directly owning shares of the Basket Components or the securities and/or commodity held by the Basket Components. |
| § | 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. |
We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the notes.
| Autocallable Strategic Accelerated Redemption Securities® | TS-4 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Examples of Hypothetical Payments
The following examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the notes. They illustrate the calculation of the Call Amount or Redemption Amount, as applicable, based on the hypothetical terms set forth below. The actual amount you receive and the resulting return will depend on the actual Observation Levels and Call Premiums, and the term of your investment. The following examples do not take into account any tax consequences from investing in the notes. These examples are based on:
| (1) | the Starting Value of 100.00; |
| (2) | the Threshold Value of 100.00; |
| (3) | the Call Level of 100.00; |
| (4) | an expected term of the notes of approximately five years, if the notes are not called on any of the first four Observation Dates; |
| (5) | a Call Premium of 17.00% of the principal amount if the notes are called on the first Observation Date; 34.00% of the principal amount if called on the second Observation Date; 51.00% of the principal amount if called on the third Observation Date; 68.00% of the principal amount if called on the fourth Observation Date; and 85.00% of the principal amount if called on the final Observation Date (in each case, the midpoint of the applicable Call Premium ranges); and |
| (6) | Observation Dates occurring approximately one, two, three, four and five years after the pricing date. |
For recent hypothetical historical values of the Basket, see “The Basket” section below. For recent actual prices of the Basket Components, see “The Basket Components” section below. The value of the Basket will not include any income generated by dividends paid on the Basket Components, which you would otherwise be entitled to receive if you invested in the Basket Components directly. In addition, all payments on the notes are subject to issuer credit risk.
| Autocallable Strategic Accelerated Redemption Securities® | TS-5 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Notes Are Called on an Observation Date
The notes will be called at $10.00 plus the applicable Call Premium on one of the Observation Dates if the relevant Observation Level is equal to or greater than the Call Level. After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 1 - The Observation Level on the first Observation Date is 150.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $1.70 = $11.70 per unit. After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 2 - The Observation Level on the first Observation Date is below the Call Level, but the Observation Level on the second Observation Date is 105.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $3.40 = $13.40 per unit. After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 3 - The Observation Levels on the first and second Observation Dates are below the Call Level, but the Observation Level on the third Observation Date is 105.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $5.10 = $15.10 per unit. After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 4 - The Observation Levels on the first, second and third Observation Dates are below the Call Level, but the Observation Level on the fourth Observation Date is 105.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $6.80 = $16.80 per unit. After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 5 - The Observation Levels on the first, second, third and fourth Observation Dates are below the Call Level, but the Observation Level on the fifth and final Observation Date is 105.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $8.50 = $18.50 per unit.
Notes Are Not Called on Any Observation Date
Example 6 - The notes are not called on any Observation Date and the Ending Value is less than the Threshold Value. The Redemption Amount will be less, and possibly significantly less, than the principal amount. For example, if the Ending Value is 50.00, the Redemption Amount per unit will be:
| Summary of the Hypothetical Examples | ||||||
| Notes Are Called on an Observation Date | Notes Are Not Called on Any Observation Date | |||||
| Example 1 | Example 2 | Example 3 | Example 4 | Example 5 | Example 6 | |
| Starting Value | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 |
| Call Level | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 |
| Threshold Value | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 |
| Observation Level on the first Observation Date | 150.00 | 78.00 | 78.00 | 78.00 | 78.00 | 78.00 |
| Observation Level on the second Observation Date | N/A | 105.00 | 78.00 | 78.00 | 78.00 | 78.00 |
| Observation Level on the third Observation Date | N/A | N/A | 105.00 | 78.00 | 78.00 | 78.00 |
| Observation Level on the fourth Observation Date | N/A | N/A | N/A | 105.00 | 78.00 | 78.00 |
| Observation Level on the final Observation Date | N/A | N/A | N/A | N/A | 105.00 | 50.00 |
| Return of the Market Measure | 50.00% | 5.00% | 5.00% | 5.00% | 5.00% | -50.00% |
| Return of the Notes | 17.00% | 34.00% | 51.00% | 68.00% | 85.00% | -50.00% |
| Call Amount / Redemption Amount per Unit | $11.70 | $13.40 | $15.10 | $16.80 | $18.50 | $5.00 |
| Autocallable Strategic Accelerated Redemption Securities® | TS-6 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
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 EQUITY STR-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
| § | If the notes are not automatically called, your investment will 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. |
| § | Your investment return is limited to the return represented by the Call Premiums and may be less than a comparable investment directly in shares of the Basket Components or the securities and/or commodity held by the Basket Components. |
| § | Changes in the price of one Basket Component may be offset by changes in the price of the other Basket Component. |
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 expected to be lower than the public offering price of your notes. This difference is expected as 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. |
| Autocallable Strategic Accelerated Redemption Securities® | TS-7 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
| § | The estimated value of the notes will not be 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. |
| § | 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 shares of the Basket Components or the securities and/or commodity held by the Basket Components), 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. |
Basket-related Risks
| § | The sponsor and advisor of a Basket Component may adjust the Basket Component in a way that could adversely affect the value of the notes and the amount payable on the notes, and these entities have no obligation to consider your interests. |
| § | You will have no rights of a holder of shares of the Basket Components or the securities held by the VanEck® Gold Miners ETF or any rights with respect to the commodity held by the iShares® Silver Trust, and you will not be entitled to receive shares of the Basket Components or dividends or other distributions by the Basket Components or the issuers of those securities. |
| § | While we, MLPF&S, BofAS or our respective affiliates may from time to time own shares of the Basket Components or the securities and/or commodity held by the Basket Components, we, MLPF&S, BofAS and our respective affiliates do not control any Basket Component or the issuers of those securities, and have not verified any disclosure made by any other company. |
| § | There are liquidity and management risks associated with the Basket Components. |
| § | The performance of a Basket Component may not correlate with the performance of the securities or commodity held by that Basket Component as well as the net asset value per share of that Basket Component, especially during periods of market volatility when the liquidity and the market price of shares of the Basket Component and/or the securities or commodity held by that Basket Component may be adversely affected, sometimes materially. |
| § | If the liquidity of the commodity held by the iShares® Silver Trust is limited, the value of the Basket and, therefore, the return on the notes would likely be impaired. |
| § | Suspension or disruptions of market trading in the commodity held by the iShares® Silver Trust may adversely affect the value of your notes. |
| § | The notes will not be regulated by the U.S. Commodity Futures Trading Commission. |
| § | The payments on the notes will not be adjusted for all corporate events that could affect a Basket Component. See “Description of the Notes—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds” in product supplement EQUITY STR-1. |
Tax-related Risks
| § | The U.S. federal income tax consequences of an investment in the notes are uncertain. There is no direct legal authority regarding the proper U.S. federal income tax treatment of the notes, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS or a court might not agree with the treatment of the notes as prepaid forward contracts, as described below under “Tax Consequences.” If the IRS were successful in asserting an alternative treatment for the notes, the tax consequences of the ownership and disposition of the notes could be materially and adversely affected. |
In addition, in 2007 the Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should review carefully the sections of the accompanying prospectus supplement entitled “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders,” and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the notes (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
| Autocallable Strategic Accelerated Redemption Securities® | TS-8 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Additional Risk Factors
| (A) | An investment in the notes is subject to risks associated with the gold and silver mining industries with respect to the VanEck® Gold Miners ETF. All or substantially all of the equity securities held by the VanEck® Gold Miners ETF are issued by companies whose primary line of business is associated with the gold and/or silver mining industries. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. Investments related to gold and silver are considered speculative and are affected by a variety of factors. Competitive pressures may have a significant effect on the financial condition of gold and silver mining companies. Also, gold and silver mining companies are highly dependent on the price of gold and silver bullion, respectively, and may be adversely affected by a variety of worldwide economic, financial and political factors. The price of gold and silver may fluctuate substantially over short periods of time, so the VanEck® Gold Miners ETF’s share price may be more volatile than other types of investments. Fluctuation in the prices of gold and silver may be due to a number of factors, including changes in inflation, changes in currency exchange rates and changes in industrial and commercial demand for metals (including fabricator demand). Additionally, increased environmental or labor costs may depress the value of metal investments. These factors could affect the gold and silver mining industries and could affect the value of the equity securities held by the VanEck® Gold Miners ETF and the price of the VanEck® Gold Miners ETF during the term of the notes, which may adversely affect the value of the notes. |
| (B) | An investment in the notes is subject to risks relating to non-U.S. markets with respect to the VanEck® Gold Miners ETF. Some of the equity securities held by the VanEck® Gold Miners ETF have been issued by non-U.S. companies in non-U.S. securities markets. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. |
| (C) | An investment in the notes is subject to risks relating to emerging markets with respect to the VanEck® Gold Miners ETF. Some of the equity securities held by the VanEck® Gold Miners ETF have been issued by companies based in emerging markets. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets generally. Countries with emerging markets may have relatively unstable financial markets and governments; may present the risks of nationalization of businesses; may impose restrictions on currency conversion, exports or foreign ownership and prohibitions on the repatriation of assets; may pose a greater likelihood of regulation by the national, provincial and local governments of the emerging market countries, including the imposition of currency exchange laws and taxes; and may have less protection of property rights, less access to legal recourse and less comprehensive financial reporting and auditing requirements than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions. The currencies of emerging markets may also be less liquid and more volatile than those of developed markets and may be affected by political and economic developments in different ways than developed markets. The foregoing factors may adversely affect the performance of companies based in emerging markets. |
| (D) | The value of the VanEck® Gold Miners ETF is subject to currency exchange risk. Because some of the securities composing the VanEck® Gold Miners ETF are denominated in non-U.S. currencies and are converted into U.S. dollars for purposes of calculating the value of the VanEck® Gold Miners ETF, the value of the VanEck® Gold Miners ETF will be exposed to the currency exchange rate risk with respect to each of those non-U.S. currencies relative to the U.S. dollar. An investor’s net exposure will depend on the extent to which each of those non-U.S. currencies strengthens or weakens against the U.S. dollar and the relative weight of the securities denominated in those non-U.S. currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those non-U.S. currencies, the value of the VanEck® Gold Miners ETF and the value of the notes will be adversely affected. |
| (E) | Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally. The iShares® Silver Trust holds a single commodity and not a diverse basket of commodities or components of a broad-based commodity index. The iShares® Silver Trust’s assets may not correlate to the price of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the notes carry greater risk and may be more volatile than notes linked to the prices of more commodities or a broad-based commodity index. |
| (F) | Silver prices are characterized by high and unpredictable volatility, which could lead to high and unpredictable volatility in the iShares® Silver Trust. The investment objective of the iShares® Silver Trust is to reflect the performance of |
| Autocallable Strategic Accelerated Redemption Securities® | TS-9 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
the price of silver, less the iShares® Silver Trust’s expenses. The price of silver is primarily affected by the global demand for and supply of silver. The market for silver is global, and silver prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of silver is usually quoted), interest rates, silver borrowing and lending rates and global or regional economic, financial, political, regulatory, judicial or other events. Silver prices may be affected by industry factors, such as industrial and jewelry demand as well as lending, sales and purchases of silver by the official sector, including central banks and other governmental agencies and multilateral institutions that hold silver. Additionally, silver prices may be affected by levels of silver production, production costs and short-term changes in supply and demand due to trading activities in the silver market. From time to time, above-ground inventories of silver may also influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors. The price of silver has recently been, and may continue to be, extremely volatile. Consequently, the performance of the iShares® Silver Trust and the return on the notes could be adversely affected.
| (G) | The value of the iShares® Silver Trust may not fully replicate the price of silver. The performance of the iShares® Silver Trust may not fully replicate the price of silver due to the fees and expenses charged by the iShares® Silver Trust, restrictions on access to silver or other circumstances. The iShares® Silver Trust does not generate any income and as the iShares® Silver Trust regularly sells silver to pay for its ongoing expenses, the amount of silver represented by the iShares® Silver Trust has gradually declined over time. The iShares® Silver Trust sells silver to pay expenses on an ongoing basis irrespective of whether the trading price of the iShares® Silver Trust rises or falls in response to changes in the price of silver. The sale of the iShares® Silver Trust’s silver to pay expenses at a time of low silver prices could adversely affect the value of the iShares® Silver Trust. Additionally, there is a risk that part or all of the iShares® Silver Trust’s silver could be lost, damaged or stolen due to war, terrorism, theft, natural disaster or otherwise. |
| (H) | There are risks relating to commodities trading on the London Bullion Market Association. The value of the iShares® Silver Trust is closely related to the price of silver. Silver is traded on the London Bullion Market Association (the “LBMA”). The LBMA is a self-regulated association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of the LBMA silver prices as a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market which operates in a manner more closely analogous to over-the-counter physical commodity markets than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA, which would otherwise restrict fluctuations in the prices of commodities trading on the LBMA. In a declining market, it is possible that prices would continue to decline without limitation within a trading day or over a period of trading days. |
| Autocallable Strategic Accelerated Redemption Securities® | TS-10 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The Basket
The Basket is designed to allow investors to receive the Call Amount or the Redemption Amount, as applicable, depending on the percentage changes in the value of the Basket from the Starting Value to the values of the Basket on the Observation Dates. The Basket Components are described in the section “The Basket Components” below. Each Basket Component will be assigned an initial weight on the pricing date, as set forth in the table below.
For more information on the calculation of the value of the Basket, please see the section entitled “Description of the Notes—Basket Market Measures” beginning on page PS-36 of product supplement EQUITY STR-1.
If July 1, 2026 were the pricing date, for each Basket Component, the Initial Component Weight, the Closing Market Price, the hypothetical Component Ratio and the initial contribution to the Basket value would be as follows:
| Basket Component | Bloomberg Symbol | Initial Component Weight | Closing Market Price(1)(2) | Hypothetical Component Ratio(1)(3) | Initial Basket Value Contribution |
| VanEck® Gold Miners ETF | GDX | 50.00% | $75.07 | 0.66604502 | 50.00 |
| iShares® Silver Trust | SLV | 50.00% | $53.58 | 0.93318402 | 50.00 |
| Starting Value | 100.00 |
| (1) | The actual Closing Market Price of each Basket Component and the resulting actual Component Ratios will be determined on the pricing date, subject to adjustment as more fully described in the section entitled “Description of the Notes—Basket Market Measures—Determination of the Component Ratio for Each Basket Component” in product supplement EQUITY STR-1. |
| (2) | These were the Closing Market Prices of the Basket Components on July 1, 2026. |
| (3) | Each hypothetical Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage) multiplied by 100, and then divided by the Closing Market Price of that Basket Component on July 1, 2026 and rounded to eight decimal places. |
The calculation agents will calculate the value of the Basket for an Observation Date by summing the products of the Closing Market Price of each Basket Component (multiplied by its Price Multiplier) on that Observation Date and the Component Ratio applicable to that Basket Component. The Price Multiplier for each Basket Component will initially be 1, and is subject to adjustment as described in product supplement EQUITY STR-1. If a Market Disruption Event or non-Market Measure Business Day occurs as to any Basket Component on a scheduled Observation Date, the Closing Market Price of that Basket Component will be determined as more fully described in the section entitled “Description of the Notes—Basket Market Measures—Observation Level of the Basket” in product supplement EQUITY STR-1.
| Autocallable Strategic Accelerated Redemption Securities® | TS-11 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
While actual historical information on the Basket will not exist before the pricing date, the following graph sets forth the hypothetical daily historical performance of the Basket from January 1, 2016 through July 1, 2026. The graph is based upon actual daily historical prices of the Basket Components, hypothetical Component Ratios based on the closing prices of the Basket Components as of January 1, 2016, and a Basket value of 100.00 as of that date. This hypothetical historical data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the notes may be. Any hypothetical historical upward or downward trend in the value of the Basket during any period set forth below is not an indication that the value of the Basket is more or less likely to increase or decrease at any time over the term of the notes.
Hypothetical Historical Performance of the Basket
| Autocallable Strategic Accelerated Redemption Securities® | TS-12 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The Basket Components
All information contained in this term sheet regarding the Basket Components has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, the fund manager or sponsor of each Basket Component. Each Basket Component is maintained and managed by its fund manager or sponsor. The consequences of any discontinuance of a Basket Component are discussed in the section entitled “Description of the Notes—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds” in product supplement EQUITY STR-1. None of us, the calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of any Basket Component or any successor. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the Basket Components in connection with the offer and sale of the notes.
The VanEck® Gold Miners ETF
The VanEck® Gold Miners ETF (the “GDX Fund”) is an investment portfolio of VanEck® ETF Trust (the “VanEck Trust”). Van Eck Associates Corporation is currently the investment advisor to the GDX Fund. The GDX Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol “GDX.”
The GDX Fund seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the MarketVector Global Gold Miners Index (the “Gold Miners Index”).The Gold Miners Index is a float-adjusted modified market capitalization-weighted index that tracks the performance of companies involved primarily in the gold and silver mining industry. Prior to market close on September 19, 2025, the GDX Fund’s benchmark index was the NYSE Arca Gold Miners Index. For more information about the Gold Miners Index, please see “The MarketVector Global Gold Miners Index” below.
The GDX Fund uses a “passive” or indexing investment approach to attempt to approximate the investment performance of its underlying index by investing in a portfolio of securities that generally replicates its underlying index.
The GDX Fund’s return may not match the return of its underlying index for a number of reasons. For example, the GDX Fund incurs a number of operating expenses, including taxes, not applicable to its underlying index and incurs costs associated with buying and selling securities and entering into derivatives transactions (if applicable), especially when rebalancing the GDX Fund’s securities holdings to reflect changes in the composition of its underlying index, which are not factored into the return of its underlying index. Transaction costs, including brokerage costs, will decrease the GDX Fund’s net asset value (“NAV”) to the extent not offset by the transaction fee payable by an authorized participant. Market disruptions and regulatory restrictions could have an adverse effect on the GDX Fund’s ability to adjust its exposure to the required levels in order to track its underlying index. The GDX Fund may not be fully invested at times either as a result of cash flows into the GDX Fund or reserves of cash held by the GDX Fund to pay expenses or to meet redemptions. In addition, the GDX Fund may not be able to invest in certain securities included in its underlying index, or invest in them in the exact proportions in which they are represented in its underlying index. The GDX Fund’s performance may also deviate from the return of its underlying index due to legal restrictions or limitations imposed by the governments of certain countries, certain listing standards of the GDX Fund’s listing exchange, a lack of liquidity on stock exchanges in which the securities trade, potential adverse tax consequences or other regulatory reasons or legal restrictions or limitations (such as diversification requirements). The GDX Fund may value certain of its investments and/or other assets based on fair value prices. To the extent the GDX Fund calculates its NAV based on fair value prices and the value of its underlying index is based on securities’ closing prices (i.e., the value of its underlying index is not based on fair value prices), the GDX Fund’s ability to track its underlying index may be adversely affected. In addition, any issues the GDX Fund encounters with regard to currency convertibility (including the cost of borrowing funds, if any) and repatriation may also increase the index tracking risk. The GDX Fund’s performance may also deviate from the performance of its underlying index due to the impact of withholding taxes, late announcements relating to changes to its underlying index and high turnover of the underlying index. When markets are volatile, the ability to sell securities at fair value prices may be adversely impacted and may result in additional trading costs and/or increase the index tracking risk. For tax efficiency purposes, the GDX Fund may sell certain securities, and this sale may cause the GDX Fund to realize a loss and deviate from the performance of its underlying index. In light of the factors discussed above, the GDX Fund’s return may deviate significantly from the return of its underlying index. Changes to the composition of its underlying index in connection with a rebalancing or reconstitution of its underlying index may cause the GDX Fund to experience increased volatility, during which time the GDX Fund’s index tracking risk may be heightened.
The VanEck Trust is a registered investment company that consists of numerous separate investment portfolios, including the GDX Fund. Information provided to or filed with the SEC by the VanEck Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s website at http://www.sec.gov.
The MarketVector Global Gold Miners Index
All information contained in this term sheet regarding the Gold Miners Index, including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, MarketVector Indexes GmbH (“MarketVector”). The Gold Miners Index
| Autocallable Strategic Accelerated Redemption Securities® | TS-13 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
is owned by MarketVector and is calculated and maintained by Solactive AG (“Solactive”). MarketVector and Solactive have no obligation to continue to publish, and may discontinue publication of, the Gold Miners Index.
The Gold Miners Index is reported by Bloomberg L.P. under the ticker symbol “MVGDX.”
The Gold Miners Index is a float-adjusted modified market capitalization-weighted index that tracks the performance of companies involved primarily in the gold and silver mining industry. The Gold Miners Index was launched on June 3, 2025 with a base index value of 1000.00 as of April 30, 2006.
Index Composition
Index Universe
To be eligible for inclusion in the Gold Miners Index, companies must generate at least 50% (25% for current index components) of their revenues from gold and/or silver mining, royalties and/or streaming or have at least 50% (25% for current index components) of their mining mineral resources from gold and/or silver. In addition, securities must be common securities or securities with similar characteristics from financial markets that are freely investable for foreign investors and that provide real-time and historical component and currency pricing, excluding limited partnerships. Companies from financial markets that are not freely investable for foreign investors or that do not provide real-time and historical component and currency pricing may still be eligible if they have a listing on an eligible exchange and if they meet all the size and liquidity requirements set forth below on that exchange.
Securities are not eligible for inclusion in the Gold Miners Index if they are listed on (1) exchanges in Bahrain, China (domestic market), India, Kuwait, Luxembourg, Oman, Qatar, Russia, Saudi Arabia, United Arab Emirates or Vietnam or (2) Paris Euronext Auction, Hamburger Boerse, Boerse Berlin, Oslo Euronext Growth or London Stock Exchange (AIM, AIMI, ASQ1, ASQ2, ASX1, ASXN, SFM2, SFM3, SSQ3, SSX3, SSX4, EQS).
Investable Universe
To be included in the investable universe, securities must meet the following size and liquidity requirements:
| 1. | For securities that are currently not included in the Gold Miners Index, the securities must have (i) free-float of at least 10%, (ii) full market capitalization exceeding $150 million, (iii) a three-month average daily trading volume of at least $1 million at the current quarter and at the previous two quarters and (iv) at least 0.25 million shares traded per month over the last six months at the current quarter and at the previous two quarters. |
| 2. | For securities that are already included in the Gold Miners Index, the securities must have (i) free-float of at least 5%, (ii) full market capitalization exceeding $75 million, (iii) a three-month average daily trading volume of at least $0.2 million in at least two of the latest three quarters (current quarter and the previous two quarters) and (iv) at the current quarter or at one of the previous two quarters, a three-month average daily trading volume of at least $0.6 million or at least 0.2 million shares traded per month over the last six months. |
| 3. | In the case of recent initial public offerings, spin-offs and post-merger/acquisition special purpose acquisition companies, the securities must have (i) free-float of at least 10%, (ii) full market capitalization exceeding $150 million, (iii) an average daily trading volume of at least $1 million and (iv) traded at least 0.25 million shares per month (or per 22 days). |
Such securities qualify for fast-track addition to the investable universe once; either at the next regularly scheduled review if they have been trading since at least the last trading day of the month two months prior to the review month or else at the following regularly scheduled review.
Eligible Universe
For each company in the investable universe, only one share class is included in the eligible universe. In cases where more than one share class fulfills the above specified market capitalization and liquidity eligibility criteria, only the largest share class by free-float market capitalization is included in the eligible universe. In exceptional cases (e.g. significantly higher liquidity), MarketVector can decide that a different share class will be included in the eligible universe. In cases where the free-float market capitalization of a currently not included share class of an index component exceeds the free-float market capitalization of the currently selected share class by at least 25% and fulfills all market capitalization and liquidity eligibility criteria for non-components, the currently selected share class will be replaced by the larger one. In exceptional cases (e.g. significantly higher liquidity), MarketVector can decide to keep the current share class instead.
For each company in the investable universe, one pricing source qualifies for the eligible universe. In cases where a company has multiple listings (e.g. ADRs, GDRs or listing on markets other than in the home country), the price sources will be selected to the eligible universe in the following order: U.S. price source, UK price source (London Stock Exchange International Order Book only), home market price source and most liquid foreign market price source. Once a company has qualified for the investable universe, only the most liquid single exchange price source within the country qualifies for the eligible universe. In exceptional cases, MarketVector can assign alternative pricing sources.
| Autocallable Strategic Accelerated Redemption Securities® | TS-14 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Selection of Index Components
Upon an index reconstitution, securities included in the eligible universe are selected for inclusion in the Gold Miners Index based on the following procedure. The Gold Miners Index targets a coverage of 90% of the free-float market capitalization of the eligible universe with a minimum of 25 components.
| 1. | All securities in the eligible universe are sorted in terms of free-float market capitalization in descending order. |
| 2. | Securities covering the top 85% of the free-float market capitalization of the eligible universe qualify for selection. |
| 3. | Current components between 85% and 98% of the free-float market capitalization of the eligible universe also qualify for selection. |
| 4. | If the coverage is still below 90% of the free-float market capitalization of the eligible universe or the number of components in the Gold Miners Index is still below 25, the largest remaining securities will be selected until both the target coverage and minimum number of components are reached. |
| 5. | If the number of eligible securities is below the minimum of 25, additional securities will be added by MarketVector’s decision until the number of securities selected to the Gold Miners Index reaches the minimum of 25. |
Weighting of Index Components
Upon an index rebalance, components selected for inclusion in the Gold Miners Index will be weighted according to a modified float-adjusted market cap weighting methodology:
| 1. | All index components are weighted by their free-float market capitalization. |
| 2. | At least the largest five and at most the largest 9 of the components with more than 50% exposure to gold-related activities that exceed 4.5% in weight are grouped together (so called “Large-Weights”). All other components are grouped together as well (so called “Small-Weights”). |
| 3. | The aggregated weighting of the Large-Weights is capped at 45%. If the aggregated weighting of the Large-Weights exceeds 45%, then a capping factor is calculated to bring the weighting down to 45%, and a second capping factor is calculated to bring the aggregated weighting of the Small-Weights up to 55%. These two factors are then applied to all components in the Large-Weights or the Small-Weights, respectively. |
| 4. | For the Large-Weights, the maximum weight for any single security is 20% and the minimum weight is 5%. If a security is above the maximum weight or below the minimum weight, then the weight will be reduced to the maximum weight or increased to the minimum weight and the excess weight will be redistributed proportionally across all other remaining components in the Large-Weights. |
| 5. | For the Small-Weights, the maximum weight for any single security is 4.5%. If a security is above the maximum weight, then the weight will be reduced to the maximum weight and the excess weight will be redistributed proportionally across all other remaining components in the Small-Weights. |
| 6. | The aggregated weighting of all components with less than 50% exposure to gold-related activities is capped at 20%. Any excess weight will be redistributed proportionally among the uncapped components with more than 50% exposure to gold-related activities in the Small-Weights. |
Index Reconstitution and Rebalance
The Gold Miners Index is reconstituted and rebalanced on a quarterly basis in March, June, September and December according to the following schedule:
| 1. | The eligible universe and component selection is determined based on the closing data on the last business day in February, May, August and November. If a security does not trade on the last business day in February, May, August or November, the last available price for this security will be used. |
| 2. | Component weights are determined based on the closing data as of the Wednesday prior to the second Friday of March, June, September and December. If a security does not trade on the Wednesday prior to the second Friday of March, June, September or December, the last available price for this security will be used. |
| 3. | The underlying review and rebalance data (i.e. weights, shares outstanding, free-float factors and new weighting cap factors) is announced on the second Friday of March, June, September and December. |
| 4. | Changes will be implemented and based on the closing prices as of the third Friday of March, June, September and December. If the third Friday is not a business day, the review will take place on the last business day before the third Friday. If a security does not trade on the third Friday of March, June, September or December, the last available price for this security will be used. Changes become effective on the next index dissemination day. |
| Autocallable Strategic Accelerated Redemption Securities® | TS-15 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Index Calculation
The Gold Miners Index is calculated on weekdays between 01:00 and 22:40 (CET) and index values are disseminated to data vendors every 15 seconds on days when either the U.S. equity market is open for trading or at least one of the index components is available for trading. Real-time index values are calculated with the midpoint between the latest available real-time bid- and ask-prices. Closing values are calculated at 22:40 (CET) with fixed 16:00 London time exchange rates from WM company.
The Gold Miners Index’s index level on a given day is calculated as the sum of the free-float market capitalization of the index components in U.S. dollars divided by the divisor. The Gold Miners Index is free-float adjusted, meaning the number of shares outstanding is reduced to exclude closely held shares (amount larger than 5% of the company’s full market capitalization) from the index calculation. Free-float factors are reviewed quarterly. The divisor is a mathematical factor defined at the inception of the Gold Miners Index and is adjusted upon certain corporate actions and index rebalances.
The Gold Miners Index is calculated as a price return index and does not include in the index calculation dividend payments except for special dividends from non-operating income or cash dividends that are either declared as special or extraordinary or that do not coincide with the company’s regular dividend distribution schedule.
Index Maintenance
The composition of the Gold Miners Index will be adjusted to reflect changes to free-float factors and number of shares, changes due to mergers and takeovers and changes due to spin-offs. On an ongoing basis, for all corporate events that result in a security deletion from the Gold Miners Index, the deleted security will be replaced with the highest ranked non-component on the most recent selection list immediately only if the number of components in the Gold Miners Index would drop below 20. The replacement security will be added at the same weight as the deleted security, unless the number of index components drops below the minimum component number due to a merger of two or more index components, in which case the replacement security will be added with its uncapped free-float market capitalization weight. If there is no replacement, the additional weight resulting from the deletion will be redistributed proportionally across all other index constituents. If the number of index components drops below the minimum component number and no non-component security is eligible as a replacement, the determination of the addition is subject to MarketVector’s decision.
Index Oversight
Any changes to the index methodology will be reviewed and approved by MarketVector’s Legal and Compliance Department. In cases of material changes, an advance notice will be published and provided to users.
| Autocallable Strategic Accelerated Redemption Securities® | TS-16 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The following graph shows the daily historical performance of the GDX Fund on its primary exchange in the period from January 1, 2016 through July 1, 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 July 1, 2026, the Closing Market Price of the GDX Fund was $75.07. The graph below may reflect adjustments in response to certain actions such as stock splits and reverse stock splits.
This historical data on the GDX Fund is not necessarily indicative of the future performance of the GDX Fund or what the value of the notes may be. Any historical upward or downward trend in the price per share of the GDX Fund during any period set forth above is not an indication that the price per share of the GDX Fund 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 of the GDX Fund.
| Autocallable Strategic Accelerated Redemption Securities® | TS-17 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The iShares® Silver Trust
iShares Delaware Trust Sponsor LLC (“iShares Delaware”), an indirect subsidiary of BlackRock, Inc., is the sponsor of the iShares® Silver Trust (the “SLV Fund”). The Bank of New York Mellon is the trustee of the SLV Fund, and JPMorgan Chase Bank, N.A., London branch, is the custodian of the SLV Fund. The SLV Fund is an investment trust that trades on the NYSE Arca, Inc. under the ticker symbol “SLV.”
The SLV Fund seeks to reflect generally the performance of the price of silver, before the payment of the SLV Fund’s expenses and liabilities. The assets of the SLV Fund consist primarily of silver held by the custodian on behalf of the SLV Fund. The SLV Fund issues blocks of shares in exchange for deposits of silver and distributes silver in connection with the redemption of blocks of shares. The shares of the SLV Fund are intended to constitute a simple and cost-effective means of making an investment similar to an investment in silver.
The shares of the SLV Fund represent units of fractional undivided beneficial interest in and ownership of the SLV Fund. The SLV Fund is a passive investment vehicle and the trustee of the SLV Fund does not actively manage the silver held by the SLV Fund. The trustee of the SLV Fund sells silver held by the SLV Fund to pay the SLV Fund’s expenses on an as-needed basis irrespective of then-current silver prices. Currently, the SLV Fund’s only ordinary recurring expense is expected to be iShares Delaware’s fee, which is accrued daily at an annualized rate equal to 0.50% of the net asset value of the SLV Fund and is payable monthly in arrears. The trustee of the SLV Fund will, when directed by iShares Delaware, and, in the absence of such direction, may, in its discretion, sell silver in such quantity and at such times as may be necessary to permit payment of iShares Delaware’s fee and of expenses or liabilities of the SLV Fund not assumed by iShares Delaware. As a result of the recurring sales of silver necessary to pay the SLV Fund sponsor’s fee and the SLV Fund expenses or liabilities not assumed by the SLV Fund sponsor, the net asset value of the SLV Fund will decrease over the life of the SLV Fund. New deposits of silver, received in exchange for additional new issuances of shares by the SLV Fund, do not reverse this trend.
Information provided to or filed with the SEC by the SLV Fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located by reference to SEC file numbers 333-268747 and 001-32863, respectively, through the SEC’s website at http://www.sec.gov. The SLV Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder. The SLV Fund is not a commodity pool for purposes of the Commodity Exchange Act of 1936, as amended, and is not subject to regulation thereunder, and iShares Delaware is not subject to regulation by the Commodity Futures Trading Commission as a commodity pool operator or a commodity trading advisor.
Silver
The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, increases in silver hedging activity by silver producers, significant changes in attitude by speculators and investors in silver, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major end uses for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of all or any combination of these factors.
| Autocallable Strategic Accelerated Redemption Securities® | TS-18 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
The following graph shows the daily historical performance of the SLV Fund on its primary exchange in the period from January 1, 2016 through July 1, 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 July 1, 2026, the Closing Market Price of the SLV Fund was $53.58. The graph below may reflect adjustments in response to certain actions such as stock splits and reverse stock splits.
This historical data on the SLV Fund is not necessarily indicative of the future performance of the SLV Fund or what the value of the notes may be. Any historical upward or downward trend in the price per share of the SLV Fund during any period set forth above is not an indication that the price per share of the SLV Fund 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 of the SLV Fund.
| Autocallable Strategic Accelerated Redemption Securities® | TS-19 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
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 may 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, if the initial settlement of the notes occurs more than one business day from the pricing date, 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 Basket, 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.
An investor’s household, as referenced on the cover of this term sheet, will generally include accounts held by any of the following, as determined by MLPF&S in its discretion and acting in good faith based upon information then available to MLPF&S:
| · | the investor’s spouse (including a domestic partner), siblings, parents, grandparents, spouse’s parents, children and grandchildren, but excluding accounts held by aunts, uncles, cousins, nieces, nephews or any other family relationship not directly above or below the individual investor; |
| · | a family investment vehicle, including foundations, limited partnerships and personal holding companies, but only if the beneficial owners of the vehicle consist solely of the investor or members of the investor’s household as described above; and |
| · | a trust where the grantors and/or beneficiaries of the trust consist solely of the investor or members of the investor’s household as described above; provided that, purchases of the notes by a trust generally cannot be aggregated together with any purchases made by a trustee’s personal account. |
Purchases in retirement accounts will not be considered part of the same household as an individual investor’s personal or other non-retirement account, except for individual retirement accounts (“IRAs”), simplified employee pension plans (“SEPs”), savings incentive match plan for employees (“SIMPLEs”) and single-participant or owners only accounts (i.e., retirement accounts held by self-employed individuals, business owners or partners with no employees other than their spouses).
Please contact your MLPF&S financial advisor if you have any questions about the application of these provisions to your specific circumstances or think you are eligible.
| Autocallable Strategic Accelerated Redemption Securities® | TS-20 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
Structuring the Notes
The notes are our debt securities, the return on which is linked to the performance of the Basket. 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 will be 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 amount you receive at maturity or upon an automatic call, will be calculated based on the $10 per unit principal amount and will depend on the performance of the Basket. 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 Basket Components, 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-23 of product supplement EQUITY STR-1.
| Autocallable Strategic Accelerated Redemption Securities® | TS-21 |
| Autocallable Strategic Accelerated Redemption Securities® |
| Linked to a Basket of Two ETFs, due July , 2031 |
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 Contracts” and, if you are a non-U.S. holder, “—Tax Consequences to Non-U.S. Holders.” The following discussion, when read in combination with those sections, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the notes. As discussed in the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying prospectus supplement, we have not attempted to ascertain whether any issuer of any shares (or other equity interests) to which a note relates is a U.S. real property holding corporation (“USRPHC”) or a passive foreign investment company (“PFIC”). If any such issuer were so treated, certain adverse U.S. federal income tax consequences might apply, to a U.S. holder in the case of a PFIC, or to a non-U.S. holder in the case of a USRPHC. You should consult your tax advisor regarding these issues, including the effect any circumstances specific to you may have on the U.S. federal income tax consequences of your ownership of a note.
Based on current market conditions, in the opinion of our special tax counsel, it is reasonable to treat the notes for U.S. federal income tax purposes as prepaid forward contracts with respect to the Basket. Assuming this treatment is respected, upon a sale or exchange of the notes (including redemption upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the notes, which should equal the amount you paid to acquire the notes. This gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the original issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
Treasury regulations under Section 871(m) generally impose a withholding tax on certain “dividend equivalents” under certain “equity linked instruments.” A recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a “delta of one” with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our determination that the notes do not have a “delta of one” within the meaning of the regulations, we expect that these regulations will not apply to the notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the final term sheet for the notes. You should consult your tax advisor regarding the potential application of Section 871(m) to the notes.
| Autocallable Strategic Accelerated Redemption Securities® | TS-22 |