[FWP] MicroSectors Energy 3x Leveraged ETNs Free Writing Prospectus

Rhea-AI Filing Summary

Barclays Bank PLC is offering $8.322 million of Autocallable Fixed Coupon Notes due July 1, 2027 linked to the worst performer of Broadcom Inc. (AVGO) common stock and Taiwan Semiconductor Manufacturing Co. Ltd. (TSM) ADRs. The securities are issued under the Global Medium-Term Notes, Series A program and are sold pursuant to a Rule 424(b)(2) prospectus supplement dated June 26, 2025.

Key commercial terms

• Coupon: fixed $33.80 per $1,000 note (13.52% p.a.) payable quarterly on eight scheduled dates from Oct 1 2025 through maturity.
• Automatic call: beginning Sept 26 2025, if the closing price of each reference asset is at or above its Initial Value on a Call Valuation Date, holders receive the $1,000 principal plus the current coupon and the notes are redeemed; no further payments accrue.
• Barrier protection: at maturity, if not previously called and the Final Value of the Least Performing asset is ≥ 60% of its Initial Value, principal is repaid; otherwise investors receive (a) cash reflecting the full negative return or (b) at the issuer’s option, a delivery of shares (and cash for fractions) of the worst performer, exposing holders to up to 100 % loss of principal.
• Initial values & barriers: AVGO $270.17 (barrier $162.10); TSM $224.01 (barrier $134.41).
• Issue price: $1,000; estimated value: $981 (1.9% below issue price).
• Fees: 1.75% selling commission ($145,635 in aggregate) yielding net proceeds of $8.176 million.
• Credit exposure: senior unsecured obligations of Barclays Bank PLC subject to U.K. bail-in powers; not FDIC-insured or guaranteed by third parties.
• Liquidity: no exchange listing; any secondary trading will be on a best-efforts basis by Barclays Capital Inc. and may be discontinued at any time.

Risk highlights

• Full downside exposure below the 60% barrier; investors may lose the entire principal.
• No participation in any upside of AVGO or TSM; return capped at the fixed coupons.
• Issuer’s physical settlement option may result in delivery of depreciated shares instead of cash.
• Estimated value is below purchase price, reflecting distribution fees, hedging costs and Barclays’ internal funding spread.
• Subject to early redemption after ~3 months, creating reinvestment uncertainty.
• Exposure to Barclays credit risk and potential write-down or conversion under U.K. bail-in regime.

The notes target investors seeking enhanced income and willing to assume equity, issuer-credit and structural risks in exchange for a 13.52% annual coupon and conditional principal protection at a 40% drawdown threshold.

Positive

• High fixed coupon: 13.52% per annum provides meaningful income in a low-to-mid-single-digit rate environment.
• 60 % barrier: conditional principal protection up to a 40 % decline offers some downside buffer compared with direct equity exposure.
• Automatic call feature could return capital in as little as three months, boosting annualized yield if reference assets stay flat or rise modestly.

Negative

• Full downside risk: investors bear 100 % loss if the worst performer closes below the barrier and equity declines exceed 40 %.
• No upside participation: returns are capped at coupon payments; equity appreciation beyond call level is forfeited.
• Credit & bail-in exposure: repayment depends on Barclays’ solvency and is subject to statutory write-down or conversion.
• Estimated value discount: internal valuation $981 vs. $1,000 issue price reflects fees and hedging costs borne by investors.
• Illiquidity: unlisted security with only discretionary secondary market making by Barclays Capital Inc.

Insights

Financial Analyst

TL;DR – 13.52% coupon is attractive, but principal is fully at risk below 60% barrier and no upside; credit and bail-in risk remain.

The structure offers a high fixed income stream and short call observation periods that could return capital early. Because redemption requires both AVGO and TSM to meet their Initial Values, call probability is moderate but not guaranteed. Barrier protection at 60 % affords some buffer, yet semiconductor equities are historically volatile; a 40 % drawdown over two years is plausible, putting principal at risk. Investors forego any equity appreciation and face negative carry if the notes are called quickly. The $19 discount between estimated and issue price shows embedded distribution and hedging costs. Lack of listing and discretionary secondary market support impair liquidity. Overall, income-seeking investors with a tactical view that both shares will remain range-bound or modestly positive may find value, but risk-adjusted returns hinge on equity performance and Barclays’ credit profile.

Risk Analyst

TL;DR – Structure concentrates downside, embeds issuer bail-in exposure, and offers limited diversification; impact broadly neutral to Barclays.

From a risk standpoint, the note stacks several adverse features: (1) worst-of payoff drives convex downside; (2) physical settlement option can magnify losses if liquidity in the underlying deteriorates; (3) U.K. bail-in clause subordinates investors to resolution tools; and (4) illiquidity precludes active risk management. The 60 % barrier sounds protective, yet tail scenarios show 100 % loss. Credit spread widening in Barclays senior unsecured curve could further depress secondary prices. Tax treatment is uncertain, and holders must navigate complex 871(m) and put-premium allocations. However, issuance size is modest ($8.3 million) and immaterial to Barclays’ balance sheet, so enterprise risk impact is low. For investors, risk/return skews negative unless one has strong conviction in near-term semiconductor resilience.

Filed Pursuant to Rule 433

Registration Statement No. 333-285508

Bank of Montreal Market Linked Securities

Market Linked Securities—Contingent Fixed Return and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500^® Index due February 3, 2028

Term Sheet to Preliminary Pricing Supplement dated June 30, 2025

Summary of Terms Hypothetical Payout Profile***

Issuer:	Bank of Montreal		***assumes a contingent fixed return equal to the lowest possible contingent fixed return that may be determined on the pricing date. Any positive return on the securities at maturity will be limited to the contingent fixed return, even if the ending value of the Underlier significantly exceeds the starting value; you will not participate in any appreciation of the Underlier If the ending value is less than the threshold value, you will have 1-to-1 downside exposure to the decrease in the value of the Underlier in excess of the buffer amount and will lose some, and possibly up to 90%, of the face amount of your securities at maturity. On the date of the accompanying preliminary pricing supplement, the estimated initial value of the securities is $963.80 per security. The estimated initial value of the securities at pricing may differ from this value but will not be less than $920.00 per security. However, as discussed in more detail in the accompanying preliminary pricing supplement, the actual value of the securities at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Value of the Securities” in the accompanying preliminary pricing supplement. Preliminary Pricing Supplement: sec.gov/Archives/edgar/data/927971/000121465925009780/z62625342b2.htm
Market Measure:	S&P 500® Index (the “Underlier”)
Pricing Date*:	July 30, 2025
Issue Date*:	August 4, 2025
Face Amount and Original Offering Price:	$1,000 per security
Maturity Payment Amount (per security):	·   if the ending value is greater than or equal to the starting value: $1,000 + the contingent fixed return; ·   if the ending value is less than or equal to the starting value, but greater than or equal to the threshold value: $1,000; or ·   if the ending value is less than the threshold value: $1,000 + [$1,000 × (underlier return + buffer amount)]
Stated Maturity Date*:	February 3, 2028
Starting Value:	The closing value of the Underlier on the pricing date
Ending Value:	The closing value of the Underlier on the calculation day
Contingent Fixed Return:	At least 20.25% of the face amount per security, to be determined on the pricing date
Threshold Value:	90% of the starting value
Buffer Amount:	10%
Underlier Return:	(ending value – starting value) / starting value
Calculation Day*:	January 31, 2028
Calculation Agent:	BMO Capital Markets Corp. (“BMOCM”), an affiliate of the issuer
Denominations:	$1,000 and any integral multiple of $1,000
Agent Discount**:	Up to 2.575% for Wells Fargo Securities, LLC (“WFS”). Of that agent discount, Wells Fargo Advisors (“WFA”), may receive a selling concession of up to 2.00% and a distribution expense fee of up to 0.075%
CUSIP:	06376ENE8
Material Tax Consequences:	See the preliminary pricing supplement.

*subject to change

** In addition, selected dealers may receive a fee of up to 0.20% for marketing and other services

The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” in this term sheet and the accompanying preliminary pricing supplement and “Risk Factors” in the accompanying product supplement.

This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.

Investors should carefully review the accompanying preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus before making a decision to invest in the securities.

NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY

Selected Risk Considerations

The risks set forth below are discussed in detail in the “Selected Risk Considerations” section in the accompanying preliminary pricing supplement and the “Risk Factors” section in the accompanying product supplement. Please review those risk disclosures carefully.

Risks Relating To The Securities Generally

· If The Ending Value Is Less Than The Threshold Value, You Will Lose Some, And Possibly Up To 90%, Of The Face Amount Of Your Securities At Maturity.

· You Will Receive The Contingent Fixed Return Only If The Ending Value Is Greater Than Or Equal To The Starting Value.

· The Potential Return On The Securities Is Limited To The Contingent Fixed Return.

· The Securities Do Not Pay Interest.

· The Securities Are Subject To Credit Risk.

· The U.S. Federal Income Tax Consequences Of An Investment In The Securities Are Unclear.

· The Stated Maturity Date May Be Postponed If The Calculation Day Is Postponed.

Risks Relating To The Estimated Value Of The Securities And Any Secondary Market

· The Estimated Value Of The Securities On The Pricing Date, Based On Our Proprietary Pricing Models, Will Be Less Than The Original Offering Price.

· The Terms Of The Securities Are Not Determined By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.

· The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.

· The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.

· The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.

Risks Relating To The Underlier

· The Maturity Payment Amount Will Depend Upon The Performance Of The Underlier And Therefore The Securities Are Subject To The Following Risks, Each As Discussed In More Detail In The Accompanying Product Supplement.

o Investing In The Securities Is Not The Same As Investing In The Underlier.

o Historical Values Of The Underlier Should Not Be Taken As An Indication Of The Future Performance Of The Underlier During The Term Of The Securities.

o Changes That Affect The Underlier May Adversely Affect The Value Of The Securities And The Maturity Payment Amount.

o We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Underlier.

o We And Our Affiliates Have No Affiliation With The Underlier Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.

Risks Relating To Conflicts Of Interest

· Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.

The Issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that registration statement and the other documents that the Issuer has filed with the SEC for more complete information about us and this offering. You may obtain these documents free of charge by visiting the SEC’s website at http://www.sec.gov. Alternatively, the Issuer will arrange to send to you the prospectus (as supplemented by the prospectus supplement) if you request it by calling the Issuer’s agent toll-free at 1-877-369-5412.

Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.

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FAQ

What coupon rate do the Barclays Autocallable Fixed Coupon Notes pay?

The notes pay $33.80 per $1,000 each quarter, equivalent to 13.52% per annum, on eight scheduled payment dates.

When can the notes be automatically called by Barclays?

Starting on September 26 2025 and on each subsequent quarterly Call Valuation Date, if both AVGO and TSM close at or above their Initial Values.

What happens at maturity if the worst-performing stock falls below its barrier?

If the Final Value is below 60 % of its Initial Value, investors receive either cash reflecting the full negative return or, at Barclays’ option, shares of the worst performer, risking up to 100 % principal loss.

How does the estimated value compare to the issue price?

Barclays’ internal model estimates each note at $981, about $19 below the $1,000 offering price, due to commissions, hedging and funding costs.

Are the notes protected by deposit insurance or any third-party guarantee?

No. The notes are senior unsecured obligations of Barclays Bank PLC and are not FDIC-insured or covered by the U.K. Financial Services Compensation Scheme.

Can I sell the notes before maturity?

They are not listed. Barclays Capital Inc. may provide a secondary market, but trading is discretionary and prices may be well below face value.