Bond Barclay PLC 0% ( US06747E7739 ) in USD

Barclay PLC

100 % ▲

United Kingdom

US06747E7739 ( in USD )

30/12/2022 - Bond has expired

Prospectus brochure of the bond Barclays PLC US06747E7739 in USD 0%, expired

1 000 USD

10 770 000 USD

06747E773

N/A

Barclays PLC is a British multinational banking and financial services corporation headquartered in London, offering a wide range of services including personal and corporate banking, investment banking, and wealth management.

This financial article outlines the specifics of a bond issuance, identified by ISIN US06747E7739 and CUSIP 06747E773, originating from Barclays PLC, a prominent global financial services company headquartered in the United Kingdom and renowned for its comprehensive suite of retail, wholesale, investment, wealth, and corporate banking services globally, where this particular obligation, denominated in USD and issued from the United Kingdom, possessed a total issuance size of 10,770,000 with a minimum purchase of 1,000 units, conspicuously featured a 0% interest rate, and was scheduled for two payment frequencies, ultimately reaching its maturity date on December 30, 2022, at which point it was fully redeemed at its recorded market price of 100%, while notably having received an 'NR' (Not Rated) designation from Moody's rating agency.

424B2 1 dp118004_424b2-2761baml.htm FORM 424B2
Pricing Supplement No. 2761

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated August 1, 2019,
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 3 2 1 4 4
the Prospectus Supplement dated August
1, 2019 and the Product Supplement
EQUITY INDICES SUN-1 dated August
1, 2019)
1,076,980 Units
Pricing Date
December 19, 2019
$10 principal amount per unit
Settlement Date
December 27, 2019
CUSIP No. 06747E773
Maturity Date
December 30, 2022

Le ve ra ge d M a rk e t -Link e d St e p U p N ot e s Link e d
t o a Globa l Equit y I nde x Ba sk e t
Maturity of approximately three years
If the Basket is flat or increases, but is below the Step Up Value, a return of 18%
If the Basket increases up to or above the Step Up Value, 165% leveraged upside exposure to increases in the Basket
1-to-1 downside exposure to decreases in the Basket, with up to 100.00% of your principal at risk
The Basket is comprised of the S&P 500® Index, the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei 225 Index,
the Swiss Market Index, the S&P/ASX 200 Index and the Hang Seng® Index. The S&P 500® Index was given an initial
weight of 50%, the EURO STOXX 50® Index was given an initial weight of 20%, each of the FTSE® 100 Index and the
Nikkei 225 Index was given an initial weight of 10%, each of the Swiss Market Index and the S&P/ASX 200 Index was given
an initial weight of 3.75% and the Hang Seng® Index was given an initial weight of 2.50%
All payments occur at maturity and 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 $0.075 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.

T he not e s a re be ing issue d by Ba rc la ys Ba nk PLC ("Ba rc la ys"). T he re a re im port a nt diffe re nc e s be t w e e n
t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s. Se e "Risk Fa c t ors"
be ginning on pa ge T S-8 of t his t e rm she e t , be ginning on pa ge PS-8 of produc t supple m e nt EQU I T Y I N DI CES
SU N -1 a nd be ginning on pa ge S -7 of t he prospe c t us supple m e nt .
Our init ia l e st im a t e d va lue of t he not e s, ba se d on our int e rna l pric ing m ode ls, is $ 9 .6 2 pe r unit on t he
pric ing da t e , w hic h is le ss t ha n t he public offe ring pric e list e d be low . See "Summary" on the following page, "Risk
Factors" beginning on page TS-8 of this term sheet and "Structuring the Notes" on page TS-41 of this term sheet.
N ot w it hst a nding a ny ot he r a gre e m e nt s, a rra nge m e nt s or unde rst a ndings be t w e e n Ba rc la ys a nd a ny holde r
or be ne fic ia l ow ne r of t he not e s, by a c quiring t he not e s, e a c h holde r a nd be ne fic ia l ow ne r of t he not e s
a c k now le dge s, a c c e pt s, a gre e s t o be bound by, a nd c onse nt s t o t he e x e rc ise of, a ny U .K . Ba il-in Pow e r by
t he re le va nt U .K . re solut ion a ut horit y. All pa ym e nt s a re subje c t t o t he risk of e x e rc ise of a ny U .K . Ba il-in
Pow e r by t he re le va nt U .K . re solut ion a ut horit y. Se e "Conse nt t o U .K . Ba il-in Pow e r" on pa ge T S-4 a nd "Risk
Fa c t ors" on pa ge T S-8 of t his t e rm she e t .
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
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

representation to the contrary is a criminal offense.
_________________________

Per Unit
Total
Public offering price
$ 10.000
$ 10,769,800.00
Underwriting discount
$ 0.225
$ 242,320.50
Proceeds, before expenses, to Barclays
$ 9.775
$ 10,527,479.50

T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

BofA Se c urit ie s
December 19, 2019

Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
Summary

The Leveraged Market-Linked Step Up Notes Linked to a Global Equity Index Basket, due December 30, 2022 (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. T he not e s w ill ra nk
e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt . Any pa ym e nt s due on t he not e s, inc luding
a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of Ba rc la ys a nd t o t he risk of e x e rc ise of a ny
U .K . Ba il-in Pow e r (a s de sc ribe d he re in) or a ny ot he r re solut ion m e a sure by a ny re le va nt U .K . re solut ion
a ut horit y. The notes provide you with a Step Up Payment if the Ending Value of the Market Measure, which is the Global Equity
Index Basket described below (the "Basket"), is equal to or greater than the Starting Value, but is not equal to or greater than the
Step Up Value. If the Ending Value is equal to or greater than the Step Up Value, you will participate on a leveraged basis in the
increase in the value of the Basket above the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or
a portion of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount
per unit and will depend on the performance of the Basket, subject to our credit risk. See "Terms of the Notes" below.

The Basket is comprised of the S&P 500® Index, the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei 225 Index, the
Swiss Market Index, the S&P/ASX 200 Index and the Hang Seng® Index (each a "Basket Component"). On the pricing date, the
S&P 500® Index was given an initial weight of 50%, the EURO STOXX 50® Index was given an initial weight of 20%, each of the
FTSE® 100 Index and the Nikkei 225 Index was given an initial weight of 10%, each of the Swiss Market Index and the S&P/ASX
200 Index was given an initial weight of 3.75% and the Hang Seng® Index was given an initial weight of 2.50%.

On the cover page of this term sheet, we have provided the estimated value for the notes. This estimated value was determined
based on our internal pricing models, which take into account a number of variables, including volatility, interest rates and our
internal funding rates, which are our internally published borrowing rates and the economic terms of certain related hedging
arrangements. This estimated value is less than the public offering price 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 Participation Rate) are based on our internal funding rates, which may vary from
the levels at which our benchmark debt securities trade in the secondary market, and the economic terms of certain related
hedging arrangements. The difference between these rates, as well as the underwriting discount, the hedging-related charge and
other amounts described below, reduced the economic terms of the notes. For more information about the estimated value and the
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

structuring of the notes, see "Structuring the Notes" on page TS-41.

Leveraged Market-Linked Step Up Notes
TS-2
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
Terms of the Notes
Redemption Amount Determination
I ssue r:
Barclays Bank PLC ("Barclays")
Notwithstanding anything to the contrary in the accompanying
product supplement, the Redemption Amount will be determined as
set forth in this term sheet. On the maturity date, you will receive a
cash payment per unit determined as follows:
Princ ipa l
$10.00 per unit
Am ount :
T e rm :
Approximately three years
M a rk e t
A global equity index basket comprised of
M e a sure :
the S&P 500® Index (Bloomberg symbol:
"SPX"), the EURO STOXX 50® Index
(Bloomberg symbol: "SX5E"), the FTSE®
100 Index (Bloomberg symbol: "UKX"), the
Nikkei 225 Index (Bloomberg symbol:
"NKY"), the Swiss Market Index
(Bloomberg symbol: "SMI"), the S&P/ASX
200 Index (Bloomberg symbol: "AS51")
and the Hang Seng® Index (Bloomberg
symbol: "HSI"). Each Basket Component is
a price return index.
St a rt ing
100.00
V a lue :
Ending
The value of the Market Measure on the
V a lue :
calculation day. The scheduled calculation
day is subject to postponement in the
event of Market Disruption Events, as
described beginning on page PS-21 of
product supplement EQUITY INDICES
SUN-1.
St e p U p
118.00 (118% of the Starting Value)
V a lue :
St e p U p
$1.80 per unit, which represents a return
Pa ym e nt :
of 18% over the principal amount.
T hre shold
100.00 (100% of the Starting Value)
V a lue :
Pa rt ic ipa t ion 165%
Ra t e
Ca lc ula t ion
December 23, 2022
Da y:
Fe e s
The public offering price of the notes
Cha rge d :
includes the underwriting discount of
$0.225 per unit as listed on the cover page
and a hedging-related charge of $0.075
per unit described in "Structuring the
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

Notes" on page TS-41.
Ca lc ula t ion
Barclays and BofA Securities, Inc.
Age nt s:
("BofAS").

Leveraged Market-Linked Step Up Notes
TS-3
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
The terms and risks of the notes are contained in this term sheet and the documents listed below (together, the "Note Prospectus").
The documents have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the
SEC website as indicated below or obtained from Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") or BofAS by
calling 1-800-294-1322:

Product supplement EQUITY INDICES SUN-1 dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010204/dp110109_424b3-indicessun.htm

Series A MTN prospectus supplement dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010190/dp110493_424b2-prosupp.htm

Prospectus dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000119312519210880/d756086d424b3.htm

Before you invest, you should read the Note Prospectus, including this term sheet, 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
INDICES SUN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us,"
"our" or similar references are to Barclays.

To the extent the determination of the Redemption Amount and other terms described in this term sheet are inconsistent with those
described in the accompanying product supplement, prospectus supplement or prospectus, the determination of the Redemption
Amount and other terms described in this term sheet shall control.

Consent to U.K. Bail-in Power

N ot w it hst a nding a ny ot he r a gre e m e nt s, a rra nge m e nt s or unde rst a ndings be t w e e n us a nd a ny holde r or
be ne fic ia l ow ne r of t he not e s, by a c quiring t he not e s, e a c h holde r a nd be ne fic ia l ow ne r of t he not e s
a c k now le dge s, a c c e pt s, a gre e s t o be bound by, a nd c onse nt s t o t he e x e rc ise of, a ny U .K . Ba il-in Pow e r by
t he re le va nt U .K . re solut ion a ut horit y.

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, any interest on, or any other amounts payable on, the
notes; (ii) the conversion of all, or a portion, of the principal amount of, any 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 such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the
notes, or amendment of the amount of any interest or any other amounts due on the notes, or the dates on which any 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
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

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 m ore inform a t ion, ple a se se e "Risk Fa c t ors" be low a s w e ll a s "U .K . Ba il-in Pow e r," "Risk Fa c t ors--Risk s
Re la t ing t o t he Se c urit ie s Ge ne ra lly--Re gula t ory a c t ion in t he e ve nt a ba nk or inve st m e nt firm in t he Group
is fa iling or lik e ly t o fa il c ould m a t e ria lly a dve rse ly a ffe c t t he va lue of t he se c urit ie s" a nd "--U nde r t he
t e rm s of t he se c urit ie s, you ha ve a gre e d t o be bound by t he e x e rc ise of a ny U .K . Ba il-in Pow e r by t he
re le va nt U .K . re solut ion a ut horit y" in t he a c c om pa nying prospe c t us supple m e nt .

Leveraged Market-Linked Step Up Notes
TS-4
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s
T he not e s m a y not be a n a ppropria t e inve st m e nt
if:
for you if:
You anticipate that the value of the Basket will not decrease
You believe that the value of the Basket will decrease
from the Starting Value to the Ending Value.
from the Starting Value to the Ending Value.

You are willing to risk a loss of principal and return if the
You seek principal repayment or preservation of capital.
value of the Basket decreases from the Starting Value to the

Ending Value.
You seek interest payments or other current income on

your investment.
You are willing to forgo the interest payments that are paid

on traditional interest bearing debt securities.
You want to receive dividends or other distributions paid

on the stocks included in the Basket Components.
You are willing to forgo dividends or other benefits of owning

the stocks included in the Basket Components.
You seek an investment for which there will be a liquid

secondary market.
You are willing to accept a limited or no market for sales

prior to maturity, and understand that the market prices for
You are unwilling or are unable to take market risk on the
the notes, if any, will be affected by various factors, including
notes or to take our credit risk as issuer of the notes.
our actual and perceived creditworthiness, the inclusion in

the public offering price of the underwriting discount, the
You are unwilling to consent to the exercise of any U.K.
hedging-related charge and other amounts, as described on
Bail-in Power by U.K. resolution authorities.
page TS-2.

You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.

You are willing 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.

Leveraged Market-Linked Step Up Notes
TS-5
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

Hypothetical Payout Profile

Le ve ra ge d M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the

Threshold Value of 100% of the Starting Value, the Step Up
Payment of $1.80 per unit, the Step Up Value of 118% of the
Starting Value and the Participation Rate of 165%. The green
line reflects the returns on the notes, while the dotted gray line
reflects the returns of a direct investment in the stocks included
in the Basket Components, excluding dividends.

This graph has been prepared for purposes of illustration only.

Hypothetical Payments at Maturity

The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show
hypot he t ic a l returns on the notes. The following table is based on the Starting Value of 100, the Threshold Value of 100, the
Step Up Value of 118, the Step Up Payment of $1.80 per unit and the Participation Rate of 165%. It illustrates the effect of a range
of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. T he a c t ua l
a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill de pe nd on t he a c t ua l Ending V a lue a nd t e rm
of your inve st m e nt . The following examples do not take into account any tax consequences from investing in the notes.

For hypothetical historical values of the Basket, see "The Basket" section below. For recent actual levels of the Basket
Components, see "The Basket Components" section below. Each Basket Component is a price return index and as such the
hypothetical Ending Value will not include any income generated by dividends paid on the stocks included in any of the Basket
Components, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on
the notes are subject to issuer credit risk.

Pe rc e nt a ge Cha nge from
t he St a rt ing V a lue t o t he
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on
Ending V a lue
Ending V a lue
U nit
t he N ot e s
0.00
-100.00%
$0.00
-100.00%
50.00
-50.00%
$5.00
-50.00%
60.00
-40.00%
$6.00
-40.00%
70.00
-30.00%
$7.00
-30.00%
80.00
-20.00%
$8.00
-20.00%
90.00
-10.00%
$9.00
-10.00%
100.00(1)(2)
0.00%
$11.80(3)
18.00%
103.00
3.00%
$11.80
18.00%
105.00
5.00%
$11.80
18.00%
110.00
10.00%
$11.80
18.00%
(4)
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

118.00
18.00%
$12.97
29.70%
120.00
20.00%
$13.30
33.00%
130.00
30.00%
$14.95
49.50%
140.00
40.00%
$16.60
66.00%
150.00
50.00%
$18.25
82.50%
160.00
60.00%
$19.90
99.00%

This is the Threshold Value.
(1)
(2)
The Starting Value was set to 100.00 on the pricing date.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $1.80.
(4)
This is the Step Up Value.

Leveraged Market-Linked Step Up Notes
TS-6
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1
The Ending Value is 50.00, or 50.00% of the Starting Value:
Starting Value:100.00
Threshold
100.00
Value:
Ending Value: 50.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:100.00
Step Up
118.00
Value:
Ending Value: 110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value
is equal to or greater than the Starting Value, but less than the Step Up Value.

Ex a m ple 3
The Ending Value is 140.00, or 140.00% of the Starting Value:
Starting Value:100.00
Step Up
118.00
Value:
Ending Value: 140.00
Redemption Amount per unit

Leveraged Market-Linked Step Up Notes
TS-7
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
Risk Factors

https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

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-8 of product supplement EQUITY INDICES SUN-1 and page S-7 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.

Depending on the performance of the Basket as measured shortly before the maturity date, your investment may result in a
loss; there is no guaranteed return of principal.

Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt
security of comparable maturity.

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.

Payments on the notes are subject to the exercise of U.K. Bail-in Power by the relevant U.K. resolution authority. As
described above under "Consent to U.K. Bail-in Power," the relevant U.K. resolution authority may exercise any U.K. Bail-
in Power under the conditions described in such section of this term sheet. If any U.K. Bail-in Power is exercised, you may
lose all or a part of the value of your investment in the notes or receive a different security, which may be worth
significantly less than the notes and which may have significantly fewer protections than those typically afforded to debt
securities. Moreover, the relevant U.K. resolution authority may exercise its authority to implement the U.K. Bail-in Power
without providing any advance notice to the holders and beneficial owners of the notes. By your acquisition of the notes,
you acknowledge, accept, agree to be bound by, and consent to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority. The exercise of any U.K. Bail-in Power 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 relating to the notes). 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 with respect to the notes. See "Consent to U.K. Bail-in Power" above as well as "U.K. Bail-in Power,"
"Risk Factors--Risks Relating to the Securities Generally--Regulatory action in the event a bank or investment firm in the
Group is failing or likely to fail could materially adversely affect the value of the securities" and "--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 for more information.

Your investment return may be less than a comparable investment directly in the stocks included in the Basket
Components.

The estimated value of your notes is based on our internal pricing models. Our internal pricing models take into account a
number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically
including volatility, interest rates, and our internal funding rates. These variables and assumptions are not evaluated or
verified on an independent basis and may prove to be inaccurate. Different pricing models and assumptions of different
financial institutions could provide valuations for the notes that are different from our estimated value.

The estimated value is based on a number of variables, including volatility, interest rates and our internal funding rates. Our
internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a
result of this difference, the estimated value referenced in this term sheet may be lower if such estimated value was based
on the levels at which our benchmark debt securities trade in the secondary market.

The estimated value of your notes is lower than the public offering price of your notes. This difference is a result of certain
factors, such as the inclusion in the public offering price of the underwriting discount, the hedging-related charge, the
estimated profit, if any, that we or any of our affiliates expect to earn in connection with structuring the notes, and the
estimated cost which we may incur in hedging our obligations under the notes, as further described in "Structuring the
Notes" on page TS-41. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you
paid for the notes and lower than the estimated value because the secondary market prices take into consideration the
levels at which our debt securities trade in the secondary market, but do not take into account such fees, charges and
other amounts.

The estimated value of the notes is not a prediction of the prices at which MLPF&S, BofAS or its affiliates, or any of our
affiliates or any other third parties may be willing to purchase the notes from you in secondary market transactions. The
price at which you may be able to sell your notes in the secondary market at any time will be influenced by many factors
that cannot be predicted, such as market conditions, and any bid and ask spread for similar size trades, and may be
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

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. We, MLPF&S, BofAS and our respective affiliates are not
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.

Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trading in
securities of companies included in 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.

Changes in the level of one of the Basket Components may be offset by changes in the levels of the other Basket
Components. Due to the different Initial Component Weights, changes in the levels of some Basket Components will have
a more substantial impact on the value of the Basket than similar changes in the levels of the other Basket Components.

Leveraged Market-Linked Step Up Notes
TS-8
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022

An index sponsor may adjust the relevant Basket Component in a way that affects its level, and has no obligation to
consider your interests.

You will have no rights of a holder of the securities included in the Basket Components, and you will not be entitled to
receive securities or dividends or other distributions by the issuers of those securities.

While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the
Basket Components, except to the extent that the common stock of Bank of America Corporation (the parent company of
MLPF&S and BofAS) is included in the S&P 500® Index and the common stock of Barclays PLC is included in the FTSE®
100 Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in any Basket
Component, and have not verified any disclosure made by any other company.

Your return on the notes may be affected by factors affecting the international securities markets. In addition, you will not
obtain the benefit of any increase in the value of any currency in which the securities included in the Basket Components
are traded against the U.S. dollar, which you would receive if you had owned the securities included in the Basket
Components during the term of your notes, although the value of the notes may be adversely affected by general
exchange rate movements in the market.

There may be potential conflicts of interest involving the calculation agents, one of which is us and one of which is BofAS.
We have the right to appoint and remove the calculation agents.

The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a U.S. investor of the notes.
See "Tax Considerations" below.

Other Terms of the Notes

M a rk e t M e a sure Busine ss Da y

The following definition shall supersede and replace the definition of "Market Measure Business Day" set forth in product
supplement EQUITY INDICES SUN-1.

A "Market Measure Business Day" means a day on which:

(A) each of the New York Stock Exchange and The Nasdaq Stock Market (as to the S&P 500® Index), the Eurex (as to the
EURO STOXX 50® Index), the London Stock Exchange (as to the FTSE® 100 Index), the Tokyo Stock Exchange (as to
the Nikkei 225 Index), the SIX Swiss Exchange (as to the Swiss Market Index), the Australian Stock Exchange (as to the
S&P/ASX 200 Index) and the Hong Kong Stock Exchange (as to the Hang Seng® Index) (or any successor to the
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

foregoing exchanges) are open for trading; and

(B) the Basket Components or any successors thereto are calculated and published.

Leveraged Market-Linked Step Up Notes
TS-9
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
The Basket

The Basket is designed to allow investors to participate in the percentage changes in the levels of the Basket Components from
the Starting Value to the Ending Value of the Basket. The Basket Components are described in the section "The Basket
Components" below. Each Basket Component was 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-23 of product supplement EQUITY INDICES SUN-1.

On the pricing date, for each Basket Component, the Initial Component Weight, the closing level, the Component Ratio and the
initial contribution to the Basket value were as follows:

I nit ia l

I nit ia l Ba sk e t
Bloom be rg
Com pone nt
Closing
Com pone nt
V a lue
Ba sk e t Com pone nt
Sym bol
We ight
Le ve l (1)
Ra t io(2)
Cont ribut ion
S&P 500® Index

SPX

50.00%

3,205.37

0.01559882

50.00
EURO STOXX 50® Index

SX5E

20.00%

3,739.17

0.00534878

20.00
FTSE® 100 Index

UKX

10.00%

7,573.82

0.00132034

10.00
Nikkei 225 Index

NKY

10.00%

23,864.85

0.00041903

10.00
Swiss Market Index

SMI

3.75%

10,575.15

0.00035460

3.75
S&P/ASX 200 Index

AS51

3.75%

6,833.114

0.00054880

3.75
Hang Seng® Index

HSI

2.50%

27,800.49

0.00008993

2.50

St a rt ing V a lue

100.00

(1) These were the closing levels of the Basket Components on the pricing date.

(2) Each Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage)
multiplied by 100, and then divided by the closing level of that Basket Component on the pricing date and rounded to
eight decimal places.

The calculation agents will calculate the value of the Basket by summing the products of the closing level for each Basket
Component on the calculation day and the Component Ratio applicable to such Basket Component. If a Market Disruption Event or
non-Market Measure Business Day occurs as to any Basket Component on the scheduled calculation day, the closing level of that
Basket Component will be determined as more fully described in the section entitled "Description of the Notes--Basket Market
Measures--Observation Level or Ending Value of the Basket" beginning on page PS-25 of product supplement EQUITY INDICES
SUN-1.

Leveraged Market-Linked Step Up Notes
TS-10
Leveraged Market-Linked Step Up Notes
Linked to a Global Equity Index Basket, due December 30, 2022
While actual historical information on the Basket did not exist before the pricing date, the following graph sets forth the
hypothetical historical performance of the Basket from January 1, 2009 through December 19, 2019. The graph is based
upon actual daily historical levels of the Basket Components, hypothetical Component Ratios based on the closing levels
of the Basket Components as of December 31, 2008, 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
https://www.sec.gov/Archives/edgar/data/312070/000095010319017544/dp118004_424b2-2761baml.htm[12/24/2019 9:08:02 AM]

Document Outline

#1">
- #1">