Bond Barclay PLC 0% ( US06745T5829 ) in USD

Issuer Barclay PLC
Market price 100 %  ⇌ 
Country  United Kingdom
ISIN code  US06745T5829 ( in USD )
Interest rate 0%
Maturity 25/03/2022 - Bond has expired



Prospectus brochure of the bond Barclays PLC US06745T5829 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 33 014 000 USD
Cusip 06745T582
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description 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.

The Bond issued by Barclay PLC ( United Kingdom ) , in USD, with the ISIN code US06745T5829, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 25/03/2022







424B2 1 a17-10326_8424b2.htm 424B2 - ML BCS 57 SPX ENHANCED BUFF 90% [BARC-
AMERICAS.FID861840]

CALCULATION OF REGISTRATION FEE



Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee(1)






Global Medium-Term Notes, Series A
$33,013,510
$3,826.27

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.



Pricing Supplement
File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated July 18, 2016, the
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 1 2 5 7 1
Prospectus Supplement dated July 18, 2016 and
the Product Supplement EQUITY INDICES SUN -1 dated
July 28, 2016)
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 -7
of t his t e rm she e t a nd be ginning on pa ge PS -7 of produc t supple m e nt EQU I T Y I N DI CES SU N -1 .

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 .5 5 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-7 of this term sheet and "Structuring the Notes" on page TS-13 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 of t he
not e s, by a c quiring t he not e s, e a c h holde 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 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 -3 a nd "Risk Fa c t ors" on pa ge T S -7 of t his t e rm she e t

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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
$ 10.00
$33,013,510.00



Underwriting discount
$ 0.25
$825,337.75



Proceeds, before expenses, to Barclays
$ 9.75
$32,188,172.25




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



M e rrill Lync h & Co.
March 30, 2017


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022



Summary

The Enhanced Market-Linked Step Up Notes with Buffer Linked to the S&P 500® Index, due March 25, 2022 (the "notes") are our direct, unconditional,
unsecured and unsubordinated debt securities and are not deposit liabilities of either Barclays PLC or Barclays. The notes are not covered by the U.K.
Financial Services Compensation Scheme or insured or guaranteed by the U.S. Federal Deposit Insurance Corporation or any other governmental 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 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 S&P
500® Index (the "Index"), is equal to or greater than its Threshold Value, but is not greater than the Step Up Value. If the Ending Value is greater than the
Step Up Value, you will participate on a 1-for-1 basis in the increase in the level of the Index above the Starting Value. If the Ending Value is less than the
Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes. Payments on the notes, including the amount you
receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk.
See "Terms of the Notes" below.

On the cover page of this term sheet, we have provided the estimated value for the notes. This estimated value was determined based on our internal
pricing models, which take into account a number of variables, including our internal funding rates, which are our internally published borrowing rates we
use to issue market-linked investments, and the economic terms of certain related hedging arrangements. This estimated value is less than the public
offering price.

The economic terms of the notes (including the Step Up Payment) are based on our internal funding rates, which may vary from the rates 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, reduce the economic terms of the notes. For
more information about the estimated value and structuring the notes, see "Structuring the Notes" on page TS-13.

Terms of the Notes
Redemption Amount Determination


I ssue r:
Barclays Bank PLC ("Barclays ")
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 five years
M a rk e t
The S&P 500 Index
®
(Bloomberg symbol:
M e a sure :
"SPX"), a price return index
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St a rt ing
2,368.06
V a lue :
Ending V a lue :
The closing level of the Market Measure on
the calculation day. The calculation day is
subject to postponement in the event of
Market Disruption Events, as described
beginning on page PS-19 of product
supplement EQUITY INDICES SUN-1.
St e p U p
3,031.35 (128.01% of the Starting Value,
V a lue :
rounded to two decimal places).
St e p U p
$2.801 per unit, which represents a return
Pa ym e nt :
of 28.01% over the principal amount.
T hre shold
2,131.25 (90% of the Starting Value,
V a lue :
rounded to two decimal places).
Ca lc ula t ion
March 18, 2022
Da y:
Fe e s Cha rge d:
The public offering price of the notes
includes the underwriting discount of $0.25
per unit as listed on the cover page and an
additional charge of $0.075 per unit more
fully described on page TS-13.
Ca lc ula t ion
Barclays and Merrill Lynch, Pierce,
Age nt s:
Fenner & Smith Incorporated ("MLPF&S").

Enhanced Market-Linked Step Up Notes with Buffer
TS-2


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 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 MLPF&S by calling 1-800-294-1322:


Product supplement EQUITY INDICES SUN-1 dated July 28, 2016:

https://www.sec.gov/Archives/edgar/data/312070/000110465916135052/a16-14463_41424b3.htm


Series A MTN prospectus supplement dated July 18, 2016:

https://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm


Prospectus dated July 18, 2016:

https://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.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.

Consent to U.K. Bail-in Power

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Notwithstanding any other agreements, arrangements or understandings between us and any holder of the notes, by acquiring the notes, each
holder 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 the 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 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 authority of such U.K. Bail-in Power. Each holder of the notes further acknowledges and agrees that the rights of the holders 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 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 .

Enhanced Market-Linked Step Up Notes with Buffer
TS-3


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 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 if:
T he not e s m a y not be a n a ppropria t e inve st m e nt for you
if:




You anticipate that the Ending Value will not be less than the
You believe that the Index will decrease from the Starting Value to
Threshold Value.
an Ending Value that is less than the Threshold Value.


You are willing to risk a loss of principal and return if the Index
You seek 100% principal repayment or preservation of capital.
decreases from the Starting Value to an Ending Value that is

You seek interest payments or other current income on your
below the Threshold Value.

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

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

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

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

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

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

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

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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.

Enhanced Market-Linked Step Up Notes with Buffer
TS-4


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022



Hypothetical Payout Profile

Enha nc e d M a rk e t -Link e d St e p U p N ot e s w it h Buffe r
This graph reflects the returns on the notes, based on the Threshold

Value of 90% of the Starting Value, the Step Up Payment of $2.801 per
unit and the Step Up Value of 128.01% of the Starting Value. 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 Index,
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. 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
St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p V a lue , a nd t e rm of your inve st m e nt .

The following table is based on a Starting Value of 100, a Threshold Value of 90, a Step Up Value of 12.801 and the Step Up Payment of $2.801
per unit. 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. The following examples do not take into account any tax consequences from investing in the notes.

Pe rc e nt a ge Cha nge from t he
Re de m pt ion Am ount
T ot a l Ra t e of Re t urn on t he
Ending V a lue
St a rt ing V a lue t o t he Ending V a lue
pe r U nit
N ot e s






0.00
-100.00%
$1.00
-90.00%



50.00
-50.00%
$6.00
-40.00%



80.00
-20.00%
$9.00
-10.00%



90.00(1)
-10.00%
$12.801(3)
28.01%



94.00
-6.00%
$12.801
28.01%



95.00
-5.00%
$12.801
28.01%



https://www.sec.gov/Archives/edgar/data/312070/000110465917021059/a17-10326_8424b2.htm[4/4/2017 11:25:43 AM]


97.00
-3.00%
$12.801
28.01%



100.00(2)
0.00%
$12.801
28.01%



102.00
2.00%
$12.801
28.01%



105.00
5.00%
$12.801
28.01%



110.00
10.00%
$12.801
28.01%



120.00
20.00%
$12.801
28.01%



128.01(4)
28.01%
$12.801
28.01%



130.00
30.00%
$13.00
30.00%



140.00
40.00%
$14.00
40.00%



143.00
43.00%
$14.30
43.00%



150.00
50.00%
$15.00
50.00%



160.00
60.00%
$16.00
60.00%

(1) This is the hypot he t ic a l Threshold Value.
(2) The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting
Value is 2,368.06, which was the closing level of the Market Measure on the pricing date.
(3) This amount represents the sum of the principal amount and the Step Up Payment of $2.801.
(4) This is the hypot he t ic a l Step Up Value.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending Value
will not include any income generated by dividends paid on the stocks included in the Index, 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.

Enhanced Market-Linked Step Up Notes with Buffer
TS-5


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 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 80.00, or 80.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 90.00
Ending Value: 80.00

Redemption Amount per unit


Ex a m ple 2
The Ending Value is 95.00, or 95.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 90.00
Step Up Value: 128.01
Ending Value: 95.00

Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Threshold Value, but less than the Step Up Value.


Ex a m ple 3
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The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 128.01
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 Threshold Value, but less than the Step Up Value.


Ex a m ple 4
The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 128.01
Ending Value: 143.00

Redemption Amount per unit

Enhanced Market-Linked Step Up Notes with Buffer
TS-6


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022



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 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 Index 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 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 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 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. Your rights
as a holder of the notes are subject to, and will be varied, if necessary, so as to give effect to the exercise of any U.K. Bail-in Power by
the relevant U.K. resolution authority. 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
https://www.sec.gov/Archives/edgar/data/312070/000110465917021059/a17-10326_8424b2.htm[4/4/2017 11:25:43 AM]


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 Index.



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 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-13. 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 do not include such fees, charges and other amounts, and take into consideration the levels at which our debt
securities trade in the secondary market.


The estimated value of the notes is not a prediction of the prices at which MLPF&S 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 trading commissions, 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. We, MLPF&S 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 and our respective affiliates (including trading in shares of

companies included in the Index), and any hedging and trading activities we, MLPF&S 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.

Enhanced Market-Linked Step Up Notes with Buffer
TS-7


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022




The Index sponsor may adjust the Index 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 represented by the Index, and you will not be entitled to receive securities or

dividends or other distributions by the issuers of those securities.


While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, except to the

extent that the common stock of Bank of America Corporation (the parent company of MLPF&S) is included in the Index, we, MLPF&S
and our respective affiliates do not control any company included in the Index, and have not verified any disclosure made by any other
company.


There may be potential conflicts of interest involving the calculation agents, one of which is us and one of which is MLPF&S. These

potential conflicts of interest include the calculation agents' roles in establishing the economic terms of the notes and determining the
estimated value of the notes. 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 holder of the notes. See "Material U.S.

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Federal Income Tax Considerations" below and "Material U.S. Federal Income Tax Considerations" beginning on page PS-28 of
product supplement EQUITY INDICES SUN-1.

Enhanced Market-Linked Step Up Notes with Buffer
TS-8


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022



The Index

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation, and changes in
its components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by S&P
Dow Jones Indices LLC (the "Index sponsor" or "S&P Dow Jones"). The Index sponsor, which licenses the copyright and all other rights to the
Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor
discontinuing publication of the Index are discussed in the section entitled "Description of the Notes--Discontinuance of an Index" beginning on
page PS-22 of product supplement EQUITY INDICES SUN-1. None of us, the calculation agents, or MLPF&S accepts any responsibility for the
calculation, maintenance or publication of the Index or any successor index.

The Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. The Index is reported
by Bloomberg L.P. under the ticker symbol "SPX."

Com posit ion of t he I nde x

Changes to the Index are made as needed, with no annual or semi-annual reconstitution. Constituent changes are typically announced one to
five days before they are scheduled to be implemented.

Effective with the September 2015 rebalance, each class of stock for a company with multiple share classes is separately evaluated for
inclusion, and separately weighted, in the Index. It is possible that one listed share class may be included in the Index while a second listed
share class of the same company is excluded. Unlisted share classes will not be combined with any other listed share classes, but these
unlisted share classes will be included in the company total market capitalization. For companies that issue a second publicly traded share class
to index share class holders, the newly issued share class will be considered for inclusion if the event is mandatory and the market capitalization
of the distributed class is not considered to be de minimis.

Additions to the Index are evaluated based on the following eligibility criteria:

·
Market Capitalization. The unadjusted company market capitalization should be within a specified range, which is currently $5.3 billion

or more. The range is reviewed from time to time to assure consistency with market conditions. The market capitalization of a potential
addition to the Index is looked at in the context of its short- and medium-term historical trends, as well as those of its industry. Index
membership eligibility for a company with multiple share classes is based on the total market capitalization of the company, including all
publicly listed and unlisted share classes, if applicable. For spin-offs, index membership eligibility is determined using when-issued
prices, if available.

·
Liquidity. Using composite pricing and volume, the ratio of annual dollar value traded to float-adjusted market capitalization should be

1.00 or greater, and the stock should trade a minimum of 250,000 shares in each of the six months leading up to the evaluation date.
For companies with multiple share classes, each listed share class is viewed independently to determine if its meets the liquidity
criteria.

·
Domicile. The company should be a U.S. company, meaning a company that has the following characteristics:


·
the company should file 10-K annual reports and should not be considered a foreign entity by the SEC;


·
the U.S. portion of fixed assets and revenues should constitute a plurality of the total, but need not exceed 50%. When these

factors are in conflict, assets determine plurality. Revenue determines plurality when there is incomplete asset information. If this
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criteria is not met or is ambiguous, S&P Dow Jones may still deem the company to be a U.S. company for index purposes if its
primary listing, headquarters and incorporation are all in the United States and/or "a domicile of convenience" (Bermuda, Channel
Islands, Gibraltar, islands in the Caribbean, Isle of Man, Luxembourg, Liberia or Panama);

·
the primary listing of the common stock is the New York Stock Exchange (including NYSE Arca and NYSE MKT), the NASDAQ

Global Select Market, the NASDAQ Select Market or the NASDAQ Capital Market. ADRs are not eligible for inclusion; and

·
the company should have a corporate governance structure consistent with U.S. practice.


In situations where the only factor suggesting that a company is not a U.S. company is its tax registration in a "domicile of convenience" or
another location chosen for tax-related reasons, S&P Dow Jones normally determines that the company is still a U.S. company. The final
determination of domicile eligibility is made by the S&P Dow Jones's U.S. index committee.

·
Public Float. There should be a public float of at least 50% of the company's stock. For companies with multiple share classes, each

share class is evaluated separately. Only those share classes with a public float of at least 50% are considered for inclusion.

·
Sector Classification. The company is evaluated for its contribution to sector balance maintenance, as measured by a comparison of

each GICS® sector's weight in the Index with its weight in the market, in the relevant market capitalization range.

Enhanced Market-Linked Step Up Notes with Buffer
TS-9


Enhanced Market-Linked Step Up Notes with Buffer
Linked to the S&P 500® Index, due March 25, 2022



·
Financial Viability. The sum of the most recent four consecutive quarters' as-reported earnings of the company should be positive as

should the most recent quarter. As-reported earnings are Generally Accepted Accounting Principles (GAAP) net income excluding
discontinued operations and extraordinary items. For equity real estate investment trusts ("REITs"), financial viability is based on as-
reported earnings and/or Funds From Operations (FFO), if reported. Another measure of financial viability is a company's balance
sheet leverage, which should be operationally justifiable in the context of both its industry peers and its business model.

·
Treatment of IPOs. Initial public offerings should be seasoned for six to 12 months before being considered for addition to the Index.


·
Eligible Securities. Eligible securities include all U.S. common equities listed on the New York Stock Exchange, NYSE Arca, NYSE

MKT, NASDAQ Global Select Market, NASDAQ Select Market and NASDAQ Capital Market. Ineligible securities include business
development companies (BDCs), limited partnerships, master limited partnerships, limited liability companies (LLCs), OTC bulletin
board issues, closed-end funds, exchange-traded funds, exchange-traded notes, royalty trusts, tracking stocks, preferred and
convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights, ADRs, ADSs and master limited
partnership units. REITs are eligible for inclusion.

Removals from the Index are evaluated based as follows:

·
Companies that are involved in mergers, acquisitions, or significant restructuring such that they no longer meet inclusion criteria.

Companies delisted as a result of merger, acquisition or other corporate action are removed at a time announced by S&P Dow Jones,
normally at the close of the last day of trading or expiration of a tender offer. Constituents that are halted from trading may be kept in
the Index until trading resumes, at the discretion of S&P Dow Jones. If a stock is moved to the pink sheets or the bulletin board, the
stock is removed.

·
Companies that substantially violate one or more of the addition criteria. S&P Dow Jones believes turnover in index membership

should be avoided when possible. At times a stock may appear to temporarily violate one or more of the addition criteria. However, the
addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate
criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. When a stock is removed from an
index, S&P Dow Jones explains the basis for the removal.

Ca lc ula t ion of t he I nde x

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