Obligation Barclay PLC 0% ( US06747D5288 ) en USD

Barclay PLC

100 % ▲

Royaume-Uni

US06747D5288 ( en USD )

29/11/2024 - Obligation échue

Prospectus brochure de l'obligation Barclays PLC US06747D5288 en USD 0%, échue

1 000 USD

17 411 000 USD

06747D528

N/A

Barclays PLC est une banque multinationale britannique offrant une large gamme de services financiers, notamment la banque de détail, la gestion de patrimoine, la banque d'investissement et les cartes de crédit, opérant dans de nombreux pays à travers le monde.

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06747D5288, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 29/11/2024

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06747D5288, a été notée NR par l'agence de notation Moody's.

424B2 1 dp116775_424b2-2687baml.htm FORM 424B2
Pricing Supplement No. 2687

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 -
the Prospectus Supplement dated August
2 3 2 1 4 4
1, 2019 and the Product Supplement
EQUITY INDICES LIRN-1 dated August
1, 2019)
1,741,148 Units
Pricing Date
November 26, 2019
$10 principal amount per unit
Settlement Date
December 4, 2019
CUSIP No. 06747D528
Maturity Date
November 29, 2024

Ca ppe d N ot e s w it h Absolut e Re t urn Buffe r Link e d
t o t he S& P 5 0 0 ® I nde x
Maturity of approximately five years
1-to-1 upside exposure to increases in the Index, subject to a capped return of 75%
A positive return equal to the absolute value of the percentage decline in the level of the Index only if the Index does not
decline by more than 20.00% (e.g., if the negative return of the Index is -10.00%, you will receive a positive return of +10.00%)
1-to-1 downside exposure to decreases in the Index beyond a 20.00% decline, with up to 80.00% of your principal at risk
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-7 of t his t e rm she e t , be ginning on pa ge PS-7 of produc t supple m e nt EQU I T Y I N DI CES
LI RN -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 .5 7 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-15 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-3 a nd "Risk
Fa c t ors" be ginning on pa ge T S-7 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
representation to the contrary is a criminal offense.

_________________________

Per Unit
Total
Public offering price
$ 10.00
$ 17,411,480.00
Underwriting discount
$ 0.25
$ 435,287.00
Proceeds, before expenses, to Barclays
$ 9.75
$ 16,976,193.00

T he not e s:

https://www.sec.gov/Archives/edgar/data/312070/000095010319016308/dp116775_424b2-2687baml.htm[11/29/2019 12:21:34 PM]

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
November 26, 2019
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
Summary

The Capped Notes with Absolute Return Buffer Linked to the S&P 500® Index, due November 29, 2024 (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. Bail-in Power (as described herein) or any other resolution measure by any relevant U.K. resolution authority. The notes
provide you a 1:1 return, subject to a cap, if the Ending Value of the Market Measure, which is the S&P 500® Index (the "Index"),
is greater than the Starting Value. If the Ending Value is equal to or less than the Starting Value but greater than or equal to the
Threshold Value, you will receive a positive return equal to the absolute value of the percentage decline in the Index from the
Starting Value to the Ending Value (e.g., if the negative return of the Index is -10.00%, you will receive a positive return of
+10.00%). 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. Any payments on the notes 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 volatility, interest rates and our
internal funding rates, which are our internally published borrowing rates, and the economic terms of certain related hedging
arrangements. This estimated value is less than the public offering price.

The economic terms of the notes (including the Capped Value) are based on our internal funding rates, which may vary from the
levels at which our benchmark debt securities trade in the secondary market, and the economic terms of certain related hedging
arrangements. The difference between these rates, as well as the underwriting discount, the hedging-related charge and other
amounts described below, reduced the economic terms of the notes. For more information about the estimated value and the
structuring of the notes, see "Structuring the Notes" on page TS- 15.

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 five years
M a rk e t
The S&P 500® Index (Bloomberg
M e a sure :
symbol: "SPX"), a price return index
St a rt ing
3,140.52
V a lue :
Ending V a lue : The average of the closing levels of
the Market Measure on each
calculation day occurring during the
Maturity Valuation Period. The
scheduled calculation days are
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subject to postponement in the
event of Market Disruption Events,
as described beginning on page
PS-18 of product supplement
EQUITY INDICES LIRN-1.
T hre shold
2,512.42 (80% of the Starting
V a lue :
Value, rounded to two decimal
places).
Pa rt ic ipa t ion
100%
Ra t e :
Ca ppe d V a lue : $17.50 per unit, which represents a
return of 75% over the principal
amount.
M a t urit y
November 19, 2024, November 20,
V a lua t ion
2024, November 21, 2024,
Pe riod:
November 22, 2024 and November
25, 2024
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 a hedging-
related charge of $0.075 per unit
described in "Structuring the Notes"
on page TS-15.
Ca lc ula t ion
Barclays and BofA Securities, Inc.
Age nt s:
("BofAS").
Capped Notes with Absolute Return Buffer
TS-2
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
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 LIRN-1 dated August 1, 2019:
http://www.sec.gov/Archives/edgar/data/312070/000095010319010198/dp110112_424b3-lirn.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

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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 LIRN-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
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 .
Capped Notes with Absolute Return Buffer
TS-3
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
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 for
if:
you if:
You anticipate that the Index will either increase moderately
You believe that the Index will decrease from the Starting
from the Starting Value to the Ending Value or decrease from
Value to an Ending Value that is below the Threshold Value
the Starting Value to an Ending Value that is equal to or above
or that it will not increase sufficiently over the term of the
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the Threshold Value.
notes to provide you with your desired return.

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

You seek an uncapped return on your investment.
You accept that the return on the notes will be capped.

You seek interest payments or other current income on your
You are willing to forgo the interest payments that are paid on
investment.
traditional interest bearing debt securities.

You want to receive dividends or other distributions paid on
You are willing to forgo dividends or other benefits of owning
the stocks included in the Index.
the stocks included in the Index.

You seek an investment for which there will be a liquid
You are willing to accept a limited or no market for sales prior
secondary market.
to maturity, and understand that the market prices for the

notes, if any, will be affected by various factors, including our You are unwilling or are unable to take market risk on the
actual and perceived creditworthiness, the inclusion in the
notes or to take our credit risk as issuer of the notes.
public offering price of the underwriting discount, the hedging-
related charge and other amounts, as described on page TS-2. You are unwilling to consent to the exercise of any U.K.

Bail-in Power by U.K. resolution authorities.
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.

Capped Notes with Absolute Return Buffer
TS-4
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
Hypothetical Payout Profile

Ca ppe d N ot e s w it h Absolut e Re t urn Buffe r

This graph reflects the returns on the notes, based on the
Participation Rate of 100%, the Threshold Value of 80% of the
Starting Value and the Capped Value of $17.50 per unit. 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.

H ypot he t ic a l Pa ym e nt s a t M a t urit y

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 a hypothetical Starting Value of 100, a hypothetical Threshold
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Value of 80, the Participation Rate of 100% and the Capped Value of $17.50 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. 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 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 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.

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%
$2.00
-80.00%
50.00
-50.00%
$7.00
-30.00%
70.00
-30.00%
$9.00
-10.00%
80.00(1)
-20.00%
$12.00
20.00%
90.00
-10.00%
$11.00
10.00%
100.00(2)
0.00%
$10.00
0.00%
110.00
10.00%
$11.00
10.00%
120.00
20.00%
$12.00
20.00%
130.00
30.00%
$13.00
30.00%
140.00
40.00%
$14.00
40.00%
150.00
50.00%
$15.00
50.00%
160.00
60.00%
$16.00
60.00%
170.00
70.00%
$17.00
70.00%
175.00
75.00%
$17.50(3)
75.00%
180.00
80.00%
$17.50
75.00%
190.00
90.00%
$17.50
75.00%
200.00
100.00%
$17.50
75.00%

(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 3,140.52, which was the closing level of the Market Measure on the pricing date.

(3)
The Redemption Amount per unit cannot exceed the Capped Value.

Capped Notes with Absolute Return Buffer
TS-5
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
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 Value: 80.00
Ending Value: 50.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 90.00, or 90.00% of the Starting Value:
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Starting Value: 100.00
Threshold Value: 80.00
Ending Value: 90.00
Redemption Amount per unit
Since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value, the Redemption Amount
for the notes will be the principal amount plus a positive return equal to the absolute value of the negative return of the Index.

Ex a m ple 3
The Ending Value is 120.00, or 120.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 120.00
= $12.00 Redemption Amount per unit

Ex a m ple 4

The Ending Value is 180.00, or 180.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 180.00
= $ 1 8 .0 0 , how e ve r, be c a use t he Re de m pt ion Am ount for t he not e s
c a nnot e x c e e d t he Ca ppe d V a lue , t he Re de m pt ion Am ount w ill be
$ 1 7 .5 0 pe r unit

Capped Notes with Absolute Return Buffer
TS-6
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
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 LIRN-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.

Your potential for a positive return based on the depreciation of the Index is limited and may be less than that of a
comparable investment that takes a short position directly in the Index (or the stocks included in the Index). The absolute
value return feature applies only if the Ending Value is less than the Starting Value but greater than or equal to the
Threshold Value. Because the Threshold Value is 80.00% of the Starting Value, any positive return due to the depreciation
of the Index is limited to 20.00%. Any decline in the Ending Value from the Starting Value by more than 20.00% will result
in a loss, rather than a positive return, on the notes. In contrast, for example, a short position in the Index (or the stocks
included in the Index) would allow you to receive the full benefit of any decrease in the level of the Index (or the stocks
included in the Index).

Payments on the notes are subject to our credit risk, and any actual or perceived changes in our creditworthiness are
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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 based on any increase in the level of the Index is limited to the return represented by the Capped
Value and 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 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-15. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you
paid for the notes and lower than the estimated value because the secondary market prices take into consideration the
levels at which our debt securities trade in the secondary market but do not take into account such fees, charges and other
amounts.

The estimated value of the notes is not a prediction of the prices at which MLPF&S, BofAS or its affiliates, or any of our
affiliates or any other third parties may be willing to purchase the notes from you in secondary market transactions. The
price at which you may be able to sell your notes in the secondary market at any time will be influenced by many factors
that cannot be predicted, such as market conditions, and any bid and ask spread for similar size trades, and may be
substantially less than our estimated value of the notes. Any sale prior to the maturity date could result in a substantial
loss to you.

Capped Notes with Absolute Return Buffer
TS-7
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024

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
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securities of companies included in the Index), 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.

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 included in the Index or of a holder with a short position directly in the
Index (or the securities included in 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, BofAS 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 and
BofAS) is included in the Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in
the Index, and have not verified any disclosure made by any company.

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.

Capped Notes with Absolute Return Buffer
TS-8
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
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 without independent verification. 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 LIRNs--Discontinuance of an Index" beginning on page PS-20 of product supplement
EQUITY INDICES LIRN-1. None of us, the calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation,
maintenance, or publication of the Index or any successor index.

Ge ne ra l

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 with at least three business days advance notice. Less than three business days' notice may be given at the discretion
of the S&P Dow Jones's U.S. index committee.

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. This range is
reviewed from time to time to assure consistency with market conditions. A company meeting the unadjusted company
market capitalization criteria is also required to have a security level float-adjusted market capitalization that is at least 50%
of the Index's unadjusted company level minimum market capitalization threshold. 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 (defined as average closing price
over the period multiplied by historical volume) to float-adjusted market capitalization should be at least 1.00, and the stock
should trade a minimum of 250,000 shares in each of the six months leading up to the evaluation date.
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·
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;

·
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 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); and

·
the primary listing must be on an eligible U.S. exchange as described under "Eligible Securities" below.

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.

·
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 S&P Total Market Index, in the market
capitalization range. The S&P Total Market Index is a float-adjusted, market-capitalization weighted index designed to track
the broad equity market, including large-, mid-, small- and micro-cap stocks.

·
Financial Viability. The sum of the most recent four consecutive quarters' Generally Accepted Accounting Principles
("GAAP") earnings (net income excluding discontinued operations) should be positive as should the most recent quarter.
For equity real estate investment trusts ("REITs"), financial viability is based on GAAP earnings and/or Funds From
Operations ("FFO"), if reported.

·
Treatment of IPOs. Initial public offerings should be traded on an eligible exchange for at least 12 months before being
considered for addition to the Index. Spin-offs or in-specie distributions from existing constituents do not need to be
seasoned for 12 months prior to their inclusion in the Index.

·
Eligible Securities. Eligible securities are the common stock of U.S. companies with a primary listing on the New York
Stock Exchange, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital
Market, Cboe BZX, Cboe BYX, Cboe EDGA, Cboe EDGX or IEX exchanges. Ineligible exchanges include the OTC Bulletin
Board and Pink Sheets. Eligible organizational structures and share types are corporations (including equity and mortgage
REITS) and common stock (i.e., shares). Ineligible organizational structures and share types include business development
companies, limited partnerships, master limited partnerships, limited liability companies, closed-end funds, exchange-traded
funds,

Capped Notes with Absolute Return Buffer
TS-9
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due November 29, 2024
exchange-traded notes, royalty trusts, special purposes acquisition companies, tracking stocks, preferred and convertible
preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights and American Depositary Receipts.

As of July 2017, the securities of companies with multiple share class structures (including companies with listed and unlisted
share classes) are no longer eligible to be added to the Index, but securities already included in the Index have been
grandfathered and are not affected by this change.

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
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Document Outline

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