# EDGAR Filing Document

**Accession Number:** 0000312070
**File Stem:** 0000950103-26-000062
**Filing Date:** 2026-1
**Character Count:** 125307
**Document Hash:** 4775f504e1bfc3858624d56a982ff480
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000950103-26-000062.hdr.sgml**: 20260102

**ACCESSION NUMBER**: 0000950103-26-000062

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 5

**FILED AS OF DATE**: 20260102

**DATE AS OF CHANGE**: 20260102

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BARCLAYS BANK PLC
- **CENTRAL INDEX KEY:** 0000312070
- **STANDARD INDUSTRIAL CLASSIFICATION:** COMMERCIAL BANKS, NEC [6029]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 000000000
- **STATE OF INCORPORATION:** X0
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-287303
- **FILM NUMBER:** 26503033

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CHURCHILL PLACE
- **STREET 2:** CANARY WHARF
- **CITY:** LONDON
- **STATE:** X0
- **ZIP:** E14 5HP
- **BUSINESS PHONE:** 0044-20-3555-4619

**MAIL ADDRESS:**
- **STREET 1:** 1 CHURCHILL PLACE
- **STREET 2:** CANARY WHARF
- **CITY:** LONDON
- **STATE:** X0
- **ZIP:** E14 5HP

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BARCLAYS BANK PLC /ENG/
- **DATE OF NAME CHANGE:** 19990402

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BARCLAYS BANK INTERNATIONAL LTD
- **DATE OF NAME CHANGE:** 19850313

Product Supplement STOCK LIRN-1 Filed Pursuant to Rule 424(b)(2) <br> (To Prospectus dated May 15, 2025 Registration Statement No. 333-287303 <br> and Series A Prospectus Supplement dated May 15, 2025) January 2, 2026

![](image_010.gif)

**Leveraged Index Return Notes<sup>®</sup> "LIRNs<sup>®</sup>" Linked to One or More Equity Securities**

· The LIRNs are unsecured and unsubordinated obligations issued by Barclays Bank PLC. Any payments due on the LIRNs, including any repayment of principal, will be subject to the credit risk of Barclays Bank PLC and to the exercise of any U.K. Bail-in Power (as defined below) by any relevant U.K. resolution authority (as described in the accompanying prospectus supplement).

· The LIRNs do not guarantee the return of principal at maturity, and we will not pay interest on the LIRNs. Instead, the return on the LIRNs will be based on the performance of an underlying "**Market Measure**," which will be either the common equity securities or American Depositary Receipts ()"**ADRs**") of a company other than us, the agents and our respective affiliates (the "**Underlying Stock** "). The Market Measure may also consist of a "**Basket**" of two or more Underlying Stocks.

· The LIRNs provide an opportunity to earn a multiple of the positive performance of the Market Measure, and may provide limited protection against the risk of losses. You will be exposed to any negative performance of the Market Measure below the Threshold Value (as defined below) on a 1-to-1 basis. If specified in the applicable term sheet (as defined below), your LIRNs may be "**Capped LIRNs**." In the case of Capped LIRNs, the amount payable at maturity will not exceed a specified cap (the "**Capped Value** "). Additionally, if specified in the applicable term sheet, your LIRNs may be subject to an automatic call, which will limit your return to a fixed amount if the LIRNs are called.

· If the LIRNs are not automatically called prior to maturity, if applicable, and the value of the Market Measure increases from its Starting Value to its Ending Value (each as defined below), you will receive at maturity a cash payment per unit (the "**Redemption Amount**") that equals the principal amount plus a multiple of that increase, and in the case of Capped LIRNs, up to the Capped Value. If the LIRNs are not automatically called prior to maturity, if applicable, and the value of the Market Measure does not change or decreases from its Starting Value to its Ending Value, but not below the Threshold Value, then the Redemption Amount will equal the principal amount.

· However, if the Ending Value is less than the Threshold Value, you will be subject to 1-to-1 downside exposure to the decrease in the value of the Market Measure below the Threshold Value. In such case, you will lose all or a portion (which could be significant) of the principal amount of your LIRNs.

· If specified in the applicable term sheet, your LIRNs may be subject to an automatic call. In that case, the LIRNs will be automatically called if the Observation Level on any Observation Date is greater than or equal to the Call Level (each as defined below). If called, you will receive a cash payment per unit (the "**Call Amount**") on the applicable Call Settlement Date (as defined below) that equals the principal amount plus the applicable Call Premium (as defined below).

· This product supplement describes the general terms of the LIRNs, the risk factors to consider before investing, the general manner in which they may be offered and sold, and other relevant information.

· For each offering of the LIRNs, we will provide you with a pricing supplement (which we refer to as a "**term sheet**") that will describe the specific terms of that offering, including the specific Market Measure, the Capped Value, if applicable, the Threshold Value, the Participation Rate (as defined below), and, if the LIRNs are subject to an automatic call, the Call Level, the Call Amount and the Call Premium for each Observation Date, the Observation Dates and the Call Settlement Dates, and certain related risk factors. The applicable term sheet will identify, if applicable, any additions or changes to the terms specified in this product supplement.

· The LIRNs will be issued in denominations of whole units. Unless otherwise set forth in the applicable term sheet, each unit will have a principal amount of $10. The applicable term sheet may also set forth a minimum number of units that you must purchase.

· Unless otherwise specified in the applicable term sheet, the LIRNs will not be listed on a securities exchange or quotation system.

· BofA Securities, Inc. ()"**BofAS**") and one or more of its affiliates may act as our agents to offer the LIRNs, and will act in a principal capacity in such role.

*The LIRNs are our unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC. The LIRNs are not covered by the U.K. Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation (the "**FDIC**") or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction.* <br>***Potential purchasers of the LIRNs should consider the information in "Risk Factors" beginning on page PS-8 of this product supplement and page S-9 of the accompanying prospectus supplement. You may lose all or a significant portion of your investment in the LIRNs.***<br>*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 passed upon the adequacy or accuracy of this product supplement or the accompanying prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.*<br>

**BofA Securities**

**TABLE OF CONTENTS**

**Page**

---

| | |
|:---|:---|
| [SUMMARY](#a_001) | [PS-3](#a_001) |
| [RISK FACTORS](#a_002) | [PS-8](#a_002) |
| [USE OF PROCEEDS AND HEDGING](#a_003) | [PS-20](#a_003) |
| [DESCRIPTION OF THE LIRNs](#a_004) | [PS-21](#a_004) |
| [SUPPLEMENTAL PLAN OF DISTRIBUTION](#a_005) | [PS-37](#a_005) |

---

We have not authorized anyone to provide any information other than that contained or incorporated by reference in the applicable term sheet, this product supplement or the accompanying prospectus supplement or prospectus with respect to the LIRNs offered by the applicable term sheet or with respect to Barclays Bank PLC. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. The applicable term sheet, together with this product supplement and the accompanying prospectus supplement and prospectus, will contain the terms of the LIRNs and will supersede all other prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of Barclays Bank PLC. The information in each applicable term sheet, this product supplement and the accompanying prospectus supplement and prospectus may be accurate only as of the date of that document.

**The LIRNs are not appropriate for all investors and involve a number of risks and important legal and tax consequences that should be discussed with your professional advisOrs. You should be aware that the regulations of Financial Industry Regulatory Authority, Inc., or "FINRA," and the laws of certain jurisdictions (including regulations and laws that require brokers to ensure that investments are suitable for their customers) may limit the availability of the LIRNs. The applicable term sheet, this product supplement and the accompanying prospectus supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the LIRNs under any circumstances in which that offer or solicitation is unlawful.**

LIRNs<sup>®</sup> and "Leveraged Index Return Notes<sup>®</sup>" are registered service marks of Bank of America Corporation, the parent corporation of BofAS.

**SUMMARY**

The information in this "Summary" section is qualified in its entirety by the more detailed explanation set forth elsewhere in this product supplement and the accompanying prospectus supplement and prospectus, as well as the applicable term sheet. Neither we nor BofAS have authorized any other person to provide you with any information other than that contained or incorporated by reference in this product supplement, the accompanying prospectus supplement and prospectus, and the applicable term sheet. Neither we nor BofAS take any responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you.

**Key Terms:**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**General:** | The LIRNs are unsecured and unsubordinated obligations of Barclays Bank PLC, and are not covered by the U.K. Financial Services Compensation Scheme or insured or guaranteed by the FDIC or any other governmental agency of the United States, the United Kingdom or any other jurisdiction. They rank *pari passu*, without any preference among themselves, with all our other outstanding unsecured and unsubordinated obligations, present and future, except those obligations as are preferred by operation of law. **Any payments due on the LIRNs, including any repayment of principal, are subject to our credit risk and to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority (as described in the accompanying prospectus supplement).**<br>The return on the LIRNs will be based on the performance of a Market Measure and there is no guaranteed return of principal at maturity. Therefore, you will lose all or a portion (which could be significant) of your investment if the LIRNs are not automatically called prior to maturity, if applicable, and the value of the Market Measure decreases from the Starting Value to an Ending Value that is less than the Threshold Value.<br>Each issue of the LIRNs will mature on the date set forth in the applicable term sheet, unless, if applicable, the LIRNs are automatically called on an earlier date. We cannot redeem the LIRNs at our option on any earlier date, except under the limited circumstances as set forth in the section "Description of the LIRNs—Anti-Dilution Adjustments—Reorganization Events." We will not make any payments on the LIRNs until maturity or earlier call (if applicable), and you will not receive any interest payments. You should be aware that if the automatic call feature applies to your LIRNs, it may shorten the term of an investment in the LIRNs, and you must be willing to accept that your LIRNs may be called prior to maturity.<br>|
| &nbsp;&nbsp;&nbsp;**Market Measure:** | The Underlying Stock of a company other than us, the agents and our respective affiliates (the "**Underlying Company**") represented either by a class of common equity securities registered under the Securities Exchange Act of 1934, as amended (the "**Exchange Act**"), or by ADRs, which are securities issued through depositary arrangements and registered under the Exchange Act and which represent shares of non-U.S. equity securities (in which case, if an Underlying Stock is an ADR, the "Underlying Company" of that Underlying Stock refers to the issuer of the shares underlying that ADR). The Market Measure will be set forth in the applicable term sheet.<br>The Market Measure may consist of a group, or "**Basket**," of two or more Underlying Stocks. We refer to each Underlying Stock included in any Basket as a "**Basket Stock.**" If the Market Measure to which your LIRNs are linked is a Basket, the Basket Stocks will be set forth in the applicable term sheet.<br>|

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Market Measure Performance:** | The performance of the Market Measure will be measured according to the percentage change of the Market Measure from its Starting Value to its Ending Value or, if applicable, its Observation Level.<br>Unless otherwise specified in the applicable term sheet:<br>The "**Starting Value**" will be the price of the Underlying Stock on the date when the LIRNs are priced for initial sale to the public (the "**pricing date**"), determined as set forth in the applicable term sheet.<br>If the Market Measure consists of a Basket, the Starting Value will be equal to 100. See "Description of the LIRNs—Basket Market Measures—Determination of the Component Ratio for Each Basket Stock."<br>The "**Threshold Value**" will be a value of the Market Measure that equals a specified percentage (100% or less) of the Starting Value. The Threshold Value will be determined on the pricing date and set forth in the applicable term sheet. If the Threshold Value is equal to 100% of the Starting Value, you will be exposed to any decrease in the value of the Market Measure from the Starting Value to the Ending Value on a 1-to-1 basis, and you may lose all of your investment in the LIRNs.<br>The "**Ending Value**" will equal the Closing Market Price (as defined below) of the Underlying Stock on the calculation day *multiplied by* its Price Multiplier (as defined below) on that day.<br>If the applicable term sheet specifies that the LIRNs will be subject to an automatic call, the "**Call Level**" will be a value of the Market Measure that equals a specified percentage of the Starting Value. The Call Level will be determined on the pricing date and set forth in the applicable term sheet.<br>The "**Observation Level**" will equal the Closing Market Price of the Underlying Stock on the applicable Observation Date *multiplied by* its Price Multiplier on that day.<br>The "**Observation Dates**" will be set forth in the applicable term sheet, subject to postponement in the event of Market Disruption Events or non-trading days (each as defined below). The final Observation Date will be prior to the calculation day. See "Description of the LIRNs—Automatic Call."<br>If the Market Measure consists of a Basket, the Ending Value will be the value of the Basket on the calculation day and, if applicable, the Observation Level will be the value of the Basket on the applicable Observation Date, determined as described in "Description of the LIRNs—Basket Market Measures—Observation Level or Ending Value of the Basket."<br>If a Market Disruption Event occurs and is continuing on the scheduled calculation day or a scheduled Observation Date, if applicable, or if certain other events occur, the calculation agent will determine the Ending Value or Observation Level as set forth in the section "Description of the LIRNs—Automatic Call," "—The Starting Value and the Ending Value—Ending Value" or "—Basket Market Measures—Observation Level or Ending Value of the Basket," as applicable.<br>|
| &nbsp;&nbsp;&nbsp;**Participation Rate:** | The rate at which investors participate in any increase in the value of the Market Measure, as calculated below. The Participation Rate will be equal to or greater than 100%, and will be set forth in the applicable term sheet. If the Participation Rate is 100%, your participation in any upside performance of the Market Measure will not be leveraged. |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Capped Value:** | For Capped LIRNs, the maximum Redemption Amount. Any positive return on the Capped LIRNs will be limited to the return represented by the Capped Value specified in the applicable term sheet. We will determine the applicable Capped Value on the pricing date of each issue of the Capped LIRNs. |
| &nbsp;&nbsp;&nbsp;**Price Multiplier:** | Unless otherwise set forth in the applicable term sheet, the "**Price Multiplier**" for an Underlying Stock will be 1, and will be subject to adjustment for certain corporate events relating to that Underlying Stock described below under "Description of the LIRNs—Anti-Dilution Adjustments." |
| &nbsp;&nbsp;&nbsp;**Automatic Call Prior to Maturity:** | If specified in the applicable term sheet, your LIRNs may be subject to an automatic call prior to maturity. In that case, the LIRNs will be automatically called, in whole but not in part, for an amount equal to the applicable Call Amount if, on any Observation Date, the Observation Level of the Market Measure is greater than or equal to the Call Level. If the LIRNs are automatically called, the applicable Call Amount will be paid on the applicable Call Settlement Date. No further amounts will be payable after an automatic call.<br>**Any payments due on the LIRNs, including any repayment of principal, are subject to our credit risk as issuer of the LIRNs and the risk of exercise of any U.K. Bail-in Power.**<br>The applicable "**Call Amount**" will be equal to the principal amount per unit plus the "**Call Premium**" related to the applicable Observation Date. Each Call Premium will be a percentage of the principal amount and will be set forth in the applicable term sheet.<br>|

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; **Redemption Amount at Maturity:** | Unless the LIRNs are subject to an automatic call and are automatically called prior to the maturity date, at maturity, you will receive a Redemption Amount that is greater than the principal amount if the value of the Market Measure increases from the Starting Value to the Ending Value. In the case of Capped LIRNs, the Redemption Amount will not exceed the Capped Value. If the value of the Market Measure does not change or decreases from the Starting Value to the Ending Value but not below the Threshold Value, then the Redemption Amount will equal the principal amount. If the Ending Value is less than the Threshold Value, you will be subject to 1-to-1 downside exposure to the decrease in the value of the Market Measure below the Threshold Value and will receive a Redemption Amount that is less than the principal amount and, if the Threshold Value is equal to 100% of the Starting Value, could be zero.<br>**Any payments due on the LIRNs, including any repayment of principal, are subject to our credit risk as issuer of the LIRNs and the risk of exercise of any U.K. Bail-in Power.**<br>The Redemption Amount, denominated in U.S. dollars, will be calculated as follows:<br>![](image_005.jpg)<br>|
| **Principal at Risk:** | You may lose all or a portion (which could be significant) of the principal amount of the LIRNs. Further, if you sell your LIRNs prior to maturity or automatic call (if applicable) in the secondary market (if any), the market value per LIRN may be less than the price that you paid for the LIRNs. |
| **Calculation Agents:** | The calculation agents will make all determinations associated with the LIRNs. Unless otherwise set forth in the applicable term sheet, we or one of our affiliates may act as the calculation agent, or we may appoint BofAS or one of its affiliates to act as the calculation agent for the LIRNs. Alternatively, we (or one of our affiliates) and BofAS |

---

---

| | |
|:---|:---|
|  | (or one of its affiliates) may act as joint calculation agents for the LIRNs. See the section entitled "Description of the LIRNs—Role of the Calculation Agent." |
| **Agents:** | BofAS and one or more of its affiliates will act as our agents in connection with each offering of the LIRNs and will receive an underwriting discount based on the number of units of the LIRNs sold. None of the agents is your fiduciary or advisor solely as a result of the making of any offering of the LIRNs, and you should not rely upon this product supplement, the applicable term sheet, or the accompanying prospectus supplement or prospectus as investment advice or a recommendation to purchase the LIRNs. |
| **Listing:** | Unless otherwise specified in the applicable term sheet, the LIRNs will not be listed on a securities exchange or quotation system. |
| **U.K. Bail-in Power:** | Notwithstanding and to the exclusion of any other terms of the LIRNs or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the LIRNs (or the trustee on behalf of the holders of the LIRNs), by acquiring the LIRNs, each holder or beneficial owner of the LIRNs, 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. |

---

This product supplement relates only to the LIRNs and does not relate to any Underlying Stock that comprises the Market Measure described in any applicable term sheet. You should read carefully the entire prospectus, prospectus supplement and this product supplement, together with the applicable term sheet, to understand fully the terms of your LIRNs, as well as the tax and other considerations important to you in making a decision about whether to invest in any LIRNs. In particular, you should review carefully the sections in this product supplement and the accompanying prospectus supplement entitled "Risk Factors," which highlight a number of risks of an investment in the LIRNs, to determine whether an investment in the LIRNs is appropriate for you. Additional risk factors may be set forth in the applicable term sheet. If information in this product supplement is inconsistent with the accompanying prospectus supplement or prospectus, this product supplement will supersede those documents. However, if information in any applicable term sheet is inconsistent with information in this product supplement, that term sheet will supersede this product supplement.

Neither we nor any agent is making an offer to sell the LIRNs in any jurisdiction where the offer or sale is not permitted.

Certain capitalized terms used and not defined in this product supplement have the meanings ascribed to them in the accompanying prospectus supplement or prospectus. Unless otherwise indicated or unless the context requires otherwise, all references in this product supplement to "we," "us," "our," or similar references are to Barclays Bank PLC.

You are urged to consult with your own attorneys and business and tax advisors before making a decision to purchase any LIRNs.

**RISK FACTORS**

*Your investment in the LIRNs is subject to investment risks, many of which differ from those of a conventional debt security. Your decision to purchase the LIRNs should be made only after carefully considering the risks, including those discussed below, together with the risk information contained in the accompanying prospectus supplement and in the applicable term sheet, in light of your particular circumstances. The LIRNs are not an appropriate investment for you if you are not knowledgeable about the material terms of the LIRNs or investments in equity or equity-based securities in general.*

**<u>Structure-related Risks</u>**

**Your investment may result in a loss; there is no guaranteed return of principal.** There is no fixed principal repayment amount on the LIRNs at maturity. The return on the LIRNs will be based on the performance of the Market Measure. If the LIRNs are not automatically called (if applicable) and the Ending Value is less than the Threshold Value, then you will receive a Redemption Amount at maturity that will be less than, and possibly significantly less than, the principal amount of your LIRNs. If the Threshold Value is equal to 100% of the Starting Value, the Redemption Amount could be zero.

**The LIRNs do not pay interest, and any return on the LIRNs may be less than the yield on a conventional fixed or floating rate debt security of comparable maturity.** There will be no periodic interest payments on the LIRNs as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. Any return that you receive on the LIRNs may be less than the return you would earn if you purchased a conventional debt security with the same maturity date. As a result, your investment in the LIRNs may not reflect the full opportunity cost to you when you consider factors, such as inflation, that affect the time value of money.

**Payment on the LIRNs is subject to our credit risk, and any actual or perceived changes in our creditworthiness are expected to affect the value of the LIRNs.** The LIRNs are our senior unsecured debt securities. As a result, your receipt of any payment on the LIRNs is dependent upon our ability to repay our obligations on the applicable payment date, regardless of whether the Market Measure increases from the Starting Value to the Ending Value or, if applicable, the Observation Level. No assurance can be given as to what our financial condition will be on the applicable payment date. If we become unable to meet our financial obligations as they become due, you may not receive any amounts payable under the terms of the LIRNs.

In addition, our credit ratings are an assessment by ratings agencies of our ability to pay our obligations. Consequently, our perceived creditworthiness and actual or anticipated decreases in our credit ratings or increases in the spread between the yield on our securities and the yield on U.S. Treasury securities (the "**credit spread**") prior to the maturity date may adversely affect the market value of the LIRNs. However, because your return on the LIRNs depends upon factors in addition to our ability to pay our obligations, such as the value of the Market Measure, an improvement in our credit ratings will not reduce the other investment risks related to the LIRNs.

**Any positive return on your investment will be limited to the return represented by the Capped Value, if applicable, and may be less than a comparable investment directly in the Market Measure.** The appreciation potential of the Capped LIRNs is limited to the Capped Value. You will not receive a Redemption Amount greater than the Capped Value, regardless of the extent of the increase in the value of the Market Measure. In contrast, a direct

investment in the Market Measure would allow you to receive the full benefit of any appreciation in the value of the Market Measure.

In addition, unless otherwise set forth in the applicable term sheet or in the event of an adjustment as described in this product supplement under "Description of the LIRNs—Anti-Dilution Adjustments," an Observation Level, if applicable, or the Ending Value will not reflect the value of any dividends paid, or any distributions made, on any Underlying Stock or any other rights associated with any Underlying Stock. Thus, any return on the LIRNs will not reflect the return you would realize if you actually owned shares of an Underlying Stock.

**If the LIRNs are subject to an automatic call and are automatically called prior to maturity, your investment return will be limited to the return represented by the applicable Call Premium.** If the LIRNs are subject to an automatic call, and if, on any Observation Date, the Observation Level of the Market Measure is greater than or equal to the specified Call Level, the LIRNs will be automatically called. If the LIRNs are automatically called, your return will be limited to the applicable Call Premium, regardless of the extent of the increase in the value of the Market Measure.

**Reinvestment Risk.** If the LIRNs are subject to an automatic call and are automatically called prior to maturity, the term of the LIRNs will be shorter than their stated term to maturity. There is no guarantee that you would be able to reinvest the proceeds from an investment in the LIRNs at a comparable return for a similar level of risk in the event the LIRNs are automatically called prior to maturity.

**Payment on the LIRNs will not reflect changes in the value of the Market Measure that occur other than on the calculation day or the Observation Dates, if applicable.** Changes in the value of the Market Measure during the term of the LIRNs other than on the calculation day or the Observation Dates, if applicable, will not be reflected in the calculation of the Redemption Amount or the determination of whether the LIRNs will be automatically called, if applicable. To calculate the Redemption Amount, the calculation agent will compare only the Ending Value to the Starting Value or the Threshold Value, as applicable. To determine whether the LIRNs will be automatically called, if applicable, the calculation agent will refer only to the value of the Market Measure on the applicable Observation Date. No other values of the Market Measure will be taken into account. As a result, even if the value of the Market Measure has increased at certain times during the term of the LIRNs, your LIRNs will not be called, if applicable, if the Observation Level on each Observation Date is less than the Call Level, and, if the LIRNs are not automatically called (as applicable), you will receive a Redemption Amount that is less than the principal amount if the Ending Value is less than the Threshold Value.

**If your LIRNs are linked to a Basket, increases in the prices of one or more of the Basket Stocks may be offset by decreases in the prices of one or more of the other Basket Stocks.** The Market Measure of your LIRNs may be a Basket. In such a case, changes in the prices of one or more of the Basket Stocks may not correlate with changes in the prices of one or more of the other Basket Stocks. The prices of one or more Basket Stocks may increase, while the prices of one or more of the other Basket Stocks may decrease or not increase as much. Therefore, in calculating the value of the Market Measure at any time, increases in the price of one Basket Stock may be moderated or wholly offset by decreases or lesser increases in the prices of one or more of the other Basket Stocks. If the weightings of the applicable Basket Stocks are not equal, adverse changes in the prices of the Basket Stocks that are more heavily weighted could have a greater impact upon the value of the Market Measure and, consequently, the return on your LIRNs.

**Any payments on the LIRNs are subject to the exercise of U.K. Bail-in Power by the relevant U.K. resolution authority.** Any payments on the LIRNs are subject to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority that may result in (i) the reduction or cancellation of all, or a portion, of the principal amount of, or interest on, or any other amounts payable on, the LIRNs; (ii) the conversion of all, or a portion, of the principal amount of, or interest on, or any other amounts payable on, the LIRNs into shares or other securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder or beneficial owner of the LIRNs of such shares, securities or obligations); (iii) the cancellation of the LIRNs and/or (iv) the amendment or alteration of the maturity of the LIRNs, or the amendment of the amount of interest or any other amounts due on the LIRNs, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary period.

Notwithstanding and to the exclusion of any other term of the LIRNs or any other agreements, arrangements or understandings between Barclays Bank PLC and any holder or beneficial owner of the LIRNs (or the trustee on behalf of the holders of the LIRNs), by acquiring the LIRNs, each holder or beneficial owner of the LIRNs 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. You are urged to consult the information and the risk factors related to U.K. Bail-in Power set forth in the applicable term sheet and the accompanying prospectus supplement prior to investing in the LIRNs.

**<u>Valuation- and Market-related Risks</u>**

**The estimated value of the LIRNs is expected to be lower than their public offering price.** This difference is expected as a result of certain factors, such as the inclusion in the public offering price of the underwriting discount, an expected hedging-related charge, the estimated profit, if any, that we or any of our affiliates expect to earn in connection with structuring the LIRNs, and the estimated cost which we may incur in hedging our obligations under the LIRNs. If you attempt to sell the LIRNs prior to maturity, their market value may be lower than the price you paid for the LIRNs 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.

**Our estimated value of the LIRNs is based on subjective assumptions which may not materialize and which may prove to be inaccurate.** The estimated value of the LIRNs, which will be set forth in the applicable term sheet, 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 LIRNs that are different from our estimated value.

**The estimated value is expected to be 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 set forth in the applicable term sheet may be lower if that estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.

**The estimated value of the LIRNs will not be a prediction of the prices at which BofAS or its affiliates, or any of our affiliates or any other third parties, may be willing to purchase the LIRNs from you in secondary market transactions.** The price at which you may be able to sell your LIRNs 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 LIRNs. Any sale prior to the maturity date could result in a substantial loss to you.

**We cannot assure you that there will be a trading market for your LIRNs.** If a secondary market exists, we cannot predict how the LIRNs will trade, or whether that market will be liquid or illiquid. The development of a trading market for the LIRNs will depend on various factors, including our financial performance and changes in the value of the Market Measure. The number of potential buyers of your LIRNs in any secondary market may be limited. There is no assurance that any party will be willing to purchase your LIRNs at any price in any secondary market.

We anticipate that one or more of the agents or their affiliates will act as a market-maker for the LIRNs, but none of them is required to do so and they may cease to do so at any time. Any price at which an agent or its affiliates may bid for, offer, purchase, or sell any LIRNs may be higher or lower than the applicable public offering price, and that price may differ from the values determined by pricing models that it may use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers, or transactions may adversely affect the prices, if any, at which the LIRNs might otherwise trade in the market. In addition, if at any time any entity were to cease acting as a market-maker for any issue of the LIRNs, it is likely that there would be significantly less liquidity in that secondary market. In such a case, the price at which those LIRNs could be sold would likely be lower than if an active market existed.

Unless otherwise stated in the applicable term sheet, we will not list the LIRNs on any securities exchange or quotation system. Even if an application were made to list your LIRNs, we cannot assure you that the application will be approved or that your LIRNs will be listed and, if listed, that they will remain listed for their entire term. The listing of the LIRNs on any securities exchange or quotation system will not necessarily ensure that a trading market will develop or, if a trading market does develop, that there will be liquidity in the trading market.

**The LIRNs are not designed to be short-term trading instruments, and if you attempt to sell the LIRNs prior to maturity, their market value, if any, will be affected by various factors that interrelate in complex ways, and their market value may be less than the principal amount.** The LIRNs are not designed to be short-term trading instruments. The limited protection against the risk of losses provided by the Threshold Value, if any, will only apply if you hold the LIRNs to maturity. You have no right to have your LIRNs redeemed at your option prior to maturity. If you wish to liquidate your investment in the LIRNs prior to maturity, your only option would be to sell them in the secondary market (if any). At that time, there may be an illiquid market for the LIRNs or no market at all. Even if you were able to sell your LIRNs, there are many factors outside of our control that may adversely affect their market value, some of which, but not all, are stated below. These factors may interact with each other in complex and unpredictable ways, and the impact of any one factor may be offset or magnified by the effect of another factor. Each of the following paragraphs describes a specific factor's expected impact on the market value of the LIRNs, assuming all other conditions remain constant.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Value of the Market Measure.** We anticipate that the market value of the LIRNs prior to maturity or an automatic call, if applicable, generally will
depend to a significant extent on the value of the Market Measure. In general, it is expected that the market value of the LIRNs will
decrease as the value of the Market Measure decreases, and increase as the value of the Market Measure increases. However, as the value
of the Market Measure increases, the market value of the LIRNs may decrease or may not increase at the same rate. If you sell your LIRNs
when the value of the Market Measure is less than, or not

sufficiently above, the applicable Starting Value or Call Level (if applicable), then you may receive less than the principal amount of your LIRNs.

In addition, because the Redemption Amount for Capped LIRNs will not exceed the applicable Capped Value, we do not expect that the Capped LIRNs will trade in any secondary market at a price that is greater than the Capped Value.

Additionally, if the LIRNs are subject to an automatic call, because the amount payable on the LIRNs upon an automatic call will not exceed the applicable Call Amount, we do not expect that the LIRNs will trade in any secondary market prior to any Observation Date at a price that is greater than the applicable Call Amount.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Volatility of the Market Measure.** Volatility is a measure of the degree of variation in the value of the Market Measure over
a period of time. The volatility of the Market Measure during the term of the LIRNs may vary. In addition, an unsettled international
environment and related uncertainties may result in greater market volatility, which may continue over the term of the LIRNs. Increases
or decreases in the volatility of the Market Measure may have an adverse impact on the market value of the LIRNs. Even if the value of
the Market Measure increases after the applicable pricing date, if you are able to sell your LIRNs before an automatic call, if applicable,
or their maturity date, you may receive substantially less than the amount that would be payable upon an automatic call, if applicable,
or at maturity based on that value because of the anticipation that the value of the Market Measure will continue to fluctuate until the
Observation Level, if applicable, or the Ending Value is determined.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Economic and Other Conditions Generally.** The general economic conditions of the capital markets in the United States, as well
as geopolitical conditions and other financial, political, public health, regulatory and judicial events, natural disasters, acts of terrorism
or war, and related uncertainties that affect stock markets generally, may adversely affect the value of the Market Measure and the market
value of the LIRNs. If an Underlying Stock is an ADR, the value of your LIRNs may also be adversely affected by similar events in the
markets of the relevant foreign country.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Interest Rates.** We expect that changes in interest rates will affect the market value of the LIRNs. In general,
if U.S. interest rates increase, we expect that the market value of the LIRNs will decrease. In general, we expect that the
longer the amount of time that remains until maturity, the more significant the impact of these changes will be on the value of the LIRNs.
The level of interest rates also may affect the U.S. economy and any applicable market outside of the United States, and, in turn, the
value of the Market Measure, and, thus, the market value of the LIRNs may be adversely affected. If an Underlying Stock is
an ADR, the level of interest rates in the relevant foreign country may affect the economy of that foreign country and, in turn, the value
of the ADR, and, thus, the market value of the LIRNs may be adversely affected.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Dividend Yields.** In general, if the cumulative dividend yield on an Underlying Stock increases, we anticipate that the market
value of the LIRNs will decrease.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Our Financial Condition and Creditworthiness.** Our actual and perceived creditworthiness, including any increase in our credit
spreads and any actual or anticipated decreases in our credit ratings, may adversely affect the market value of the LIRNs. In general,
we expect the longer the amount of time that remains until maturity, the more significant the impact will be on the value of the LIRNs.
However, a decrease in our credit spreads or an improvement in our credit ratings will not necessarily increase the market value of the
LIRNs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Time to Maturity or, if Applicable, the Next Observation Date.** There may be a disparity between the market value of the LIRNs
prior to maturity or, if applicable, prior to an Observation Date, and their value at maturity or as of the next Observation Date, if
applicable. This disparity is often called a time "value," "premium," or "discount," and reflects
expectations concerning the value of the Market Measure during the term of the LIRNs. As the time to maturity or, if applicable, the next
Observation Date, decreases, this disparity will likely decrease, such that the market value of the LIRNs will approach the expected Redemption
Amount to be paid at maturity or, if applicable, the Call Amount applicable to that Observation Date.

**<u>Conflict-related Risks</u>**

**Trading and hedging activities by us, the agents and our respective affiliates may adversely affect your return on the LIRNs and their market value.** We, the agents and our other respective affiliates may buy or sell shares of any Underlying Stock, or futures or options contracts or exchange-traded instruments on any Underlying Stock, or other listed or over-the-counter derivative instruments linked to any Underlying Stock. We, the agents or our respective affiliates may execute such purchases or sales for our own or their own accounts, for business reasons, or in connection with hedging our obligations under the LIRNs. These transactions could adversely affect the value of an Underlying Stock in a manner that could be adverse to your investment in the LIRNs. On or before the applicable pricing date, any purchases or sales by us, the agents or our respective affiliates, or others on our or their behalf (including those for the purpose of hedging some or all of our anticipated exposure in connection with the LIRNs), may affect the value of an Underlying Stock. Consequently, the value of that Underlying Stock may change subsequent to the pricing date of an issue of the LIRNs, which may adversely affect the market value of the LIRNs.

We, the agents or one or more of our respective affiliates also expect to engage in hedging activities that could affect the value of an Underlying Stock on the applicable pricing date. In addition, these hedging activities, including the unwinding of a hedge, may decrease the value of an Underlying Stock prior to maturity, including on an Observation Date, if applicable, or on the calculation day, and may reduce the payment on the LIRNs. We, the agents or one or more of our respective affiliates may purchase or otherwise acquire a long or short position in the LIRNs or an Underlying Stock, and may hold or resell the LIRNs or an Underlying Stock. For example, the agents may enter into these transactions in connection with any market making activities in which they engage. We cannot assure you that these activities will not adversely affect the value of an Underlying Stock, the market value of your LIRNs prior to maturity or the payment on the LIRNs.

**Our trading, hedging and other business activities, and those of the agents and one or more of our respective affiliates, may create conflicts of interest with you.** We, the agents or one or more of our respective affiliates may engage in trading activities related to an Underlying Stock that are not for your account or on your behalf. We, the agents or one or more of our respective affiliates also may issue or underwrite other financial instruments with returns based upon the applicable Market Measure or an Underlying Stock. In addition, in the ordinary course of their business activities, the agents or their affiliates may hold and trade our or our affiliates' debt and equity securities (or related derivative securities) and financial instruments (including bank loans) for their own account and for the accounts of their customers. Certain of the agents or their affiliates may also have a lending or other financial relationship with us. In order to hedge such exposure, the agents or their affiliates may enter into transactions such as the purchase of credit default swaps or the creation of short positions in our or our affiliates' securities, including potentially the LIRNs. Any such short positions could adversely affect future trading prices of the LIRNs. These trading and other

business activities may present a conflict of interest between your interest in the LIRNs and the interests we, the agents and our respective affiliates may have in our proprietary accounts, in facilitating transactions, including block trades, for our or their other customers, and in accounts under our or their management. These trading and other business activities, if they influence the value of the Market Measure or secondary trading in your LIRNs, could be adverse to your interests as a beneficial owner of the LIRNs.

We, the agents and our respective affiliates expect to enter into arrangements or adjust or close out existing transactions to hedge our obligations under the LIRNs. We, the agents or our respective affiliates also may enter into hedging transactions relating to other LIRNs or instruments that we or they issue, some of which may have returns calculated in a manner related to that of a particular issue of the LIRNs. We may enter into such hedging arrangements with one or more of our subsidiaries or affiliates, or with one or more of the agents or their affiliates. Such a party may enter into additional hedging transactions with other parties relating to the LIRNs and the applicable Underlying Stock(s). This hedging activity is expected to result in a profit to those engaging in the hedging activity, which could be more or less than initially expected, but could also result in a loss. We, the agents and our respective affiliates will price these hedging transactions with the intent to realize a profit, regardless of whether the value of the LIRNs increases or decreases, whether the LIRNs will be automatically called, if applicable, or whether any payment on the LIRNs may be adversely affected. Any profit in connection with such hedging activities will be in addition to any other compensation that we, the agents and any of our respective affiliates receive for the sale of the LIRNs, which creates an additional incentive to sell the LIRNs to you.

**There may be potential conflicts of interest involving the calculation agent, which may be us or an affiliate of ours. We may appoint and remove the calculation agent.** We or one of our affiliates may be the calculation agent or act as joint calculation agent for the LIRNs and, as such, will have the sole discretion to make all determinations regarding the LIRNs as described in this product supplement, including determinations regarding the Starting Value, the Threshold Value, the Ending Value, the Market Measure, the Price Multiplier, the Closing Market Price, the Redemption Amount, any Market Disruption Events, any successor Underlying Stock, trading days, business days, the calculation day, non-calculation days and any anti-dilution adjustments and, if applicable, the Call Level, each Observation Level and whether the LIRNs will be automatically called.

Under some circumstances, these duties could result in a conflict of interest between our status as issuer and our or our affiliate's responsibilities as calculation agent. These conflicts could occur, for instance, in connection with the calculation agent's determination as to whether a Market Disruption Event has occurred, or in connection with judgments that the calculation agent would be required to make if certain corporate events occur with respect to an Underlying Stock. See the sections entitled "Description of the LIRNs—Market Disruption Events," and "—Anti-Dilution Adjustments." The calculation agent will be required to carry out its duties in good faith and using its reasonable judgment. However, because we or one of our affiliates may serve as the calculation agent, potential conflicts of interest could arise. In addition, we may appoint BofAS or one of its affiliates to act as the calculation agent or as joint calculation agent for the LIRNs. As the calculation agent or joint calculation agent, BofAS or one of its affiliates will have discretion in making various determinations that affect your LIRNs. The exercise of this discretion by the calculation agent could adversely affect the value of your LIRNs and may present the calculation agent with a conflict of interest of the kind described under "—Trading and hedging activities by us, the agents and our respective affiliates may adversely affect your return on the LIRNs and their market value" and "—Our trading, hedging and other business activities, and those of the agents and one or more of our respective affiliates, may create conflicts of interest with you" above.

**Our business activities and those of the agents relating to an Underlying Company or the LIRNs may create conflicts of interest with you.** We, the agents and our respective affiliates, at the time of any offering of the LIRNs or in the future, may engage in business with an Underlying Company, including making loans to, equity investments in, or providing investment banking, asset management, or other services to an Underlying Company, its affiliates, and its competitors.

In connection with these activities, any of these entities may receive information about those companies that we will not divulge to you or other third parties. We, the agents and our respective affiliates have published, and in the future may publish, research reports on one or more of these companies. The agents may also publish research reports relating to our or our affiliates' securities, including the LIRNs. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding your LIRNs. Any of these activities may adversely affect the price of an Underlying Stock and, consequently, the market value of, and the payment on, your LIRNs. None of us, the agents or our respective affiliates makes any representation to any purchasers of the LIRNs regarding any matters whatsoever relating to any Underlying Stock or any Underlying Company. Any prospective purchaser of the LIRNs should undertake an independent investigation into an Underlying Stock and an Underlying Company as in its judgment is appropriate to make an informed decision with respect to an investment in the LIRNs. The selection of an Underlying Stock does not reflect any investment recommendations from us, the agents or our respective affiliates.

**<u>Underlying Stock-related Risks</u>**

**You must rely on your own evaluation of the merits of an investment linked to any applicable Underlying Stock.** In the ordinary course of business, we, the agents and our respective affiliates may have expressed views on expected movements in an Underlying Stock, the applicable financial markets or other matters that may influence the value of an Underlying Stock and therefore, the value of your LIRNs, and may do so in the future. These views or reports may be communicated to our clients and clients of these entities. However, these views are subject to change from time to time. Moreover, other professionals who deal in markets relating to an Underlying Stock may at any time have significantly different views from our views and the views of these entities. For these reasons, you are encouraged to derive information concerning an Underlying Stock from multiple sources, and you should not rely on our views or the views expressed by these entities.

**Our offering of the LIRNs does not constitute a recommendation of any Underlying Stock.** You should not take our offering of the LIRNs as an expression of our views about how any Underlying Stock will perform in the future or as a recommendation to invest in any Underlying Stock, including through an investment in the LIRNs. As we are part of a global financial institution, we, the agents and our respective affiliates may, and often do, have positions (both long and short) in the Underlying Stock(s) that may conflict with an investment in the LIRNs. You should undertake an independent determination of whether an investment in the LIRNs is appropriate for you in light of your specific investment objectives, risk tolerance and financial resources.

**You will have no rights as a security holder of any Underlying Company, you will have no rights to receive any shares of any Underlying Stock, and you will not be entitled to dividends or other distributions by any Underlying Company.** The LIRNs are our debt securities. They are not equity instruments, shares of stock, or securities of any other issuer. Investing in the LIRNs will not make you a holder of any Underlying Stock. You will not have any voting rights, any rights to receive dividends or other distributions, or any other

rights with respect to any Underlying Stock. As a result, the return on your LIRNs may not reflect the return you would realize if you actually owned shares of any Underlying Stock and received the dividends paid or other distributions made in connection with them. Your LIRNs will be paid in cash and you have no right to receive shares of any Underlying Stock.

**If shares of an Underlying Company are also listed on a foreign exchange, your return may be affected by factors affecting international securities markets.** The value of securities traded outside of the United States may be adversely affected by a variety of factors relating to the relevant securities markets. Factors which could affect those markets, and therefore the return on your LIRNs, include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Market Liquidity and Volatility.** The relevant foreign securities markets may be less liquid and/or more volatile
than U.S. or other securities markets and may be affected by market developments in different ways than U.S. or other securities markets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Political, Economic, and Other Factors.** The prices and performance of securities of companies in foreign countries
may be affected by political, economic, financial, public health, natural disasters, acts of terrorism or war, social and other factors
in those regions. Direct or indirect government intervention to stabilize a particular securities market and cross-shareholdings
in companies in the relevant foreign markets may affect prices and the volume of trading in those markets. In addition, recent
or future changes in government, economic, and fiscal policies in the relevant jurisdictions, the possible imposition of, or changes in,
currency exchange laws, or other laws or restrictions, and possible fluctuations in the rate of exchange between currencies, are factors
that could adversely affect the relevant securities markets. The relevant foreign economies may differ from the U.S. economy
in economic factors such as growth of gross national product, rate of inflation, capital reinvestment, resources, and self-sufficiency.

In particular, many emerging nations are undergoing rapid change involving the restructuring of economic, political, financial and legal systems. Regulatory and tax environments may be subject to change without review or appeal, and many emerging markets suffer from underdevelopment of capital markets and tax systems. In addition, in some of these nations, issuers of the relevant securities face the threat of expropriation of their assets, and/or nationalization of their businesses. The economic and financial data about some of these countries may be unreliable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **Publicly Available Information.** There is generally less publicly available information about foreign companies than
about U.S. companies that are subject to the reporting requirements of the SEC. In addition, accounting, auditing, and financial reporting
standards and requirements applicable to companies in foreign countries may differ from those applicable to U.S. reporting companies.

**We, the agents and our respective affiliates do not control any Underlying Company and have not verified any disclosure made by any Underlying Company.** We, the agents or our respective affiliates currently, or in the future may, engage in business with any Underlying Company, and we, the agents or our respective affiliates may from time to time own securities of any Underlying Company. However, none of us, the agents or any of our respective affiliates has the ability to control any actions of any Underlying Company or has undertaken any independent review of, or made any due diligence inquiry with respect to, any Underlying Company. Unless otherwise specified therein, any information in the applicable term sheet regarding an Underlying Company is derived from publicly available information.

You should make your own investigation into any Underlying Stock and any Underlying Company.

**An Underlying Company will have no obligations relating to the LIRNs and neither we nor the agents will perform any due diligence procedures with respect to any Underlying Company.** An Underlying Company will not have any financial or legal obligation with respect to the LIRNs or the amounts to be paid to you, including any obligation to take our interests or the interests of holders of the LIRNs into consideration for any reason, including when taking any corporate actions that might adversely affect the value of an Underlying Stock or the value of the LIRNs. An Underlying Company will not receive any of the proceeds from any offering of the LIRNs, and will not be responsible for, or participate in, the offering of the LIRNs. No Underlying Company will be responsible for, or participate in, the determination or calculation of any payments on the LIRNs.

None of us, the agents or any of our respective affiliates will conduct any due diligence inquiry with respect to any Underlying Stock in connection with an offering of the LIRNs. None of us, the agents or any of our respective affiliates has made any independent investigation as to the completeness or accuracy of publicly available information regarding any Underlying Stock or any Underlying Company or as to the future performance of any Underlying Stock. Any prospective purchaser of the LIRNs should undertake such independent investigation of any Underlying Stock and any Underlying Company as in its judgment is appropriate to make an informed decision with respect to an investment in the LIRNs.

**The historical performance of an Underlying Stock should not be taken as an indication of its performance during the term of the LIRNs.** An Underlying Stock may perform better or worse during the term of the LIRNs than it has historically. The historical performance of an Underlying Stock, including any historical performance set forth in the applicable term sheet, should not be taken as an indication of its future performance.

**The Price Multiplier or other terms of the LIRNs will not be adjusted for all corporate events that could affect an Underlying Company.** The Price Multiplier, the Observation Levels, the Ending Value, the Redemption Amount, and other terms of the LIRNs may be adjusted for the specified corporate events affecting an Underlying Stock, as described in the section entitled "Description of the LIRNs—Anti-Dilution Adjustments." However, these adjustments do not cover all corporate events that could affect the market price of an Underlying Stock, such as offerings of common shares for cash or in connection with certain acquisition transactions. The occurrence of any event that does not require the calculation agent to adjust the Price Multiplier of an Underlying Stock or other terms of the LIRNs may adversely affect the Closing Market Price of that Underlying Stock, the Observation Levels, the Ending Value, whether the LIRNs will be automatically called (if applicable) and the Redemption Amount, and, as a result, the market value of the LIRNs.

**Risks Relating to Underlying Stocks that Are ADRs**

**The value of an ADR may not accurately track the value of the common shares of the related Underlying Company.** If an Underlying Stock is an ADR, each ADR will represent shares of the relevant Underlying Company. Generally, ADRs are issued under a deposit agreement that sets forth the rights and responsibilities of the depositary, the Underlying Company and the holders of the ADRs. The trading patterns of the ADRs will generally reflect the characteristics and valuations of the underlying common shares; however, the value of the ADRs may not completely track the value of those shares. There are important differences between the rights of holders of ADRs and the rights of holders of the underlying common shares. In addition, trading volume and pricing on the applicable non-U.S. exchange may, but

will not necessarily, have similar characteristics as the ADRs. For example, certain factors may increase or decrease the public float of the ADRs and, as a result, the ADRs may have less liquidity or lower market value than the underlying common shares.

**Exchange rate movements may adversely impact the value of an Underlying Stock that is an ADR.** If an Underlying Stock is an ADR, the market price of that Underlying Stock will generally track the U.S. dollar value of the market price of its underlying common shares. Therefore, if the value of the related foreign currency in which the underlying common shares are traded decreases relative to the U.S. dollar, the market price of that Underlying Stock may decrease while the market price of its underlying common shares remains stable or increases, or does not decrease to the same extent. As a result, changes in, and the volatility of, the exchange rates between the U.S. dollar and the relevant non-U.S. currency could have an adverse impact on the value of that Underlying Stock and consequently, the value of your LIRNs and the payment on the LIRNs.

**Adverse trading conditions in the applicable non-U.S. market may negatively affect the value of an Underlying Stock that is an ADR.** Holders of an Underlying Company's ADRs may usually surrender the ADRs in order to receive and trade the underlying common shares. This provision permits investors in the ADRs to take advantage of price differentials between markets. However, this provision may also cause the market prices of the applicable Underlying Stock to more closely correspond with the values of the common shares in the applicable non-U.S. markets. As a result, a market outside of the United States for the underlying common shares that is not liquid may also result in an illiquid market for the ADRs, which may negatively impact the value of such ADRs and, consequently, the value of your LIRNs.

**Delisting of an Underlying Stock that is an ADR may adversely affect the value of the LIRNs.** If an Underlying Stock that is an ADR is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act, or if the ADR facility between the Underlying Company and the ADR depositary is terminated for any reason, the applicable Underlying Stock will be deemed to be the Underlying Company's common shares rather than the ADRs, and the calculation agent will determine the price of that Underlying Stock by reference to those common shares, as described below under "Description of the LIRNs—Delisting of ADRs or Termination of ADR Facility." Replacing the original ADRs with the underlying common shares may adversely affect the value of the LIRNs and the payment on the LIRNs.

**Other Risk Factors Relating to the Applicable Market Measure**

The applicable term sheet may set forth additional risk factors as to the Market Measure or an Underlying Stock that you should review prior to purchasing the LIRNs.

**<u>Tax-related Risks</u>**

**The U.S. federal tax consequences of an investment in the LIRNs are uncertain.** There is no direct legal authority regarding the proper U.S. federal income tax treatment of the LIRNs and we do not plan to request a ruling from the Internal Revenue Service (the "**IRS**"). Consequently, significant aspects of the tax treatment of the LIRNs are uncertain, and the IRS or a court might not agree with the treatment of the LIRNs as described in the applicable term sheet and under the sections entitled "Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward Contracts" and "—Tax Consequences to Non-U.S. Holders" in the accompanying prospectus supplement. If the IRS

were successful in asserting an alternative treatment, the tax consequences of your ownership and disposition of the LIRNs could be materially and adversely affected.

The U.S. Treasury Department ("**Treasury**") and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of "prepaid forward contracts" and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition, members of the U.S. Congress ("**Congress**") have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the LIRNs, possibly with retroactive effect.

**You should review the discussion in the applicable term sheet regarding U.S. federal income tax consequences of an investment in the LIRNs, as well as the discussion under the sections entitled "Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes Treated as Prepaid Forward Contracts" and "—Tax Consequences to Non-U.S. Holders" in the accompanying prospectus supplement, and consult your tax advisor regarding the U.S. federal tax consequences of an investment in the LIRNs as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.**

**USE OF PROCEEDS AnD HEDGING**

We will use the net proceeds we receive from each sale of the LIRNs for the purposes described in the accompanying prospectus supplement under "Use of Proceeds and Hedging." In addition, we expect that we or our affiliates may use a portion of the net proceeds to hedge our obligations under the LIRNs.

**DESCRIPTION OF the LIRNs**

**General**

Each issue of the LIRNs will be part of a series of medium-term notes entitled "Global Medium-Term Notes, Series A" that will be issued under the senior debt securities indenture, as amended and supplemented from time to time. The senior debt securities indenture is described more fully in the accompanying prospectus supplement and prospectus. The following description of the LIRNs supplements and, to the extent it is inconsistent with, supersedes the description of the general terms and provisions of the LIRNs and debt securities set forth under the headings "Terms of the Notes" in the prospectus supplement and "Description of Debt Securities" in the prospectus. These documents should be read in connection with this product supplement and the applicable term sheet. The provisions set forth under "Terms of the Notes—Valuation Dates, Review Dates, Determination Dates, Observation Dates, Calculation Dates and Averaging Dates," "Terms of the Notes—Calculations and Calculation Agent," "Terms of the Notes—Change-in-Law Events," "Terms of the Notes—Default Amount—Determination of Default Amount," "Terms of the Notes—Default Amount—Default Quotation Period," "Terms of the Notes—Default Amount—Qualified Financial Institutions" and "Reference Assets" in the accompanying prospectus supplement are not applicable to the LIRNs.

The maturity date of the LIRNs and the aggregate principal amount of each issue of the LIRNs will be stated in the applicable term sheet. If the scheduled maturity date is not a business day, we will make the required payment on the next business day, and no interest will accrue as a result of such delay. Unless otherwise specified in the applicable term sheet, a "**business day**" is any day other than a day on which banking institutions in New York, New York are authorized or required by law, regulation or executive order to close.

We will not pay interest on the LIRNs. The LIRNs do not guarantee the return of principal at maturity. The LIRNs will be payable only in U.S. dollars.

Unless the LIRNs are subject to an automatic call, as described below under "—Automatic Call," and are automatically called prior to the maturity date, the LIRNs will mature on the date set forth in the applicable term sheet. Prior to the maturity date, the LIRNs are not redeemable by us at our option, except under the limited circumstances as set forth in the section "—Anti-Dilution Adjustments—Reorganization Events" or repayable at the option of any holder. The LIRNs are not subject to any sinking fund.

We will issue the LIRNs in denominations of whole units. Unless otherwise set forth in the applicable term sheet, each unit will have a principal amount of $10. The CUSIP number for each issue of the LIRNs will be set forth in the applicable term sheet. You may transfer the LIRNs only in whole units.

**Any payments due on the LIRNs, including any repayment of principal, are subject to our credit risk and to the exercise of any U.K. Bail-in Power by any relevant U.K. resolution authority (as described in the accompanying prospectus supplement).**

**Payment at Maturity**

Unless the LIRNs are subject to an automatic call, as described below under "—Automatic Call," and are automatically called prior to the maturity date, at maturity, subject to our credit risk as issuer of the LIRNs, you will receive a Redemption Amount, denominated in

U.S. dollars. Unless otherwise specified in the applicable term sheet, the "**Redemption Amount**" will be calculated as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· If the Ending Value is greater than the Starting Value, then the Redemption Amount will equal:

![](image_002.jpg)

If your LIRNs are Capped LIRNs, the Redemption Amount will not exceed the "**Capped Value**" set forth in the applicable term sheet.

&nbsp;&nbsp;&nbsp;&nbsp;· If the Ending Value is equal to or less than the Starting Value, but is equal to or greater than the Threshold Value, then, the Redemption
Amount will equal the principal amount.

&nbsp;&nbsp;&nbsp;&nbsp;· If the Ending Value is less than the Threshold Value, then the Redemption Amount will equal:

![](image_001.jpg)

The Redemption Amount will not be less than zero.

The "**Threshold Value**" will be a value of the Market Measure that equals a specified percentage of the Starting Value, which will be less than or equal to 100%. The Threshold Value will be determined on the applicable pricing date and set forth in the applicable term sheet. If the Threshold Value is equal to 100% of the Starting Value, you will be exposed to any decrease in the value of the Market Measure from the Starting Value to the Ending Value on a 1-to-1 basis, and you may lose all of your investment in the LIRNs.

Your participation in any upside performance of the Market Measure underlying your LIRNs will also be impacted by the Participation Rate. The "**Participation Rate**" may be equal to or greater than 100%, and will be set forth in the applicable term sheet. If the applicable term sheet specifies that the Participation Rate is 100%, your participation in any upside performance of the Market Measure will not be leveraged.

Each applicable term sheet will provide examples of the Redemption Amounts based on a range of hypothetical Ending Values.

The applicable term sheet will set forth information as to the applicable Market Measure, including information as to the historical prices of the Underlying Stock(s). However, historical prices of an Underlying Stock are not indicative of its future performance or the performance of your LIRNs.

An investment in the LIRNs does not entitle you to any ownership interest in or any other rights with respect to any Underlying Company or any Underlying Stock, including any voting rights in, or dividends paid or other distributions made by, any Underlying Company.

**Underlying Stock**

Any information regarding an Underlying Stock or an Underlying Company will be derived from publicly available documents. Any Underlying Stock will be registered under the

Exchange Act. Information provided to or filed with the SEC by any Underlying Company can be located at the SEC's facilities or through the SEC's website, www.sec.gov. None of us, the agents or any of our respective affiliates will have independently verified the accuracy or completeness of any of the information or reports of an Underlying Company.

The selection of an Underlying Stock is not a recommendation to buy or sell that Underlying Stock. None of us, the agents or any of our respective subsidiaries or affiliates makes any representation to any purchaser of the LIRNs as to the performance of any Underlying Stock.

**Automatic Call**

If specified in the applicable term sheet, the LIRNs may be subject to an automatic call prior to maturity. In that case, the LIRNs will be automatically called, in whole but not in part, for an amount equal to the applicable Call Amount if, on any Observation Date, the Observation Level of the Market Measure is greater than or equal to the Call Level.

Unless otherwise specified in the applicable term sheet, the "**Observation Level**" will equal the Closing Market Price of the Underlying Stock on the applicable Observation Date *multiplied by* its Price Multiplier on that day.

If the Market Measure consists of a Basket, the Observation Level of the Basket will be determined as described in "—Basket Market Measures—Observation Level or Ending Value of the Basket."

The "**Call Level**" will be a value of the Market Measure that equals a specified percentage of the Starting Value. The Call Level will be determined on the pricing date and set forth in the applicable term sheet.

The "**Observation Dates**" will be scheduled trading days (as defined in "—The Starting Value and the Ending Value—Ending Value") and will be set forth in the applicable term sheet, subject to postponement in the event that a Market Disruption Event or non-trading day occurs. The final Observation Date will be scheduled to occur prior to the calculation day.

If the LIRNs are automatically called, for each unit of the LIRNs that you own, we will pay you the Call Amount applicable to the related Observation Date on the relevant Call Settlement Date. No further amounts will be payable after an automatic call.

The applicable "**Call Amount**" will be equal to the principal amount per unit plus the Call Premium related to the applicable Observation Date. Each "**Call Premium**" will be a percentage of the principal amount. The Call Amounts and Call Premiums will be specified in the applicable term sheet.

Each "**Call Settlement Date**" will occur on approximately the fifth business day after the applicable Observation Date, subject to postponement as described below. If the applicable Call Settlement Date is not a business day, we will make the required payment on the next business day, and no interest will accrue as a result of such delay.

If a scheduled Observation Date is determined by the calculation agent not to be a trading day by reason of an extraordinary event, occurrence, declaration, or otherwise, or if there is a Market Disruption Event on that day, the applicable Observation Date will be the immediately succeeding trading day during which no Market Disruption Event occurs or is

continuing; *provided* that the relevant Observation Level will not be determined on a date later than the fifth scheduled trading day after the scheduled Observation Date, and if that fifth day is not a trading day, or if there is a Market Disruption Event on that day, the calculation agent will determine (or, if not determinable, estimate) the relevant Observation Level in a manner which the calculation agent considers commercially reasonable under the circumstances on that fifth scheduled trading day.

If, due to a Market Disruption Event or otherwise, a scheduled Observation Date is postponed, the relevant Call Settlement Date will be postponed to approximately the fifth business day following the Observation Date as postponed, unless otherwise specified in the applicable term sheet.

**The Starting Value and the Ending Value**

**Starting Value**

Unless otherwise specified in the applicable term sheet, the "**Starting Value**" will be the price of the Underlying Stock on the pricing date, determined as set forth in the applicable term sheet.

If the Market Measure consists of a Basket, the Starting Value will be equal to 100. See "—Basket Market Measures—Determination of the Component Ratio for Each Basket Stock."

**Ending Value**

Unless otherwise specified in the applicable term sheet, the "**Ending Value**" will equal the Closing Market Price of the Underlying Stock on the calculation day *multiplied by* its Price Multiplier on that day.

If the Market Measure consists of a Basket, the Ending Value will be determined as described in "—Basket Market Measures—Observation Level or Ending Value of the Basket."

The "**calculation day**" means a trading day shortly before the maturity date. The calculation day will be set forth in the applicable term sheet.

A "**trading day**" means a day on which trading is generally conducted (or was scheduled to have been generally conducted, but for the occurrence of a Market Disruption Event) on the New York Stock Exchange (the "**NYSE**"), The Nasdaq Stock Market, the Chicago Board Options Exchange, and in the over-the-counter market for equity securities in the United States, or any successor exchange or market, or in the case of a security traded on one or more non-U.S. securities exchanges or markets, on the principal non-U.S. securities exchange or market for such security.

The "**Closing Market Price**" for one share of an Underlying Stock (or one unit of any other security for which a Closing Market Price must be determined) on any trading day means any of the following:

&nbsp;&nbsp;&nbsp;&nbsp;· if the Underlying Stock (or such other security) is listed or admitted to trading on a U.S. national securities exchange, the last
reported sale price, regular way (or, in the case of The Nasdaq Stock Market, the official closing price), of the principal trading session
on that day on the principal U.S. securities exchange registered under the Exchange Act on which the Underlying Stock (or such other security)
is listed or admitted to trading;

&nbsp;&nbsp;&nbsp;&nbsp;· if the Underlying Stock (or such other security) is not listed or admitted to trading on any U.S. national securities exchange but
is included in any other U.S. national market system, the last reported sale price, regular way, of the principal trading session on that
day on the U.S. national market system that is the primary market for the trading of that Underlying Stock (or such other security);

&nbsp;&nbsp;&nbsp;&nbsp;· if the Underlying Stock (or such other security) is issued by a foreign issuer and its Closing Market Price cannot be determined as
set forth in the two bullet points above, and the Underlying Stock (or such other security) is listed or admitted to trading on a non-U.S.
securities exchange or market, the last reported sale price, regular way, of the principal trading session on that day on the primary
non-U.S. securities exchange or market on which the Underlying Stock (or such other security) is listed or admitted to trading (converted
to U.S. dollars using such exchange rate as the calculation agent, in its sole discretion, determines to be commercially reasonable);
or

&nbsp;&nbsp;&nbsp;&nbsp;· if the Closing Market Price cannot be determined as set forth in the prior bullets, the mean, as determined by the calculation agent,
of the bid prices for the Underlying Stock (or such other security) obtained from as many dealers in that security (which may include
us, BofAS and/or any of our respective affiliates), but not exceeding three, as will make the bid prices available to the calculation
agent. If no such bid price can be obtained, the Closing Market Price will be determined (or, if not determinable, estimated) by the calculation
agent in its sole discretion in a commercially reasonable manner.

If the scheduled calculation day is not a trading day or there is a Market Disruption Event on the scheduled calculation day with respect to an Underlying Stock, the calculation day will be the immediately succeeding trading day during which no Market Disruption Event occurs or is continuing; *provided* that the Ending Value will be determined (or, if not determinable, estimated) by the calculation agent in a manner which the calculation agent considers commercially reasonable under the circumstances on a date no later than the second scheduled trading day prior to the maturity date, regardless of the occurrence of a Market Disruption Event or non-trading day on that day, and such day will be deemed to be the calculation day.

Unless otherwise set forth in the applicable term sheet, for any applicable day under the terms of the LIRNs, the value of an Underlying Stock will be determined by multiplying its Closing Market Price on that day by its "**Price Multiplier**" on that day. The initial Price Multiplier for an Underlying Stock will be 1, unless otherwise set forth in the applicable term sheet. The Price Multiplier for an Underlying Stock will be subject to adjustment for certain corporate events relating to that Underlying Stock as described below under "—Anti-Dilution Adjustments."

**Market Disruption Events**

As to any Underlying Stock (or any "**successor Underlying Stock**," which is the common equity securities or the ADRs of a Successor Entity (as defined below)), a "**Market Disruption Event**" means one or more of the following events, as determined by the calculation agent in its sole discretion:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) the suspension of or material limitation on trading, in each case, for more than two consecutive hours of trading, or during the one-half
hour period preceding the close of trading, of the shares of the Underlying Stock (or any successor Underlying Stock)

on the primary exchange where such shares trade, as determined by the calculation agent (without taking into account any extended or after-hours trading session); or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) the suspension of or material limitation on trading, in each case, for more than two consecutive hours of trading, or during the one-half
hour period preceding the close of trading, on the primary exchange that trades options contracts or futures contracts related to the
shares of the Underlying Stock (or any successor Underlying Stock) as determined by the calculation agent (without taking into account
any extended or after-hours trading session), in options contracts or futures contracts related to the shares of the Underlying Stock
(or any successor Underlying Stock).

For the purpose of determining whether a Market Disruption Event as to an Underlying Stock has occurred:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) a limitation on the hours in a trading day and/or number of days of trading will not constitute a Market Disruption Event if it results
from an announced change in the regular business hours of the relevant exchange;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) a decision to permanently discontinue trading in the shares of the Underlying Stock (or any successor Underlying Stock) or the relevant
futures or options contracts relating to such shares will not constitute a Market Disruption Event;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) a suspension in trading in a futures or options contract on the shares of the Underlying Stock (or any successor Underlying
Stock), by a major securities market by reason of (a) a price change violating limits set by that securities market, (b) an imbalance
of orders relating to those contracts, or (c) a disparity in bid and ask quotes relating to those contracts, will each constitute a suspension
of or material limitation on trading in futures or options contracts relating to the Underlying Stock;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) subject to paragraph (3) above, a suspension of or material limitation on trading on the relevant exchange will not include any time
when that exchange is closed for trading under ordinary circumstances; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) for the purpose of clause (A) above, any limitations on trading during significant market fluctuations under NYSE Rule 80B, or any
applicable rule or regulation enacted or promulgated by the NYSE or any other self-regulatory organization or the SEC of similar scope
as determined by the calculation agent, will be considered "material."

**Anti-Dilution Adjustments**

As to any Underlying Stock (which, for purposes of this section, includes any successor Underlying Stock), the calculation agent, in its sole discretion, may adjust the Price Multiplier (and as a result, the Observation Levels, if applicable, and the Ending Value), and any other terms of the LIRNs (such as the Starting Value), if an event described below occurs after the pricing date and on or before the calculation day and if the calculation agent determines that such an event has a dilutive or concentrative effect on the theoretical value of the shares of the applicable Underlying Stock (or any successor Underlying Stock).

The Price Multiplier for an Underlying Stock resulting from any of the adjustments specified below will be rounded to the eighth decimal place with five one-billionths being rounded upward. No adjustments to the Price Multiplier will be required unless the adjustment would require a change of at least 0.1% in the Price Multiplier then in effect. Any adjustment that would require a change of less than 0.1% in the Price Multiplier which is not applied at the time of the event may be reflected at the time of any subsequent adjustment that would

require an adjustment of the Price Multiplier. The required adjustments specified below do not cover all events that could affect an Underlying Stock.

No adjustments to the Price Multiplier for any Underlying Stock or any other terms of the LIRNs will be required other than those specified below. However, the calculation agent may, at its sole discretion, make additional adjustments or adjustments that differ from those described herein to the Price Multiplier or any other terms of the LIRNs, including the maturity date and the method of determining the payment on the LIRNs, to reflect changes to an Underlying Stock if the calculation agent determines in good faith and a commercially reasonable manner that the adjustment is appropriate to ensure an equitable result.

The calculation agent will be solely responsible for the determination of any adjustments to the Price Multiplier for any Underlying Stock or any other terms of the LIRNs and of any related determinations with respect to any distributions of stock, other securities or other property or assets, including cash, in connection with any corporate event described below; its determinations and calculations will be conclusive absent a determination of a manifest error.

No adjustments are required to be made for certain other events, such as offerings of common equity securities by any Underlying Company for cash or in connection with the occurrence of a partial tender or exchange offer for any Underlying Stock by the applicable Underlying Company.

Following certain corporate events relating to an Underlying Stock, where the Underlying Company is not the surviving entity, any payment you receive on the LIRNs may be based on the equity securities of a successor to the Underlying Company or any cash or any other assets distributed to holders of that Underlying Stock in such corporate event.

Following an event that results in an adjustment to the Price Multiplier for any Underlying Stock or any of the other terms of the LIRNs, the calculation agent may (but is not required to) provide holders of the LIRNs with information about that adjustment as it deems appropriate, depending on the nature of the adjustment. Upon written request by any holder of the LIRNs, the calculation agent will provide that holder with information about such adjustment.

**Anti-Dilution Adjustments to Underlying Stocks that Are Common Equity**

The calculation agent, in its sole discretion and as it deems reasonable, may adjust the Price Multiplier for any Underlying Stock (and as a result, any Observation Level, if applicable, and the Ending Value), and any other terms of the LIRNs, as a result of certain events related to that Underlying Stock, which include, but are not limited to, the following:

Stock Splits and Reverse Stock Splits. If an Underlying Stock is subject to a stock split or reverse stock split, then once such split has become effective, the Price Multiplier for that Underlying Stock will be adjusted such that the new Price Multiplier will equal the product of:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prior Price Multiplier; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the number of shares that a holder of one share of the Underlying Stock before the effective date of the stock split or reverse stock
split would have owned immediately following the applicable effective date.

For example, a two-for-one stock split would ordinarily change a Price Multiplier of one into a Price Multiplier of two. In contrast, a one-for-two reverse stock split would ordinarily change a Price Multiplier of one into a Price Multiplier of one-half.

Stock Dividends. If an Underlying Stock is subject to (i) a stock dividend (i.e., an issuance of additional shares of the Underlying Stock) that is given ratably to all holders of the Underlying Stock or (ii) a distribution of additional shares of the Underlying Stock as a result of the triggering of any provision of the organizational documents of the Underlying Company or otherwise, then, once the dividend or distribution has become effective and that Underlying Stock is trading ex-dividend, the Price Multiplier for that Underlying Stock will be adjusted on the ex-dividend date (as defined below) such that the new Price Multiplier will equal the prior Price Multiplier plus the product of:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prior Price Multiplier; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the number of additional shares issued in the stock dividend with respect to one share of that Underlying Stock;

*provided* that no adjustment will be made for a stock dividend for which the number of shares of that Underlying Stock paid or distributed is based on a fixed cash equivalent value, unless such distribution is an Extraordinary Dividend (as defined below).

For example, a stock dividend of one new share for each share held would ordinarily change a Price Multiplier of one into a Price Multiplier of two.

Extraordinary Dividends. There will be no adjustments to the Price Multiplier of an Underlying Stock to reflect any cash dividends or cash distributions paid with respect to that Underlying Stock other than Extraordinary Dividends, as described below, and distributions described under the section entitled "—Reorganization Events" below.

An "**Extraordinary Dividend**" means, with respect to a cash dividend or other distribution with respect to an Underlying Stock, a dividend or other distribution that the calculation agent determines, in its sole discretion, is not declared or otherwise made according to the Underlying Company's then existing policy or practice of paying such dividends on a quarterly or other regular basis. If an Extraordinary Dividend occurs, the Price Multiplier will be adjusted on the ex-dividend date so that the new Price Multiplier for that Underlying Stock will equal the product of:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prior Price Multiplier; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a fraction, the numerator of which is the Closing Market Price per share of the Underlying Stock on the trading day preceding the
ex-dividend date and the denominator of which is the amount by which the Closing Market Price per share of the Underlying Stock on that
preceding trading day exceeds the Extraordinary Dividend Amount.

The "**Extraordinary Dividend Amount**" with respect to an Extraordinary Dividend will equal:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· in the case of cash dividends or other distributions that constitute regular dividends, the amount per share of the applicable Underlying
Stock of that Extraordinary Dividend minus the amount per share of the immediately preceding non-Extraordinary Dividend for that share;
or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· in the case of cash dividends or other distributions that do not constitute regular dividends, the amount per share of the applicable
Underlying Stock of that Extraordinary Dividend.

To the extent an Extraordinary Dividend is not paid in cash, the value of the non-cash component will be determined by the calculation agent, whose determination will be conclusive. A distribution on the applicable Underlying Stock described in the section "—Issuance of Transferable Rights or Warrants" or clause (a), (d) or (e) of the section entitled "—Reorganization Events" below that also constitutes an Extraordinary Dividend will only cause an adjustment under those respective sections.

Issuance of Transferable Rights or Warrants. If an Underlying Company issues transferable rights or warrants to all holders of record of the Underlying Stock to subscribe for or purchase the Underlying Stock, including new or existing rights to purchase the Underlying Stock under a shareholder rights plan or arrangement, then the Price Multiplier will be adjusted on the trading day immediately following the issuance of those transferable rights or warrants so that the new Price Multiplier will equal the prior Price Multiplier plus the product of:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prior Price Multiplier; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the number of shares of the Underlying Stock that can be purchased with the cash value of those warrants or rights distributed on
one share of the Underlying Stock.

The number of shares that can be purchased will be based on the Closing Market Price of the Underlying Stock on the date the new Price Multiplier is determined. The cash value of those warrants or rights, if the warrants or rights are traded on a registered national securities exchange, will equal the closing price of that warrant or right. If the warrants or rights are not traded on a registered national securities exchange, the cash value of those warrants or rights will be determined by the calculation agent and will equal the average of the bid prices obtained from three dealers at 3:00 p.m., New York time on the date the new Price Multiplier is determined, *provided* that if only two of those bid prices are available, then the cash value of those warrants or rights will equal the average of those bids and if only one of those bids is available, then the cash value of those warrants or rights will equal that bid.

"**Ex-dividend date**" means, for purposes of this section, the first trading day on which transactions in the shares of the Underlying Stock trade on the relevant exchange without the right to receive the applicable dividend or other distribution.

**Reorganization Events**

If after the pricing date and on or prior to the calculation day, as to any Underlying Stock:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) there occurs any reclassification or change of the Underlying Stock, including, without limitation, as a result of the issuance of tracking stock by the Underlying Company;

(b) the Underlying Company, or any surviving entity or subsequent surviving entity of the Underlying Company (a "**Successor Entity** "), has been subject to a merger, combination, or consolidation and is not the surviving entity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) any statutory exchange of securities of the Underlying Company or any Successor Entity with another corporation occurs, other than under clause (b) above;

(d) the Underlying Company is liquidated or is subject to a proceeding under any applicable bankruptcy, insolvency, or other similar law;

(e) the Underlying Company issues to all of its shareholders securities of an issuer other than the Underlying Company, including equity securities of an affiliate of the Underlying Company, other than in a transaction described in clauses (b), (c), or (d) above;

(f) a tender or exchange offer or going-private transaction is consummated for all the outstanding shares of the Underlying Company;

(g) there occurs any reclassification or change of the Underlying Stock that results in a transfer or an irrevocable commitment to transfer all such outstanding shares of the Underlying Stock to another entity or person;

(h) the Underlying Company or any Successor Entity is the surviving entity of a merger, combination, or consolidation, that results in the outstanding Underlying Stock (other than Underlying Stock owned or controlled by the other party to such transaction) immediately prior to such event collectively representing less than 50% of the outstanding Underlying Stock immediately following such event; or

(i) the Underlying Company ceases to file the financial and other information with the SEC in accordance with Section 13(a) of the Exchange Act (an event in clauses (a) through (i), a "**Reorganization Event** "),

then, on or after the date of the occurrence of a Reorganization Event, the calculation agent shall, in its sole discretion, make an adjustment to the Price Multiplier or to the method of determining the payment on the LIRNs or any other terms of the LIRNs as the calculation agent, in its sole discretion, determines appropriate to account for the economic effect on the LIRNs of that Reorganization Event (including adjustments to account for changes in volatility, expected dividends, stock loan rate, or liquidity relevant to the Underlying Stock or to the LIRNs), which may, but need not, be determined by reference to the adjustment(s) made in respect of such Reorganization Event by an options exchange to options on the relevant Underlying Stock traded on that options exchange, and determine the effective date of that adjustment. Subject to the below paragraph, if the calculation agent determines that no adjustment that it could make will produce a commercially reasonable result, then the calculation agent may cause the maturity date of the LIRNs to be accelerated to the fifth business day (the "**date of acceleration**") following the date of that determination and the Redemption Amount payable to you will be calculated as described in "—Payment at Maturity" as if the date of acceleration were the stated maturity date of the LIRNs and as if the calculation day were the fifth trading day prior to the date of acceleration.

If the LIRNs are subject to an automatic call and if, on or prior to the final Observation Date, the calculation agent determines that no adjustment that it could make will produce a commercially reasonable result, then the calculation agent, in its discretion, may cause the maturity date of the LIRNs to be accelerated to the fifth business day (the "**date of acceleration**") following the date of that determination and the amount payable to you will be determined as described in "—Automatic Call" as if the fifth trading day prior to the date of acceleration were the next scheduled Observation Date, *provided* that the applicable Observation Level as of that date is greater than or equal to the Call Level. In such case, the

calculation agent shall pro-rate the applicable Call Premium and Call Amount according to the period of time elapsed between the settlement date of the LIRNs and the date of acceleration. For the avoidance of doubt, if the Observation Level of the Market Measure as of that date is less than the Call Level, the payment on the LIRNs will be calculated as set forth in the prior paragraph.

If the Underlying Company ceases to file the financial and other information with the SEC in accordance with Section 13(a) of the Exchange Act, as contemplated by clause (i) above, and the calculation agent determines in its sole discretion that sufficiently similar information is not otherwise available to you, then the calculation agent may cause the maturity date of the LIRNs to be accelerated to the fifth business day following the date of that determination and the amount payable on the LIRNs will be determined as described in the above paragraphs. If the calculation agent determines that sufficiently similar information is available to you, the Reorganization Event will be deemed to have not occurred.

**Alternative Anti-Dilution and Reorganization Adjustments**

The calculation agent may elect at its discretion to not make any of the adjustments to the Price Multiplier for an Underlying Stock or to the other terms of the LIRNs, including the method of determining the payment on the LIRNs, described in this section, but may instead make adjustments, in its discretion, to the Price Multiplier for an Underlying Stock or any other terms of the LIRNs (such as the Starting Value) that will reflect the adjustments to the extent practicable made by the Options Clearing Corporation on options contracts on that Underlying Stock or any successor common stock. For example, if an Underlying Stock is subject to a two-for-one stock split, and the Options Clearing Corporation adjusts the strike prices of the options contracts on that Underlying Stock by dividing the strike price by two, then the calculation agent may also elect to divide the Starting Value by two. In this case, the Price Multiplier will remain one. This adjustment would have the same economic effect on holders of the LIRNs as if the Price Multiplier had been adjusted.

**Anti-Dilution Adjustments to Underlying Stocks That Are ADRs**

For purposes of the anti-dilution adjustments set forth above, if an Underlying Stock is an ADR (an "**Underlying ADR**"), the calculation agent will consider the effect of any of the relevant events on the Underlying ADR, and adjustments will be made as if the Underlying ADR were the Underlying Stock described above. For example, if the stock represented by the Underlying ADR is subject to a two-for-one stock split, and assuming an initial Price Multiplier of 1, the Price Multiplier for the Underlying ADR would be adjusted so that it equals two. Unless otherwise specified in the applicable term sheet, with respect to LIRNs linked to an Underlying ADR (or an Underlying Stock issued by a non-U.S. Underlying Company), the term "dividend" means the dividends paid to holders of the Underlying ADR (or the Underlying Stock issued by the non-U.S. Underlying Company), and such dividends may reflect the netting of any applicable foreign withholding or similar taxes that may be due on dividends paid to a U.S. person.

The calculation agent may determine not to make an adjustment if:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) holders of the Underlying ADR are not eligible to participate in any of the events that would otherwise require anti-dilution adjustments
as set forth above if the LIRNs had been linked directly to the common shares of the Underlying Company represented by the Underlying
ADR; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) to the extent that the calculation agent determines that the Underlying Company or the depositary for the Underlying ADR has adjusted
the number of common shares of the Underlying Company represented by each share of the Underlying ADR, so that the market price of the
Underlying ADR would not be affected by the corporate event.

If the Underlying Company or the depositary for the Underlying ADR, in the absence of any of the events described above, elects to adjust the number of common shares of the Underlying Company represented by each share of the Underlying ADR, then the calculation agent may make the appropriate anti-dilution adjustments to reflect such change. The depositary for the Underlying ADR may also make adjustments in respect of the ADRs for share distributions, rights distributions, cash distributions and distributions other than shares, rights, and cash. Upon any such adjustment by the depositary, the calculation agent may adjust the Price Multiplier or other terms of the LIRNs as the calculation agent determines commercially reasonable to account for that event.

**Delisting of ADRs or Termination of ADR Facility**

If an Underlying ADR is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act, or if the ADR facility between the Underlying Company and the ADR depositary is terminated for any reason, then, on and after the date that the Underlying ADR is no longer so listed or admitted to trading or the date of such termination, as applicable (the **"termination date"**), the applicable Underlying Stock will be deemed to be the Underlying Company's common shares rather than the Underlying ADR. The calculation agent will determine the price of the Underlying Stock by reference to those common shares. Under such circumstances, the calculation agent may modify any terms of the LIRNs as it deems necessary, in its sole discretion, to ensure an equitable result. On and after the termination date, for all purposes, the Closing Market Price of the Underlying Company's common shares on their primary exchange will be converted to U.S. dollars using such exchange rate as the calculation agent, in its sole discretion, determines to be commercially reasonable.

**Basket Market Measures**

If the Market Measure to which your LIRNs are linked is a Basket, the Basket Stocks will be set forth in the applicable term sheet. We will assign each Basket Stock a weighting (the "**Initial Component Weight**") so that each Basket Stock represents a percentage of the Starting Value of the Basket on the pricing date. We may assign the Basket Stocks equal or unequal Initial Component Weights. The Initial Component Weight for each Basket Stock will be stated in the applicable term sheet.

**Determination of the Component Ratio for Each Basket Stock**

The "**Starting Value**" of the Basket will be equal to 100. We will set a fixed factor (the "**Component Ratio**") for each Basket Stock on the pricing date, based upon the weighting of that Basket Stock. The Component Ratio for each Basket Stock will equal:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the Initial Component Weight (expressed as a percentage) for that Basket Stock, multiplied by 100; *divided by* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the Closing Market Price of that Basket Stock on the pricing date.

Each Component Ratio will be rounded to eight decimal places.

The Component Ratios will be calculated in this way so that the Starting Value of the Basket will equal 100 on the pricing date. The Component Ratios will not be revised subsequent to their determination on the pricing date, except that the calculation agent may in its good faith judgment adjust the Component Ratio of any Basket Stock in the event that Basket Stock is materially changed or modified in a manner that does not, in the opinion of the calculation agent, fairly represent the value of that Basket Stock had those material changes or modifications not been made.

The following table is for illustration purposes only, and does not reflect the actual composition, Initial Component Weights or Component Ratios of a Basket, which will be set forth in the applicable term sheet.

Example: The **hypothetical** Basket Stocks are Stock ABC, Stock XYZ and Stock RST, with their Initial Component Weights being 50.00%, 25.00% and 25.00%, respectively, on a **hypothetical** pricing date:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Basket Stock** | **Initial Component<br> Weight** | **Hypothetical Closing<br> Market Price <sup>(1)</sup>** | **Hypothetical<br> Component Ratio<sup>(2)</sup>** | **Initial Basket<br> Value<br> Contribution** |
| Stock ABC | 50.00% | $50.00 | 1.00000000 | 50.00 |
| Stock XYZ | 25.00% | $24.00 | 1.04166667 | 25.00 |
| Stock RST | 25.00% | $10.00 | 2.50000000 | <u>25.00</u> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starting Value of the Basket | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starting Value of the Basket | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starting Value of the Basket | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starting Value of the Basket | 100.00 |

---

(1) This column sets forth the **hypothetical** Closing Market Price of each Basket Stock on the **hypothetical** pricing date.

(2) The **hypothetical** Component Ratio for each Basket Stock equals its Initial Component Weight (expressed as a percentage) *multiplied by* 100, and then *divided by* the hypothetical Closing Market Price of that Basket Stock on the **hypothetical** pricing date, with the result rounded to eight decimal places.

**Observation Level or Ending Value of the Basket**

The "**Observation Level**" of the Basket, if applicable, will be the value of the Basket on the relevant Observation Date.

The "**Ending Value**" of the Basket will be the value of the Basket on the calculation day.

The calculation agent will calculate the value of the Basket for an Observation Date or the calculation day by summing the products of the Closing Market Price of each Basket Stock on the relevant Observation Date or the calculation day (multiplied by its Price Multiplier on that day) and the Component Ratio for that Basket Stock. The value of the Basket will vary based on the increase or decrease in the price of each Basket Stock. Any increase in the price of a Basket Stock (assuming no change in the price of the other Basket Stock or Basket Stocks) will result in an increase in the value of the Basket. Conversely, any decrease in the price of a Basket Stock (assuming no change in the price of the other Basket Stock or Basket Stocks) will result in a decrease in the value of the Basket.

Unless otherwise specified in the applicable term sheet, if, for any Basket Stock (an "**Affected Basket Stock**"), (i) a Market Disruption Event occurs on the scheduled calculation day or, if applicable, on an Observation Date or (ii) the scheduled calculation day or any scheduled Observation Date is determined by the calculation agent not to be a trading day by reason of an extraordinary event, occurrence, declaration or otherwise (any such day in either (i) or (ii) being a "**non-calculation day**"), the calculation agent will determine the Closing Market Prices of the Basket Stocks for that non-calculation day, and as a result, the Ending Value or the relevant Observation Level, if applicable, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The Closing Market Price of each Basket Stock that is not an Affected Basket Stock will be its Closing Market Price on that non-calculation
day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The Closing Market Price of each Basket Stock that is an Affected Basket Stock for the applicable non-calculation day will be determined
in the same manner as described above in the second to last paragraph of "—Automatic Call" (if determining an Observation
Level) or as described in the second to last paragraph of "—The Starting Value and the Ending Value—Ending Value;" *provided* that references to "relevant Observation Level" or "Ending Value" will be deemed to be references
to "Closing Market Price of the Basket Stock."

For purposes of determining whether a Market Disruption Event has occurred as to any Basket Stock, "Market Disruption Event" will have the meaning stated above in "—Market Disruption Events."

**Role of the Calculation Agent**

The calculation agent has the sole discretion to make all determinations regarding the LIRNs as described in this product supplement, including determinations regarding the Starting Value, the Threshold Value, the Ending Value, the Market Measure, the Price Multiplier, the Closing Market Price, the Redemption Amount, any Market Disruption Events, any successor Underlying Stock, trading days, business days, the calculation day, non-calculation days and any anti-dilution adjustments and, if applicable, the Call Level, each Observation Level and whether the LIRNs will be automatically called. Absent manifest error, all determinations of the calculation agent will be conclusive for all purposes and final and binding on you and us, without any liability on the part of the calculation agent.

We or one of our affiliates may act as the calculation agent, or we may appoint BofAS or one of its affiliates as the calculation agent for each issue of the LIRNs. Alternatively, we (or one of our affiliates) and BofAS (or one of its affiliates) may act as joint calculation agents for the LIRNs. When we refer to a "calculation agent" in this product supplement or in any term sheet, we are referring to the applicable calculation agent or joint calculation agents, as the case may be. However, we may change the calculation agent at any time without notifying you. The identity of the calculation agent will be set forth in the applicable term sheet.

**Same-Day Settlement and Payment**

The LIRNs will be delivered in book-entry form only through The Depository Trust Company against payment by purchasers of the LIRNs in immediately available funds. We will pay any amount payable on the LIRNs in immediately available funds so long as the LIRNs are maintained in book-entry form.

**Events of Default and Acceleration**

Events of default are defined in the senior debt securities indenture. Subject to the below paragraph and notwithstanding anything to the contrary in the accompanying prospectus supplement, if such an event occurs and is continuing, unless otherwise stated in the applicable term sheet, the amount payable to a holder of the LIRNs upon any acceleration permitted under the senior debt securities indenture will be equal to the Redemption Amount described under the caption "—Payment at Maturity," *provided* that such Redemption Amount will be determined as if the date of acceleration were the maturity date of the LIRNs and as if the calculation day were the fifth trading day prior to the date of acceleration.

If the LIRNs are subject to an automatic call and an event of default occurs on or prior to the final Observation Date on which the LIRNs may be subject to an automatic call, then the payment on the LIRNs will be determined as described in "—Automatic Call" as if the fifth

trading day prior to the date of acceleration were the next scheduled Observation Date, *provided* that the applicable Observation Level as of that date is greater than or equal to the Call Level. In such case, the calculation agent shall pro-rate the applicable Call Premium and Call Amount according to the period of time elapsed between the settlement date of the LIRNs and the date of acceleration. For the avoidance of doubt, if the Observation Level of the Market Measure as of that date is less than the Call Level, the payment on the LIRNs will be calculated as set forth in the prior paragraph.

If a voluntary or involuntary liquidation, bankruptcy, insolvency or any analogous proceeding is filed with respect to the issuer of the LIRNs, then depending on the applicable bankruptcy law, your claim may be limited to an amount that could be less than the amount payable upon default and acceleration as described above. In case of a default in payment under the LIRNs, whether at their maturity or upon acceleration, and whether in an insolvency proceeding or otherwise, the LIRNs will not accrue any default or other interest rate.

In addition, as described elsewhere in this document as well as in the accompanying prospectus supplement and prospectus and in the applicable term sheet, 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 U.K. resolution authority is satisfied that the resolution conditions are met. Accordingly, and notwithstanding anything to the contrary above, any payment on the LIRNs (including, without limitation, any payment following an acceleration permitted under the senior debt securities indenture) will be subject to the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority.

**Listing**

Unless otherwise specified in the applicable term sheet, the LIRNs will not be listed on a securities exchange or quotation system.

**SUPPLEMENTAL PLAN OF DISTRIBUTION**

BofAS and one or more of its affiliates may act as our agents for any offering of the LIRNs. The agents may act on either a principal basis or an agency basis, as set forth in the applicable term sheet. Each agent will be a party to the distribution agreement described in the "Plan of Distribution (Conflicts of Interest)" on page 77 of the accompanying prospectus and on page S-103 of the accompanying prospectus supplement.

Each agent will receive an underwriting discount that is a percentage of the aggregate principal amount of the LIRNs sold through its efforts, which will be set forth in the applicable term sheet. You must have an account with the applicable agent in order to purchase the LIRNs.

None of the agents is acting as your fiduciary or advisor solely as a result of the making of any offering of the LIRNs, and you should not rely upon this product supplement, the applicable term sheet, or the accompanying prospectus supplement or prospectus as investment advice or a recommendation to purchase any LIRNs. You should make your own investment decision regarding the LIRNs after consulting with your legal, tax, and other advisors.

BofAS and its affiliates may use this product supplement, the prospectus supplement, and the prospectus, together with the applicable term sheet, in market-making transactions for any LIRNs after their initial sale solely for the purpose of providing investors with the description of the terms of the LIRNs that were made available to investors in connection with the initial distribution of the LIRNs. Secondary market investors should not, and will not be authorized to, rely on these documents for information regarding Barclays Bank PLC or for any purpose other than that described in the immediately preceding sentence.