Bear Accelerated Return Notes^® “ARNs^®” Linked to One or More Equity Indices or Exchange Traded Funds

ARNs offered hereunder are not deposit liabilities or other obligations of a bank, are not insured by the Federal Deposit Insurance Corporation (the “FDIC”) or any other governmental agency of the United States, or any other jurisdiction, and carry investment risks, including possible loss of the amount invested due to the credit risk of HSBC. Potential purchasers of ARNs should consider the information in “Risk Factors” beginning on page PS-6 of this product supplement, page S-1 of the accompanying prospectus supplement, and page 2 of the accompanying prospectus. You may lose all or a significant portion of your investment in ARNs.  

Neither the U.S. Securities and Exchange Commission (the “SEC”), nor any state securities commission has approved or disapproved of these securities or passed upon the accuracy or the adequacy of this product supplement, or the accompanying prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.

BofA Securities

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ARNs^® and “Accelerated ReturnNotes^®” are registered service marks of Bank of America Corporation, the parentcorporation of BofAS.

RISK FACTORS

You will be subject to significant risks notassociated with conventional fixed-rate or floating-rate debt securities. You should understand the risks of investing in the ARNs andshould reach an investment decision only after careful consideration with your advisors with respect to the ARNs in light of your particularfinancial and other circumstances and the information set forth in the applicable term sheet, this product supplement and the accompanyingprospectus supplement and prospectus.

Structure-related Risks

Your investment may result in a loss; thereis no guaranteed return of principal. There is no fixed principal repayment amount on ARNs at maturity. The return on ARNs will bebased on the performance of a Market Measure and therefore, you may lose all or a significant portion of your investment if the valueof the Market Measure increases from the Starting Value to the Ending Value.

Your return on the ARNs may be less than theyield on a conventional fixed or floating rate debt security of comparable maturity. There will be no periodic interest payments onARNs as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. Any return that you receiveon ARNs 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 ARNs may not reflect the full opportunity cost to you when you consider factors, such as inflation, that affect thetime value of money.

Your investment return will be limited to thereturn represented by the Capped Value and may be less than a comparable investment that takes a short position in the Market Measureor any of its underlying assets. The appreciation potential of ARNs is limited to the Capped Value. You will not receive a RedemptionAmount greater than the Capped Value, regardless of the extent of any decrease in the value of the Market Measure. In contrast, a shortposition in the Market Measure (or any securities, commodities or other assets represented by the Market Measure) would allow you to receivethe full benefit of any decrease in the value of the Market Measure (or those underlying assets).

Additionally, the Market Measure mayconsist of an index that includes securities traded in a non-U.S. currency, and, for purposes of calculating the level of such index, are not converted into U.S. dollars. If the value of that currency weakens against the U.S. dollar during the term of your ARNs,you may not obtain the benefit of that decrease, which you would have received if you had, for example, taken a short position in thesecurities included in such Index.

The Redemption Amount will not reflect changesin the value of the Market Measure other than during the Maturity Valuation Period. Changes in the value of the Market Measure duringthe term of ARNs other than during the Maturity Valuation Period will not be reflected in the calculation of the Redemption Amount. Tocalculate the Redemption Amount, the calculation agent will compare only the Ending Value to the Starting Value. No other values of theMarket Measure will be taken into account. As a result, even if the value of the Market Measure has decreased at certain times duringthe term of the ARNs, you will receive a Redemption Amount that is less than the principal amount if the Ending Value is greater thanthe Starting Value. In addition, the Ending Value will equal the average of the value of the Market Measure on each calculation day duringthe Maturity Valuation Period, which may be greater than the value of the Market Measure on any particular calculation day.

If your ARNs are linked to a Basket, changesin the values of one or more of the Basket Components may be offset by changes in the values of one or more of the other

Basket Components.The Market Measure of your ARNs may be a Basket. In such a case, changes in the values of one or more of the Basket Components may notcorrelate with changes in the values of one or more of the other Basket Components. The values of one or more Basket Components may decrease,while the values of one or more of the other Basket Components may increase or not decrease as much. Therefore, in calculating the valueof the Market Measure at any time, decreases in the value of one Basket Component may be moderated or wholly offset by increases or lesserdecreases in the values of one or more of the other Basket Components. If the weightings of the applicable Basket Components are notequal, adverse changes in the values of the Basket Components which are more heavily weighted could have a greater impact upon the valueof the Market Measure and, consequently, the return on your ARNs.

Payments on ARNs are subject to our credit risk,and actual or perceived changes in our creditworthiness are expected to affect the value of ARNs. The ARNs are senior unsecured debtobligations of the Issuer, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanyingprospectus supplement and prospectus, the ARNs will rank on par with all of the other unsecured and unsubordinated debt obligations ofHSBC. Any payment to be made on the ARNs, including any return of principal at maturity, depends on the ability of HSBC to satisfy itsobligations as they become due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the ARNsand, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the ARNs. Becauseyour return on the ARNs depends upon factors in addition to HSBC’s ability to pay its obligations, such as the value of the applicableMarket Measure, an improvement in HSBC’s credit ratings will not reduce the other investment risks related to the ARNs.

The ARNs are not insured or guaranteed by anygovernmental agency of the United States or any other jurisdiction. The ARNs are not deposit liabilities or other obligations of abank and are not insured or guaranteed by the FDIC or any other governmental agency or program of the United States or any other jurisdiction.An investment in the ARNs is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they becomedue, you may not receive the full payments due on the ARNs.

Valuation- and Market-related Risks

The estimated initial value of the ARNs willbe less than the public offering price and may differ from the market value of the ARNs in the secondary market, if any. We will determinethe estimated initial value of the ARNs, which will be set forth in the applicable term sheet, by reference to our or our affiliates’internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates.These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. Different pricing modelsand assumptions could provide valuations for the ARNs that are different from our estimated initial value. The estimated initial valuewill reflect our internal funding rate, which is the borrowing rate we pay to issue market-linked notes, as well as the mid-market valueof the hedging arrangements related to the ARNs (which may include call options, put options or other derivatives).

Our internal funding rate for the issuance ofthese ARNs is lower than the rate we would use when we issue conventional fixed or floating rate debt securities. This is one of thefactors that may result in the market value of the ARNs being less than their estimated initial value. As a result of the difference betweenour internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the estimated initialvalue of the ARNs may be lower if it were based on the levels at which our fixed or floating rate debt securities trade in the secondarymarket. In addition, if we were to use the

rate we use for our conventional fixed or floating rate debt issuances,we would expect the economic terms of the ARNs to be more favorable to you.

The price of your ARNs in the secondary market,if any, immediately after the pricing date will be less than the public offering price. The public offering price takes into accountcertain costs, principally the underwriting discount, the expected hedging costs described in the applicable term sheet, and the costsassociated with issuing the ARNs. The costs associated with issuing the ARNs will be used or retained by us or one of our affiliates.If you were to sell your ARNs in the secondary market, if any, the price you would receive for your ARNs may be less than the price youpaid for them.

The estimated initial value does not representa minimum price at which we, BofAS or any of our respective affiliates would be willing to purchase your ARNs in the secondary market(if any exists) at any time. The price of your ARNs in the secondary market, if any, at any time after issuance will vary based onmany factors, including the value of the Market Measure and changes in market conditions, and cannot be predicted with accuracy. The ARNsare not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the ARNs to maturity. Anysale of the ARNs prior to maturity could result in a loss to you.

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

We anticipate that one or more of the agents ortheir affiliates will act as a market-maker for ARNs, but none of them is required to do so and may cease to do so at any time. Any priceat which an agent or its affiliates may bid for, offer, purchase, or sell any ARNs may be higher or lower than the applicable public offeringprice, 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 those ARNsmight 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 ARNs,it is likely that there would be significantly less liquidity in that secondary market. In such a case, the price at which those ARNscould be sold likely would be lower than if an active market existed.

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

Exchange rate movements may adversely impactthe value of ARNs. If any security or commodity represented by a Market Measure is traded in a currency other than U.S. dollars and,for purposes of calculating the value of the Market Measure, is converted into U.S. dollars, then the value of the Market Measure maydepend in part on the relevant exchange rates. If the value of the U.S. dollar weakens against the currencies of those underlying assets,the value of the applicable Market Measure may increase and the Redemption Amount may be reduced. Exchange rate movements may be particularlyimpacted by existing and expected rates of inflation and interest rate levels; political, civil or military unrest; the balance of

payments between countries; and the extent of governmental surplusesor deficits in the relevant countries and the United States. All of these factors are in turn sensitive to the monetary, fiscal, and tradepolicies pursued by the governments of those countries and the United States and other countries important to international trade andfinance.

If you attempt to sell ARNs 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 thanthe principal amount. The ARNs are not designed to be short-term trading instruments. You have no right to have your ARNs redeemedprior to maturity. If you wish to liquidate your investment in ARNs prior to maturity, your only option would be to sell them. At thattime, there may be an illiquid market for your ARNs or no market at all. Even if you were able to sell your ARNs, there are many factorsoutside of our control that may affect their market value, some of which, but not all, are stated below. These factors may interact witheach other in complex and unpredictable ways, and the impact of any one factor may be offset or magnified by the effect of another factor.The following paragraphs describe a specific factor’s expected impact on the market value of ARNs, assuming all other conditionsremain constant.

will decrease. In general, we expect that the longer the amountof time that remains until maturity, the more significant the impact of these changes will be on the value of the ARNs. In the case ofnon-U.S. Market Measures, the level of interest rates in the relevant foreign countries may also affect their economies and in turn increasethe value of the non-U.S. Market Measure, and, thus, the market value of the ARNs may be adversely affected.

Conflict-related Risks

Trading and hedging activities by us, the agents,and our respective affiliates may affect your return on the ARNs and their market value. We, the agents, and our respective affiliatesmay buy or sell the Market Measure, any of its underlying assets, futures, options contracts or exchange-traded instruments on the MarketMeasure or any of its underlying assets, or other listed or over-the counter derivative instruments whose value is derived from the MarketMeasure or any of its underlying assets. We, the agents, and our respective affiliates may execute such purchases or sales for our ownor their own accounts, for business reasons, or in connection with hedging our obligations under ARNs. These transactions could increasethe value of a Market Measure in a manner that could be adverse to your investment in ARNs. On or before the applicable pricing date,any purchases or sales by us, the agents, and our respective affiliates, or others on our or their behalf (including those for the purposeof hedging some or all of our anticipated exposure in connection with the ARNs) may decrease the value of the Market Measure. Consequently,the values of that Market Measure may increase subsequent to the pricing date of an issue of ARNs, which may adversely affect the marketvalue of ARNs.

We, the agents, or one or more of our respectiveaffiliates may also engage in hedging activities that could decrease the value of the Market Measure on the applicable pricing date. Inaddition, these activities may decrease the market value of your ARNs prior to maturity, including during the Maturity Valuation Period,and may reduce the Redemption Amount. We, the agents, or one or more of our respective affiliates may purchase or otherwise acquire along or short position in ARNs and may hold or resell ARNs. For example, the agents may enter into these transactions in connection withany market making activities in which they engage. We cannot assure you that these activities will not increase the value of the MarketMeasure, and consequently, adversely affect the market value of your ARNs prior to maturity or the Redemption Amount.

Our trading, hedging and other business activities,and those of the agents or one or more of our respective affiliates, may create conflicts of interest with you. We, the agents, orone or more of our respective affiliates may engage in trading activities related to the Market Measure and any underlying assets thatare not for your account or on your behalf. We, the agents, or one or more of our respective affiliates also may issue or underwrite otherfinancial instruments with returns based upon the applicable Market Measure. These trading and other business activities may present aconflict of interest between your interest in ARNs and the interests we, the agents and our respective affiliates may have in our proprietaryaccounts, 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 may increase the value of the Market Measure or influence secondary trading in your ARNs,and could be adverse to your interests as a beneficial owner of ARNs.

We, the agents, and our respective affiliates expectto enter into arrangements or adjust or close out existing transactions to hedge our obligations under the ARNs. We, the agents, or ourrespective affiliates also may enter into hedging transactions relating to other securities or instruments that we or they issue, someof which may have returns calculated in a manner related to that of a particular issue of ARNs. We may enter into such hedging arrangementswith one or more of our subsidiaries or affiliates, or with one or more of the agents or their affiliates. Such a party may enter intoadditional hedging transactions with other parties relating to ARNs and the applicable Market Measure. This hedging activity is expectedto result in a profit to those engaging in the hedging activity, which could be more or less than initially expected, but could also resultin a loss. We, the agents, and our respective affiliates will price these hedging transactions with the intent to realize a profit, regardlessof whether the value of ARNs increases or decreases or whether the Redemption Amount on the ARNs is more or less than the principal amountof the ARNs. Any profit in connection with such hedging activities will be in addition to any other compensation that we, the agents,and our respective affiliates receive for the sale of ARNs, which creates an additional incentive to sell ARNs to you.

There may be potential conflicts of interestinvolving the calculation agent. We may appoint and remove the calculation agent. We or one of our affiliates may be the calculationagent or act as joint calculation agent for ARNs and, as such, will determine the Starting Value, the Price Multiplier, the Ending Value,and the Redemption Amount. Under some circumstances, these duties could result in a conflict of interest between our status as issuerand our responsibilities as calculation agent. These conflicts could occur, for instance, in connection with the calculation agent’sdetermination as to whether a Market Disruption Event has occurred, or in connection with judgments that the calculation agent would berequired to make if the publication of a Market Measure is discontinued or certain events occur with respect to any Underlying Fund. Seethe sections entitled “Description of ARNs—Market Disruption Events,” “—Adjustments to an Index,” “—Discontinuance of an Index” and “—Anti-Dilution and Discontinuance Adjustments Relating to UnderlyingFunds.” The calculation agent will be required to carry out its duties in good faith and using its reasonable judgment. However,because we may serve as the calculation agent, potential conflicts of interest could

arise. None of us, the agents, or any of our respective affiliateswill have any obligation to consider your interests as a holder of ARNs in taking any action that might adversely affect the value ofARNs.

In addition, we may appoint BofAS or one of itsaffiliates to act as the calculation agent or as joint calculation agent for ARNs. As the calculation agent or joint calculation agent,BofAS or one of its affiliates will have discretion in making various determinations that affect your ARNs. The exercise of this discretionby the calculation agent could adversely affect the value of your ARNs and may present the calculation agent with a conflict of interestof the kind described under “—Trading and hedging activities by us, the agents, and our respective affiliates may affect yourreturn on the ARNs and their market value” and “—Our trading, hedging and other business activities, and those of theagents or one or more of our respective affiliates, may create conflicts of interest with you” above.

Market Measure-related Risks

No sponsor, publisher, or investment advisorof an Underlying Fund or an Index (each a “Market Measure Publisher”) will have any obligations relating to the ARNs. No Market Measure Publisher will have any financial or legal obligation with respect to the ARNs or the amounts to be paid to you, includingany obligation to take our needs or the needs of noteholders into consideration for any reason, including taking any actions that mightadversely affect the value of the Market Measure or the value of the ARNs. No Market Measure Publisher will receive any of the proceedsfrom any offering of the ARNs, and no Market Measure Publisher will be responsible for, or participate in, the offering of the ARNs. NoMarket Measure Publisher will be responsible for, or participate in, the determination or calculation of the amount receivable by holdersof the ARNs.

Neither we nor any agent has made any independentinvestigation as to the completeness or accuracy of publicly available information regarding any Market Measure or as to the future performanceof any Market Measure. Any prospective purchaser of the ARNs should undertake such independent investigation of any Market Measure asin its judgment is appropriate to make an informed decision with respect to an investment in the ARNs.

You must rely on your own evaluation of themerits of an investment linked to the applicable Market Measure. In the ordinary course of business, we, the agents, and our respectiveaffiliates may have expressed views on expected movements in a Market Measure, any underlying asset or any Index underlying an UnderlyingFund (an “Underlying Index”), and may do so in the future. These views or reports may be communicated to our clientsand clients of these entities. However, these views are subject to change from time to time. Moreover, other professionals who deal inmarkets relating to a Market Measure 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 a Market Measure from multiple sources, and you should not relyon our views or the views expressed by these entities.

As a noteholder, you will have no rights toreceive the Market Measure or any of its underlying assets , and you will not be entitled to receive securities, dividends or other distributionsby the Market Measure or the issuers of the securities represented by the Market Measure. ARNs are our debt securities. They are notequity instruments, shares of stock, or securities of any other issuer. Investing in ARNs will not make you a holder of the Market Measureor any of its underlying assets. You will not have any voting rights, any rights to receive dividends or other distributions, any rightsagainst a Market Measure Publisher, or any other rights with respect to the Market Measure or any of its underlying assets. Your ARNswill be paid in cash and you have no right to receive the Market Measure or any of its underlying assets.

Unless otherwise set forth in the applicableterm sheet, we and the agents do not control any company included in any Market Measure and have not verified any disclosure made by anyother company. We, the agents, or our respective affiliates currently, or in the future, may engage in business with companies includedin a Market Measure, and we, the agents, or our respective affiliates may from time to time own securities of companies included in aMarket Measure. However, none of us, the agents, or any of our respective affiliates has the ability to control the actions of any ofthese companies or has undertaken any independent review of, or made any due diligence inquiry with respect to, any of these companies,unless (and only to the extent that) the securities of us, the agents, or our respective affiliates are represented by that Market Measure.In addition, unless otherwise set forth in the applicable term sheet, none of us, the agents, or any of our respective affiliates is responsiblefor the calculation of any Index or Underlying Fund, or any Underlying Index. Unless otherwise specified therein, any information in theapplicable term sheet regarding the Market Measure is derived from publicly available information. You should make your own investigationinto the Market Measure.

Unless otherwise set forth in the applicable termsheet, none of the Market Measure Publishers, their affiliates, or any companies included in the Market Measure will be involved in anyoffering of ARNs or will have any obligation of any sort with respect to ARNs. As a result, none of those companies will have any obligationto take your interests as holders of ARNs into consideration for any reason, including taking any corporate actions that might increasethe value of the securities represented by the Market Measure and consequently, reduce the value of ARNs.

Our business activities and those of the agentsrelating to the companies represented by a Market Measure or the ARNs may create conflicts of interest with you. We, the agents, andour respective affiliates, at the time of any offering of ARNs or in the future, may engage in business with the companies representedby the Market Measure, including making loans to, equity investments in, or providing investment banking, asset management, or other servicesto those companies, their affiliates, and their competitors. In connection with these activities, any of these entities may receive informationabout 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 relatingto our or our affiliates’ securities, including the ARNs. This research is modified from time to time without notice and may expressopinions or provide recommendations that are inconsistent with purchasing or holding your ARNs. Any of these activities may increase thevalue of the Market Measure and, consequently, reduce the market value of your ARNs. None of us, the agents, or our respective affiliatesmakes any representation to any purchasers of the ARNs regarding any matters whatsoever relating to the issuers of the securities includedin a Market Measure. Any prospective purchaser of the ARNs should undertake an independent investigation of the companies included inthe Market Measure to a level that, in its judgment, is appropriate to make an informed decision regarding an investment in the ARNs.The composition of the Market Measure does not reflect any investment recommendations from us, the agents, or our respective affiliates.

The respective publishers of the applicableIndices may adjust those Indices in a way that affects their levels, and these publishers have no obligation to consider your interests.Unless otherwise specified in the applicable term sheet, we, the agent and our respective affiliateshave no affiliation with the publisher of each Index to which your ARNs are linked (each, an “Index Publisher”).Consequently, we have no control of the actions of any Index Publisher. The Index Publisher can add, delete, or substitute the componentsincluded in that Index or make other methodological changes that could change its level. A new security included in an Index may performsignificantly better or worse than the replaced security, and

the performancewill impact the level of the applicable Index. Additionally, an Index Publisher may alter, discontinue, or suspend calculation or disseminationof an Index. Any of these actions could adversely affect the value of your ARNs. The Index Publishers will have no obligation to consideryour interests in calculating or revising any Index.

Additional Risks Relating to Underlying Funds

There are liquidity and management risks associatedwith an Underlying Fund. Although shares of an Underlying Fund will be listed for trading on a securities exchange and a number ofsimilar products have been traded on various exchanges for varying periods of time, there is no assurance that an active trading marketwill continue for the shares of that Underlying Fund or that there will be liquidity in the trading market.

Underlying Funds are subject to management risk,which is the risk that the investment adviser’s investment strategy, the implementation of which is subject to a number of constraints,may not produce the intended results.

The respective Market Measure Publisher mayadjust the Underlying Fund or the Underlying Index in a way that affects its value, and they have no obligation to consider your interests.A Market Measure Publisher can change the investment policies of the applicable Underlying Fund or the policies concerning the calculationof the applicable Underlying Fund’s net asset value, or add, delete, or substitute the underlying assets held by the UnderlyingFund or the components included in an Underlying Index, as the case may be, or make other methodological changes that could change thevalue of that Underlying Fund or Underlying Index. Additionally, a Market Measure Publisher may alter, discontinue, or suspend calculationor dissemination of the price of its Underlying Fund, the net asset value of its Underlying Fund, or the level of its Underlying Index,as the case may be. Any of these actions could adversely affect the value of your ARNs. This could also result in the early redemptionof your ARNs. See “Description of ARNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds—Discontinuanceof or Material Change to an Underlying Fund.” The Market Measure Publishers will have no obligation to consider your interests incalculating or revising any Underlying Fund or Underlying Index.

Risks associated with the applicable UnderlyingIndex, or underlying assets of an Underlying Fund, will affect the price of that Underlying Fund and hence, the value of the ARNs.An Underlying Fund is a fund which may hold a variety of underlying assets, including stocks, bonds, commodities or derivative instruments,and which performance may be designed to track the performance of an Underlying Index. While the ARNs are linked to an Underlying Fundand not to its underlying assets or Underlying Index, risks associated with its underlying assets or Underlying Index will affect theshare price of that Underlying Fund and hence the value of the ARNs. Some of the risks that relate to an Underlying Index include thosediscussed below in this product supplement in relation to equity based- and commodity-based Underlying Funds, which you should reviewbefore investing in the ARNs.

The performance of an Underlying Fund may notcorrelate with the performance of its Underlying Index as well as the net asset value per share of the Underlying Fund, especially duringperiods of market volatility. If an Underlying Fund is designed to track the performance of an Underlying Index, the performance ofthe Underlying Fund and that of its Underlying Index generally will vary due to, for example, transaction costs, management fees, certaincorporate actions, and timing variances. Moreover, it is also possible that the performance of an Underlying Fund may not fully replicateor may, in certain circumstances, diverge significantly from the performance of its Underlying Index. This could be due to, for example,the Underlying Fund not holding all or substantially all of the underlying assets included in the Underlying Index and/or holding assetsthat are not included in the Underlying

Index, the temporary unavailability of certain securities in the secondarymarket, the performance of any derivative instruments held by the Underlying Fund, differences in trading hours between the UnderlyingFund (or the underlying assets held by the Underlying Fund) and the Underlying Index, or due to other circumstances. This variation inperformance is called the “tracking error,” and, at times, the tracking error may be significant.

In addition, because the shares of an UnderlyingFund are traded on a securities exchange and are subject to market supply and investor demand, the market price of one share of the UnderlyingFund may differ from its net asset value per share; shares of the Underlying Fund may trade at, above, or below its net asset value pershare.

During periods of market volatility, securitiesheld by an Underlying Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the netasset value per share of the Underlying Fund and the liquidity of the Underlying Fund may be adversely affected. This kind of market volatilitymay also disrupt the ability of market participants to create and redeem shares of the Underlying Fund. Further, market volatility mayadversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Underlying Fund.As a result, under these circumstances, the market value of shares of the Underlying Fund may vary substantially from the net asset valueper share of the Underlying Fund.

For the foregoing reasons, the performance of anUnderlying Fund may not match the performance of its Underlying Index over the same period. Because of this variance, the return on theARNs to the extent dependent on the performance of the Underlying Fund may not be the same as an investment directly in the securities,commodities, or other assets included in the Underlying Index or the same as a debt security with a return linked to the performance ofthe Underlying Index.

If an Underlying Fund holds underlying assetstraded on foreign exchanges, time zone differences may create discrepancies between the values of those underlying assets and the valueof the ARNs. As a result of the time zone difference, if applicable, between the cities where the underlying assets held by an UnderlyingFund trade and the cities in which shares of that Underlying Fund are traded, there may be discrepancies between the values of the relevantunderlying assets and the trading prices of that Underlying Fund. In addition, there may be periods when the foreign exchange marketsare closed for trading (for example during holidays in a country other than the United States) that may result in the values of the relevantnon-U.S. underlying assets remaining unchanged for multiple Market Measure Business Days in the locations where the ARNs (or any relatedUnderlying Fund) trade. Conversely, there may be periods in which the foreign exchange markets are open, but the securities markets inwhich the ARNs (or any related Underlying Fund) trade are closed.

The payment on the ARNs will not be adjustedfor all events that could affect an Underlying Fund. The Price Multiplier(s), the Ending Value, the Redemption Amount, and other termsof the ARNs may be adjusted for the specified events affecting any Underlying Fund, as described in the section entitled “Descriptionof ARNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds.” However, these adjustments do not coverall events that could affect the market price of an Underlying Fund. The occurrence of any event that does not require the calculationagent to adjust the applicable Price Multiplier or the amount paid to you at maturity may adversely affect the Closing Market Price ofany Underlying Fund, the Ending Value and the Redemption Amount, and, as a result, the market value of the ARNs.

Risks Relating to Equity-Based UnderlyingFunds

If an Underlying Fund holds equity securitiestraded on foreign exchanges, your return may be affected by factors affecting international securities markets. The value of securitiestraded outside of the U.S. may be adversely affected by a variety of factors relating to the relevant securities markets. Factors whichcould affect those markets, and therefore the return on your ARNs, include:

In particular, many emerging nations are undergoing rapidchange, involving the restructuring of economic, political, financial and legal systems. Regulatory and tax environments may be subjectto 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 nationalizationof their businesses. The economic and financial data about some of these countries may be unreliable.

RisksRelating to Commodity-Based Underlying Funds

The prices of commodities held by anUnderlying Fund may change unpredictably, affecting the value of your ARNs in unforeseeable ways. Trading in commodities andfutures contracts is speculative and can be extremely volatile. Their market prices may fluctuate rapidly based on numerous factors,including: changes in supply and demand relationships; weather; trends in agriculture; trade, fiscal, monetary and exchange controlprograms; domestic and foreign political and economic events and policies; disease, pestilence and technological developments;changes in interest rates, whether through governmental action or market movements; currency exchange rates; volatility fromspeculative activities; the development, availability and/or change in price of substitutes; monetary and other governmentalpolicies, action and inaction; macroeconomic or geopolitical and military events, including political instability in someoil-producing countries or other countries in which the production of particular commodities may be concentrated; and natural ornuclear disasters. These factors may affect the value of an Underlying Fund in varying ways, and different factors

may cause the levels and volatilities of commodity prices to move ininconsistent directions at inconsistent rates. Additionally, certain Underlying Funds may be concentrated in only a few, or even a singleindustry (e.g., energy). These Underlying Funds are likely to be more volatile than those that hold a broad base of commodities.

If the liquidity of the components of any UnderlyingFund is limited, the value of the ARNs may be adversely affected. Commodities and derivatives contracts on commodities may be difficultto buy or sell, particularly during adverse market conditions. Reduced liquidity would likely have an adverse effect on the value of anysuch Underlying Fund and, therefore, on the return, if any, on your ARNs. Limited liquidity relating to the components of an UnderlyingFund may also result in the Market Measure Publisher being unable to determine the value of its Underlying Fund using its normal means.The resulting discretion by the Market Measure Publisher of an Underlying Fund in determining the value could adversely affect the valueof the ARNs.

Suspension or disruptions of market tradingin the applicable commodities and related futures contracts may adversely affect the value of your ARNs. The commodity markets aresubject to disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and governmentregulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount offluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as “dailyprice fluctuation limits,” and the maximum or minimum price of a contract on any given day as a result of these limits is referredto as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a differentprice. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageoustimes or prices. Any such disruption, or any other force majeure (such as an act of God, fire, flood, severe weather conditions, act ofgovernmental authority, labor difficulty, etc.) could have an adverse effect on the value of or trading in shares of an Underlying Fundand therefore, the value of the ARNs.

Legal and regulatory changes could adverselyaffect the return on and value of your ARNs. The value of the commodities held by an Underlying Fund could be adversely affected bynew laws or regulations or by the reinterpretation of existing laws or regulations (including, without limitation, those related to taxesand duties on commodities and futures contracts) by one or more governments, courts, or other official bodies.

In the U.S., the regulation of commodity transactionsis subject to ongoing modification by governmental and judicial action. For example, the U.S. Commodity Futures Trading Commission (“CFTC”)has interpreted the Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”), which was enacted inJuly 2010, to require the CFTC to impose limits on the size of positions that can be held by market participants in futures contractsand OTC derivatives on certain physical commodities. The CFTC’s rules providing for such position limits have been, and may in thefuture be, subject to litigation challenging their validity, the potential final outcome of which cannot be known at this time. Whilethe ultimate scope and effect of any final and implemented position limit rules are not yet known, these limits will likely restrict theability of many market participants to trade in the commodities markets to the same extent as they have in the past, including affectingtheir ability to enter into or maintain hedge positions in the applicable commodity or futures contracts. These rules and various otherlegislative and regulatory requirements may, among other things, reduce liquidity, increase market volatility, and increase costs in thesemarkets. These consequences could adversely affect an Underlying Fund and the value of your ARNs.

In addition, other governmental or regulatory bodies(such as the European Commission) have proposed or may propose in the future legislation or regulations containing

restrictions similar to those contemplated by Dodd-Frank, or otherlegislation or regulations containing other restrictions that could adversely impact the liquidity of and increase costs of participatingin the commodities markets. If such legislation or regulations are adopted or other legislation or regulations are adopted in the future,they could have an adverse effect on the value of the applicable Underlying Fund and your ARNs.

The ARNs will not be regulated by the CFTC.The ARNs will not be interests in a commodity pool nor will they be regulated by the CFTC as a commodity pool. Further, we will not beregistered with the CFTC as a commodity pool operator. The ARNs will not constitute investments by you or by us on your behalf in futurescontracts traded on regulated futures exchanges, which may only be transacted through a person registered with the CFTC as a “futurescommission merchant” (“FCM”). We are not registered with the CFTC as an FCM, and you will not benefit from theCFTC’s or any other non-U.S. regulatory authority’s regulatory protections for persons who trade in futures contracts or whoinvest in regulated commodity pools.

An Underlying Fund may include commodities orfutures contracts traded on foreign exchanges that are less regulated than U.S. markets and may involve different and greater risks thantrading on U.S. exchanges. An Underlying Fund may own commodities or futures contracts that trade on exchanges located outside theU.S. The regulations of the CFTC do not apply to trading on foreign exchanges, and trading on foreign exchanges may involve differentand greater risks than trading on U.S. exchanges. Certain foreign markets may be more susceptible to disruption than U.S. exchanges dueto the lack of a government-regulated clearinghouse system. Trading on foreign exchanges also involves certain other risks that are notapplicable to trading on U.S. exchanges. Those risks include: (a) exchange rate risk relative to the U.S. dollar; (b) exchangecontrols; (c) expropriation; (d) burdensome or confiscatory taxation; and (e) moratoriums, and political or diplomaticevents. It may also be more costly and difficult for participants in those markets to enforce the laws or regulations of a foreign countryor exchange, and it is possible that the foreign country or exchange may not have laws or regulations which adequately protect the rightsand interests of investors in the relevant commodities or contracts. These factors could reduce the value of the applicable UnderlyingFund and the value of your ARNs.

Other Risk Factors Relating to the ApplicableMarket Measure

The applicable term sheet may set forth additionalrisk factors as to the Market Measure that you should review prior to purchasing ARNs.

Tax-related Risks

The U.S. federal income tax consequences ofan investment in ARNs are uncertain, and may be adverse to a holder of ARNs. No statutory, judicial, or administrative authority directlyaddresses the characterization of ARNs or securities similar to ARNs for U.S. federal income tax purposes. As a result, significant aspectsof the U.S. federal income tax consequences of an investment in ARNs are not certain. Under the terms of ARNs, you will have agreed withus to treat ARNs as pre-paid executory contracts, as described under “U.S. Federal Income Tax Summary—General.” If theInternal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for ARNs, the timing andcharacter of gain or loss with respect to ARNs may differ. No ruling will be requested from the IRS with respect to ARNs and no assurancecan be given that the IRS will agree with the statements made in the section entitled “U.S. Federal Income Tax Summary.”

YOU ARE URGED TO CONSULT WITH YOUR OWN TAX ADVISORREGARDING ALL ASPECTS OF THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF INVESTING IN THE ARNS.

DESCRIPTION OF ARNS

General

Each issue of ARNs will be part of a series ofnotes entitled “Notes, Series 1” that will be issued under the Senior Indenture, as amended and supplemented from time totime. The Senior Indenture is described more fully in the prospectus and prospectus supplement. The following description of ARNs supplementsand, to the extent it is inconsistent with, supersedes the description of the general terms and provisions of the notes and debt securitiesset forth under the headings “Description of Notes” in the prospectus supplement and “Description of Debt Securities”in the prospectus. These documents should be read in connection with the applicable term sheet.

The maturity date of the ARNs and the aggregateprincipal amount of each issue of ARNs 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.

We will not pay interest on ARNs. ARNs do not guaranteethe return of principal at maturity. ARNs will be payable only in U.S. dollars.

Prior to the maturity date, ARNs are not redeemableby us or repayable at the option of any holder, except under the limited circumstancesas set forth below in “—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds”. ARNs are not subjectto any sinking fund.

We will issue ARNs 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 issueof ARNs will be set forth in the applicable term sheet. You may transfer ARNs only in whole units.

Payment at Maturity

At maturity, subject to our credit risk as issuerof ARNs, you will receive a Redemption Amount, denominated in U.S. dollars. The “Redemption Amount” will be calculatedas follows:

The Redemption Amount will not exceed the “CappedValue” set forth in the applicable term sheet.

The RedemptionAmount will not be less than zero.

Your positive participation in any depreciationof the Market Measure underlying your ARNs will also be impacted by the Participation Rate. The “Participation Rate”will be 300% for ARNs unless otherwise set forth in the applicable term sheet.

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

The applicable term sheet will set forth informationas to the applicable Market Measure, including information as to the historical values of the Market Measure. However, historical valuesof the Market Measure are not indicative of its future performance or the performance of your ARNs.

An investment in ARNs does not entitle you to anyownership interest in the Market Measure or any of its underlying assets, including any voting rights, dividends paid, or other distributionsmade, or any other rights with respect to the Market Measure or its underlying assets.

The Starting Value and the Ending Value

Starting Value

In the case of an Index, unless otherwise specifiedin the applicable term sheet, the “Starting Value” will be the closing level of the Index on the pricing date.

In the case of an Underlying Fund, unless otherwisespecified in the applicable term sheet, the “Starting Value” will be the Closing Market Price of the Underlying Fundon the pricing date.

If the Market Measure consists of a Basket, theStarting Value will be equal to 100. See “—Basket Market Measures.”

Ending Value

In the case of an Index, unless otherwise specifiedin the applicable term sheet, the “Ending Value” will equal the average of the closing levels of the Index on eachcalculation day during the Maturity Valuation Period.

In the case of an Underlying Fund, the “EndingValue” will equal the average of the Closing Market Prices of the Underlying Fund times the Price Multiplier on each calculationday during the Maturity Valuation Period.

The “Closing Market Price” forone share of an Underlying Fund (or one unit of any other security for which a Closing Market Price must be determined) on any MarketMeasure Business Day means any of the following:

Board (the “OTC Bulletin Board”), the last reportedsale price of the principal trading session on the OTC Bulletin Board on that day;

The initial “Price Multiplier”for each Underlying Fund will be 1, unless otherwise set forth in the applicable term sheet. The Price Multiplier for each UnderlyingFund will be subject to adjustment for certain events relating to that Underlying Fund described below under “—Anti-Dilutionand Discontinuance Adjustments Relating to Underlying Funds.”

The “Maturity Valuation Period”means the period consisting of one or more calculation days shortly before the maturity date. The timing and length of the period willbe set forth in the applicable term sheet.

A “calculation day” means anyMarket Measure Business Day during the Maturity Valuation Period on which a Market Disruption Event has not occurred.

Unless otherwise specified in the applicable termsheet, as to any Index, a “Market Measure Business Day” means a day on which (1) the New York Stock Exchange (the “NYSE”) and The Nasdaq Stock Market, or their successors, are open for trading and (2) the Index(es) (or any successor)is calculated and published. As to any Underlying Fund, a “Market Measure Business Day” means a day on which the securitiesexchange on which that Underlying Fund has its primary listing is open for trading.

If (i) a Market Disruption Event occurs on a scheduledcalculation day during the Maturity Valuation Period or (ii) any scheduled calculation day is determined by the calculation agent notto be a Market Measure Business 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 closing level or Closing Market Price, as applicable, of the MarketMeasure for the applicable non-calculation day will be the closing level or Closing Market Price, as applicable, of the Market Measureon the next calculation day that occurs during the Maturity Valuation Period. For example, if the first and second scheduled calculationdays during the Maturity Valuation Period are non-calculation days, then the closing level or Closing Market Price, as applicable, ofthe Market Measure on the next calculation day will also be the closing level or Closing Market Price, as applicable, for the Market Measureon the first and second scheduled calculation days during the Maturity Valuation Period. If no further calculation days occur after anon-calculation day, or if every scheduled calculation day after that non-calculation day is also a non-calculation day, then the closinglevel or Closing Market Price, as applicable, of the Market Measure for that non-calculation day and each following non-calculation day,if any

(or for all the scheduled calculation days during the Maturity ValuationPeriod, if applicable), will be determined (or, if not determinable, estimated) by the calculation agent in a manner which the calculationagent considers commercially reasonable under the circumstances on the last scheduled calculation day during the Maturity Valuation Period,regardless of the occurrence of a Market Disruption Event on that last scheduled calculation day.

If the Market Measure consists of a Basket, theStarting Value and the Ending Value of the Basket will be determined as described in “—Basket Market Measures.”

Market Disruption Events

As to any Index, a “Market DisruptionEvent” means one or more of the following events, as determined by the calculation agent in its sole discretion:

For the purpose of determining whether a MarketDisruption Event has occurred:

As to any UnderlyingFund, a Market Disruption Event means one or more of the following events, as determined by the calculation agent in its sole discretion:

For the purpose of determining whether a MarketDisruption Event has occurred:

The applicable term sheet will identify, if applicable,any additions or changes to the Market Disruption Events for an Underlying Fund, including a commodity-based Underlying Fund.

Adjustments to an Index

After the applicable pricing date, an Index Publishermay make a material change in the method of calculating an Index or in another way that changes the Index such that it does not, in theopinion of the calculation agent, fairly represent the level of the Index had those changes or modifications not been made. In this case,the calculation agent will, at the close of business in New York, New York, on each date that the closing level is to be calculated, makeadjustments to the Index. Those adjustments will be made in good faith as necessary to arrive at a calculation of a level of the Indexas if those changes or modifications had not been made, and calculate the closing level of the Index, as so adjusted.

Discontinuance of an Index

After the pricing date, an Index Publisher maydiscontinue publication of an Index to which an issue of ARNs is linked. The Index Publisher or another entity may then publish a substituteindex that the calculation agent determines, in its sole discretion, to be comparable to the original Index (a “successor index”).If this occurs, the calculation agent will substitute the successor index as calculated by the relevant Index Publisher or any other entityand calculate the Ending Value as described under “—The Starting Value and the Ending Value” or “—BasketMarket Measure,” as applicable. If the calculation agent selects a successor index, the calculation agent will give written noticeof the selection to the trustee, to us, and to the holders of the ARNs.

If an Index Publisher discontinues publicationof the Index before the end of the Maturity Valuation Period and the calculation agent does not select a successor index, then on eachday that would have been a calculation day, until the earlier to occur of:

the calculation agent will compute a substitute level for the Indexin accordance with the procedures last used to calculate the Index before any discontinuance as if that day were a calculation day. Thecalculation agent will make available to holders of the ARNs information regarding those levels by means of Bloomberg L.P., Thomson Reuters,a website, or any other means selected by the calculation agent in its reasonable discretion.

If a successor index is selected or the calculationagent calculates a level as a substitute as to any Index, the successor index or level will be used as a substitute for all purposes,including for the purpose of determining whether a Market Disruption Event exists.

Notwithstanding these alternative arrangements,any modification or discontinuance of the publication of any Index to which your ARNs are linked may adversely affect trading in the ARNs.

Anti-Dilution and Discontinuance Adjustments Relating to UnderlyingFunds

Asto any Underlying Fund, the calculation agent, in its sole discretion, may adjustthe Price Multiplier (and as a result, the Ending Value), andany other terms of the ARNs (such as the Starting Value), if an event described below occurs afterthe pricing date and on or before the final calculation day during the Maturity Valuation Period and if the calculation agentdetermines that such an event has a diluting or concentrative effect on the theoretical value of the sharesof the applicable Underlying Fund or successor underlying fund.

ThePrice Multiplier resulting from any of the adjustments specified below will be rounded to the eighth decimal place with five one-billionthsbeing rounded upward. No adjustments to the Price Multiplier will be required unless the adjustment would require a change of at least0.1% in the Price Multiplier then in effect. Any adjustment that would require a change of less than 0.1% in the Price Multiplier whichis not applied at the time of the event may be reflected at the time of any subsequent adjustment that would require a change of thePrice Multiplier. The required adjustments specified below do not cover all events that could affect an Underlying Fund.

No adjustments to the Price Multiplier for anyUnderlying Fund or any other terms of the ARNs will be required other than those specifiedbelow. However, the calculation agent may, at its sole discretion, make additional adjustments or adjustments that differ from thosedescribed herein to the Price Multiplier or any other terms of the ARNs to reflectchanges to an Underlying Fund if the calculation agent determines in good faith that the adjustment is appropriate to ensure an equitableresult.

The calculation agent will be solely responsiblefor the determination of any adjustments to the Price Multiplier for any Underlying Fund orany other terms of the ARNs and of any related determinations with respect to any distributions of stock, other securities orother property or assets, including cash, in connection with any event described below; its determinations and calculations will be conclusiveabsent a determination of a manifest error.

Noadjustments are required to be made for certain other events, such as offerings of equity securities by the Underlying Fund for cashor in connection with the occurrence of a partial tender or exchange offer for shares of the Underlying Fund by the Underlying Fund.

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

Anti-Dilution Adjustments

The calculation agent, in its sole discretionand as it deems reasonable, may adjust the Price Multiplier for any Underlying Fund and other terms of the ARNs, and hence the EndingValue, as a result of certain events related to an Underlying Fund, which include, but are not limited to, the following:

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

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

Share Dividends. Ifan Underlying Fund is subject to (i) a share dividend (i.e., anissuance of additional shares of Underlying Fund) or (ii) a distribution of additional shares of the Underlying Fund as a resultof the triggering of any provision of the organizational documents of the Underlying Fund or otherwise that is given ratably to all holdersof the Underlying Fund, then, once the dividend has become effective and the UnderlyingFund is trading ex-dividend, the Price Multiplier for that Underlying Fund will be adjusted on the ex-dividend date such that the newPrice Multiplier will equal the prior Price Multiplier plus the product of:

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

For example,a share 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. Therewill be no adjustments to the Price Multiplier of an Underlying Fund to reflect any cash dividends or cash distributions paid with respectto that Underlying Fund other than Extraordinary Dividends, as described below, and distributions described under the sections entitled “—Other Distributions” and “—Reorganization Events” below.

An “Extraordinary Dividend”means, with respect to a cash dividend or other distribution with respect to an Underlying Fund, a dividend or other distribution thatthe calculation agent determines, in its sole discretion, is not declared or otherwise made according to the relevant Underlying Fund’sthen existing policy or practice of paying such dividends on a quarterly or other regular basis. If an Extraordinary Dividend occurs,the Price Multiplier for that Underlying Fund will be adjusted on the ex-dividend date so that the new Price Multiplier will equal theproduct of:

The “Extraordinary Dividend Amount”with respect to an Extraordinary Dividend will equal:

Tothe 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 Fund described under the sections entitled “—Other Distributions” and “—Reorganization Events” below that also constitutes an ExtraordinaryDividend will only cause an adjustment under those respective sections.

Other Distributions. Ifan Underlying Fund, after the pricing date, declares or makes a distribution to all holders of the shares of the applicable UnderlyingFund of any class of its securities (other than shares of the applicable Underlying Fund), evidences of its indebtedness or other non-cashassets, including, but not limited to, transferable rights and warrants, then, in each of these cases, once the distribution has becomeeffective and the shares are trading ex-dividend, the Price Multiplier for such Underlying Fund will be adjusted such that the new PriceMultiplier will equal the product of:

The “Current Market Price”of any Underlying Fund means the arithmetic average of the Closing Market Prices of one share of such Underlying Fund for the five MarketMeasure Business Days prior to the Market Measure Business Day immediately preceding the ex-dividend date of the distribution requiringan adjustment to the Price Multiplier.

“Ex-dividend date” means thefirst Market Measure Business Day on which transactions in the shares of any Underlying Fund trade on the relevant exchange without theright to receive that cash dividend or other cash distribution.

The “fair market value” ofany such distribution means the value of such distributions on the ex-dividend date for such distribution, as determined by the calculationagent. If such distribution consists of property traded on the ex-dividend date on a U.S. national securities exchange, the fair marketvalue will equal the Closing Market Price of such distributed property on such ex-dividend date.

Reorganization Events

If after the pricing date and on or before thefinal calculation day during the Maturity Valuation Period as to any Underlying Fund, the Underlying Fund, or its successor, has beensubject to a merger, combination, consolidation, or statutory exchange of securities with another exchange traded fund, and the UnderlyingFund is not the surviving entity, then, on or after the date of such event, the calculation agent shall, in its sole discretion, makean adjustment to the Price Multiplier for such Underlying Fund or any other terms of the ARNs as the calculation agent, in its sole discretion,determines appropriate to account for the economic effect on the ARNs of that event (including adjustments to account for changes involatility, expected dividends, stock loan rate, or liquidity relevant to the Underlying Fund or to the ARNs), and determine the effectivedate of that adjustment. If the calculation agent determines that no adjustment that it could make will produce a commercially reasonableresult, then the calculation agent may deem the Underlying Fund to be de-listed, liquidated, discontinued, or otherwise terminated, thetreatment of which is described below under “—Discontinuance of or Material Change to an Underlying Fund.”

Discontinuance of or Material Change to anUnderlying Fund

If shares of an Underlying Fund are de-listedfrom its primary securities exchange (or any other relevant exchange), liquidated, or otherwise terminated, the calculation agent willsubstitute an exchange traded fund that the calculation agent determines, in its sole discretion, is comparable to the discontinued UnderlyingFund (that exchange traded fund being referred to herein as a “successor underlying fund”). In that event, the calculationagent will adjust the applicable Price Multiplier, as necessary, such that the successor underlying fund closely replicates the performanceof the Underlying Fund.

If an Underlying Fund (or a successor underlyingfund) is de-listed, liquidated, or otherwise terminated and the calculation agent determines that no adequate substitute for the UnderlyingFund (or a successor underlying fund) is available, then the calculation agent will, in its sole discretion, calculate the Closing MarketPrice of that Underlying Fund (or a successor underlying fund) by a computation methodology that the calculation agent determines willas closely as reasonably possible replicate that Underlying Fund (or a successor underlying fund). If the calculation agent determinesthat no such computation methodology will produce a commercially reasonable result, then the calculation agent, in its discretion, maycause the maturity date of the ARNs to be accelerated as described below.

If a successor underlying fund is selected orthe calculation agent calculates the Closing Market Price by a computation methodology that the calculation agent determines will asclosely as reasonably possible replicate the Underlying Fund (or a successor underlying fund), that successor underlying fund or substitutecomputation methodology, as applicable, will be substituted for the Underlying Fund (or that successor underlying fund) for all purposesof the ARNs.

If at any time:

then, from and after that time, the calculation agent will make thosecalculations and adjustments that, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a ClosingMarket Price of that Underlying Fund (or that successor underlying fund) as if those changes or modifications had not been made. Thecalculation agent also may determine that no adjustment is required. If the calculation agent determines that no such calculation oradjustment will produce a commercially reasonable result, then the calculation agent, in its discretion, may cause the maturity dateof the ARNs to be accelerated as described below.

The calculation agent will be solely responsiblefor the method of calculating the Closing Market Price of the Underlying Fund (or any successor underlying fund) and of any related determinationsand calculations, and its determinations and calculations with respect thereto will be conclusive in the absence of manifest error.

Notwithstanding these alternative arrangements,any modification or discontinuance of the Underlying Fund or the related Underlying Index may adversely affect trading in the ARNs.

If the calculation agent determines that no adjustmentthat it could make will produce a commercially reasonable result, then the calculation agent, in its discretion, may cause the ARNs tobe accelerated to the fifth business day (the “date of acceleration”) following the date of that determination andthe amount payable to you will be calculated as though the date of acceleration were the stated maturity date of the ARNs and as if thefinal calculation day during the Maturity Valuation Period were the fifth Market Measure Business day prior to the date of acceleration.In addition, the ARNs will not bear a default interest rate.

Basket Market Measures

If the Market Measure to which your ARNs are linkedis a Basket, the Basket Components, and if necessary, the definition of Market Measure Business Day will be set forth in the applicableterm sheet. We will assign each Basket Component a weighting (the “Initial Component Weight”) so that each BasketComponent represents a percentage of the Starting Value of the Basket on the pricing date. The Basket Components may or may not haveequal Initial Component Weights, as set forth in the applicable term sheet.

Determination of the Component Ratio for Each BasketComponent

The “Starting Value” of theBasket will be equal to 100. We will set a fixed factor (the “Component Ratio”) for each Basket Component on the pricingdate, based upon the weighting of that Basket Component. The Component Ratio for each Basket Component will equal:

Each Component Ratio will be rounded to eightdecimal places.

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

The following table is for illustration purposesonly, and does not reflect the actual composition, Initial Component Weights, or Component Ratios, which will be set forth in the applicableterm sheet.

Example: The hypothetical Basket Componentsare Underlying Fund ABC, Index XYZ, and Index RST, with their Initial Component Weights being 50.00%, 25.00% and 25.00%, respectively,on a hypothetical pricing date:

Unless otherwise stated in the applicable termsheet, if a Market Disruption Event occurs on the pricing date as to any Basket Component or the pricing date is determined by the calculationagent not to be a Market Measure Business Day for any Basket Component by reason of an extraordinary event, occurrence, declaration orotherwise, the calculation agent will establish the closing level or Closing Market Price, as applicable of that Basket Component (the “Basket Component Closing Level”), and thus its Component Ratio, based on the closing level or Closing Market Price,as applicable, of that Basket Component on the first Market Measure Business Day following the pricing date on which no Market DisruptionEvent occurs for that Basket Component. In the event that a Market Disruption Event or non-Market Measure Business Day occurs for thatBasket Component on the pricing date and on each day to and including the second scheduled Market Measure Business Day following thepricing date, the calculation agent (not later than the close of business in New York, New York on the

second scheduled Market Measure Business Day following the pricingdate) will estimate the Basket Component Closing Level, and thus the applicable Component Ratio, in a manner that the calculation agentconsiders commercially reasonable. The applicable final term sheet will provide the Basket Component Closing Level, a brief statementof the facts relating to the establishment of the Basket Component Closing Level (including the applicable Market Disruption Event(s)),and the applicable Component Ratio.

For purposes of determining whether a MarketDisruption Event has occurred as to any Basket Component, “Market Disruption Event” will have the meaning stated abovein “—Market Disruption Events.”

Ending Value of the Basket

The calculation agent will calculate the valueof the Basket for a calculation day by summing the products of the closing levels or Closing Market Prices, as applicable, of each BasketComponent on that calculation day (multiplied by its Price Multiplier on that day, if applicable) and the Component Ratio for each BasketComponent. The value of the Basket will vary based on the increase or decrease in the value of each Basket Component. Any increase inthe value of a Basket Component (assuming no change in the value of the other Basket Components) will result in a decrease in the valueof the Basket. Conversely, any decrease in the value of a Basket Component (assuming no change in the value of the other Basket Components)will result in an increase in the value of the Basket. The “Ending Value” of the Basket will be the average value ofthe Basket on each calculation day during the Maturity Valuation Period.

Unless otherwise specified in the applicable termsheet, if, for any Basket Component (an “Affected Basket Component”), (i) a Market Disruption Event occurs ona scheduled calculation day during the Maturity Valuation Period or (ii) any scheduled calculation day is determined by the calculationagent not to be a Market Measure Business Day by reason of an extraordinary event, occurrence, declaration, or otherwise (any such dayin either (i) or (ii) being a “non-calculation day”), the calculation agent will determine the closing levels or ClosingMarket Prices, as applicable, of the Basket Components for that non-calculation day, and as a result, the Ending Value, as follows:

For purposes of determining whether a Market DisruptionEvent has occurred as to any Basket Component, “Market Disruption Event” will have the meaning stated above in “—MarketDisruption Events.”

Role of the Calculation Agent

The calculation agent has the sole discretion tomake all determinations regarding ARNs as described in this product supplement, including determinations regarding the Starting Value,the Ending Value, the Price Multiplier, the Market Measure, the Redemption Amount,

any Market Disruption Events, a successor index or successor underlyingfund, Market Measure Business Days, business days, calculation days, non-calculation days, and determinations related to any adjustmentsto, or discontinuance of, any Index or Underlying Fund. Absent manifest error, all determinations of the calculation agent will be conclusivefor 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 calculationagent, or we may appoint BofAS or one of its affiliates to act as the calculation agent for ARNs. Alternatively, we and BofAS or one ofits affiliates may act as joint calculation agents for ARNs. When we refer to a “calculation agent” in this product supplementor in any applicable term sheet, we are referring to the applicable calculation agent or joint calculation agents, as the case may be.We may change the calculation agent at any time without notifying you. The identity of the calculation agent will be set forth in theapplicable term sheet.

Same-Day Settlement and Payment

ARNs will be delivered in book-entry form onlythrough The Depository Trust Company against payment by purchasers of ARNs in immediately available funds. We will pay the RedemptionAmount in immediately available funds so long as the ARNs are maintained in book-entry form.

Events of Default and Acceleration

Events of default are defined in the prospectus.If such an event occurs and is continuing, unless otherwise stated in the applicable term sheet, the amount payable to a holder of ARNsupon any acceleration permitted under the Senior Indenture will be equal to the Redemption Amount described under the caption “—Paymentat Maturity,” determined as if the date of acceleration were the maturity date of the ARNs and as if the final calculation day ofthe Maturity Valuation Period were the fifth Market Measure Business Day prior to the date of acceleration.

If the ARNs have become immediately due and payablefollowing an event of default, you will not be entitled to any additional payments with respect to the ARNs. For more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the prospectus.

Listing

Unless otherwise specified in the applicable termsheet, the ARNs will not be listed on a securities exchange.

SUPPLEMENTAL PLANOF DISTRIBUTION

BofAS and one or more of its affiliates may actas our agents for any offering of the ARNs. The agents may act on either a principal basis or an agency basis, as set forth in the applicableterm sheet. Each agent will be a party to a distribution agreement with us.

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

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

We have agreed to indemnify the agents againstcertain liabilities, including liabilities under the Securities Act of 1933, or to contribute to payments made in respect of those liabilities.We have also agreed to reimburse the agents for specified expenses.

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 ARNs aftertheir initial sale solely for the purpose of providing investors with the description of the terms of ARNs that were made available toinvestors in connection with the initial distribution of ARNs. Secondary market investors should not, and will not be authorized to relyon these documents for information regarding HSBC or for any purpose other than that described in the immediately preceding sentence.

Selling Restrictions

The following selling restrictions supplement thoselisted in “Supplemental Plan of Distribution (Conflicts Of Interest)—Selling Restrictions” in the accompanying prospectussupplement.

The People’s Republic of China

These offering documentshave not been filed with or approved by the People’s Republic of China (for such purposes, not including Hong Kong and Macau SpecialAdministrative Regions or Taiwan) authorities, and is not an offer of securities (whether public offering or private placement) withinthe meaning of the Securities Law or other pertinent laws and regulations of the People’s Republic of China. These offering documentsshall not be delivered to any party who is not an intended recipient or offered to the general public if used within the People’sRepublic of China, and the ARNs so offered cannot be sold to anyone that is not a qualified purchaser of the People’s Republic ofChina. BofAS has represented, warranted and agreed that the ARNs are not being offered or sold and may not be offered or sold, directlyor indirectly, in the People’s Republic of China, except under circumstances that will result in compliance with applicable lawsand regulations.

France

The offering documents have not been approved bythe Autorité des marchés financiers (“AMF”).

BofAS has represented and agreed that it has notoffered or sold and will not offer or sell, directly or indirectly, the ARNs to the public in France, and has not distributed or causedto be distributed and will not distribute or cause to be distributed to the public in France this product supplement, the accompanyingprospectus supplement or prospectus, or any other offering material relating to the ARNs, and that such offers, sales and distributionshave been and will be made in France only to (a) providers of the investment service of portfolio management for the account of thirdparties, (b) qualified investors (investisseurs qualifiés) acting for their own account, (c) a restricted group of investors (cerclerestreint d’investisseurs) acting for their own account and/or (d) other investors in circumstances which do not require the publicationby the offeror of a prospectus pursuant to the French Code monétaire et financier and the Règlement généralof the AMF all as defined in, and in accordance with, Articles L.411-2, D.411-1, D.411-4, D.744-1, D.754-1 and D.764-1 of the French Codemonétaire et financier and other applicable regulations. The direct or indirect resale of the ARNs to the public in France maybe made only as provided by, and in accordance with, Articles L.411-1, L.411-2, L.412-1 and L.621-8 to L.621-8-3 of the French Code monétaireet financier.

Netherlands

Each agent has represented and agreed that it hasnot made and will not make an offer of the ARNs to the public in the Netherlands other than to qualified investors (gekwalificeerde beleggers),provided that no such offer of the ARNs will require us or any agent to publish a prospectus pursuant to Article 3 of the Prospectus Directiveor supplement a prospectus pursuant to Article 16 of the Prospectus Directive.

New Zealand

We do not intend that the ARNs be offered for saleor subscription to the public in New Zealand within the meaning of the Securities Act 1978 of New Zealand. Accordingly, no prospectushas been or will be registered, and no investment statement will be prepared, under the Securities Act 1978 of New Zealand.

The ARNs shall not be directly or indirectly offeredfor sale, sold or transferred to any member of the public in New Zealand in breach of the Securities Act 1978 or the Securities Regulations2009 of New Zealand. In particular, but without limitation, in respect of offers of or invitations for the ARNs received in New Zealand,the ARNs may only be offered or transferred either:

In addition, each holder of the ARNs is deemedto represent and agree that it will not distribute, publish, deliver or disseminate this product supplement and the accompanying prospectussupplement or prospectus or any other advertisement (as defined in the Securities Act 1978) in relation to any offer of the ARNs in NewZealand other than to any such persons as referred to in paragraphs (a) to (d) above.

Philippines

THE ARNS BEING OFFERED OR SOLD HAVE NOT BEEN REGISTEREDWITH THE PHILIPPINES SECURITIES AND EXCHANGE COMMISSION UNDER THE SECURITIES REGULATION CODE. ANY FUTURE OFFER OR SALE THEREOF IS SUBJECTTO REGISTRATION REQUIREMENTS UNDER THE SECURITIES REGULATION CODE UNLESS SUCH OFFER OR SALE QUALIFIES AS AN EXEMPT TRANSACTION.

Switzerland

The ARNs may not be offered, sold or advertiseddirectly or indirectly into or in Switzerland except in a manner which will not result in a public offering within the meaning of article652a or 1156 of the Swiss Federal Code of Obligations (“CO”). Neither this product supplement and the accompanyingprospectus supplement and prospectus nor any other offering or marketing materials relating to the ARNs have been prepared with regardto the disclosure standards for prospectuses under article 652a or 1156 CO, and therefore do not constitute a prospectus within the meaningof article 652a or 1156 CO. Neither this product supplement and the accompanying prospectus supplement and prospectus nor any other offeringor marketing materials relating to the ARNs may be distributed, published or otherwise made available in Switzerland except in a mannerwhich will not constitute a public offering of the ARNs into or in Switzerland.

U.S. FEDERAL INCOMETAX SUMMARY

The following summary of the material U.S. federalincome tax considerations of the acquisition, ownership, and disposition of ARNs is based upon the Internal Revenue Code of 1986, as amended(the “Code”), regulations promulgated under the Code by the U.S. Treasury Department (“Treasury”) (including proposedand temporary regulations), rulings, current administrative interpretations and official pronouncements of the IRS, and judicial decisions,all as currently in effect and all of which are subject to differing interpretations or to change, possibly with retroactive effect. Thefollowing discussion supplements, and to the extent inconsistent supersedes, the discussion under “U.S. Federal Income Tax Considerations”in the accompanying prospectus supplement and is not exhaustive of all possible tax considerations. No assurance can be given that theIRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences described below. This summarydoes not include any description of the tax laws of any state or local governments, or of any foreign government, that may be applicableto a particular holder. If the tax consequences associated with ARNs are different than those described below, they will be describedin the applicable term sheet.

This summary is directed solely to U.S. holdersand non-U.S. holders that, except as otherwise specifically noted, will purchase ARNs upon original issuance and will hold ARNs as capitalassets within the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not excludedfrom the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. This summarydoes not apply to U.S. holders that are subject to special tax accounting rules under Section 451(b) of the Code.

You should consult your own tax advisor concerningthe U.S. federal income tax consequences to you of acquiring, owning, and disposing of ARNs, as well as any tax consequences arising underthe laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.

General

Although there is no statutory, judicial, or administrativeauthority directly addressing the characterization of ARNs, we intend to treat ARNs for all tax purposes as pre-paid executory contractswith respect to the Market Measure and under the terms of ARNs, we and every investor in ARNs agree, in the absence of an administrativedetermination or judicial ruling to the contrary, to treat ARNs in accordance with such characterization. In the opinion of our specialU.S. tax counsel, it is reasonable to treat ARNs as pre-paid executory contracts with respect to the Market Measure. This discussion assumesthat ARNs constitute pre-paid executory contracts with respect to the Market Measure for U.S. federal income tax purposes. If ARNs didnot constitute pre-paid executory contracts, the tax consequences described below would be materially different.

This characterization of ARNs is not bindingon the IRS or the courts. No statutory, judicial, or administrative authority directly addresses the characterization of ARNs or any similarinstruments for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper characterizationand treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences of an investmentin ARNs are not certain, and no assurance can be given that the IRS or any court will agree with the characterization and tax treatmentdescribed in this product supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects of the U.S. federalincome tax consequences of an investment in ARNs, including possible alternative characterizations.

Unless otherwise stated, the following discussionis based on the characterization described above. The discussion in this section assumes that there is a significant possibility of asignificant loss of principal on an investment in ARNs.

We will not attempt to ascertain whether the MarketMeasure or the issuer of any component stocks included in, or owned by, the Market Measure would be treated as a “passive foreigninvestment company” (“PFIC”), within the meaning of Section 1297 of the Code, or a United States real property holdingcorporation, within the meaning of Section 897(c) of the Code. If the Market Measure or the issuer of one or more stocks included in,or owned by, the Market Measure were so treated, certain adverse U.S. federal income tax consequences could possibly apply to a holderof ARNs. You should refer to information filed with the SEC by the Market Measure and the issuers of the component stocks included in,or owned by, the Market Measure and consult your tax advisor regarding the possible consequences to you, if any, if the Market Measureor any issuer of the component stocks included in, or owned by, the Market Measure is or becomes a PFIC or is or becomes a United Statesreal property holding corporation.

U.S. Holders

Upon receipt of a cash payment at maturity or upona sale or exchange of ARNs prior to maturity, a U.S. holder generally will recognize capital gain or loss equal to the difference betweenthe amount realized and the U.S. holder’s tax basis in ARNs. A U.S. holder’s tax basis in ARNs will equal the amount paidby that holder to acquire them. This capital gain or loss generally will be long-term capital gain or loss if the U.S. holder held ARNsfor more than one year. The deductibility of capital losses is subject to limitations.

Alternative Tax Treatments. Due to the absenceof authorities that directly address the proper tax treatment of ARNs, prospective investors are urged to consult their tax advisors regardingall possible alternative tax treatments of an investment in ARNs. In particular, if ARNs have a term that exceeds one year, the IRS couldseek to subject ARNs to the Treasury regulations governing contingent payment debt instruments. If the IRS were successful in that regard,the timing and character of income on ARNs would be affected significantly. Among other things, a U.S. holder would be required to accrueoriginal issue discount every year at a “comparable yield” determined at the time of issuance. In addition, any gain realizedby a U.S. holder at maturity, or upon a sale or exchange, of ARNs generally would be treated as ordinary income, and any loss realizedat maturity, or upon a sale or exchange, of ARNs generally would be treated as ordinary loss to the extent of the U.S. holder’sprior accruals of original issue discount, and as capital loss thereafter. If ARNs have a term of one year or less, a U.S. holder whouses the accrual method of accounting generally should be required to accrue any original issue discount on ARNs on a straight-line basis.At maturity, or upon a sale or exchange, a U.S. holder using either a cash or accrual method of accounting generally should recognizetaxable gain (all or a portion of which may be treated as ordinary income) or loss in an amount equal to the difference between the amountrealized and such holder’s tax basis in ARNs.

The IRS released Notice 2008-2 (“Notice”)which sought comments from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.”This Notice addresses instruments such as ARNs. According to the Notice, the IRS and Treasury are considering whether a holder of an instrumentsuch as ARNs should be required to accrue ordinary income on a current basis, regardless of whether any payments are made prior to maturity.It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such future guidance may affectthe amount, timing and character of income, gain, or loss in respect of ARNs, possibly with retroactive effect.

The IRS and Treasury are also considering additionalissues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether

foreign holders of such instruments should be subject to withholdingtax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive ownership transactions,”generally applies or should generally apply to such instruments, and whether any of these determinations depend on the nature of the underlyingasset.

In addition, proposed Treasury regulations requirethe accrual of income on a current basis for contingent payments made under certain notional principal contracts. The preamble to theregulations states that the “wait and see” method of accounting does not properly reflect the economic accrual of income onthose contracts, and requires current accrual of income for some contracts already in existence. While the proposed regulations do notapply to prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in thecase of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingentpayments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of ARNs.

Because of the absence of authority regarding theappropriate tax characterization of ARNs, it is also possible that the IRS could seek to characterize ARNs in a manner that results intax consequences that are different from those described above. For example, the IRS could possibly assert that any gain or loss thata holder may recognize at maturity or upon the sale or exchange of ARNs should be treated as ordinary gain or loss. It is possible thatthe IRS could assert that a U.S. holder’s holding period in respect of ARNs should end on the first calculation date during theMaturity Valuation Period, even though such holder will not receive any amounts in respect of ARNs prior to the redemption or maturityof ARNs. In such case, if the first calculation date during the Maturity Valuation Period is not in excess of one year from the originalissue date, a U.S. holder may be treated as having a holding period in respect of ARNs equal to one year or less, in which case any gainor loss such holder recognizes at such time would be treated as short-term capital gain or loss.

If a Market Measure is or includes an index thatperiodically rebalances, it is possible that ARNs could be treated as a series of pre-paid executory contracts, each of which matureson the next rebalancing date.  If ARNs were properly characterized in such a manner, a U.S. holder would be treated as disposingof ARNs on each rebalancing date in return for new ARNs that mature on the next rebalancing date, and a U.S. holder would accordinglylikely recognize capital gain or loss on each rebalancing date equal to the difference between the holder’s tax basis in ARNs (whichwould be adjusted to take into account any prior recognition of gain or loss) and the fair market value of ARNs on such date.

Non-U.S. Holders

Except as provided below, a non-U.S. holder generallywill not be subject to U.S. federal income or withholding tax on any gain from the sale or exchange of ARNs or their settlement at maturity,provided that the non-U.S. holder complies with applicable certification requirements and that the payment is not effectively connectedwith the conduct by the non-U.S. holder of a U.S. trade or business. Notwithstanding the foregoing, gain from the sale or exchange ofARNs or their settlement at maturity may be subject to U.S. federal income tax if that non-U.S. holder is a non-resident alien individualand is present in the United States for 183 days or more during the taxable year of the settlement at maturity, sale or exchange and certainother conditions are satisfied.

If a non-U.S. holder of ARNs is engaged in theconduct of a trade or business within the United States and if gain realized on the settlement at maturity, sale or exchange of ARNs,is effectively connected with the conduct of such trade or business (and, if certain tax treaties apply, is attributable to a permanentestablishment maintained by the non-U.S. holder in the United States), the non-U.S. holder generally will be subject to U.S. federal incometax on such

gain on a net income basis in the same manner as if it were a U.S.holder. Such non-U.S. holders should read the material under the heading “—U.S. Holders,” for a description of the U.S.federal income tax consequences of acquiring, owning, and disposing of ARNs. In addition, if such non-U.S. holder is a foreign corporation,it may also be subject to a branch profits tax equal to 30% (or such lower rate provided by any applicable tax treaty) of a portion ofits earnings and profits for the taxable year that are effectively connected with its conduct of a trade or business in the United States,subject to certain adjustments.

A “dividend equivalent” payment istreated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding taxif paid to a non-U.S. holder. Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments(“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference aninterest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federalincome tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance providesthat withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issuedbefore January 1, 2023. Except as otherwise set forth in any applicable pricing supplement, we expect that the delta of ARNs issued pursuantto this product supplement with respect to the Market Measure will not be one, and therefore, we expect that non-U.S. holders should notbe subject to withholding on dividend equivalent payments, if any, under the ARNs. However, it is possible that ARNs could be treatedas deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Market Measure or the ARNs,and following such occurrence the ARNs could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders thatenter, or have entered, into other transactions in respect of the Market Measure or the ARNs should consult their tax advisors as to theapplication of the dividend equivalent withholding tax in the context of the ARNs and their other transactions. If any payments are treatedas dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without beingrequired to pay any additional amounts with respect to amounts so withheld.

As discussed above, alternative characterizationsof ARNs for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or clarificationof the law, by regulation or otherwise, cause payments as to ARNs to become subject to withholding tax, tax will be withheld at the applicablestatutory rate. As discussed above, the IRS has indicated in the Notice that it is considering whether income in respect of instrumentssuch as ARNs should be subject to withholding tax. Prospective non-U.S. holders of ARNs should consult their own tax advisors in thisregard.

U.S. Federal Estate Tax. Under current law,while the matter is not entirely clear, individual non-U.S. holders, and entities whose property is potentially includible in those individuals’gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individualhas retained certain interests or powers), should note that, absent an applicable treaty benefit, ARNs are likely to be treated as U.S.situs property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors regarding theU.S. federal estate tax consequences of investing in ARNs.

Backup Withholding and Information Reporting

Pleasesee the discussion under “U.S. Federal Income Tax Considerations — Information Reporting and Backup Withholding” inthe accompanying prospectus supplement for a description of the applicability of the backup withholding and information reporting rulesto payments made on ARNs.

ERISAAND RELATED CONSIDERATIONS

Subject to the following discussion, the ARNs maybe acquired by an “employee benefit plan” as defined in Section 3(3) of the Employee Retirement Income Security Act of 1974,as amended (“ERISA”), that is subject to Title I of ERISA, a “plan” as defined in and subject to Section4975 of the Code, or an entity deemed to hold plan assets of the foregoing (each, a “Benefit Plan Investor”), as wellas by plans subject to laws that are similar to Title I of ERISA or Section 4975 of the Code under applicable federal, state, local orother law (“Similar Law”). Benefit Plan Investors and plans subject to Similar Law should review the discussion under “Certain ERISA and Related Matters” in the accompanying prospectus and “Certain ERISA and Related Considerations”in the prospectus supplement. The following supplements, and to the extent inconsistent supersedes, such discussions in the prospectusand prospectus supplement.

By acquiring an ARN (or interest therein), eachpurchaser and transferee (and if the purchaser or transferee is investing the assets of a Benefit Plan Investor or other plan, its fiduciary)is deemed to represent, warrant and covenant that either (i) it is not and for as long as it holds an ARN (or an interest therein) willnot be a Benefit Plan Investor or plan subject to Similar Law or (ii) its acquisition and holding of such ARN will not, in the case ofa Benefit Plan Investor, give rise to a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code becausesuch holder or beneficial owner relied on an available prohibited transaction exemption, all of the conditions of which are satisfied,and in the case of a plan subject to Similar Law, result in a violation of any Similar Law.