How do I replace the batteries in my Honeywell thermostat?

Press and pull the battery holder to remove it from the thermostat. Install two fresh AA alkaline batteries, then reinstall the battery holder. Replace batteries once a year or immediately when the REPLACE BATTERY warning begins flashing. If batteries are inserted within two minutes, the time and day will not need to be reset. All other settings are permanently stored in memory.

From the official Honeywell TH6220D1028 Thermostat manual, page 17

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