Linked
to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR®
Fund and the iShares® Semiconductor ETF
•
The Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing
of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares®
Semiconductor ETF, due August 12, 2027 (the “Notes”) priced on August 9, 2024 and will issue on August 14, 2024.
•
Approximate 3 year term if not called prior to maturity.
•
Payments on the Notes will depend on the individual performance of the SPDR® S&P
500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
(each an “Underlying”).
•
Contingent coupons payable monthly if the Observation Value of each Underlying on the applicable
Observation Date is greater than or equal to 80.00% of its Starting Value, assuming the Notes have not been called. The coupon per $1,000.00
in principal amount of Notes payable on the related Contingent Payment Date, if applicable, will equal (i) the product of $12.167
times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant
Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
•
Beginning with the November 11, 2024 Call Observation Date, automatically callable monthly for an
amount equal to the principal amount plus the relevant Contingent Coupon Payment, if the Observation Value of each Underlying is greater
than or equal to 100.00% of its Starting Value on any Call Observation Date.
•
Assuming the Notes are not called prior to maturity, if any Underlying declines by more than
40% from its Starting Value, at maturity your investment will be subject to 1:1 downside exposure to decreases in the value of the Least
Performing Underlying, with up to 100% of the principal at risk; otherwise, at maturity, you will receive the principal amount. At maturity
you will also receive a final Contingent Coupon Payment if the Observation Value of each Underlying on the final Observation Date
is greater than or equal to 80.00% of its Starting Value.
•
All payments on the Notes are subject to the credit risk of BofA Finance LLC (“BofA Finance”
or the “Issuer”), as issuer of the Notes, and Bank of America Corporation (“BAC” or the “Guarantor”),
as guarantor of the Notes.
•
The Notes will not be listed on any securities exchange.
•
CUSIP No. 09711DGD8.
The initial estimated value
of the Notes as of the pricing date is $983.30 per $1,000.00 in principal amount of Notes, which is less than the public offering price
listed below. The actual value of your Notes at any time will reflect many factors and cannot be predicted with accuracy. See “Risk
Factors” beginning on page PS-12 of this pricing supplement and “Structuring the Notes” on page PS-28 of this pricing
supplement for additional information.
There are important
differences between the Notes and a conventional debt security. Potential purchasers of the Notes should consider the information in “Risk
Factors” beginning on page PS-12 of this pricing supplement, page PS-5 of the accompanying product supplement, page S-6 of the accompanying
prospectus supplement, and page 7 of the accompanying prospectus.
None of the Securities and
Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved
of these securities or determined if this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
is truthful or complete. Any representation to the contrary is a criminal offense.
|
Public offering price(1) |
Underwriting discount(1)(2)(3) |
Proceeds, before expenses, to BofA Finance(2) |
Per Note |
$1,000.00 |
$2.50 |
$997.50 |
Total |
$1,366,000.00 |
$3,415.00 |
$1,362,585.00 |
| (1) | Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some
or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these fee-based
advisory accounts may be as low as $997.50 per $1,000.00 in principal amount of Notes. |
| (2) | The underwriting discount per $1,000.00 in principal amount of Notes may be as high as $2.50, resulting
in proceeds, before expenses, to BofA Finance of as low as $997.50 per $1,000.00 in principal amount of Notes. The total underwriting
discount and proceeds, before expenses, to BofA Finance specified above reflect the aggregate of the underwriting discounts per $1,000.00
in principal amount of Notes. |
| (3) | In addition to the underwriting discount above, if any, an affiliate of BofA Finance will pay a referral
fee of up to $6.00 per $1,000.00 in principal amount of the Notes in connection with the distribution of the Notes to other registered
broker-dealers. |
The Notes and the related guarantee:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Terms of the Notes
Issuer: |
BofA Finance |
Guarantor: |
BAC |
Denominations: |
The Notes will be issued in minimum denominations of $1,000.00 and whole multiples of $1,000.00 in excess thereof. |
Term: |
Approximately 3 years, unless previously automatically called. |
Underlyings: |
The SPDR® S&P 500® ETF Trust (Bloomberg symbol: “SPY”), the Technology Select Sector SPDR® Fund (Bloomberg symbol: “XLK”) and the iShares® Semiconductor ETF (Bloomberg symbol: “SOXX”). |
Pricing Date: |
August 9, 2024 |
Issue Date: |
August 14, 2024 |
Valuation Date: |
August 9, 2027, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” in the accompanying product supplement. |
Maturity Date: |
August 12, 2027 |
Starting Value: |
SPY: $532.99
XLK: $205.63
SOXX: $211.78 |
Observation Value: |
With respect to each Underlying, its Closing Market Price on the applicable Observation Date or Call Observation Date, as applicable, multiplied by its Price Multiplier. |
Ending Value: |
With respect to each Underlying, its Observation Value on the Valuation Date. |
Call Value: |
SPY: $532.99, which is 100.00% of its Starting Value.
XLK: $205.63, which is 100.00% of its Starting Value.
SOXX: $211.78, which is 100.00% of its Starting
Value. |
Price Multiplier: |
With respect to each Underlying, 1, subject to adjustment for certain events as described in “Description of the Notes — Anti-Dilution and Discontinuance Adjustments Relating to ETFs” beginning on page PS-28 of the accompanying product supplement. |
Coupon Barrier: |
SPY: $426.39, which is 80.00% of its Starting Value
(rounded to two decimal places).
XLK: $164.50, which is 80.00% of its Starting Value
(rounded to two decimal places).
SOXX: $169.42, which is 80.00% of its Starting Value
(rounded to two decimal places). |
Threshold Value: |
SPY: $319.79, which is 60.00% of its Starting Value
(rounded to two decimal places).
XLK: $123.38, which is 60.00% of its Starting Value
(rounded to two decimal places).
SOXX: $127.07, which is 60.00% of its Starting Value
(rounded to two decimal places). |
Contingent Coupon Payment (with Memory Feature): |
If, on any monthly Observation Date, the Observation Value of each Underlying is greater than or equal to its Coupon Barrier, we will pay a Contingent Coupon Payment per $1,000.00 in principal amount of Notes on the applicable Contingent Payment Date (including the Maturity Date) equal to (i) the product of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid. |
Automatic Call: |
Beginning with the November 11, 2024 Call Observation Date, all (but not less than all) of the Notes will be automatically called if the Observation Value of each Underlying is greater than or equal to its Call Value on any Call Observation Date. If |
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-2 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
|
the Notes are automatically called, the Early Redemption Amount will be paid on the applicable Call Payment Date. No further amounts will be payable following an Automatic Call. |
Early Redemption Amount: |
For each $1,000.00 in principal amount of Notes, $1,000.00, plus the applicable Contingent Coupon Payment. |
Redemption Amount: |
If the Notes have not been automatically called
prior to maturity, the Redemption Amount per $1,000.00 in principal amount of Notes will be:
a) If the Ending Value of the Least Performing Underlying
is greater than or equal to its Threshold Value:
b) If the Ending Value of the Least Performing Underlying
is less than its Threshold Value:
In this case, the Redemption Amount (excluding
any final Contingent Coupon Payment) will be less than 60.00% of the principal amount and you could lose up to 100.00% of your investment
in the Notes.
The Redemption Amount will also include a final
Contingent Coupon Payment if the Ending Value of the Least Performing Underlying is greater than or equal to its Coupon Barrier. |
Observation Dates: |
As set forth beginning on page PS-4 |
Contingent Payment Dates: |
As set forth beginning on page PS-4 |
Call Observation Dates: |
As set forth beginning on page PS-6 |
Call Payment Dates: |
As set forth beginning on page PS-6. Each Call Payment Date is also a Contingent Payment Date. |
Calculation Agent: |
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance. |
Selling Agent: |
BofAS |
CUSIP: |
09711DGD8 |
Underlying Return: |
With respect to each Underlying,
|
Least Performing Underlying: |
The Underlying with the lowest Underlying Return. |
Events of Default and Acceleration: |
If an Event of Default, as defined in the senior indenture relating to the Notes and in the section entitled “Description of Debt Securities of BofA Finance LLC—Events of Default and Rights of Acceleration; Covenant Breaches” on page 54 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “Redemption Amount” above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third Trading Day prior to the date of acceleration. We will also determine whether a final Contingent Coupon Payment is payable based upon the prices of the Underlyings on the deemed Valuation Date; any such final Contingent Coupon Payment will be prorated by the calculation agent to reflect the length of the final contingent payment period. In case of a default in the payment of the Notes, whether at their maturity or upon acceleration, the Notes will not bear a default interest rate. |
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-3 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Observation Dates, Contingent Payment Dates, Call Observation Dates
and Call Payment Dates
Observation Dates* |
Contingent Payment Dates |
September 9, 2024 |
September 12, 2024 |
October 9, 2024 |
October 15, 2024 |
November 11, 2024 |
November 14, 2024 |
December 9, 2024 |
December 12, 2024 |
January 9, 2025 |
January 14, 2025 |
February 10, 2025 |
February 13, 2025 |
March 10, 2025 |
March 13, 2025 |
April 9, 2025 |
April 14, 2025 |
May 9, 2025 |
May 14, 2025 |
June 9, 2025 |
June 12, 2025 |
July 9, 2025 |
July 14, 2025 |
August 11, 2025 |
August 14, 2025 |
September 9, 2025 |
September 12, 2025 |
October 9, 2025 |
October 15, 2025 |
November 10, 2025 |
November 14, 2025 |
December 9, 2025 |
December 12, 2025 |
January 9, 2026 |
January 14, 2026 |
February 9, 2026 |
February 12, 2026 |
March 9, 2026 |
March 12, 2026 |
April 9, 2026 |
April 14, 2026 |
May 11, 2026 |
May 14, 2026 |
June 9, 2026 |
June 12, 2026 |
July 9, 2026 |
July 14, 2026 |
August 10, 2026 |
August 13, 2026 |
September 9, 2026 |
September 14, 2026 |
October 9, 2026 |
October 15, 2026 |
November 9, 2026 |
November 13, 2026 |
December 9, 2026 |
December 14, 2026 |
January 11, 2027 |
January 14, 2027 |
February 9, 2027 |
February 12, 2027 |
March 9, 2027 |
March 12, 2027 |
April 9, 2027 |
April 14, 2027 |
May 10, 2027 |
May 13, 2027 |
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-4 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Observation Dates* |
Contingent Payment Dates |
June 9, 2027 |
June 14, 2027 |
July 9, 2027 |
July 14, 2027 |
August 9, 2027 (the “Valuation Date”) |
August 12, 2027 (the “Maturity Date”) |
* The Observation Dates are subject to postponement
as set forth in “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” on
page PS-21 of the accompanying product supplement.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-5 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Call Observation Dates* |
Call Payment Dates |
November 11, 2024 |
November 14, 2024 |
December 9, 2024 |
December 12, 2024 |
January 9, 2025 |
January 14, 2025 |
February 10, 2025 |
February 13, 2025 |
March 10, 2025 |
March 13, 2025 |
April 9, 2025 |
April 14, 2025 |
May 9, 2025 |
May 14, 2025 |
June 9, 2025 |
June 12, 2025 |
July 9, 2025 |
July 14, 2025 |
August 11, 2025 |
August 14, 2025 |
September 9, 2025 |
September 12, 2025 |
October 9, 2025 |
October 15, 2025 |
November 10, 2025 |
November 14, 2025 |
December 9, 2025 |
December 12, 2025 |
January 9, 2026 |
January 14, 2026 |
February 9, 2026 |
February 12, 2026 |
March 9, 2026 |
March 12, 2026 |
April 9, 2026 |
April 14, 2026 |
May 11, 2026 |
May 14, 2026 |
June 9, 2026 |
June 12, 2026 |
July 9, 2026 |
July 14, 2026 |
August 10, 2026 |
August 13, 2026 |
September 9, 2026 |
September 14, 2026 |
October 9, 2026 |
October 15, 2026 |
November 9, 2026 |
November 13, 2026 |
December 9, 2026 |
December 14, 2026 |
January 11, 2027 |
January 14, 2027 |
February 9, 2027 |
February 12, 2027 |
March 9, 2027 |
March 12, 2027 |
April 9, 2027 |
April 14, 2027 |
May 10, 2027 |
May 13, 2027 |
June 9, 2027 |
June 14, 2027 |
July 9, 2027 |
July 14, 2027 |
* The Call Observation Dates are subject to postponement
as set forth in “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” on
page PS-21 of the accompanying product supplement, with references to “Observation Dates” being read as references to “Call
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-6 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Observation Dates.”
Any payments on the Notes depend on the credit risk
of BofA Finance, as Issuer, and BAC, as Guarantor, and on the performance of the Underlyings. The economic terms of the Notes are based
on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked notes, and
the economic terms of certain related hedging arrangements BAC’s affiliates enter into. BAC’s internal funding rate is typically
lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding rate,
as well as the underwriting discount, if any, the referral fee and the hedging related charges described below (see “Risk Factors”
beginning on page PS-12), reduced the economic terms of the Notes to you and the initial estimated value of the Notes. Due to these factors,
the public offering price you are paying to purchase the Notes is greater than the initial estimated value of the Notes as of the pricing
date.
The initial estimated value of the Notes as of the
pricing date is set forth on the cover page of this pricing supplement. For more information about the initial estimated value and the
structuring of the Notes, see “Risk Factors” beginning on page PS-12 and “Structuring the Notes” on page PS-28.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-7 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Contingent Coupon Payment and Redemption Amount Determination
On
each Contingent Payment Date, if the Notes have not been previously called, you may receive a
Contingent
Coupon Payment per $1,000.00 in principal amount of Notes determined as follows:
Assuming
the Notes have not been automatically called, on the Maturity Date, you will receive a cash payment per $1,000.00 in principal amount
of Notes determined as follows:
All payments described above are subject to the
credit risk of BofA Finance, as Issuer, and BAC, as Guarantor.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-8 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Total Contingent Coupon Payment Examples
The examples below illustrate the hypothetical total
Contingent Coupon Payments per $1,000.00 in principal amount of Notes over the term of the Notes, based on the Contingent Coupon Payment
per $1,000.00 in principal amount of Notes equal to (i) the product of $12.167 times the number of Contingent Payment Dates
that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment Date) minus (ii) the
sum of all Contingent Coupon Payments previously paid. Depending on the performance of the Underlyings, you may not receive any Contingent
Coupon Payments during the term of the Notes.
Example 1 – The Observation Value
of each Underlying on each of the first and second Observation Dates is below its Coupon Barrier. Therefore, no Contingent Coupon Payment
will be paid on the applicable Contingent Payment Dates. The Observation Value of each Underlying on the third Observation Date (which
is also the first Call Observation Date) is above its Coupon Barrier but below its Call Value. Therefore, a Contingent Coupon Payment
will be paid on the applicable Contingent Payment Date, but the Notes will not be automatically called. The Contingent Coupon Payment
per $1,000.00 in principal amount of Notes due on the related Contingent Payment Date will be calculated as follows:
(i) the product
of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive
of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $12.167
x 3 - (ii) $0.000 = $36.501 per $1,000.00 in principal amount of Notes.
The Observation Value of each Underlying on the
fourth Observation Date (which is also a Call Observation Date) is above its Coupon Barrier and its Call Value. Therefore, the Notes will
be automatically called, and the Contingent Coupon Payment per $1,000.00 in principal amount of Notes otherwise due on the related Contingent
Payment Date will be calculated as follows:
(i) the product
of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive
of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $12.167
x 4 - (ii) $36.501 = $12.167 per $1,000.00 in principal amount of Notes.
On the applicable Contingent Payment Date (which
is also the Call Payment Date), you will receive $1,012.167 per $1,000.00 in principal amount of Notes, and no further amounts will be
payable on the Notes following an Automatic Call.
Example 2 – The Observation Value
of each Underlying on each of the first and second Observation Dates is below its Coupon Barrier. Therefore, no Contingent Coupon Payment
will be paid on the applicable Contingent Payment Dates. The Observation Value of each Underlying on the third Observation Date (which
is also the first Call Observation Date) is below its Coupon Barrier and its Call Value. Therefore, no Contingent Coupon Payment will
be paid on the applicable Contingent Payment Date, and the Notes will not be automatically called. The Observation Value of each Underlying
on the fourth Observation Date (which is also a Call Observation Date) is above its Coupon Barrier and its Call Value. Therefore, the
Notes will be automatically called, and the Contingent Coupon Payment per $1,000.00 in principal amount of Notes due on the related Contingent
Payment Date will be calculated as follows:
(i) the product
of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive
of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $12.167
x 4 - (ii) $0.000 = $48.668 per $1,000.00 in principal amount of Notes.
On the applicable Contingent Payment Date (which
is also the Call Payment Date), you will receive $1,048.668 per $1,000.00 in principal amount of Notes, and no further amounts will be
payable on the Notes following an Automatic Call.
Example 3 – The Observation Value
of each Underlying on each of the first and second Observation Dates is above its Coupon Barrier. Therefore, a Contingent Coupon Payment
in the amount of $12.167 per $1,000.00 in principal amount of Notes will be paid on each applicable Contingent Payment Date. The Observation
Value of each Underlying on the third Observation Date (which is also the first Call Observation Date) is above its Coupon Barrier but
below its Call Value. Therefore, a Contingent Coupon Payment will be paid on the applicable Contingent Payment Date, but the Notes will
not be automatically called. The Contingent Coupon Payment per $1,000.00 in principal amount of Notes due on the related Contingent Payment
Date will be calculated as follows:
(i) the product
of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive
of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $12.167
x 3 - (ii) $12.167 x 2 = $12.167 per $1,000.00 in principal amount of Notes.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-9 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
The Observation Value of each Underlying on each
of the fourth through thirty-fifth Observation Dates (which are also the Call Observation Dates) is above its Coupon Barrier but below
its Call Value. Therefore, a Contingent Coupon Payment in the amount of $12.167 per $1,000.00 in principal amount of Notes will be paid
on each applicable Contingent Payment Date, but the Notes will not be automatically called. The Ending Value of each Underlying on the
Valuation Date is above its Coupon Barrier and Threshold Value. Therefore, a Contingent Coupon Payment will be due on the Maturity Date,
calculated as follows:
(i) the product
of $12.167 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive
of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $12.167
x 36 - (ii) $12.167 x 35 = $12.167 per $1,000.00 in principal amount of Notes.
On the Maturity Date, you will receive $1,012.167
per $1,000.00 in principal amount of Notes.
Example 4 – The Observation Value
of each Underlying on each of the first and second Observation Dates is above its Coupon Barrier. A Contingent Coupon Payment in the amount
of $12.167 per $1,000.00 in principal amount of Notes will be paid on each applicable Contingent Payment Date. The Observation Value of
each Underlying on each of the third through thirty-fifth Observation Dates (which are also the Call Observation Dates) is below its Coupon
Barrier and its Call Value. Therefore, no Contingent Coupon Payment will be paid on any related Contingent Payment Date, and the Notes
will not be automatically called. The Ending Value of each Underlying on the Valuation Date is below its Coupon Barrier and Threshold
Value. Therefore, no Contingent Coupon Payment will be due on the Maturity Date, and you will receive an amount at maturity that will
be less than the stated principal amount of your Notes, and could be zero.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-10 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Hypothetical Payout Profile and Examples of Payments at Maturity
Contingent Income (with Memory Feature) Auto-Callable
Yield Notes Table
The following table is for purposes of illustration
only. It assumes the Notes have not been automatically called prior to maturity and is based on hypothetical values and shows hypothetical
returns on the Notes. The table illustrates the calculation of the Redemption Amount and the return on the Notes based on a hypothetical
Starting Value of 100 for the Least Performing Underlying, a hypothetical Coupon Barrier of 80 for the Least Performing Underlying, a
hypothetical Threshold Value of 60 for the Least Performing Underlying, the Contingent Coupon Payment of $12.167 per $1,000.00 in principal
amount of Notes and a range of hypothetical Ending Values of the Least Performing Underlying. The actual amount you receive and the
resulting return will depend on the actual Starting Values, Coupon Barriers, Threshold Values, Observation Values and Ending Values of
the Underlyings, whether the Notes are automatically called prior to maturity, and whether you hold the Notes to maturity.
The following examples do not take into account any tax consequences from investing in the Notes. The table below also assumes that a
Contingent Coupon Payment was paid on each Contingent Payment Date prior to maturity.
For recent actual values of the Underlyings, see
“The Underlyings” section below. The Ending Value of each Underlying will not include any income generated by dividends or
other distributions paid with respect to shares or units of that Underlying or on the securities included in that Underlying, as applicable.
In addition, all payments on the Notes are subject to Issuer and Guarantor credit risk.
Ending Value of the Least Performing Underlying |
Underlying Return of the Least Performing Underlying |
Redemption Amount per Note (including any final Contingent Coupon Payment) |
Return on the Notes(1) |
160.00 |
60.00% |
$1,012.167(2) |
1.2167% |
150.00 |
50.00% |
$1,012.167 |
1.2167% |
140.00 |
40.00% |
$1,012.167 |
1.2167% |
130.00 |
30.00% |
$1,012.167 |
1.2167% |
120.00 |
20.00% |
$1,012.167 |
1.2167% |
110.00 |
10.00% |
$1,012.167 |
1.2167% |
105.00 |
5.00% |
$1,012.167 |
1.2167% |
102.00 |
2.00% |
$1,012.167 |
1.2167% |
100.00(3) |
0.00% |
$1,012.167 |
1.2167% |
90.00 |
-10.00% |
$1,012.167 |
1.2167% |
80.00(4) |
-20.00% |
$1,012.167 |
1.2167% |
79.99 |
-20.01% |
$1,000.000 |
0.0000% |
70.00 |
-30.00% |
$1,000.000 |
0.0000% |
60.00(5) |
-40.00% |
$1,000.000 |
0.0000% |
59.99 |
-40.01% |
$599.900 |
-40.0100% |
50.00 |
-50.00% |
$500.000 |
-50.0000% |
0.00 |
-100.00% |
$0.000 |
-100.0000% |
(1) |
The “Return on the Notes” is calculated based on the Redemption Amount and potential final Contingent Coupon Payment of $12.167 per $1,000.00 in principal amount of Notes, not including any Contingent Coupon Payments paid prior to maturity, and assumes that the relevant Contingent Coupon Payment has been made on each prior Contingent Payment Date. |
(2) |
This amount represents the sum of the principal amount and a final monthly Contingent Coupon Payment of $12.167 per $1,000.00 in principal amount of Notes (assuming that each prior monthly Contingent Coupon Payment has been made on the related Contingent Payment Date). |
(3) |
The hypothetical Starting Value of 100 used in the table above has been chosen for illustrative purposes only. The actual Starting Value of each Underlying is set forth on page PS-2 above. |
(4) |
This is the hypothetical Coupon Barrier of the Least Performing Underlying. |
(5) |
This is the hypothetical Threshold Value of the Least Performing Underlying. |
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-11 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Risk Factors
Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only after
carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light of your particular
circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant elements of the Notes
or financial matters in general. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk
Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-6 of the accompanying prospectus supplement
and page 7 of the accompanying prospectus, each as identified on page PS-32 below.
Structure-related Risks
•
Your investment may result in a loss; there is no guaranteed return of principal. There is
no fixed principal repayment amount on the Notes at maturity. If the Notes are not automatically called prior to maturity and the Ending
Value of any Underlying is less than its Threshold Value, at maturity, your investment will be subject to 1:1 downside exposure
to decreases in the value of the Least Performing Underlying and you will lose 1% of the principal amount for each 1% that the Ending
Value of the Least Performing Underlying is less than its Starting Value. In that case, you will lose a significant portion or all of
your investment in the Notes.
•
Your return on the Notes is limited to the return represented by the Contingent Coupon Payments,
if any, over the term of the Notes. Your return on the Notes is limited to the Contingent Coupon Payments paid over the term of the
Notes, regardless of the extent to which the Observation Value or Ending Value of any Underlying exceeds its Coupon Barrier or Starting
Value, as applicable. Similarly, the amount payable at maturity or upon an Automatic Call will never exceed the sum of the principal amount
and the applicable Contingent Coupon Payment, regardless of the extent to which the Observation Value or Ending Value of any Underlying
exceeds its Starting Value. In contrast, a direct investment in the Underlyings would allow you to receive the benefit of any appreciation
in their values. Any return on the Notes will not reflect the return you would realize if you actually owned those securities and received
the dividends paid or distributions made on them.
•
The Notes are subject to a potential Automatic Call, which would limit your ability to receive
the Contingent Coupon Payments over the full term of the Notes. The Notes are subject to a potential Automatic Call. Beginning with
the November 11, 2024 Call Observation Date, the Notes will be automatically called if, on any Call Observation Date, the Observation
Value of each Underlying is greater than or equal to its Call Value. If the Notes are automatically called prior to the Maturity Date,
you will be entitled to receive the Early Redemption Amount on the applicable Call Payment Date, and no further amounts will be payable
on the Notes. In this case, you will lose the opportunity to continue to receive Contingent Coupon Payments after the date of the Automatic
Call. If the Notes are called prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk
that could provide a return that is similar to the Notes.
•
You may not receive any Contingent Coupon Payments. The Notes do not provide for any regular
fixed coupon payments. Investors in the Notes will not necessarily receive any Contingent Coupon Payments on the Notes. If the Observation
Value of any Underlying is less than its Coupon Barrier on an Observation Date, you will not receive the Contingent Coupon Payment on
the related Coupon Payment Date. You will receive a previously unpaid Contingent Coupon Payment on a subsequent Coupon Payment Date only
if the Observation Value of each Underlying on the related Observation Date is greater than or equal to its Coupon Barrier. However, if
the Observation Value of each Underlying on an Observation Date is less than its Coupon Barrier and the Observation Value of each Underlying
on each subsequent Observation Date up to and including the Valuation Date is less than its Coupon Barrier, you will not receive the unpaid
Contingent Coupon Payments in respect of those Observation Dates. If the Observation Value of any Underlying is less than its Coupon Barrier
on all the Observation Dates during the term of the Notes, you will not receive any Contingent Coupon Payments during the term of the
Notes, and will not receive a positive return on the Notes.
•
Your return on the Notes may be less than the yield on a conventional debt security of comparable
maturity. Any return that you receive on the Notes may be less than the return you would earn if you purchased a conventional debt
security with the same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost to you when
you consider factors, such as inflation, that affect the time value of money. In addition, if interest rates increase during the term
of the Notes, the Contingent Coupon Payment (if any) may be less than the yield on a conventional debt security of comparable maturity.
•
The Contingent Coupon Payment, Early Redemption Amount or Redemption Amount, as applicable, will
not reflect changes in the prices of the Underlyings other than on the Observation Dates or Call Observation Dates, as applicable. The
prices of the Underlyings during the term of the Notes other than on the Observation Dates or Call Observation Dates, as applicable, will
not affect payments on the Notes. Notwithstanding the foregoing, investors should generally be aware of the performance of the Underlyings
while holding the Notes, as the performance of the Underlyings may influence the market value of the Notes. The calculation agent will
determine whether each Contingent Coupon Payment is payable and will calculate the Early Redemption Amount or the Redemption Amount, as
applicable, by comparing only the Starting Value, the Coupon Barrier, the Call Value or the Threshold Value, as applicable, to the Observation
Value or the Ending Value for each Underlying. No other prices of the Underlyings will be taken into account. As a result, if the Notes
are not automatically called prior to maturity and the Ending Value of the Least Performing Underlying is less than its Threshold Value,
you will receive less than the principal amount at maturity even if the price of each Underlying was always above its Threshold Value
prior to the Valuation Date.
•
Because the Notes are linked to the least performing (and not the average performance) of the Underlyings,
you may not
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-12 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
receive any return on the Notes and
may lose a significant portion or all of your investment in the Notes even if the Observation Value or Ending Value of one Underlying
is greater than or equal to its Coupon Barrier or Threshold Value, as applicable. Your Notes are linked to
the least performing of the Underlyings, and a change in the price of one Underlying may not correlate with changes in the prices of the
other Underlyings. The Notes are not linked to a basket composed of the Underlyings, where the depreciation in the price of one Underlying
could be offset to some extent by the appreciation in the prices of the other Underlyings. In the case of the Notes, the individual performance
of each Underlying would not be combined, and the depreciation in the price of one Underlying would not be offset by any appreciation
in the prices of the other Underlyings. Even if the Observation Value of an Underlying is at or above its Coupon Barrier on an Observation
Date, you will not receive the Contingent Coupon Payment with respect to that Observation Date if the Observation Value of another Underlying
is below its Coupon Barrier on that day. In addition, even if the Ending Value of an Underlying is at or above its Threshold Value, you
will lose a significant portion or all of your investment in the Notes if the Ending Value of the Least Performing Underlying is below
its Threshold Value.
•
Any payments on the Notes are subject to our credit risk and the credit risk of the Guarantor,
and any actual or perceived changes in our or the Guarantor’s creditworthiness are expected to affect the value of the Notes. The
Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor.
The Notes are not guaranteed by any entity other than the Guarantor. As a result, your receipt of any payments on the Notes will be dependent
upon our ability and the ability of the Guarantor to repay our respective obligations under the Notes on the applicable payment date,
regardless of the performance of the Underlyings. No assurance can be given as to what our financial condition or the financial condition
of the Guarantor will be at any time after the pricing date of the Notes. If we and the Guarantor become unable to meet our respective
financial obligations as they become due, you may not receive the amount(s) payable under the terms of the Notes.
In addition, our credit ratings and the credit ratings of the Guarantor are assessments by ratings agencies of our respective abilities
to pay our obligations. Consequently, our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our
or the Guarantor’s credit ratings or increases in the spread between the yield on our respective securities and the yield on U.S.
Treasury securities (the “credit spread”) prior to the Maturity Date may adversely affect the market value of the Notes. However,
because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective
obligations, such as the values of the Underlyings, an improvement in our or the Guarantor’s credit ratings will not reduce the
other investment risks related to the Notes.
•
We are a finance subsidiary and, as such, have no independent assets, operations, or revenues.
We are a finance subsidiary of the Guarantor, have no operations other than those related to the issuance, administration and repayment
of our debt securities that are guaranteed by the Guarantor, and are dependent upon the Guarantor and/or its other subsidiaries to meet
our obligations under the Notes in the ordinary course. Therefore, our ability to make payments on the Notes may be limited.
Valuation and Market-related Risks
•
The public offering price you are paying for the Notes exceeds their initial estimated value. The
initial estimated value of the Notes that is provided on the cover page of this pricing supplement is an estimate only, determined as
of the pricing date by reference to our and our affiliates’ pricing models. These pricing models consider certain assumptions and
variables, including our credit spreads and those of the Guarantor, the Guarantor’s internal funding rate, mid-market terms on hedging
transactions, expectations on interest rates, dividends and volatility, price-sensitivity analysis, and the expected term of the Notes.
These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. If you attempt to sell the
Notes prior to maturity, their market value may be lower than the price you paid for them and lower than their initial estimated value.
This is due to, among other things, changes in the prices of the Underlyings, changes in the Guarantor’s internal funding rate,
and the inclusion in the public offering price of the underwriting discount, if any, the referral fee and the hedging related charges,
all as further described in “Structuring the Notes” below. These factors, together with various credit, market and economic
factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market
and will affect the value of the Notes in complex and unpredictable ways.
•
The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS
or any of our other affiliates would be willing to purchase your Notes in any secondary market (if any exists) at any time. The value
of your Notes at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance
of the Underlyings, our and BAC’s creditworthiness and changes in market conditions.
•
We cannot assure you that a trading market for your Notes will ever develop or be maintained. We
will not list the Notes on any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that
market will be liquid or illiquid.
Conflict-related Risks
•
Trading and hedging activities by us, the Guarantor and any of our other affiliates, including
BofAS, may create conflicts of interest with you and may affect your return on the Notes and their market value. We, the Guarantor
or one or more of our other affiliates, including BofAS, may buy or sell shares or units of the Underlyings or the securities held by
or included in the Underlyings, as applicable, or futures or options contracts or exchange traded instruments on the Underlyings or those
securities, or other instruments whose value is derived from the Underlyings or those securities. While we, the Guarantor or one or more
of our other affiliates, including
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-13 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
BofAS, may from time to time own shares
or units of the Underlyings or securities represented by the Underlyings, except to the extent that BAC’s common stock may be included
in the Underlyings, we, the Guarantor and our other affiliates, including BofAS, do not control any company included in the Underlyings,
and have not verified any disclosure made by any other company. We, the Guarantor or one or more of our other affiliates, including BofAS,
may execute such purchases or sales for our own or their own accounts, for business reasons, or in connection with hedging our obligations
under the Notes. These transactions may present a conflict of interest between your interest in the Notes and the interests we, the Guarantor
and our other affiliates, including BofAS, may have in our or their proprietary accounts, in facilitating transactions, including block
trades, for our or their other customers, and in accounts under our or their management. These transactions may adversely affect the prices
of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the pricing date, any purchases or
sales by us, the Guarantor or our other affiliates, including BofAS or others on our or their behalf (including those for the purpose
of hedging some or all of our anticipated exposure in connection with the Notes), may have affected the prices of the Underlyings. Consequently,
the prices of the Underlyings may change subsequent to the pricing date, which may adversely affect the market value of the Notes.
We, the Guarantor or one or more of our other affiliates, including BofAS, also may have engaged in hedging activities that could have
affected the prices of the Underlyings on the pricing date. In addition, these hedging activities, including the unwinding of a hedge,
may decrease the market value of your Notes prior to maturity, and may affect the amounts to be paid on the Notes. We, the Guarantor or
one or more of our other affiliates, including BofAS, may purchase or otherwise acquire a long or short position in the Notes and may
hold or resell the Notes. For example, BofAS may enter into these transactions in connection with any market making activities in which
it engages. We cannot assure you that these activities will not adversely affect the prices of the Underlyings, the market value of your
Notes prior to maturity or the amounts payable on the Notes.
•
There may be potential conflicts of interest involving the calculation agent, which is an affiliate
of ours. We have the right to appoint and remove the calculation agent. One of our affiliates will be the calculation agent for the
Notes and, as such, will make a variety of determinations relating to the Notes, including the amounts that will be paid on the Notes.
Under some circumstances, these duties could result in a conflict of interest between its status as our affiliate and its responsibilities
as calculation agent.
Underlying-related Risks
•
Adverse conditions in the semiconductor production and equipment sector may reduce your return
on the Notes. All or substantially all of the stocks held by the SOXX are issued by companies whose primary line of business is directly
associated with the semiconductor production and equipment sector. The SOXX is subject to the risk that companies that are in the semiconductor
production and equipment sector may be similarly affected by particular economic or market events. As product cycles shorten and manufacturing
capacity increases, these companies may become increasingly subject to aggressive pricing, which hampers profitability. Semiconductor
companies are vulnerable to wide fluctuations in securities prices due to rapid product obsolescence. Many semiconductor companies may
not successfully introduce new products, develop and maintain a loyal customer base or achieve general market acceptance for their products,
and failure to do so could have a material adverse effect on their business, results of operations and financial condition. Reduced demand
for end-user products, underutilization of manufacturing capacity, and other factors could adversely impact the operating results of companies
in the semiconductor production and equipment sector. Semiconductor companies typically face high capital costs and such companies may
need additional financing, which may be difficult to obtain. They also may be subject to risks relating to research and development costs
and the availability and price of components. Moreover, they may be heavily dependent on intellectual property rights and may be adversely
affected by loss or impairment of those rights. Some of the companies involved in the semiconductor production and equipment sector are
also engaged in other lines of business unrelated to the semiconductor business, and they may experience problems with these lines of
business, which could adversely affect their operating results. The international operations of many semiconductor companies expose them
to risks associated with instability and changes in economic and political conditions, foreign currency fluctuations, changes in foreign
regulations, tariffs and trade disputes, competition from subsidized foreign competitors with lower production costs and other risks inherent
to international business. The semiconductor production and equipment sector is highly cyclical, which may cause the operating results
of many semiconductor companies to vary significantly. Companies in the semiconductor production and equipment sector also may be subject
to competition from new market entrants. The stock prices of companies in the semiconductor production and equipment sector have been
and will likely continue to be extremely volatile compared to the overall market. These factors could affect the semiconductor production
and equipment sector and could affect the value of the equity securities held by the SOXX and the price of the SOXX during the term of
the Notes, which may adversely affect the value of your Notes.
•
The SOXX has limited actual historical information. The underlying index of the SOXX changed
on June 21, 2021, when the SOXX began tracking the NYSE Semiconductor Index (formerly the ICE Semiconductor Index). As a result, historical
information for you to consider in making an independent investigation into the performance of the SOXX tracking the NYSE Semiconductor
Index is only available since June 21, 2021, which may make it difficult for you to make an informed decision with respect to the notes.
Any historical information about the performance of the SOXX for any period before June 21, 2021 was during a period in which the SOXX
tracked a different underlying index, and therefore should not be considered information relevant to how the SOXX will perform tracking
the NYSE Semiconductor Index. You should not take the historical performance of the SOXX while tracking an index other than the NYSE Semiconductor
Index as an indication of the future performance of the SOXX. In addition, there can be no assurance that the SOXX will not further change
the underlying index it tracks in the future. Because the SOXX of recent origin and limited actual historical
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-14 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
performance data exists with respect
to it, your investment in the Notes may involve a greater risk than investing in Notes linked to Underlyings with a more established record
of performance.
•
Adverse conditions in the technology sector may reduce your return on the Notes. All of the
stocks held by the XLK are issued by companies in the technology sector. Market or economic factors impacting technology companies and
companies that rely heavily on technological advances could have a major effect on the value of the XLK’s investments. The prices
of stocks of technology companies and companies that rely heavily on technology are particularly vulnerable to rapid changes in technology
product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition
from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially
those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent
on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies
in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified
personnel. Any of these factors may have an adverse effect on the return on the Notes. Accordingly, by investing in the Notes, you will
not benefit from the diversification which could result from an investment linked to companies that operate in multiple sectors.
•
The stocks held by the XLK and the SOXX are concentrated in two different sectors. The XLK
and the SOXX hold securities issued by companies in the technology sector and the semiconductor production and equipment sector, respectively.
As a result, some of the stocks that will determine the performance of the Notes are concentrated in two sectors. Although an investment
in the Notes will not give holders any ownership or other direct interests in the securities held by the XLK and the SOXX, the return
on an investment in the Notes will be subject to certain risks associated with a direct equity investment in companies in these sectors.
Accordingly, by investing in the Notes, you will not benefit from the diversification which could result from an investment linked to
companies that operate in multiple sectors.
•
The performance of an Underlying may not correlate with the performance of its underlying index
as well as the net asset value per share or unit of the Underlying, especially during periods of market volatility. The performance
of an Underlying and that of its underlying index generally will vary due to, for example, transaction costs, management fees, certain
corporate actions, and timing variances. Moreover, it is also possible that the performance of an Underlying may not fully replicate or
may, in certain circumstances, diverge significantly from the performance of its underlying index. This could be due to, for example,
the Underlying not holding all or substantially all of the underlying assets included in its underlying index and/or holding assets that
are not included in its underlying index, the temporary unavailability of certain securities in the secondary market, the performance
of any derivative instruments held by the Underlying, differences in trading hours between the Underlying (or the underlying assets held
by the Underlying) and its underlying index, or other circumstances. This variation in performance is called the “tracking error,”
and, at times, the tracking error may be significant. In addition, because the shares or units of each Underlying are traded on a securities
exchange and are subject to market supply and investor demand, the market price of one share or unit of an Underlying may differ from
its net asset value per share or unit; shares or units of the Underlying may trade at, above, or below its net asset value per share or
unit. During periods of market volatility, securities held by an Underlying may be unavailable in the secondary market, market participants
may be unable to calculate accurately the net asset value per share or unit of the Underlying and the liquidity of the Underlying may
be adversely affected. Market volatility may also disrupt the ability of market participants to trade shares or units of the Underlying.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and
sell shares or units of the Underlying. As a result, under these circumstances, the market value of shares or units of the Underlying
may vary substantially from the net asset value per share or unit of the Underlying.
•
The anti-dilution adjustments will be limited. The calculation agent may adjust the Price Multiplier
of an Underlying and other terms of the Notes to reflect certain actions by an Underlying, as described in the section “Description
of the Notes—Anti-Dilution and Discontinuance Adjustments Relating to ETFs” in the accompanying product supplement. The calculation
agent will not be required to make an adjustment for every event that may affect an Underlying and will have broad discretion to determine
whether and to what extent an adjustment is required.
•
The publisher or the sponsor or investment advisor of an Underlying may adjust that Underlying
in a way that affects its prices, and the publisher or the sponsor or investment advisor has no obligation to consider your interests.
The publisher or the sponsor or investment advisor of an Underlying can add, delete, or substitute the components included in that
Underlying or make other methodological changes that could change its price. Any of these actions could adversely affect the value of
your Notes.
Tax-related Risks
•
The U.S. federal income tax consequences of an investment in the Notes are uncertain, and may be
adverse to a holder of the Notes. No statutory, judicial, or administrative authority directly addresses the characterization of the
Notes or securities similar to the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income
tax consequences of an investment in the Notes are not certain. Under the terms of the Notes, you will have agreed with us to treat the
Notes as contingent income-bearing single financial contracts, as described below under “U.S. Federal Income Tax Summary—General.”
If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the Notes, the
timing and character of income, gain or loss with respect to the Notes may differ. No ruling will be requested from the IRS with respect
to the Notes and no assurance can 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 advisor regarding all aspects of the U.S. federal income tax
consequences of
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-15 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
investing in the Notes.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-16 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
The Underlyings
All disclosures contained in this pricing supplement
regarding the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have
been derived from publicly available sources. The information reflects the policies of, and is subject to change by, the investment advisor
of the SPY, the investment advisor of the XLK and the investment advisor of the SOXX (collectively, the “Investment Advisors”).
The Investment Advisors, which license the copyright and all other rights to the respective Underlyings, have no obligation to continue
to publish, and may discontinue publication of, the Underlyings. The consequences of any Investment Advisor discontinuing publication
of the applicable Underlying are discussed in “Description of the Notes — Anti-Dilution and Discontinuance Adjustments Relating
to ETFs — Discontinuance of or Material Change to an ETF” in the accompanying product supplement. None of us, the Guarantor,
the calculation agent, or BofAS accepts any responsibility for the calculation, maintenance or publication of any Underlying or any successor
underlying. None of us, the Guarantor, BofAS or any of our other affiliates makes any representation to you as to the future performance
of the Underlyings. You should make your own investigation into the Underlyings.
The SPDR® S&P 500®
ETF Trust
The SPDR® S&P 500®
ETF Trust is a unit investment trust that issues securities called “trust units” or “units.” The SPY is organized
under New York law and is governed by an amended and restated trust agreement between State Street Bank and Trust Company (the “Trustee”)
and PDR Services LLC (the “Sponsor”), dated as of January 1, 2004 and effective as of January 27, 2004, as amended (the “Trust
Agreement”). The SPY is an investment company registered under the Investment Company Act of 1940, as amended. The SPY commenced
operations on January 22, 1993. The units of the SPDR® S&P 500® ETF Trust trade on the NYSE Arca under
the symbol “SPY.”
A trust unit represents an undivided ownership interest
in a portfolio consisting of all of the common stocks of its underlying index, the S&P 500® Index. The SPY intends
to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500®
Index. The expenses of the SPY are accrued daily and reflected in the net asset value of the SPY. After reflecting waivers (including
earnings credits as a result of uninvested cash balances of the SPY), the SPY currently is accruing ordinary operating expenses at an
annual rate of 0.0945%.
The units of the SPY are registered under the Exchange
Act. Accordingly, information filed with the SEC relating to the SPY, including its periodic financial reports, may be found on the SEC
website.
The S&P 500® Index
The SPX includes a representative sample of 500
companies in leading industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price
movement. The calculation of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of
500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during
the base period of the years 1941 through 1943.
The SPX includes companies from eleven main groups:
Communication Services; Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology;
Real Estate; Materials; and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time,
in its sole discretion, add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted
company market capitalization of $18.0 billion or more (an increase from the previous requirement of an unadjusted company market capitalization
of $15.8 billion or more).
SPDJI calculates the SPX by reference to the prices
of the constituent stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on
the Notes will not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid
on those stocks.
Computation of the SPX
While SPDJI currently employs the following methodology
to calculate the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect payments
on the Notes.
Historically, the market value of any component
stock of the SPX was calculated as the product of the market price per share and the number of then outstanding shares of such component
stock. In March 2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula,
before moving the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not
change with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in
calculating the SPX reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float
adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing
more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for
purposes of calculating the SPX. Generally, these “control holders” will include officers and directors, private equity, venture
capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted
shares, ESOPs, employee and
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-17 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
family trusts, foundations associated with the company,
holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any
individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners,
such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds,
investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans,
will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares,
equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust
to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares, are normally
part of the float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted
or non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total
shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the
company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s
officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, SPDJI
would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the SPX. Constituents of the SPX
prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the SPX. If a constituent
company of the SPX reorganizes into a multiple share class line structure, that company will remain in the SPX at the discretion of the
S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate
methodology. The level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941
through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been
set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of the SPX is
computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the
SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is index
maintenance.
Index Maintenance
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to
company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares
outstanding and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due
to corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding
of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as
reasonably possible. Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented
when the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change.
All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding
of 5.00% or more causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the
share change. IWF changes resulting from partial tender offers are considered on a case by case basis.
Historical Performance of the SPY
The following graph sets forth the daily historical
performance of the SPY in the period from January 2, 2019 through the pricing date. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the
Closing Market Price of the SPY was $532.99.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-18 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
This historical data on the SPY is not necessarily
indicative of the future performance of the SPY or what the value of the Notes may be. Any historical upward or downward trend in the
Closing Market Price of the SPY during any period set forth above is not an indication that the Closing Market Price of the SPY is more
or less likely to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the Closing Market Prices and trading pattern of the SPY.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-19 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
The Technology Select Sector SPDR®
Fund
The shares of the XLK are issued by Select Sector
SPDR® Trust, a registered investment company. The XLK seeks investment results that correspond generally to the price and
yield performance, before fees and expenses, of the Technology Select Sector Index. The XLK measures the performance of the technology
and telecom sector of the U.S. equity market. The XLK is composed of equity securities of companies from technology hardware, storage,
and peripherals; software; diversified telecommunication services; communications equipment; semiconductors and semiconductor equipment;
internet software and services; IT services; electronic equipment, instruments and components; and wireless telecommunication services.
The Technology Select Sector SPDR® Fund trades on the NYSE Arca under the ticker symbol “XLK.”
Investment Approach
The XLK utilizes a “passive” or “indexing”
investment approach in attempting to track the performance of the Technology Select Sector Index. The XLK will invest in substantially
all of the securities which comprise the Technology Select Sector Index. The XLK will normally invest at least 95% of its total assets
in common stocks that comprise the Technology Select Sector Index.
Investment Objective and Strategy
The XLK seeks to provide investment results that
correspond generally to the price and yield performance, before fees and expenses, of the Technology Select Sector Index. The investment
manager of the XLK uses a replication strategy to try to achieve the XLK’s investment objective, which means that the XLK generally
invests in substantially all of the securities represented in the Technology Select Sector Index in approximately the same proportions
as the Technology Select Sector Index. Under normal market conditions, the XLK generally invests at least 95% of its total assets in the
securities comprising the Technology Select Sector Index. In certain situations or market conditions, the XLK may temporarily depart from
its normal investment policies and strategies provided that the alternative is consistent with the XLK’s investment objective and
is in the best interest of the XLK. For example, if the XLK is unable to invest directly in a component security or if a derivative investment
may provide higher liquidity than other types of investments, it may make larger than normal investments in derivatives to maintain exposure
to the Technology Select Sector Index that it tracks. Consequently, under such circumstances, the XLK may invest in a different mix of
investments than it would under normal circumstances. The XLK will provide shareholders with at least 60 days’ notice prior to any
material change in its investment policies. The XLK is managed with a passive investment strategy, attempting to track the performance
of an unmanaged index of securities. This differs from an actively managed underlying, which typically seeks to outperform a benchmark
index.
Notwithstanding the XLK’s investment objective,
the return on your Notes will not reflect any dividends paid on shares of the XLK, on the securities purchased by the XLK or on the securities
that comprise the Technology Select Sector Index.
The Select Sector Indices
The underlying index of the XLK is part of the Select
Sector Indices. The Select Sector Indices are sub-indices of the S&P 500® Index (“SPX”). Each stock in
the SPX is allocated to at least one Select Sector Index, and the combined companies of the eleven Select Sector Indices represent all
of the companies in the SPX. The industry indices are sub-categories within each Select Sector Index and represent a specific industry
segment of the overall Select Sector Index. The eleven Select Sector Indices seek to represent the eleven SPX sectors. The index compilation
agent for these indices (the “Index Compilation Agent”) determines the composition of the Select Sector Indices based on S&P’s
sector classification methodology. (Sector designations are determined by the index sponsor using criteria it has selected or developed.
Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of
sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons
between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition
of the indices.
Each Select Sector Index was developed and is maintained
in accordance with the following criteria:
•
Each of the component stocks in a Select Sector Index (the “Component Stocks”) is a constituent
company of the SPX.
•
The eleven Select Sector Indices together will include all of the companies represented in the SPX
and each of the stocks in the SPX will be allocated to at least one of the Select Sector Indices.
•
The Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index. The
Index Compilation Agent assigns a company’s stock to a particular Select Sector Index based on S&P Dow Jones Indices’s
sector classification methodology as set forth in its Global Industry Classification Standard.
•
Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified “market
capitalization” methodology. This design ensures that each of the component stocks within a Select Sector Index is represented in
a proportion consistent with its percentage with respect to the total market capitalization of that Select Sector Index.
For reweighting purposes, each Select Sector Index
is rebalanced quarterly after the close of business on the second to last calculation day of March, June, September and December using
the following procedures: (1) The rebalancing reference date is two business days prior to the last calculation day of each quarter; and
(2) With prices reflected on the rebalancing reference date, and membership, shares outstanding, additional weight factor (capping factor)
and investable weight factors (as described in the section “Computation of the S&P 500 Index®” below) as
of the rebalancing effective date, each company is weighted using the modified market capitalization methodology. Modifications are made
as defined below.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-20 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
| (i) | The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v) below.
If any of the allowable limits are breached, the component stocks are reweighted based on their float-adjusted market capitalization weights. |
| (ii) | If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight capped
at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of the quarter-end diversification requirement
date. |
| (iii) | All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index. |
| (iv) | After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%, the
process is repeated iteratively until no component stock breaches the 23% weight cap. |
| (v) | The sum of the component stocks with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow
for a buffer below the 5% limit. |
| (vi) | If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market capitalization
weights and the first component stock that causes the 50% limit to be breached has its weight reduced to 4.6%. |
| (vii) | This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated iteratively
until step (v) is satisfied. |
| (viii) | Index share amounts are assigned to each component stock to arrive at the weights calculated above. Since index shares are assigned
based on prices one business day prior to rebalancing, the actual weight of each component stock at the rebalancing differs somewhat from
these weights due to market movements. |
| (ix) | If necessary, the reweighting process may take place more than once prior to the close on the last business day of March, June, September
or December to ensure conformity with all diversification requirements. |
•
Each Select Sector Index is calculated using the same methodology utilized by S&P Dow Jones Indices
in calculating the SPX, using a base-weighted aggregate methodology. The daily calculation of each Select Sector Index is computed by
dividing the total market value of the companies in the Select Sector Index by a number called the index divisor.
•
The Index Compilation Agent at any time may determine that a Component Stock which has been assigned
to one Select Sector Index has undergone such a transformation in the composition of its business, and should be removed from that Select
Sector Index and assigned to a different Select Sector Index. In the event that the Index Compilation Agent notifies S&P Dow Jones
Indices that a Component Stock’s Select Sector Index assignment should be changed, S&P Dow Jones Indices will disseminate notice
of the change following its standard procedure for announcing index changes and will implement the change in the affected Select Sector
Indices on a date no less than one week after the initial dissemination of information on the sector change to the maximum extent practicable.
It is not anticipated that Component Stocks will change sectors frequently.
•
Component Stocks removed from and added to the SPX will be deleted from and added to the appropriate
Select Sector Index on the same schedule used by S&P Dow Jones Indices for additions and deletions from the SPX insofar as practicable.
The S&P 500® Index
The SPX includes a representative sample of 500
companies in leading industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price
movement. The calculation of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of
500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during
the base period of the years 1941 through 1943.
The SPX includes companies from eleven main groups:
Communication Services; Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology;
Real Estate; Materials; and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time,
in its sole discretion, add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted
company market capitalization of $18.0 billion or more (an increase from the previous requirement of an unadjusted company market capitalization
of $15.8 billion or more).
SPDJI calculates the SPX by reference to the prices
of the constituent stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on
the Notes will not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid
on those stocks.
Computation of the SPX
While SPDJI currently employs the following methodology
to calculate the SPX, no assurance can be given that SPDJI will not modify or change this
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-21 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
methodology in a manner that may affect payments
on the Notes.
Historically, the market value of any component
stock of the SPX was calculated as the product of the market price per share and the number of then outstanding shares of such component
stock. In March 2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula,
before moving the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not
change with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in
calculating the SPX reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float
adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing
more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for
purposes of calculating the SPX. Generally, these “control holders” will include officers and directors, private equity, venture
capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted
shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in
a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds
and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers
and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares,
equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust
to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares, are normally
part of the float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted
or non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total
shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the
company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s
officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, SPDJI
would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the SPX. Constituents of the SPX
prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the SPX. If a constituent
company of the SPX reorganizes into a multiple share class line structure, that company will remain in the SPX at the discretion of the
S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate
methodology. The level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941
through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been
set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of the SPX is
computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the
SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is index
maintenance.
Index Maintenance
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to
company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares
outstanding and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due
to corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding
of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as
reasonably possible. Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented
when the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change.
All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding
of 5.00% or more causes a company’s IWF to change by five percentage points or more, the IWF is
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-22 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
updated at the same time as the share change. IWF
changes resulting from partial tender offers are considered on a case by case basis.
Historical Performance of the XLK
The following graph sets forth the daily historical
performance of the XLK in the period from January 2, 2019 through the pricing date. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the
Closing Market Price of the XLK was $205.63.
This historical data on the XLK is not necessarily
indicative of the future performance of the XLK or what the value of the Notes may be. Any historical upward or downward trend in the
Closing Market Price of the XLK during any period set forth above is not an indication that the Closing Market Price of the XLK is more
or less likely to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the Closing Market Prices and trading pattern of the XLK.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-23 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
The iShares® Semiconductor ETF
The iShares® Semiconductor ETF seeks investment
results that correspond generally to the price and yield performance, before fees and expenses, of the NYSE Semiconductor Index, its underlying
index. Effective November 3, 2023, the NYSE Semiconductor Index changed its name from ICE Semiconductor Index to NYSE Semiconductor Index.
The NYSE Semiconductor Index measures the performance of the equity securities of the 30 largest U.S.-listed companies that are classified
according to the ICE Uniform Sector Classification schema within the semiconductors industry (as determined by ICE Data Indices, LLC or
its affiliates). Between October15, 2010 and June 21, 2021, the SOXX tracked the PHLX Semiconductor Sector Index; prior to October 15,
2010, the SOXX tracked the S&P North American Technology-Semiconductors Index. The shares of the iShares® Semiconductor ETF trade
on the Nasdaq Global Select Market under the symbol “SOXX”.
BlackRock Fund Advisors (“BFA”) uses
a representative sampling indexing strategy to manage the SOXX. “Representative sampling” is an indexing strategy that involves
investing in a representative sample of the securities included in the NYSE Semiconductor Index that collectively has an investment profile
similar to the NYSE Semiconductor Index. The securities selected are expected to have, in the aggregate, investment characteristics (based
on market capitalization and industry weightings), fundamental characteristics (such as return variability and yield), and liquidity measures
similar to those of the NYSE Semiconductor Index. The SOXX may or may not hold all of the securities that are included in the NYSE Semiconductor
Index. The performance of the SOXX may significantly diverge from that of its underlying index.
The SOXX Fund will generally invest at least 80%
of its assets in the securities of the NYSE Semiconductor Index and depositary receipts representing securities of the NYSE Semiconductor
Index. The SOXX Fund also may invest the remainder of its assets in certain futures, options and swap contracts, cash and cash equivalents,
including money market funds advised by BFA or its affiliates, as well as in securities not included in the NYSE Semiconductor Index,
but which BFA believes will help the SOXX Fund track the NYSE Semiconductor Index.
The shares of the SOXX are registered under the
Securities Exchange Act of 1934, as amended (the "Exchange Act"). Accordingly, information filed with the SEC relating to the
SOXX, including its periodic financial reports, may be found on the SEC website.
NYSE Semiconductor Index
The NYSE Semiconductor Index measures the performance
of large- or mid-capitalization companies, and components primarily include companies in the semiconductor and technology industries or
sectors. Companies that are classified within the Semiconductors industry of the ICE Uniform Sector Classification schema are eligible
for inclusion in the index This includes companies that either manufacture materials that have electrical conductivity (semiconductors)
to be used in electronic applications or utilize LED and OLED technology. This also includes companies that provide services or equipment
associated with semiconductors such as packaging and testing. The index sponsor determines the composition and relative weightings of
the securities in the NYSE Semiconductor Index and publishes information regarding the market value of the NYSE Semiconductor Index. The
index sponsor is under no obligation to continue to publish, and may discontinue or suspend the publication of, the NYSE Semiconductor
Index at any time. The NYSE Semiconductor Index is calculated, maintained and published by ICE Data Indices, LLC.
Historical Performance of the SOXX
The following graph sets forth the daily historical
performance of the SOXX in the period from January 2, 2019 through the pricing date. The SOXX currently tracks the NYSE Semiconductor
Index. Prior to June 21, 2021, the SOXX tracked the PHLX Semiconductor Sector Index. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the
Closing Market Price of the SOXX was $211.78.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-24 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
This historical data on the SOXX is not necessarily
indicative of the future performance of the SOXX or what the value of the Notes may be. Any historical upward or downward trend in the
Closing Market Price of the SOXX during any period set forth above is not an indication that the Closing Market Price of the SOXX is more
or less likely to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the Closing Market Prices and trading pattern of the SOXX.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-25 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Supplement to the Plan of Distribution; Role of BofAS and Conflicts
of Interest
BofAS, a broker-dealer affiliate of ours, is a member
of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the distribution of
the Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in this
offering to any of its discretionary accounts without the prior written approval of the account holder.
We will deliver the Notes against payment therefor
in New York, New York on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities
Exchange Act of 1934, trades in the secondary market generally are required to settle in one business day, unless the parties to any such
trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than one business day prior to the original
issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
Under our distribution agreement with BofAS, BofAS
will purchase the Notes from us as principal at the public offering price indicated on the cover of this pricing supplement, less the
indicated underwriting discount, if any. BofAS will sell the Notes to other broker-dealers that will participate in the offering and that
are not affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the Notes to one or more
additional broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not all dealers will purchase
or repurchase the Notes at the same discount. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may
forgo some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these
fee-based advisory accounts may be as low as $997.50 per $1,000.00 in principal amount of Notes. In addition to the underwriting discount,
if any, an affiliate of BofA Finance will pay a referral fee of up to $6.00 per $1,000.00 in principal amount of Notes in connection with
the distribution of the Notes to other registered broker-dealers.
BofAS and any of our other broker-dealer affiliates
may use this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and sales in
secondary market transactions and market-making transactions in the Notes. However, they are not obligated to engage in such secondary
market transactions and/or market-making transactions. These broker-dealer affiliates may act as principal or agent in these transactions,
and any such sales will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for a short, undetermined
initial period after the issuance of the Notes, BofAS may offer to buy the Notes in the secondary market at a price that may exceed the
initial estimated value of the Notes. Any price offered by BofAS for the Notes will be based on then-prevailing market conditions and
other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of us, the Guarantor,
BofAS or any of our other affiliates is obligated to purchase your Notes at any price or at any time, and we cannot assure you that any
party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes
will depend upon then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times,
this price may be higher than or lower than the initial estimated value of the Notes.
European Economic Area and United Kingdom
None of this pricing supplement, the accompanying
product supplement, the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the Prospectus
Regulation (as defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying
prospectus supplement have been prepared on the basis that any offer of Notes in any Member State of the European Economic Area (the “EEA”)
or in the United Kingdom (each, a “Relevant State”) will only be made to a legal entity which is a qualified investor under
the Prospectus Regulation (“Qualified Investors”). Accordingly any person making or intending to make an offer in that Relevant
State of Notes which are the subject of the offering contemplated in this pricing supplement, the accompanying product supplement, the
accompanying prospectus and the accompanying prospectus supplement may only do so with respect to Qualified Investors. Neither BofA Finance
nor BAC has authorized, nor does it authorize, the making of any offer of Notes other than to Qualified Investors. The expression “Prospectus
Regulation” means Regulation (EU) 2017/1129.
PROHIBITION OF SALES
TO EEA AND UNITED KINGDOM RETAIL INVESTORS – The Notes are not intended to be offered, sold or otherwise made available
to and should not be offered, sold or otherwise made available to any retail investor in the EEA or in the United Kingdom. For these purposes:
(a) a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended (“MiFID II”); or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution
Directive) where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii)
not a qualified investor as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication
in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor
to decide to purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU) No 1286/2014, as
amended (the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors
in the EEA or in the United Kingdom has been prepared and therefore offering or selling the Notes or otherwise making them available to
any retail investor in the EEA or in the United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement, the
accompanying product supplement, the accompanying prospectus supplement, the accompanying
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CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-26 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
prospectus and any other document or materials relating
to the issue of the Notes offered hereby is not being made, and such documents and/or materials have not been approved, by an authorized
person for the purposes of Section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the “FSMA”).
Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general public in the United
Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those persons in the United
Kingdom who have professional experience in matters relating to investments and who fall within the definition of investment professionals
(as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended (the “Financial
Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion Order, or who are any other persons to
whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons together being referred to as “Relevant
Persons”). In the United Kingdom, the Notes offered hereby are only available to, and any investment or investment activity to which
this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement and the accompanying prospectus relates
will be engaged in only with, Relevant Persons. Any person in the United Kingdom that is not a relevant person should not act or rely
on this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement or the accompanying prospectus
or any of their contents.
Any invitation or inducement to engage in investment
activity (within the meaning of Section 21 of the FSMA) in connection with the issue or sale of the Notes may only be communicated or
caused to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to BofA Finance, as Issuer, or BAC, as Guarantor.
All applicable provisions of the FSMA must be complied
with in respect to anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-27 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Structuring the Notes
The Notes are our debt securities, the return on
which is linked to the performance of the Underlyings. The related guarantee is BAC’s obligation. As is the case for all of our
and BAC’s respective debt securities, including our market-linked notes, the economic terms of the Notes reflect our and BAC’s
actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational,
funding and liability management costs to us and BAC, BAC typically borrows the funds under these types of notes at a rate, which we refer
to in this pricing supplement as BAC’s internal funding rate, that is more favorable to BAC than the rate that it might pay for
a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate, which is reflected in the
economic terms of the Notes, along with the fees and charges associated with market-linked notes, resulted in the initial estimated value
of the Notes on the pricing date being less than their public offering price.
In order to meet our payment obligations on the
Notes, at the time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based upon terms
provided by BofAS and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness, interest
rate movements, the volatility of the Underlyings, the tenor of the Notes and the hedging arrangements. The economic terms of the Notes
and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements
will include hedging related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these hedging
arrangements. Since hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses from these hedging
transactions may be more or less than any expected amounts.
For further information, see “Risk Factors”
beginning on page PS-5 and “Supplemental Use of Proceeds” on page PS-20 of the accompanying product supplement.
Validity of the Notes
In the opinion of McGuireWoods LLP, as counsel to
BofA Finance, as issuer, and BAC, as guarantor, when the trustee has made the appropriate entries or notations on Schedule 1 to the master
global note that represents the Notes (the “Master Note”) identifying the Notes offered hereby as supplemental obligations
thereunder in accordance with the instructions of BofA Finance, and the Notes have been delivered against payment therefor as contemplated
in this pricing supplement and the related prospectus, prospectus supplement and product supplement, all in accordance with the provisions
of the indenture governing the Notes and the related guarantee, such Notes will be the legal, valid and binding obligations of BofA Finance,
and the related guarantee will be the legal, valid and binding obligation of BAC, subject, in each case, to the effects of applicable
bankruptcy, insolvency (including laws relating to preferences, fraudulent transfers and equitable subordination), reorganization, moratorium
and other similar laws affecting creditors’ rights generally, and to general principles of equity. This opinion is given as of the
date of this pricing supplement and is limited to the Delaware General Corporation Law and the Delaware Limited Liability Company Act
(including the statutory provisions, all applicable provisions of the Delaware Constitution and reported judicial decisions interpreting
either of the foregoing) and the laws of the State of New York as in effect on the date hereof. In addition, this opinion is subject to
customary assumptions about the trustee’s authorization, execution and delivery of the indenture governing the Notes and due authentication
of the Master Note, the validity, binding nature and enforceability of the indenture governing the Notes and the related guarantee with
respect to the trustee, the legal capacity of individuals, the genuineness of signatures, the authenticity of all documents submitted
to McGuireWoods LLP as originals, the conformity to original documents of all documents submitted to McGuireWoods LLP as copies thereof,
the authenticity of the originals of such copies and certain factual matters, all as stated in the opinion letter of McGuireWoods LLP
dated December 8, 2022, which has been filed as an exhibit to the Registration Statement (File Nos. 333-268718 and 333-268718-01) of BAC
and BofA Finance, filed with the SEC on December 8, 2022.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-28 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
U.S. Federal Income Tax Summary
The following summary of the material U.S. federal
income and estate tax considerations of the acquisition, ownership, and disposition of the Notes supplements, and to the extent inconsistent
supersedes, the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and is not exhaustive
of all possible tax considerations. This summary 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 proposed and 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. No assurance can be given that
the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences described below. This
summary does not include any description of the tax laws of any state or local governments, or of any foreign government, that may be
applicable to a particular holder.
Although the Notes are issued by us, they will be
treated as if they were issued by BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to
“we,” “our” or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders
and Non-U.S. Holders that, except as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the Notes
as capital assets within the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not
excluded from the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning
the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the Notes, as well as any tax consequences arising
under the 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 administrative
authority directly addressing the characterization of the Notes, we intend to treat the Notes for all tax purposes as contingent income-bearing
single financial contracts with respect to the Underlyings and under the terms of the Notes, we and every investor in the Notes agree,
in the absence of an administrative determination or judicial ruling to the contrary, to treat the Notes in accordance with such characterization.
In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the Notes as contingent income-bearing single financial contracts
with respect to the Underlyings. However, Sidley Austin LLP has advised us that it is unable to conclude that it is more likely than not
that this treatment will be upheld. This discussion assumes that the Notes constitute contingent income-bearing single financial contracts
with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did not constitute contingent income-bearing single
financial contracts, the tax consequences described below would be materially different.
This characterization of the Notes is not binding
on the IRS or the courts. No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or
any similar instruments for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper
characterization and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences
of an investment in the Notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterization
and tax treatment described in this pricing supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects of
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative characterizations.
Unless otherwise stated, the following discussion
is based on the characterization described above. The discussion in this section assumes that there is a significant possibility of a
significant loss of principal on an investment in the Notes.
We will not attempt to ascertain whether the issuer
of any Underlying would be treated as a “passive foreign investment company” (“PFIC”), within the meaning of Section
1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c) of the Code. If the issuer
of any Underlying were so treated, certain adverse U.S. federal income tax consequences could possibly apply to a holder of the Notes.
You should refer to information filed with the SEC by the issuers of the Underlyings and consult your tax advisor regarding the possible
consequences to you, if any, if the issuer of any Underlying is or becomes a PFIC or is or becomes a United States real property holding
corporation.
U.S. Holders
Although the U.S. federal income tax treatment of
any Contingent Coupon Payment on the Notes is uncertain, we intend to take the position, and the following discussion assumes, that any
Contingent Coupon Payment constitutes taxable ordinary income to a U.S. Holder at the time received or accrued in accordance with the
U.S. Holder’s regular method of accounting. By purchasing the Notes you agree, in the absence of an administrative determination
or judicial ruling to the contrary, to treat any Contingent Coupon Payment as described in the preceding sentence.
Upon receipt of a cash payment at maturity or upon
a sale, exchange, or redemption of the Notes prior to maturity, a U.S. Holder generally will recognize capital gain or loss equal to the
difference between the amount realized (other than amounts representing any Contingent Coupon Payment, which would be taxed as described
above) and the U.S. Holder’s tax basis in the Notes. A U.S. Holder’s tax basis in the Notes will equal the amount paid by
that holder to acquire them. Subject to the discussion below concerning the possible application of the “constructive ownership”
rules of Section 1260 of the Code, this capital gain or loss generally will be long-term capital gain or loss if the U.S. Holder held
the Notes for more than one year. The deductibility of capital losses is subject to limitations.
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CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-29 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Possible Application of Section 1260 of the Code.
Since the Underlyings are the type of financial assets described under Section 1260 of the Code (including, among others, any equity
interest in pass-through entities such as exchange traded funds, regulated investment companies, real estate investment trusts, partnerships,
and passive foreign investment companies, each a “Section 1260 Financial Asset”), while the matter is not entirely clear,
there may exist a risk that an investment in the Notes will be treated , in whole or in part, as a “constructive ownership transaction”
to which Section 1260 of the Code applies. If Section 1260 of the Code applies, all or a portion of any long-term capital gain recognized
by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income (the “Excess Gain”). In addition, an interest
charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in
gross income inclusion for the U.S. Holder in taxable years prior to the taxable year of the sale, exchange, redemption, or settlement
(assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange, redemption, or
settlement).
If an investment in the Notes is treated as a constructive
ownership transaction, it is not clear to what extent any long-term capital gain of a U.S. Holder in respect of the Notes will be recharacterized
as ordinary income. It is possible, for example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary
income in respect of the Notes will equal the excess of (i) any long-term capital gain recognized by the U.S. Holder in respect of the
Notes and attributable to Section 1260 Financial Assets, over (ii) the “net underlying long-term capital gain” (as defined
in Section 1260 of the Code) such U.S. Holder would have had if such U.S. Holder had acquired an amount of the corresponding Section 1260
Financial Assets at fair market value on the original issue date for an amount equal to the portion of the issue price of the Notes attributable
to the corresponding Section 1260 Financial Assets and sold such amount of Section 1260 Financial Assets at maturity or upon sale, exchange
or redemption of the Notes at fair market value. Unless otherwise established by clear and convincing evidence, the net underlying long-term
capital gain is treated as zero and therefore it is possible that all long-term capital gain recognized by a U.S. Holder in respect of
the Notes will be recharacterized as ordinary income if Section 1260 of the Code applies to an investment in the Notes. U.S. Holders should
consult their tax advisors regarding the potential application of Section 1260 of the Code to an investment in the Notes.
As described below, the IRS, as indicated in Notice
2008-2 (the “Notice”), is considering whether Section 1260 of the Code generally applies or should apply to the Notes, including
in situations where the Underlyings are not the type of financial asset described under Section 1260 of the Code.
Alternative Tax Treatments. Due to the absence
of authorities that directly address the proper tax treatment of the Notes, prospective investors are urged to consult their tax advisors
regarding all possible alternative tax treatments of an investment in the Notes. In particular, the IRS could seek to subject the Notes
to the Treasury regulations governing contingent payment debt instruments. If the IRS were successful in that regard, the timing and character
of income on the Notes would be affected significantly. Among other things, a U.S. Holder would be required to accrue original issue discount
every year at a “comparable yield” determined at the time of issuance. In addition, any gain realized by a U.S. Holder at
maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary income, and any loss realized at
maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary loss to the extent of the U.S. Holder’s
prior accruals of original issue discount, and as capital loss thereafter.
In addition, it is possible that the Notes could
be treated as a unit consisting of a deposit and a put option written by the Note holder, in which case the timing and character of income
on the Notes would be affected significantly.
The Notice sought comments from the public on the
taxation of financial instruments currently taxed as “prepaid forward contracts.” This Notice addresses instruments such as
the Notes. According to the Notice, the IRS and Treasury are considering whether a holder of an instrument such as the Notes 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 affect the amount, timing
and character of income, gain, or loss in respect of the Notes, possibly with retroactive effect.
The IRS and Treasury are also considering additional
issues, 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 withholding tax 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 underlying asset.
In addition, proposed Treasury regulations require
the accrual of income on a current basis for contingent payments made under certain notional principal contracts. The preamble to the
regulations states that the “wait and see” method of accounting does not properly reflect the economic accrual of income on
those contracts, and requires current accrual of income for some contracts already in existence. While the proposed regulations do not
apply to prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in the
case of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingent
payments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of the Notes.
Because of the absence of authority regarding the
appropriate tax characterization of the Notes, it is also possible that the IRS could seek to characterize the Notes in a manner that
results in tax consequences that are different from those described above. For example, the IRS could possibly assert that any gain or
loss that a holder may recognize at maturity or upon the sale, exchange, or redemption of the Notes should be treated as ordinary gain
or loss.
Non-U.S. Holders
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CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-30 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Because the U.S. federal income tax treatment of
the Notes (including any Contingent Coupon Payment) is uncertain, we (or the applicable paying agent) will withhold U.S. federal income
tax at a 30% rate (or at a lower rate under an applicable income tax treaty) on the entire amount of any Contingent Coupon Payment made
unless such payments are effectively connected with the conduct by the Non-U.S. Holder of a trade or business in the U.S. (in which case,
to avoid withholding, the Non-U.S. Holder will be required to provide a Form W-8ECI). We (or the applicable paying agent) will not pay
any additional amounts in respect of such withholding. To claim benefits under an income tax treaty, a Non-U.S. Holder must obtain a taxpayer
identification number and certify as to its eligibility under the appropriate treaty’s limitations on benefits article, if applicable.
In addition, special rules may apply to claims for treaty benefits made by Non-U.S. Holders that are entities rather than individuals.
The availability of a lower rate of withholding under an applicable income tax treaty will depend on whether such rate applies to the
characterization of the payments under U.S. federal income tax laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal
withholding tax pursuant to an income tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for
refund with the IRS.
Except as discussed below, a Non-U.S. Holder generally
will not be subject to U.S. federal income or withholding tax for amounts paid in respect of the Notes (not including, for the avoidance
of doubt, amounts representing any Contingent Coupon Payment which would be subject to the rules discussed in the previous paragraph)
upon the sale, exchange, or redemption of the Notes or their settlement at maturity, provided that the Non-U.S. Holder complies with applicable
certification requirements and that the payment is not effectively connected with the conduct by the Non-U.S. Holder of a U.S. trade or
business. Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the Notes 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 individual and is present in the U.S. for 183 days
or more during the taxable year of the sale, exchange, redemption, or settlement and certain other conditions are satisfied.
If a Non-U.S. Holder of the Notes is engaged in
the conduct of a trade or business within the U.S. and if any Contingent Coupon Payment and gain realized on the settlement at maturity,
or upon sale, exchange, or redemption of the Notes, is effectively connected with the conduct of such trade or business (and, if certain
tax treaties apply, is attributable to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S. Holder,
although exempt from U.S. federal withholding tax, generally will be subject to U.S. federal income tax on such Contingent Coupon Payment
and 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 the Notes. 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 of its earnings and profits for the taxable year that are effectively
connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated
as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if 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 an interest in an “underlying
security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment
with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2027. Based on our
determination that the Notes are not delta-one instruments, Non-U.S. Holders should not be subject to withholding on dividend equivalent
payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the Underlyings or the Notes, and following such occurrence the Notes could
be treated as subject to withholding on dividend equivalent payments. Non-U.S. Holders that enter, or have entered, into other transactions
in respect of the Underlyings or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding
tax in the context of the Notes and their other transactions. If any payments are treated as dividend equivalents subject to withholding,
we (or the applicable paying agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect
to amounts so withheld.
As discussed above, alternative characterizations
of the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or clarification
of the law, by regulation or otherwise, cause payments as to the Notes to become subject to withholding tax in addition to the withholding
tax described above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should consult their own tax
advisors regarding the tax consequences of such alternative characterizations.
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 individual
has retained certain interests or powers), should note that, absent an applicable treaty benefit, a Note is 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 the
U.S. federal estate tax consequences of investing in a Note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal
Income Tax Considerations — General — Backup Withholding and Information Reporting” in the accompanying prospectus for
a description of the applicability of the backup withholding and information reporting rules to payments made on the Notes.
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CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-31 |
Contingent Income (with Memory Feature) Auto-Callable Yield Notes Linked to the Least Performing of the SPDR® S&P 500® ETF Trust, the Technology Select Sector SPDR® Fund and the iShares® Semiconductor ETF
Where You Can Find More Information
The terms and risks of the Notes are contained in
this pricing supplement and in the following related product supplement, prospectus supplement and prospectus, which can be accessed at
the following links:
•
Product Supplement EQUITY-1 dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315473/d429684d424b2.htm
•
Series A MTN prospectus supplement dated December 30, 2022 and prospectus dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315195/d409418d424b3.htm
This pricing supplement and the accompanying product
supplement, prospectus supplement and prospectus have been filed as part of a registration statement with the SEC, which may, without
cost, be accessed on the SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before you invest, you should read
this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for information about us, BAC and
this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by this
pricing supplement and the accompanying product supplement, prospectus supplement and prospectus. Certain terms used but not defined in
this pricing supplement have the meanings set forth in the accompanying product supplement or prospectus supplement. Unless otherwise
indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,”
or similar references are to BofA Finance, and not to BAC.
The Notes are our senior debt securities. Any payments
on the Notes are fully and unconditionally guaranteed by BAC. The Notes and the related guarantee are not insured by the Federal Deposit
Insurance Corporation or secured by collateral. The Notes will rank equally in right of payment with all of our other unsecured and unsubordinated
obligations, except obligations that are subject to any priorities or preferences by law. The related guarantee will rank equally in right
of payment with all of BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities
or preferences by law, and senior to its subordinated obligations. Any payments due on the Notes, including any repayment of the principal
amount, will be subject to the credit risk of BofA Finance, as Issuer, and BAC, as Guarantor.
|
CONTINGENT INCOME (WITH MEMORY FEATURE) AUTO-CALLABLE YIELD NOTES | PS-32 |
S-3
424B2
EX-FILING FEES
333-268718-01
0001682472
BofA Finance LLC
0001682472
2024-08-13
2024-08-13
iso4217:USD
xbrli:pure
xbrli:shares
Exhibit 107
The prospectus to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price for such offering is $1,366,000.
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