This pricing supplement, which is not complete and may be changed, relates to an effective Registration Statement under the Securities Act of 1933. This pricing supplement and the accompanying product supplement, prospectus supplement and prospectus are not an offer to sell these notes in any country or jurisdiction where such an offer would not be permitted.
Linked to the Least Performing of the iShares®
Biotechnology ETF and the SPDR® S&P®
Biotech ETF
|
●
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Maturity of approximately 18 months.
|
|
●
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Payment on the Notes will depend on the individual performance
of the iShares® Biotechnology ETF and the SPDR®
S&P® Biotech ETF (each
an “Underlying”).
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|
●
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150% upside exposure to increases in the value of the
Least Performing Underlying, subject to the Max Return of 70.00%.
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|
●
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1-to-1 downside exposure to decreases in the value of the Least
Performing Underlying with up to 100% of the principal at risk.
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●
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All payments on the Notes are subject to the credit risk of BofA Finance LLC (“BofA Finance”),
as issuer of the Notes, and Bank of America Corporation (“BAC” or the “Guarantor”), as guarantor of the Notes.
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●
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No periodic interest payments.
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●
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The Capped Enhanced Return Notes linked to the Least Performing of the iShares® Biotechnology
ETF and the SPDR® S&P®
Biotech ETF, due March 30, 2023 (the “Notes”) are expected to price on September 27, 2021 and expected to issue on September
30, 2021.
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|
●
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The Notes will not be listed on any securities exchange.
|
The initial estimated value of the Notes as of the
pricing date is expected to be between $940.00 and $990.00 per $1,000 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-7 of this pricing supplement and “Structuring the Notes” on page PS-16 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-7 of this pricing supplement, page PS-5 of the accompanying product supplement, page S-5 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)
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Underwriting discount(1)(2)(3)
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Proceeds, before expenses, to BofA Finance(2)
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Per Note
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$1,000.00
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$0.00
|
$1,000.00
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Total
|
|
|
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(1)
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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 $1,000.00 per $1,000 in principal amount of the Notes.
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(2)
|
The underwriting discount per $1,000
in principal amount of Notes may be as high as $0.00, resulting in proceeds, before expenses, to BofA Finance of as low as $1,000.00 per
$1,000 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 in principal amount of 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
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May Lose Value
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|
Selling Agent
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
Terms of the Notes
The Notes provide you a leveraged
return, subject to the Max Return, if the Ending Value of the Least Performing Underlying is greater than its Starting Value. If the Ending
Value of the Least Performing Underlying is its Starting Value you will receive
the principal amount of your Notes at maturity. If the Ending Value of the Least Performing
Underlying is less than its Starting Value, there is full exposure to declines in the Least
Performing Underlying and you will lose some or all of your investment in the Notes. Any payments on the Notes will be calculated
based on $1,000 in principal amount of Notes and will depend on the performance of the Underlyings, subject to our and BAC’s credit
risk.
Issuer:
|
BofA Finance
|
Guarantor:
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BAC
|
Denominations:
|
The Notes will be issued in minimum denominations of $1,000 and whole multiples of $1,000 in excess thereof.
|
Term:
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Approximately 18 months.
|
Underlyings:
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The iShares® Biotechnology ETF (Bloomberg symbol: IBB) and the SPDR® S&P® Biotech ETF (Bloomberg symbol: XBI).
|
Pricing Date*:
|
September 27, 2021
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Issue Date*:
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September 30, 2021
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Valuation Date*:
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March 27, 2023, subject to postponement as described under Description of the Notes—Certain Terms of the Notes—Events Relating to Calculation Days in the accompanying product supplement.
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Maturity Date*:
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March 30, 2023
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Starting Value:
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With respect to each Underlying, its Closing Market Price on the pricing date.
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Ending Value:
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With respect to each Underlying, its Closing Market Price on the Valuation Date multiplied by its Price Multiplier.
|
Price Multiplier:
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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-27 of the accompanying product supplement.
|
Upside Participation Rate:
|
150%
|
Max Return:
|
$1,700.00 per Note, which represents a return of 70.00% over the principal amount.
|
Redemption Amount:
|
The Redemption Amount per $1,000 in principal amount of Notes will be:
|
a) If the Ending Value of the Least Performing Underlying is greater than or equal to its Starting Value:
|
|
b) If the Ending Value of the Least Performing Underlying is less than its Starting Value:
|
|
In this case, the Redemption Amount will be less than the principal amount and you could lose up to 100% of your principal amount.
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Calculation Agent:
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BofA Securities, Inc. (BofAS), an affiliate of BofA Finance.
|
Selling Agent:
|
BofAS
|
CUSIP:
|
09709URW0
|
Underlying Return:
|
With respect to each Underlying,
|
|
CAPPED ENHANCED RETURN NOTES | PS-2
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
|
|
Least Performing Underlying:
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The Underlying with the lowest Underlying Return.
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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—Events of Default and Rights of Acceleration beginning on page 22 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. 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.
|
*Subject to
change.
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-7), will reduce 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 pay to purchase the Notes will be greater than the initial estimated value of the Notes as of the
pricing date.
The initial estimated value range of the Notes is set
forth on the cover page of this pricing supplement. The final pricing supplement will set forth the initial estimated value of the Notes
as of the pricing date. For more information about the initial estimated value and the structuring of the Notes, see “Risk Factors”
beginning on page PS-7 and “Structuring the Notes” on page PS-16.
|
CAPPED ENHANCED RETURN NOTES | PS-3
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
Redemption Amount Determination
On
the Maturity Date, you will receive a cash payment per $1,000 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.
|
CAPPED ENHANCED RETURN NOTES | PS-4
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
Hypothetical Payout Profile and Examples of Payments at Maturity
Capped Enhanced
Return Notes Table
The following table, graph and Redemption Amount Calculation
Examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the
Notes. They illustrate 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, the Upside Participation Rate of 150%, the Max Return of $1,700.00 per $1,000 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 and Ending Values of the Underlyings, and whether you hold the Notes to maturity.
The following examples do not take into account any tax consequences from investing in the Notes.
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
|
Return
on the Notes
|
160.00
|
60.00%
|
$1,700.00
|
70.00%
|
150.00
|
50.00%
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$1,700.00
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70.00%
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146.67
|
46.67%
|
$1,700.00(1)
|
70.00%
|
140.00
|
40.00%
|
$1,600.00
|
60.00%
|
130.00
|
30.00%
|
$1,450.00
|
45.00%
|
120.00
|
20.00%
|
$1,300.00
|
30.00%
|
110.00
|
10.00%
|
$1,150.00
|
15.00%
|
105.00
|
5.00%
|
$1,075.00
|
7.50%
|
102.00
|
2.00%
|
$1,030.00
|
3.00%
|
100.00(2)
|
0.00%
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$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$900.00
|
-10.00%
|
80.00
|
-20.00%
|
$800.00
|
-20.00%
|
70.00
|
-30.00%
|
$700.00
|
-30.00%
|
50.00
|
-50.00%
|
$500.00
|
-50.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
(1)
|
The Redemption Amount per Note cannot exceed the Max Return.
|
(2)
|
The
hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only and does not represent a likely
Starting Value of any Underlying.
|
|
CAPPED ENHANCED RETURN NOTES | PS-5
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
Hypothetical Payout Profile and Examples of Payments at Maturity
This graph reflects the return on the Notes based on
the Upside Participation Rate of 150% and the Max Return of $1,700.00 per $1,000 in principal amount of Notes. The green line reflects
the return on the Notes, while the dotted gray line reflects the returns of a direct investment in the Least Performing Underlying, excluding
dividends.
This graph has been prepared for purposes of illustration
only.
Redemption
Amount Calculation Examples
Example 1
The Ending Value of the Least Performing
Underlying is 150.00, or 150.00% of its Starting Value:
Starting Value of the Least Performing Underlying:
|
100.00
|
|
Ending Value of the Least Performing Underlying:
|
150.00
|
|
|
|
|
Example 2
The Ending Value of the Least Performing
Underlying is 102.00, or 102.00% of its Starting Value:
Starting Value of the Least Performing Underlying:
|
100.00
|
|
Ending Value of the Least Performing Underlying:
|
102.00
|
|
|
|
|
Example 3
The Ending Value of the Least Performing
Underlying is 50.00, or 50.00% of its Starting Value:
Starting Value of the Least Performing Underlying:
|
100.00
|
|
Ending Value of the Least Performing Underlying:
|
50.00
|
|
|
|
|
|
CAPPED ENHANCED RETURN NOTES | PS-6
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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-5 of the accompanying prospectus supplement
and page 7 of the accompanying prospectus, each as identified on page PS-20 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 Ending Value of any Underlying is less than 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 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
some or all of your investment in 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.
|
|
●
|
The return on the Notes will be limited to the Max Return. The return on the Notes will not exceed the Max Return, regardless
of the performance of the Underlying.
|
|
●
|
The Notes do not bear interest. Unlike a conventional debt security, no interest payments will be paid over the term of the
Notes, regardless of the extent to which the Ending Value of the Least Performing Underlying exceeds its Starting Value.
|
|
●
|
The Redemption Amount will not reflect changes in the prices of the Underlyings other than on the Valuation Date. Changes in
the prices of the Underlyings during the term of the Notes other than on the Valuation Date will not be reflected in the calculation of
the Redemption Amount. No other prices of the Underlyings will be taken into account. Notwithstanding the foregoing, investors should
generally be aware of the performance of the Underlyings while holding the Notes. As a result, you will receive less than the principal
amount at maturity even if the price of each Underlying has increased at certain times during the term of the Notes before the Least Performing
Underlying decreases to a price on the Valuation Date that is less than its Starting Value.
|
|
●
|
Because the Notes are linked to the least performing (and not the average performance) of the Underlyings, you may not receive
any return on the Notes and may lose some or all of your investment in the Notes even if the Ending Value of one Underlying is greater
than or equal to its Threshold Value. 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 price of the other Underlying(s). 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 price
of the other Underlying(s). 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 price of the other Underlying(s). Even if the Ending Value
of an Underlying is at or above its Threshold Value, you will lose some 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 the Redemption Amount at maturity will be dependent upon our ability
and the ability of the Guarantor to repay our respective obligations under the Notes on the Maturity Date, regardless of the Ending Value
of the Least Performing Underlying as compared to its Starting Value.
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 prices 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 pay for the Notes will exceed their initial estimated value. The range of initial estimated values
of the Notes that is provided on the cover page of this preliminary pricing supplement, and the initial estimated value as of the pricing
date that will be provided in the final pricing supplement, are each estimates only, determined as of a particular point in time 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
|
|
CAPPED ENHANCED RETURN NOTES | PS-7
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
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, 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 BofAS, may from time
to time own shares or units of the Underlyings or the securities included in 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 affect 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 expect to engage in hedging activities that could affect
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
|
●
|
The stocks
held by each Underlying are concentrated in one sector. The Underlyings hold securities issued by companies in the biotechnology sector.
As a result, the stocks that will determine the performance of the Notes are concentrated in one sector. Although an investment in the
Notes will not give holders any ownership or other direct interests in the securities held by the Underlyings, the return on an investment
in the Notes will be subject to certain risks associated with a direct equity investment in the biotechnology sector. 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.
|
|
●
|
Adverse conditions
in the biotechnology sector may reduce your return on the Notes. All of the stocks held by each of the Underlyings are issued by companies
whose primary lines of business are directly associated with the biotechnology sector. The profitability of these companies is largely
dependent on, among other things, demand for the companies’ products, regulatory influences on the biotechnology market (including
healthcare reform and receipt of regulatory approvals and compliance with complex regulatory requirements), pricing and reimbursement
from third party payors, continued innovation and successful development of new products, talent attraction and retention, maintaining
intellectual property rights and industry competition. Any adverse developments affecting the biotechnology sector could adversely affect
the price of the Underlyings and, in turn, the value of the Notes.
|
|
●
|
The performance
of an Underlying may not correlate with the performance of its underlying index as well as the net asset value per share 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
|
|
CAPPED ENHANCED RETURN NOTES | PS-8
|
Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
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, an 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 such Underlying, differences in trading hours between such Underlying (or the underlying
assets held by such 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 of each Underlying are traded on a
securities exchange and are subject to market supply and investor demand, the market price of one share of an Underlying may differ from
its net asset value per share; shares of an Underlying may trade at, above, or below its net asset value per share. 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 of an Underlying and the liquidity of such Underlying may be adversely affected. Market volatility
may also disrupt the ability of market participants to trade shares of an Underlying. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell shares of an Underlying. As a result, under
these circumstances, the market value of shares of an Underlying may vary substantially from the net asset value per share of such 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.
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The sponsor or investment advisor of an Underlying may adjust that Underlying in a way that affects its prices, and the sponsor
or investment advisor has no obligation to consider your interests. 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.
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The iShares® Biotechnology ETF recently changed its Underlying Index and it has limited historical information tracking
the new Underlying Index. Prior to June 21, 2021, the iShares® Biotechnology ETF (formerly known as the iShares®
Nasdaq Biotechnology ETF) tracked the Nasdaq Biotechnology Index. On June 21, 2021, the IBB began tracking the ICE Biotechnology Index.
Any historical information about the performance of the IBB for any period before June 21, 2021 is during a period in which the IBB tracked
the Nasdaq Biotechnology Index, and therefore should not be considered information relevant to how the IBB will perform as it tracks the
ICE Biotechnology Index. In addition, there can be no assurance that the IBB will not further change the Underlying Index it tracks in
the future. See “The Underlyings - iShares® Biotechnology ETF” below for more information on the Underlying
Index the IBB tracks.
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Tax-related Risks
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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 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 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 investing in the Notes.
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CAPPED ENHANCED RETURN NOTES | PS-9
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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 IBB and the investment advisor of the XBI (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 iShares® Biotechnology ETF
IBB seeks investment results that correspond generally
to the price and yield performance, before fees and expenses, of an index comprised of U.S.-listed equities in the biotechnology sector.
Prior to June 21, 2021, IBB tracked the Nasdaq Biotechnology Index. On June 21, 2021, IBB started tracking the “gross total return”
version of the ICE Biotechnology Index. Further, effective June 21, 2021, the name of IBB changed from the iShares® Nasdaq
Biotechnology ETF to the iShares® Biotechnology ETF.
The ICE Biotechnology Index®
The ICE Biotechnology Index (the “underlying index”)
is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of qualifying U.S. listed biotechnology
companies.
Biotechnology companies are defined as those classified
within the Biotechnology Sub-Industry Group of the ICE Uniform Sector Classification schema. This includes companies that are engaged
in the research and development of therapeutic treatments but are not focused on the commercialization and mass production of pharmaceutical
drugs. This also includes companies that are engaged in the production of tools or systems that enable biotechnology processes.
The underlying index includes common stocks, ordinary
shares, American Depository Receipts (ADRs), shares of beneficial interest and limited partnership interests that meet the following criteria:
1. Listed on one of the following U.S. exchanges:
New York Stock Exchange (NYSE), NYSE American, Cboe BZX, NASDAQ Global Select Market, NASDAQ Global Market,
2. Classified within the Biotechnology Sub-Industry
Group of the ICE Uniform Sector Classification schema.
3. A minimum $200 million security-level
non-float adjusted market capitalization,
4. A minimum 5% security-level free float.
5. 100,000 share minimum U.S. consolidated
average daily volume over the ten months preceding the reference date,
6. IPOs and new listings must be at least
three full calendar months past the listing date, not including the listing month but including the reconstitution reference date month
of October.
7. If a company has multiple listed share
classes that qualify, then they will all be included in the underlying index at their respective float-adjusted security-level market
capitalization weighting.
The underlying index is float-adjusted market capitalization-weighted
subject to certain exposure limits. First, all constituents are capped at 8% with any excess weight redistributed on a pro-rata basis
to constituents below that cap, provided none can be increased above 8%. Next, the weights of constituents outside the initial five largest
are capped at 4% with any excess weight redistributed on a pro-rata basis to (i) any of the five largest constituents that are below 8%
(provided they cannot be increased above 8%), and (ii) any other constituents that are below 4% (provided none are increased above 4%).
Finally, the cumulative weight of all ADRs is capped at 10% with the reductions applied proportionately across that group. Excess weight
is redistributed on a pro-rata basis to (i) any non-ADR constituents among the resulting five largest constituents that are below 8% (provided
they cannot be increased above 8%) and (ii) any other non-ADR constituents that are below 4% (provided they cannot be increased above
4%).
The underlying index undergoes a full reconstitution
of constituent holdings annually after the close of the third Friday of December. At the annual reconstitution, qualifying constituents
are re-selected based on the above criteria, and float-adjusted market capitalization weights are determined subject to the above exposure
limits. The reference date for the input data used to determine security qualification is the close of the last trading day of October,
and reference data for the input data used to determine weights is the close of the last trading day of November. The announcement date
is the close of the first Friday of December.
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CAPPED ENHANCED RETURN NOTES | PS-10
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
In addition to the annual reconstitution, the underlying
index undergoes a rebalancing after the close of the third Friday of March, June, and September. At the quarterly rebalancings, no constituents
are added to or removed from the underlying index; however, constituent weights are recalculated based on updated float-adjusted market
capitalizations subject to the issuer and ADR exposure limits. The reference date for all input data used in the quarterly rebalances
is the close of the last trading day of the month preceding the month of effectiveness (February, May, August) and the announcement date
is the close of the first Friday of the rebalance month.
The underlying index is adjusted for corporate actions
that affect constituents and implements any intra-quarter float adjusted shares outstanding updates greater than 10% in scheduled monthly
share updates that take effect after the close of the last trading day of each month. Securities are removed from the underlying index
only when both the transaction and delisting is either confirmed or deemed imminent. If a security is suspended prior to its removal from
the underlying index, then the security is deleted at the close of the next trading day at either the last traded price (cash only terms)
or the value of the deal terms (share or cash/share terms), if available. There are no intra-quarter replacements of constituents in the
underlying index. The underlying index implements a zero-price spin-off policy. A spin-co is added into the underlying index effective
for the spin-off ex-date with a $0 price and no price adjustment is made on the parent constituent. After the close of the first day of
trading for the spin-co, it is deleted from the underlying index at its last traded price.
Historical Performance of the IBB
The following graph sets forth the daily historical
performance of the IBB in the period from September 23, 2008 through September 13, 2021. 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. The Starting Value
of the IBB will be its Closing Market Price on the pricing date.
This historical data on the IBB is not necessarily indicative
of the future performance of the IBB or what the value of the Notes may be. Any historical upward or downward trend in the Closing Market
Price of the IBB during any period set forth above is not an indication that the Closing Market Price of the IBB is more or less likely
to increase or decrease at any time over the term of the Notes. Any historical information about the performance of the IBB for any period
before June 21, 2021 was during a period in which the IBB tracked a different underlying index, and therefore should not be considered
information relevant to how the IBB will perform tracking the ICE Biotechnology Index.
Before investing in the Notes, you should consult publicly
available sources for the Closing Market Prices and trading pattern of the IBB.
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CAPPED ENHANCED RETURN NOTES | PS-11
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
The SPDR® S&P® Biotech
ETF
The XBI seeks to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of the S&P®
Biotechnology Select Industry® Index (the “underlying index”).
The underlying index represents the biotechnology sub-industry portion of the Standard & Poor’s (“S&P”) Total
Market Index (“S&P TMI”), an index that measures the performance of the U.S. equity market. The XBI is composed of companies
that are in the biotechnology sector. The XBI trades on NYSE Arca under the ticker symbol “XBI.”
The XBI utilizes a “replication” investment
approach in attempting to track the performance of its underlying index. The XBI typically invests in substantially all of the securities
which comprise the underlying index in approximately the same proportions as the underlying index. The XBI will normally invest at least
80% of its total assets in the common stocks that comprise the underlying index.
The S&P® Biotechnology Select Industry® Index
This underlying index is an equal-weighted index that
is designed to measure the performance of the biotechnology sub-industry portion of the S&P TMI. The S&P TMI includes all U.S.
common equities listed on the New York Stock Exchange (the “NYSE”) (including NYSE Arca), the NYSE American, the Nasdaq Global
Select Market, and the Nasdaq Capital Market. Each of the component stocks in the underlying index is a constituent company within the
biotechnology sub-industry portion of the S&P TMI.
To be eligible for inclusion in the underlying index,
companies must be in the S&P TMI and must be included in the relevant Global Industry Classification Standard (GICS) sub-industry.
The GICS was developed to establish a global standard for categorizing companies into sectors and industries. In addition to the above,
companies must satisfy one of the two following combined size and liquidity criteria:
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float-adjusted market capitalization above US$500 million and float-adjusted liquidity ratio above 90%;
or
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float-adjusted market capitalization above US$400 million and float-adjusted liquidity ratio above 150%.
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All U.S. companies satisfying these requirements are
included in the underlying index. The total number of companies in the underlying index should be at least 35. If there are fewer than
35 stocks, stocks from a supplementary list of highly correlated sub-industries that meet the market capitalization and liquidity thresholds
above are included in order of their float-adjusted market capitalization to reach 35 constituents. Minimum market capitalization requirements
may be relaxed to ensure there are at least 22 companies in the underlying index as of each rebalancing effective date.
Eligibility factors include:
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Market Capitalization: Float-adjusted market capitalization should be at least US$400 million for inclusion
in the underlying index. Existing index components must have a float-adjusted market capitalization of US$300 million to remain in the
underlying index at each rebalancing.
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Liquidity: The liquidity measurement used is a liquidity ratio, defined as dollar value traded over the previous
12-months divided by the float-adjusted market capitalization as of the underlying index rebalancing reference date. Stocks having a float-adjusted
market capitalization above US$500 million must have a liquidity ratio greater than 90% to be eligible for addition to the underlying
index. Stocks having a float-adjusted market capitalization between US$400 and US$500 million must have a liquidity ratio greater than
150% to be eligible for addition to the underlying index. Existing index constituents must have a liquidity ratio greater than 50% to
remain in the underlying index at the quarterly rebalancing. The length of time to evaluate liquidity is reduced to the available trading
period for IPOs or spin-offs that do not have 12 months of trading history.
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Takeover Restrictions: At the discretion of S&P, constituents with shareholder ownership restrictions
defined in company bylaws may be deemed ineligible for inclusion in the underlying index. Ownership restrictions preventing entities from
replicating the index weight of a company may be excluded from the eligible universe or removed from the underlying index.
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Turnover: S&P believes turnover in index membership should be avoided when possible. At times, a company
may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to the underlying
index, not for continued membership. As a result, an index constituent that appears to violate the criteria for addition to the underlying
index will not be deleted unless ongoing conditions warrant a change in the composition of the underlying index.
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Computation of the Underlying Index
The underlying index is calculated as the underlying
index market value divided by the divisor. In an equal-weighted index like the underlying index, the market capitalization of each stock
used in the calculation of the index market value is redefined so that each stock has an equal weight in the index on each rebalancing
date. The adjusted market capitalization for each stock in the index is calculated as the product of the stock price, the number of shares
outstanding, the stock’s float factor and the adjustment factor.
A stock’s float factor refers to the number of
shares outstanding that are available to investors. S&P indices exclude shares closely held by control groups from the underlying
index calculation because such shares are not available to investors. For each stock, S&P calculates an Investable Weight Factor (IWF)
which is the percentage of total shares outstanding that are included in the underlying index calculation.
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CAPPED ENHANCED RETURN NOTES | PS-12
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
The adjustment factor for each stock is assigned at
each rebalancing date and is calculated by dividing a specific constant set for the purpose of deriving the adjustment factor (often referred
to as modified index shares) by the number of stocks in the underlying index multiplied by the float adjusted market value of such stock
on such rebalancing date.
Adjustments are also made to ensure that no stock in
the underlying index will have a weight that exceeds the value that can be traded in a single day for a theoretical portfolio of $2 billion.
Theoretical portfolio values are reviewed annually and any updates are made at the discretion of the underlying index committee, as defined
below. The maximum basket liquidity weight for each stock in the underlying index will be calculated using the ratio of its three-month
median daily value traded to the theoretical portfolio value of $2 billion. Each stock’s weight in the underlying index is then
compared to its maximum basket liquidity weight and is set to the lesser of (1) its maximum basket liquidity weight or (2) its initial
equal weight. All excess weight is redistributed across the underlying index to the uncapped stocks. If necessary, a final adjustment
is made to ensure that no stock in the underlying index has a weight greater than 4.5%. No further adjustments are made if the latter
step would force the weight of those stocks limited to their maximum basket liquidity weight to exceed that weight. If the underlying
index contains exactly 22 stocks as of the rebalancing effective date, the underlying index will be equally weighted without basket liquidity
constraints.
If a company has more than one share class line in the
S&P Total Market Index, such company will be represented once by the designated listing (generally the share class with both (i) the
highest one-year trading liquidity as defined by median daily value traded and (ii) the largest float-adjusted market capitalization).
S&P reviews designated listings on an annual basis and any changes are implemented after the close of the third Friday in September.
The last trading day in July is used as the reference date for the liquidity and market capitalization data in such determination. Once
a listed share class line is added to the underlying index, it may be retained in the underlying index even though it may appear to violate
certain constituent addition criteria. For companies that issue a second publicly traded share class to underlying index share class holders,
the newly issued share class line will be considered for inclusion if the event is mandatory and the market capitalization of the distributed
class is not considered to be de minimis.
The underlying index is calculated by using the divisor
methodology used in all S&P equity indices. The initial divisor was set to have a base value of 1,000 on June 20, 2003. The underlying
index level is the underlying index market value divided by the underlying index divisor. In order to maintain underlying index series
continuity, it is also necessary to adjust the divisor at each rebalancing. Therefore, the divisor (after rebalancing) equals the underlying
index market value (after rebalancing) divided by the underlying index value before rebalancing. The divisor keeps the underlying index
comparable over time and is one manipulation point for adjustments to the underlying index, which we refer to as maintenance of the underlying
index.
Historical Performance of the XBI
The following graph sets forth the daily historical
performance of the XBI in the period from January 2, 2008 through September 13, 2021. 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. The Starting Value
of the XBI will be its Closing Market Price on the pricing date.
This historical data on the XBI is not necessarily indicative
of the future performance of the XBI or what the value of the Notes may be. Any historical upward or downward trend in the Closing Market
Price of the XBI during any period set forth above is not an indication that the Closing Market Price of the XBI 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 XBI.
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CAPPED ENHANCED RETURN NOTES | PS-13
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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 expect to deliver the Notes against payment therefor
in New York, New York on a date that is greater than two business days 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 two business days, unless the parties to any
such trade expressly agree otherwise. Accordingly, if the initial settlement of the Notes occurs more than two business days from the
pricing date, purchasers who wish to trade the Notes more than two business days 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. 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 $1,000.00 per Note. 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 in principal amount of the 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.
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CAPPED ENHANCED RETURN NOTES | PS-14
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
United Kingdom
The communication of this pricing supplement, the accompanying
product supplement, the accompanying prospectus supplement, the accompanying 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.
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CAPPED ENHANCED RETURN NOTES | PS-15
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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, typically results 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-7 above and “Supplemental Use of Proceeds” on page PS-19 of the accompanying product supplement.
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CAPPED ENHANCED RETURN NOTES | PS-16
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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 discussions under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and under “U.S.
Federal Income Tax Considerations” in the accompanying prospectus supplement 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, in the opinion of our counsel, Sidley Austin LLP, and based on certain
factual representations received from us, the Notes should be treated as 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. This discussion assumes that the Notes constitute
single financial contracts with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did not constitute 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 issuer 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.
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CAPPED ENHANCED RETURN NOTES | PS-17
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
U.S. Holders
Upon receipt of a cash payment at maturity or upon a
sale or exchange 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 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.
Possible Application of Section 1260 of the Code. Since
each Underlying is the type of financial asset 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, or settlement (assuming such
income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange, 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 or exchange
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 or exchange of the Notes generally would be treated as ordinary income, and any loss realized at maturity or upon
a sale or exchange 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.
The IRS released Notice 2008-2 (the “Notice”),
which sought comments from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.”
This Notice addresses instruments such as 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.
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CAPPED ENHANCED RETURN NOTES | PS-18
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech ETF
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 or exchange of the Notes should be treated as ordinary gain or loss.
Non-U.S. Holders
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 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 or exchange 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, 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 gain realized on the settlement at maturity, or upon sale or exchange 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 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, 2023. 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, tax will be withheld at the
applicable statutory rate. As discussed above, the IRS has indicated in the Notice that it is considering whether income in respect of
instruments such as the Notes should be subject to withholding tax. 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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CAPPED ENHANCED RETURN NOTES | PS-19
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Capped Enhanced Return Notes Linked to the Least Performing of the iShares® Biotechnology ETF and the SPDR® S&P® Biotech 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:
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, and the related guarantee will rank equally in right of payment with all of BAC’s other unsecured and unsubordinated
obligations, in each case except obligations that are subject to any priorities or preferences by law. 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.
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CAPPED ENHANCED RETURN NOTES | PS-20
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