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.
Preliminary Pricing Supplement - Subject to Completion
|
Filed Pursuant to Rule 424(b)(2)
|
(To Prospectus dated November 4, 2016, Series A
|
Registration Statement No. 333-213265
|
Prospectus Supplement dated November 4, 2016 and
Product Supplement COMM-1 dated April 3, 2017)
Dated
June 19, 2017
BofA Finance LLC
Digital
Barrier Notes Linked to the Least Performing of the
S&P
GSCI
®
Crude Oil Index–Excess Return and the Copper Spot Price, due June 28, 2018
Fully and Unconditionally Guaranteed by Bank of America
Corporation
|
·
|
The CUSIP number of the notes is
09709TAP6
.
|
|
·
|
The notes are unsecured senior notes issued by BofA Finance LLC (“BofA
Finance”), a direct, wholly-owned subsidiary of Bank of America Corporation (“BAC” or the “Guarantor”),
which are fully and unconditionally guaranteed by the Guarantor. Any payment due on the notes, including any repayment of principal,
will be subject to the credit risk of BofA Finance, as issuer of the notes, and the credit risk of Bank of America Corporation,
as guarantor of the notes.
|
|
·
|
The notes will not pay interest. Any payment on the notes occurs at
maturity. The notes do not guarantee a full return of your principal at maturity, and you could lose up to 100% of the principal
amount.
|
|
·
|
The notes are expected to price on June 19, 2017 (the “pricing
date”).
|
|
·
|
The notes are expected to mature on June 28, 2018.
|
|
·
|
Payment on the notes will depend on the individual performance of the
S&P GSCI
®
Crude Oil Index–Excess Return (Bloomberg ticker: “SPGCCLP”) (the “Index”)
and the spot price of
Grade A copper (Bloomberg ticker: “LOCADY”)
(the “Copper Spot Price”) (each, an “Underlying,” and collectively, the “Underlyings”).
|
|
·
|
If the Ending Value of the Least Performing Underlying is greater than
or equal to its Threshold Value, at maturity you will receive the principal amount plus a return equal to the Digital Return. However,
if the Ending Value of the Least Performing Underlying is less than its Threshold Value, you will be subject to 1-1 downside exposure
to any decrease in the value of the Least Performing Underlying from its Starting Value. In that case, the Redemption Amount will
be less than 70% of the principal amount and could be zero.
|
|
·
|
The “Threshold Value” with respect to each Underlying is
70% of its Starting Value
(which
was determined on June 15, 2017), as specified on page PS-3 of this pricing supplement.
|
|
·
|
The “Digital Return” will be 10.65%.
|
|
·
|
The “Least Performing Underlying” will be the Underlying
with the lowest Underlying Return (as defined below).
|
|
·
|
The notes will be issued in denominations of $1,000 and whole multiples
of $1,000.
|
|
·
|
The notes will not be listed on any securities exchange.
|
|
·
|
The initial estimated value of the notes will be less than the public
offering price.
As of the date of this pricing supplement, the initial estimated value of the notes at the time of pricing
is expected to be at least $981 per $1,000 in principal amount. See “Summary” beginning on page PS-3 of this pricing
supplement, “Risk Factors” beginning on page PS-6 of this pricing supplement and “Structuring the Notes”
on page PS-20 of this pricing supplement for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.
|
|
·
|
The notes and the related guarantee:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
|
Per Note
|
|
Total
|
Public Offering Price
|
$1,000
|
|
$
|
Underwriting Discount
|
$15
|
|
$
|
Proceeds (before expenses) to BofA Finance
|
$985
|
|
$
|
|
The notes and the related
guarantee of the notes by the Guarantor are unsecured and are not savings accounts, deposits, or other obligations of a bank. The
notes are not guaranteed by Bank of America, N.A. or any other bank, are not insured by the Federal Deposit Insurance Corporation
or any other governmental agency and involve investment risks. Potential purchasers of the notes should consider the information
in “Risk Factors” beginning on page PS-6 of this pricing supplement, page PS-5 of the accompanying product supplement,
page S-4 of the accompanying prospectus supplement, and page 7 of the accompanying prospectus.
You may lose some or all of your
principal amount in the notes.
None of the Securities
and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or
disapproved of these notes or the guarantee, or passed upon the adequacy or accuracy of this pricing supplement, or the accompanying
product supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.
We will deliver the notes in book-entry form only through The
Depository Trust Company on or about June 22, 2017 against payment in immediately available funds.
BofA Merrill Lynch
Selling Agent
TABLE OF CONTENTS
Page
SUMMARY
|
pS-3
|
RISK FACTORS
|
pS-6
|
DESCRIPTION OF THE NOTES
|
pS-11
|
THE UNDERLYINGS
|
pS-13
|
SUPPLEMENT TO THE PLAN OF DISTRIBUTION; ROLE OF MLPF&S AND CONFLICTS OF INTEREST
|
pS-19
|
STRUCTURING THE NOTES
|
pS-20
|
U.S. FEDERAL INCOME TAX SUMMARY
|
pS-21
|
SUMMARY
The Digital Barrier Notes Linked to the
Least Performing of the S&P GSCI
®
Crude Oil Index–Excess Return and the Copper Spot Price, due June 28,
2018 (the “notes”) are our senior debt securities. Any payment on the notes is 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 with all of our other unsecured senior debt, and the related guarantee will rank equally with all
of BAC’s other unsecured and unsubordinated debt. Any payment 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.
The notes will mature on June
28, 2018.
If the Ending Value of the Least Performing
Underlying is greater than or equal to its Threshold Value, at maturity you will receive the principal amount plus a return equal
to the Digital Return. However, if the Ending Value of the Least Performing Underlying is less than its Threshold Value, you will
be subject to 1-1 downside exposure to any decrease in the value of the Least Performing Underlying from its Starting Value. In
that case, the Redemption Amount will be less than 70% of the principal amount and could be zero.
Any payment on the notes depends on the
credit risk of BofA Finance and BAC and on the performance of each of the Underlyings. The economic terms of the notes (including
the Digital Return) 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 it enters 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 and the hedging related charges described below, 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 of the notes
as of the date of this pricing supplement 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-6 and “Structuring the Notes”
on page PS-20.
Issuer:
|
BofA Finance LLC (“BofA Finance”)
|
Guarantor:
|
Bank of America Corporation (“BAC”)
|
Term:
|
Approximately one year and one week
|
Pricing Date:
|
June 19, 2017
|
Issue Date:
|
June 22, 2017
|
Calculation Day:
|
June 25, 2018, subject to postponement as set forth in the section “Description of the Notes—Market Disruption Events” of the accompanying product supplement.
|
Maturity Date:
|
June 28, 2018
|
Underlyings:
|
The S&P GSCI
®
Crude Oil Index–Excess Return (Bloomberg ticker: “SPGCCLP”) and the Copper Spot Price (Bloomberg ticker: “LOCADY).
|
Starting Value:
|
135.4428 with respect to the Index, which was its closing level on June 15, 2017, and $5,637.00 with respect to the
Copper Spot Price, which was its Settlement Price on June 15, 2017. The Starting Value of either Underlying may be higher or lower than the closing level or Settlement Price, as applicable, of that Underlying on the pricing date.
|
Threshold Value:
|
94.8100 with respect to the Index and $3,945.90 with respect to the
Copper Spot Price, each of which is 70% of its Starting Value (rounded to four decimal places for the Index).
|
Ending Value:
|
With respect to each Underlying, its closing level (as to the Index) or Settlement Price (as to the Copper Spot Price) on the calculation day, as determined by the calculation agent.
|
Digital Return:
|
10.65%
|
Redemption Amount:
|
At maturity, you will receive the Redemption Amount, denominated
in U.S. dollars, calculated as follows:
·
if the Ending Value of the Least Performing Underlying is greater
than or equal to its Threshold Value:
$1,000 + ($1,000 x Digital Return)
·
if the Ending Value of the Least Performing Underlying is less than
its Threshold Value:
$1,000 + ($1,000 x the Underlying Return of the Least
Performing Underlying)
In that case, the Redemption Amount will be less than
70% of the principal amount and could be zero.
|
Least Performing Underlying:
|
The Underlying with the lowest Underlying Return.
|
Underlying Return:
|
With respect to each Underlying,
(Ending Value –
Starting Value)
Starting Value
|
Settlement Price of the Copper Spot Price:
|
The official cash offer price of Grade A copper on the London Metal Exchange (the “LME”) for the spot market, expressed in U.S. dollars per metric ton, traded on the LME on the applicable trading day, as made public by the LME.
|
Calculation Agent:
|
Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), an affiliate of BofA Finance.
|
Selling Agent:
|
MLPF&S
|
The pricing date, issue date and
other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the notes.
You should read carefully this entire
pricing supplement, product supplement, prospectus supplement, and prospectus to understand fully the terms of the notes, as well
as the tax and other considerations important to you in making a decision about whether to invest in the notes. In particular,
you should review carefully the section in this pricing supplement entitled “Risk Factors,” which highlights a number
of risks of an investment in the notes, to determine whether an investment in the notes is appropriate for you. If information
in this pricing supplement is inconsistent with the product supplement, prospectus supplement or prospectus, this pricing supplement
will supersede those documents. You are urged to consult with your own attorneys and business and tax advisors before making a
decision to purchase any of the notes.
The information in this “Summary”
section is qualified in its entirety by the more detailed explanation set forth elsewhere in this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus. You should rely only on the information contained in this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus. We have not authorized any other person to provide
you with different information. If anyone provides you with different or inconsistent information, you should not rely on it. None
of us, the Guarantor or any selling agent is making an offer to sell these notes in any jurisdiction where the offer or sale is
not permitted. You should assume that the information in this pricing supplement, the accompanying product supplement, prospectus
supplement, and prospectus is accurate only as of the date on their respective front covers.
Capitalized terms used but not defined
in this pricing supplement have the meanings set forth in the accompanying product supplement, prospectus supplement and prospectus.
Unless otherwise indicated or unless the context requires otherwise, all references in this pricing supplement to “we,”
“us,” “our,” or similar references are to BofA Finance, and not to BAC (or any other affiliate of BofA
Finance).
The above documents may be accessed at
the following links:
|
·
|
Product supplement COMM-1 dated April 3, 2017:
|
https://www.sec.gov/Archives/edgar/data/70858/000119312517108683/d354136d424b5.htm
|
·
|
Series A MTN prospectus supplement dated November 4, 2016 and prospectus
dated November 4, 2016:
|
https://www.sec.gov/Archives/edgar/data/70858/000119312516760144/d266649d424b3.htm
Hypothetical Payments on the Notes
The following table is for purposes of
illustration only. It is based on
hypothetical
values and show
hypothetical
returns on the notes. It illustrates
the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting Value of 100 and a hypothetical
Threshold Value of 70 for the Least Performing Underlying, the Digital Return of 10.65%, and a range of hypothetical Ending Values
of the Least Performing Underlying.
The actual amount you receive and the resulting total rate of return will depend on the
actual Starting Values, Threshold Values and Ending Values of the Underlyings, and whether you hold the notes to maturity.
The numbers appearing in the table below have been rounded for ease of analysis, and do not take into account any tax consequences
from investing in the notes.
For recent actual performance of the
Underlyings, see “The Underlyings” section below. In addition, any payment on the notes is subject to issuer credit
risk.
Ending
Value
of the Least Performing Underlying
|
Underlying
Return
of the Least Performing Underlying
|
Redemption
Amount per Note
|
Total
Rate of Return on the Notes
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
50.00
|
-50.00%
|
$500.00
|
-50.00%
|
60.00
|
-40.00%
|
$600.00
|
-40.00%
|
69.99
|
-30.01%
|
$699.90
|
-30.01%
|
70.00
(1)
|
-30.00%
|
$1,106.50
(2)
|
10.65%
|
80.00
|
-20.00%
|
$1,106.50
|
10.65%
|
85.00
|
-15.00%
|
$1,106.50
|
10.65%
|
90.00
|
-10.00%
|
$1,106.50
|
10.65%
|
95.00
|
-5.00%
|
$1,106.50
|
10.65%
|
100.00
(3)
|
0.00%
|
$1,106.50
|
10.65%
|
105.00
|
5.00%
|
$1,106.50
|
10.65%
|
110.00
|
10.00%
|
$1,106.50
|
10.65%
|
120.00
|
20.00%
|
$1,106.50
|
10.65%
|
140.00
|
40.00%
|
$1,106.50
|
10.65%
|
160.00
|
60.00%
|
$1,106.50
|
10.65%
|
180.00
|
80.00%
|
$1,106.50
|
10.65%
|
200.00
|
100.00%
|
$1,106.50
|
10.65%
|
|
(1)
|
This is the
hypothetical
Threshold Value
of
the Least Performing Underlying.
|
|
(2)
|
This amount represents the sum of the principal amount and a return
equal to the Digital Return.
|
|
(3)
|
The
hypothetical
Starting Value of 100 used in the table above
has been chosen for illustrative purposes only. The actual Starting Value is 135.4428 for the Index and $5,637.00 for the Copper
Spot Price, each of which was its closing level (as to the Index) or Settlement Price (as to the Copper Spot Price) on June 15,
2017.
|
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.
General Risks Relating to the Notes
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
either
Underlying is less than its Threshold Value, 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, the Redemption Amount will be less
than 70% of the principal amount and could be zero.
Your investment return will be limited
to the Digital Return, and may be less than a comparable investment directly in any commodities or futures contracts represented
by or included in an Underlying.
The appreciation potential of the notes is limited to the Digital Return. You will not receive
a return on the notes greater than the Digital Return, regardless of the appreciation of either Underlying. In contrast, a direct
investment in any commodities or futures contracts represented by or included in an Underlying would allow you to receive the benefit
of any appreciation in their value. Thus, any return on the notes will not reflect the return you would realize if you actually
owned any commodities or futures contracts represented by or included in an Underlying.
The notes do not bear interest.
Unlike a conventional debt security, no interest payments will be paid over the term of the notes. Payments on the notes
will be limited only to the payment at maturity.
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, which could
be negative, 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.
Any
payment on the notes is subject to our credit risk
and the
credit risk of the Guarantor, and 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 obligations under the notes on the maturity date, regardless of the Ending
Value of either Underlying as compared to its Threshold Value or Starting Value. No assurance can be given as to what our financial
condition or the financial condition of the Guarantor will be on the maturity date. If we and the Guarantor become unable to meet
our respective financial obligations as they become due, you may not receive the amounts 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, will have limited assets and operations.
We are a finance subsidiary of BAC and will have no assets, operations or revenues
other than those related to the issuance, administration and repayment of our debt securities that are guaranteed by the Guarantor.
As a finance subsidiary, to meet our obligations under the notes, we are dependent upon payment or contribution of funds and/or
repayment of outstanding loans from the Guarantor and/or its other subsidiaries. Therefore, our ability to make payments on the
notes may be limited. In addition, we will have no independent assets available for distributions to holders of the notes if they
make claims in respect of the notes in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders
may be limited to those available under the related guarantee by the Guarantor, and that guarantee will rank equally with all other
unsecured senior obligations of the Guarantor.
The
public offering price you pay for the notes will exceed the initial estimated value.
The initial estimated value of the notes
that is provided in this preliminary pricing supplement, and that will be provided in the final pricing supplement, are each an
estimate 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 Guarantor’s internal funding rate, mid-market terms on hedging transactions, expectations on
interest rates 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.
The initial estimated value does not
represent a minimum or maximum price at which we, the Guarantor, MLPF&S 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 the date of
this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our and the Guarantor’s
creditworthiness and changes in market conditions.
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 values of the Underlyings, the Guarantor’s internal funding rate, and the inclusion
in the public offering price of the underwriting discount 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.
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.
The development of a trading market for
the notes will depend on the Guarantor’s financial performance and other factors, including changes in the values of the
Underlyings. The number of potential buyers of your notes in any secondary market may be limited. We anticipate that MLPF&S
will act as a market-maker for the notes, but none of us, the Guarantor or MLPF&S is required to do so. There is no assurance
that any party will be willing to purchase your notes at any price in any secondary market. MLPF&S may discontinue its market-making
activities as to the notes at any time. To the extent that MLPF&S engages in any market-making activities, it may bid for or
offer the notes. Any price at which MLPF&S may bid for, offer, purchase, or sell any notes may differ from the values determined
by pricing models that it may use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers,
or completed transactions may affect the prices, if any, at which the notes might otherwise trade in the market.
In addition, if at any time MLPF&S
were to cease acting as a market-maker as to the notes, it is likely that there would be significantly less liquidity in the secondary
market. In such a case, the price at which the notes could be sold likely would be lower than if an active market existed.
The Redemption Amount will not reflect
changes in the values of the Underlyings other than on the calculation day.
Changes in the values of the Underlyings during
the term of the notes other than on the calculation day will not be reflected in the calculation of the Redemption Amount. To calculate
the Redemption Amount, the calculation agent will compare only the Ending Value of the Least Performing Underlying to its Threshold
Value. No other values of the Underlyings will be taken into account. As a result, even if the value of each Underlying has increased
at certain times during the term of the notes, you will receive a Redemption Amount that is less than the principal amount if the
Ending Value of either Underlying is less than its Threshold Value.
Because the notes are linked to the
lesser performing (and not the average performance) of the two Underlyings, you may lose some or all of your principal amount even
if the Ending Value of one Underlying is always greater than its Threshold Value.
Your notes are linked to the lesser performing
of two Underlyings, and a change in the value of one Underlying may not correlate with changes in the value of the other Underlying.
The notes are not linked to a basket composed of the Underlyings, where the depreciation in the value of one Underlying could be
offset to some extent by the appreciation in the value of the other Underlying. In the case of the notes that we are offering,
the individual performance of each Underlying would not be combined, and the depreciation in the value of one Underlying would
not be offset by any appreciation in the value of the other Underlying. Even if the Ending Value of one Underlying is equal to
or above its Threshold Value, you will lose more than 30% of your principal if the Ending Value of the other Underlying is below
its Threshold Value.
You will be subject to risks relating
to the relationship between the Underlyings.
It is preferable from your perspective for the Underlyings to be correlated with
each other, in the sense that
they tend to increase or decrease at similar times and by
similar magnitudes. By investing in the notes, you assume the risk that the Underlyings will not exhibit this relationship. The
less correlated the Underlyings are, the more likely it is that either one of the Underlyings will perform poorly over the term
of the notes. All that is necessary for the notes to perform poorly is for one of the Underlyings to perform poorly; the performance
of the Underlying that is not the Least Performing Underlying will not determine the return on the notes. It is impossible to predict
what the relationship between the Underlyings will be over the term of the notes. One Underlying reflects the spot price of Grade
A copper, and the other reflects the futures price of crude oil. Accordingly, the Underlyings differ in significant ways and, therefore,
may not be correlated with each other.
The
notes include the risk of a concentrated position in two commodities.
The notes
are linked to the least performing of the Copper Spot Price and the Index, which tracks crude oil futures contracts. An investment
in the notes may therefore carry risks similar to a concentrated investment in a single commodity. Single commodity prices tend
to be more volatile and may not correlate with the prices of commodities generally. Because the notes are linked to the least performing
of the Index and the Copper Spot Price, they carry greater risk and may be more volatile than a security linked to the prices of
multiple commodities or a broad-based commodity index. Accordingly, a decline in the price of crude oil or copper may adversely
affect the value of the relevant Underlying, and the value of the notes.
The
notes do not offer direct exposure to crude oil’s spot price.
The notes are
linked to the Index, which tracks commodity futures contracts, not physical commodities (or their spot prices). The price of a
futures contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price of a commodity
reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected future
price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term of the
futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply and demand
for the commodity. The price movements of a futures contract are typically correlated with the movements of the spot price of the
referenced commodity, but the correlation is generally imperfect and price movements in the spot market may not be reflected in
the futures market (and vice versa). Accordingly, the notes may underperform a similar investment that is linked to crude oil’s
spot price.
Crude
oil prices can be volatile as a result of various factors that we cannot control, and this volatility may reduce the value of the
notes.
Historically, oil prices have been highly volatile. They are affected by
numerous factors, including oil supply and demand, the level of global industrial activity, the driving habits of consumers, speculative
actions, currency exchange rates, economic conditions, political events and policies, regulations, weather, fiscal, monetary and
exchange control programs, and, especially, direct government intervention such as embargoes, and supply disruptions in major producing
or consuming regions such as the Middle East, the United States, Latin America, and Russia. The outcome of meetings of the Organization
of Petroleum Exporting Countries also can affect liquidity and world oil supply and, consequently, the price of crude oil futures
contracts. Market expectations about these events and speculative activity also may cause oil prices to fluctuate unpredictably.
If the volatility of crude oil and crude oil futures contracts increases or decreases, the value of the notes may be adversely
affected.
Furthermore, a significant proportion
of world oil production capacity is controlled by a small number of producers. These producers have, in certain recent periods,
implemented curtailments of output and trade. These efforts at supply curtailment, or the cessation of supply, could affect the
price of crude oil futures contracts.
Additionally, technological advances
or the discovery of new oil reserves could lead to increases in worldwide production of oil and corresponding decreases in the
price of crude oil. In addition, further development and commercial exploitation of alternative energy sources and technologies,
including solar, wind, or geothermal energy and hybrid and electric automobiles, could reduce the demand for crude oil and result
in lower prices. Any of these events could adversely affect the price of crude oil futures contracts and the value of the notes.
Future prices for crude oil that are
different from its spot prices may have a negative effect on the level of the Index, and therefore the value of the notes.
The Index generally reflects movements in commodity prices by measuring the value of futures contracts for crude oil. To maintain
the Index, as futures contracts approach expiration, they are replaced by similar contracts that have a later expiration. This
process is referred to as “rolling.” The level of the Index is calculated as if the expiring futures contracts are
sold and the proceeds from those sales are used to purchase longer-dated futures contracts. The difference in the price between
the contracts that are sold and the new contracts for more distant delivery that are purchased is called “roll yield,”
and the change in price that contracts experience while they are components of the Index is sometimes referred to as “spot
return.”
If the expiring crude oil futures contract
included in the Index is “rolled” into a less expensive futures contract with a more distant delivery date, the market
for that futures contract is (putting aside other considerations) trading in “backwardation.” In this case, the effect
of the roll yield on the level of the Index will be positive because it costs less to replace the expiring futures contract. However,
if the expiring futures contract included in the Index is “rolled” into a more expensive futures contract with a more
distant delivery date, the market for that futures contract is trading in “contango.”
There is no indication that the markets
for crude oil will consistently be in backwardation or that there will be a positive roll yield that increases the level of the
Index. It is possible, when near-term or spot prices of crude oil are decreasing, for the level of the Index to decrease significantly
over time even when crude oil is experiencing backwardation. If all other factors remain constant, the presence of contango in
the market for crude oil could generally result in negative roll yield, even when the near-term or spot prices of crude oil are
stable or increasing, which could decrease the level of the Index and the market value of the notes.
A decision by the New York Mercantile
Exchange, or the NYMEX, to increase margin requirements for WTI crude oil futures contracts may affect the level of the Index.
If the NYMEX increases the amount of collateral required to be posted to hold positions in the futures contracts on West Texas
Intermediate (“WTI”) crude oil (i.e., the margin requirements), market participants who are unwilling or unable to
post additional collateral may liquidate their positions, which may cause the level of the Index to decline significantly.
Changes in exchange methodology may
adversely affect the value of the notes prior to maturity.
The NYMEX or the LME may from time to time change its rules or take
extraordinary actions under its rules, which could adversely affect the level of the Index or the Copper Spot Price, as applicable,
and the value of the notes.
The Index is an excess return index
and not a total return index.
An excess return index, such as the Index, reflects the returns that are potentially available
through an unleveraged investment in the contracts composing that index. By contrast, a “total return” index, in addition
to reflecting those returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures
contracts.
The market price of copper is subject
to volatile changes and may adversely affect the value of the notes.
Because the notes are linked to the Copper Spot Price,
we expect that, in general, the market value of the notes will depend in large part on the market price of copper. The price of
copper is primarily affected by the global demand for and supply of copper, but is also influenced significantly from time to time
by speculative actions and by currency exchange rates. Demand for copper is significantly influenced by the level of global industrial
economic activity. Industrial sectors which are particularly important to demand for copper include the electrical and construction
sectors. In recent years, demand has been supported by strong consumption from newly industrializing countries due to their copper-intensive
economic growth and industrial development. Any slowdown in economic growth in these countries may result in a decrease in copper
prices.
Suspension or disruptions of market
trading in crude oil or copper and related futures contracts may adversely affect the value of the notes
. The commodity markets
are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets,
the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges have regulations
that limit the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally
referred to as “daily price fluctuation limits,” and the maximum or minimum price of a contract on any given day as
a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract,
no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing
the liquidation of contracts at disadvantageous times or prices. Any such distortion, disruption, or any other force majeure (such
as an act of God, fire, flood, severe weather conditions, act of governmental authority, labor difficulty, etc.), may adversely
affect the value of an Underlying, or the manner in which it is calculated, and therefore, the value of the notes.
Trading
and hedging activities by us, the Guarantor and any of our other affiliates may affect your return
on the notes and their
market value.
We, the Guarantor and our other affiliates, including MLPF&S, may buy or sell the commodities or futures
contracts represented by or included in an Underlying, or futures or options contracts on an Underlying or its components, or other
listed or over-the-counter derivative instruments linked to an Underlying or its components. We, the Guarantor and any of our other
affiliates, including MLPF&S, 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 could affect the value of an Underlying in a
manner that could be adverse to your investment in the notes. On or before June 15, 2017
(the
date on which the Starting Values were
determined), any purchases or sales by us, the Guarantor
or our other affiliates, including MLPF&S or others on its behalf (including for the purpose of hedging anticipated exposures),
may have affected the value of an Underlying. Consequently, the value of an Underlying may decrease subsequent to that date, adversely
affecting the market value of the notes.
We,
the Guarantor or one or more of our other affiliates, including MLPF&S, may also engage in hedging activities that could have
affected the value of an Underlying on June 15, 2017. In addition, these activities 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 MLPF&S, may purchase or otherwise acquire a long or short position in the notes and may hold or resell the notes.
For example, MLPF&S may enter into these transactions in connection with any market making activities in which they engage.
We cannot assure you that these activities will not adversely affect the
value
of an Underlying, the market value of your notes prior to maturity or the amounts payable on the notes.
Our trading, hedging and other business
activities may create conflicts of interest with you.
We, the Guarantor or one or more of our other affiliates, including MLPF&S,
may engage in trading activities related to an Underlying and to components included in the Index (and related futures and options
contracts on an Underlying or its components) that are not for your account or on your behalf. We, the Guarantor or one or more
of our other affiliates, including MLPF&S, also may issue or underwrite other financial instruments with returns based upon
an Underlying or its components. These trading and other business activities may present a conflict of interest between your interest
in the notes and the interests we, the Guarantor and our other affiliates, including MLPF&S, may have in our proprietary accounts,
in facilitating transactions, including block trades, for our or their other customers, and in accounts under our or their management.
These trading and other business activities, if they influence the value of an Underlying or secondary trading in your notes, could
be adverse to your interests as a beneficial owner of the notes.
We
expect to enter into arrangements or adjust or close out existing transactions to hedge our obligations under the notes. We, the
Guarantor or our other affiliates also may enter into hedging transactions relating to other notes or instruments, some of which
may have returns calculated in a manner related to that of a particular issue of the notes. We may enter into such hedging arrangements
with one of our affiliates. Our affiliates may enter into additional hedging transactions with other parties relating to the notes
and the
Underlyings. This hedging activity is expected to result
in a profit to those engaging in the hedging activity, which could be more or less than initially expected, or the hedging activity
could also result in a loss. We and our affiliates will price these hedging transactions with the intent to realize a profit, regardless
of whether the value of the notes increases or decreases. Any profit in connection with such hedging activities will be in addition
to any other compensation that we, the Guarantor and our other affiliates, including MLPF&S, receive for the sale of the notes,
which creates an additional incentive to sell the notes to you.
The publisher of the Index may adjust
it in a way that affects its levels, and the publisher has no obligation to consider your interests.
The publisher of the Index
can add, delete, or substitute the components included in the Index or make other methodological changes that could change its
level. A new index component may perform significantly better or worse than the replaced one, and the performance will impact the
level of the Index. Additionally, the publisher of the Index may alter, discontinue, or suspend calculation or dissemination of
the Index. Any of these actions could adversely affect the value of your notes. The publisher of the Index will have no obligation
to consider your interests in calculating or revising the Index.
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 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.
* * *
Investors in the notes should review
the additional risk factors set forth beginning on page PS-5 of the product supplement prior to making an investment decision.
DESCRIPTION
OF THE NOTES
General
The notes will be part of a series of
medium-term notes entitled “Medium-Term Notes, Series A” issued under the Senior Indenture, as amended and supplemented
from time to time, among us, the Guarantor and The Bank of New York Mellon Trust Company N.A., as trustee. The Senior Indenture
is more fully described in the prospectus supplement and prospectus. The following description of the notes supplements the description
of the general terms and provisions of the notes and debt securities set forth under the headings “Description of the Notes”
in the prospectus supplement and “Description of Debt Securities” in the prospectus. These documents should be read
in connection with this pricing supplement.
Our payment obligations on the notes
are fully and unconditionally guaranteed by the Guarantor. The notes will rank equally with all of our other unsecured senior debt
from time to time outstanding. The guarantee of the notes will rank equally with all other unsecured senior obligations of the
Guarantor. Any payment due on the notes, including any repayment of principal, is subject to our credit risk, as issuer, and the
credit risk of BAC, as guarantor.
The notes will be issued in denominations
of $1,000 and whole multiples of $1,000. You may transfer the notes only in whole multiples of $1,000.
The notes will not bear interest. Prior
to maturity, the notes are not repayable at our option or at your option.
If the scheduled maturity date is not
a business day, the payment will be postponed to the next business day, and no interest will be payable as a result of that postponement.
Redemption Amount
At
maturity, subject to our credit risk as issuer of the notes
and
the credit risk of the Guarantor as guarantor of the notes, you will receive the Redemption Amount per note that you hold, denominated
in U.S. dollars. The Redemption Amount will be calculated as follows:
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if the Ending Value of the Least Performing Underlying is greater than
or equal to its Threshold Value:
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$1,000 + ($1,000 x Digital Return)
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if the Ending Value of the Least Performing Underlying is less than
its Threshold Value:
|
$1,000 + ($1,000 x the Underlying Return of the Least
Performing Underlying)
In that case, the Redemption Amount will be less than
70% of the principal amount and could be zero.
With respect to each Underlying, its
“Underlying Return” will equal:
Ending Value – Starting Value
Starting Value
Determining the Starting Value, the Threshold Value and
the Ending Value of Each Underlying
The “Starting Value” is
135.4428 with respect to the Index, which was its closing level on June 15, 2017, and $5,637.00 with respect to the Copper Spot
Price, which was its Settlement Price on June 15, 2017.
The “Threshold Value” is
94.8100 with respect to the Index and $3,945.90 with respect to the Copper Spot Price, each of which is 70% of its Starting Value
(rounded to four decimal places for the Index).
With respect to each Underlying, the
“Ending Value” will be its closing level (as to the Index) or Settlement Price (as to the Copper Spot Price) on the
calculation day.
The calculation day is subject to postponement
as set forth in the product supplement, in the section “Description of the Notes—Market Disruption Events.”
Events of Default and Acceleration
If
an Event of Default, as defined in the Senior Indenture
and in the
section entitled “Events of Default and Rights of Acceleration” beginning on page 35 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,” calculated
as though the date of acceleration were the maturity date of the notes and as though the calculation day were the fifth trading
day prior to the date of acceleration. In case of a default in the payment of the notes, the notes will not bear a default interest
rate.
THE UNDERLYINGS
The S&P GSCI
®
Crude Oil Index–Excess
Return
All disclosures contained in this pricing
supplement regarding the Index, including, without limitation, its make-up, method of calculation, and changes in its components,
have been derived from publicly available sources. The information reflects the policies of, and is subject to change by S&P
Dow Jones Indices LLC (“SPDJI” or the “Index sponsor”). SPDJI licenses the copyright and all other rights
to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the
Index sponsor discontinuing publication of the Index are discussed in “Description of the Notes—Discontinuance of a
Market Measure” beginning on page PS-22 of product supplement COMM-1. None of us, BAC, the Calculation Agent, or MLPF&S
accepts any responsibility for the calculation, maintenance or publication of the Index or any successor index.
The Index is a sub-index of the S&P
GSCI
®
, a composite index of commodity sector returns. The S&P GSCI
®
is a world production-weighted
index that is designed to reflect the relative significance of principal non-financial commodities (i.e., physical commodities)
in the world economy. The S&P GSCI
®
represents the return of a portfolio of the futures contracts for the underlying
commodities. The Index references the front-month WTI crude oil futures contract (i.e., the WTI crude futures contract generally
closest to expiration) traded on the New York Mercantile Exchange. The Index provides investors with a publicly available benchmark
for investment performance in the crude oil commodity markets. The Index is an excess return index and not a total return index.
An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing
the index (which, in the case of the Index, are the designated crude oil futures contracts). By contrast, a “total return”
index, in addition to reflecting those returns, also reflects interest that could be earned on funds committed to the trading of
the underlying futures contracts.
None of us, the Guarantor, the Calculation
Agent, MLPF&S or any of our other affiliates makes any representation to you as to the future performance of the Index.
You should
make your own investigation into the Index.
Additional information about the Index and its
calculation may be found at SPDJI’s website, https://us.spindices.com/indices/commodities/sp-gsci-crude-oil. Please note
that information included on that website is not included or incorporated by reference in this pricing supplement.
The S&P GSCI
®
The S&P GSCI
®
is an
index on a world production-weighted basket of principal non-financial commodities (i.e., physical commodities) that satisfy specified
criteria. The S&P GSCI
®
is designed to be a measure of the performance over time of the markets for these commodities.
The only commodities represented in the S&P GSCI
®
are those physical commodities on which active and liquid
contracts are traded on trading facilities in major industrialized countries. The commodities included in the S&P GSCI
®
are weighted, on a production basis, to reflect the relative significance (in the view of S&P, as described below) of such
commodities to the world economy. The fluctuations in the value of the S&P GSCI
®
are intended generally to correlate
with changes in the prices of such physical commodities in global markets.
SPDJI has established an index committee
(the “Index Committee”) to oversee the daily management and operations of the S&P GSCI
®
, and is
responsible for all analytical methods and calculation of the S&P GSCI
®
Indices. In addition, SPDJI has established
an index advisory panel (the “Advisory Panel”) to assist it in connection with the operation of the S&P GSCI
®
.
The principal purpose of the Advisory Panel is to advise the Index Committee with respect to, among other things, the calculation
of the S&P GSCI
®
, the effectiveness of the S&P GSCI
®
as a measure of commodity futures market
performance and the need for changes in the composition or in the methodology of the S&P GSCI
®
. The Advisory
Panel acts solely in an advisory and consultative capacity; the Index Committee makes all decisions with respect to the composition,
calculation and operation of the S&P GSCI
®
.
Composition of the S&P GSCI
®
In order to be included in the S&P
GSCI
®
, a contract must satisfy the following eligibility criteria:
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the contract must be in respect of a physical commodity and not
a financial commodity;
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the contract must have a specified expiration or term or provide
in some other manner for delivery or settlement at a specified time, or within a specified period, in the future;
|
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the contract must, at any given point in time, be available for
trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement;
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the contract must be traded on an exchange, facility or other platform
(referred to as a “trading facility”) that allows market participants to execute spread transactions, through a single
order entry, between the pairs of contract expirations included in the S&P GSCI
®
that, at any given point in
time, will be involved in the rolls to be effected in the next three roll periods (defined below);
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the contract must be denominated in U.S. dollars; and
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the contract must be traded on or through a trading facility that
has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and
Development and that:
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makes price quotations generally available to its members or participants
(and to SPDJI) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the
relevant market at any given point in time;
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makes reliable trading volume information available to SPDJI with
at least the frequency required by SPDJI to make the monthly determinations;
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accepts bids and offers from multiple participants or price providers;
and
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is accessible by a sufficiently broad range of participants.
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The price of the relevant contract that
is used as a reference or benchmark by market participants (referred to as the “daily contract reference price”) generally
must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI
®
.
In appropriate circumstances, SPDJI may determine that a shorter time period is sufficient or that historical daily contract reference
prices for such contract may be derived from daily contract reference prices for a similar or related contract. The daily contract
reference price may be (but is not required to be) the price (a) used by the relevant trading facility or clearing facility to
determine the margin obligations (if any) of its members or participants or margining transactions or for other purposes or (b)
referred to generally as the reference, closing or settlement price of the relevant contract.
At and after the time a contract is included
in the S&P GSCI
®
, the daily contract reference price for such contract must be published between 10:00 a.m.
and 4:00 p.m., New York City Eastern Time, on each business day relating to such contract by the trading facility on or through
which it is traded and must generally be available to all members of, or participants in, such facility (and to SPDJI) on the same
day from the trading facility or through a recognized third-party data vendor. Such publication must include, at all times, daily
contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination
is made, as well as for all expiration or settlement dates during such five-month period.
For a contract to be eligible for inclusion
in the S&P GSCI
®
, volume data with respect to such contract must be available for at least the three months
immediately preceding the date on which the determination is made. The following eligibility criteria apply:
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In order to be added to the S&P GSCI
®
, a contract
that is not included in the S&P GSCI
®
at the time of determination and that is based on a commodity that is
not represented in the S&P GSCI
®
at such time must have an annualized total dollar value traded over the relevant
period of at least U.S. $15 billion. The total dollar value traded is the dollar value of the total quantity of the commodity underlying
transactions in the relevant contract over the period for which the calculation is made, based on the average of the daily contract
reference prices on the last day of each month during the period.
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In order to continue to be included in the S&P GSCI
®
,
a contract that is already included in the S&P GSCI
®
at the time of determination and that is the only contract
on the relevant commodity included in the S&P GSCI
®
must have an annualized total dollar value traded of at
least U.S. $5 billion over the relevant period and of at least U.S. $10 billion during at least one of the three most recent annual
periods used in making the determination.
|
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In order to be added to the S&P GSCI
®
, a contract
that is not included in the S&P GSCI
®
at the time of determination and that is based on a commodity on which
there are one or more contracts already included in the S&P GSCI
®
at such time must have an annualized total
dollar value traded over the relevant period of at least U.S. $30 billion.
|
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In order to continue to be included in the S&P GSCI
®
,
a contract that is already included in the S&P GSCI
®
at the time of determination and that is based on a commodity
on which there are one or more contracts already included in the S&P GSCI
®
at such time must have an annualized
total
|
dollar value traded, over the relevant period of at
least U.S. $10 billion over the relevant period and of at least U.S. $20 billion during at least one of the three most recent annual
periods used in making the determination.
In addition to the volume requirements
described above, a contract must have a minimum reference percentage dollar weight:
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§
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In order to continue to be included in the S&P GSCI
®
,
a contract that is already included in the S&P GSCI
®
at the time of determination must have a reference percentage
dollar weight of at least 0.10%. The reference percentage dollar weight of a contract is determined by multiplying the CPW (defined
below) of a contract by the average of its daily contract reference prices on the last day of each month during the relevant period.
These amounts are summed for all contracts included in the S&P GSCI
®
and each contract’s percentage of
the total is then determined.
|
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§
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In order to be added to the S&P GSCI
®
, a contract
that is not included in the S&P GSCI
®
at the time of determination must have a reference percentage dollar weight
of at least 1.00% at the time of determination.
|
Maintenance of the S&P GSCI
®
The quantity of each of the contracts
included in the S&P GSCI
®
is determined on the basis of a five-year average (referred to as the “world
production average”) of the production quantity of the underlying commodity from sources determined by SPDJI to be reasonably
accurate and reliable, such as the United Nations Industrial Commodity Statistics Yearbook. However, if a commodity is primarily
a regional commodity, based on its production, use, pricing, transportation or other factors, SPDJI may calculate the weight of
such commodity based on regional, rather than world, production data. At present, natural gas is the only commodity the weight
of which is calculated on the basis of regional production data, with the relevant region being North America.
The five-year moving average is updated
annually for each commodity included in the S&P GSCI
®
, based on the most recent five-year period (ending approximately
two years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The
contract production weights (the “CPWs”) used in calculating the S&P GSCI
®
are derived from world
or regional production averages, as applicable, of the relevant commodities, and are calculated based on the total quantity traded
for the relevant contract and the world or regional production average, as applicable, of the underlying commodity. However, if
the volume of trading in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds,
the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each such contract
is sufficiently liquid relative to the production of the commodity.
In addition, SPDJI performs this calculation
on a monthly basis and, if the multiple of any contract is below the prescribed threshold, the composition of the S&P GSCI
®
is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the S&P
GSCI
®
to shift from contracts that have lost substantial liquidity into more liquid contracts, during the course
of a given year. As a result, it is possible that the composition or weighting of the S&P GSCI
®
will change
on one or more of these monthly evaluation dates. In addition, regardless of whether any changes have occurred during the year,
SPDJI reevaluates the composition of the S&P GSCI
®
at the conclusion of each year, based on the above criteria.
Other commodities that satisfy such criteria, if any, will be added to the S&P GSCI
®
. Commodities included in
the S&P GSCI
®
that no longer satisfy such criteria, if any, will be deleted.
SPDJI also determines whether modifications
in the selection criteria or the methodology for determining the composition and weights of and for calculating the S&P GSCI
®
are necessary or appropriate in order to assure that the S&P GSCI
®
represents a measure of commodity market
performance. SPDJI has the discretion to make any such modifications.
The
following graph sets forth the daily historical performance of the Index in the period from January 1, 2008 through June 15, 2017.
This historical data on the Index is not necessarily indicative of its future performance or what the value of the notes may be.
Any historical upward or downward trend in the level of the Index during any period set forth below is not an indication that the
level of the Index is more or less likely to increase or decrease at any time over the term of the notes. The horizontal line in
the graph represents the Threshold Value of 94.8100, which is 70% of its Starting Value of 135.4428 (rounded to four decimal places).
Before investing in the notes, you should
consult publicly available sources for the levels of the Index.
License Agreement
S&P
®
is a registered
trademark of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones
®
is a registered
trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by SPDJI.
“Standard & Poor’s,” “S&P” and “S&P GSCI
®
” are trademarks
of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, MLPF&S. The Index is a product of
SPDJI and/or its affiliates and has been licensed for use by MLPF&S.
The notes are not sponsored, endorsed,
sold or promoted by SPDJI, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the notes or any member of
the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Index
to track general market performance. S&P Dow Jones Indices’ only relationship to MLPF&S with respect to the
Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or
its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to
us, MLPF&S, or the notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs or the needs
of MLPF&S or holders of the notes into consideration in determining, composing or calculating the Index. S&P Dow
Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes or
the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are
to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration,
marketing or trading of the notes. There is no assurance that investment products based on the Index will accurately track
index performance or provide positive investment returns. SPDJI and its subsidiaries are not investment advisors. Inclusion of
a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such
security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its
affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which
may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which
are linked to the performance of the Index. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE
THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING
BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES
INDICES
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY
ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS
ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, MLPF&S,
HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL,
PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF
THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE
NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND MLPF&S, OTHER THAN THE
LICENSORS OF S&P DOW JONES INDICES.
The Copper Spot Price
The
“Copper Spot Price” is the official cash offer price of Grade A copper on the LME for the spot market, expressed in
U.S. dollars per metric ton,
traded on the LME on the applicable
trading day, as made public by the LME.
The LME was established in 1877 and is
the principal base-metal exchange in the world on which contracts for delivery of copper, lead, zinc, tin, aluminum, aluminum alloy
and nickel are traded. In contrast to U.S. futures exchanges, the LME operates as a principals’ market for the trading of
forward contracts, and is therefore more closely analogous to over-the-counter physical commodity markets than futures markets.
There are no price limits applicable to LME prices, and therefore prices can decline without limitation over a period of time.
The following graph sets forth
the daily historical performance of the Copper Spot Price in the period from January 1, 2008 through June 15, 2017. This historical
data on the Copper Spot Price is not necessarily indicative of its future performance or what the value of the notes may be. Any
historical upward or downward trend in the Copper Spot Price during any period set forth below is not an indication that the Copper
Spot Price is more or less likely to increase or decrease at any time over the term of the notes. The horizontal line in the graph
represents the Threshold Value of $3,945.90, which is 70% of its Starting Value of $5,637.00.
Before investing in the notes, you should
consult publicly available sources for the Copper Spot Price.
SUPPLEMENT TO THE PLAN OF DISTRIBUTION;
ROLE OF MLPF&S AND CONFLICTS OF INTEREST
MLPF&S, 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.
MLPF&S may not make sales in this offering to any of its discretionary accounts without the prior written approval of the account
holder.
MLPF&S 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. MLPF&S 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.
MLPF&S 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. The selling agent 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 MLPF&S’s discretion, for
a short, undetermined initial period after the issuance of the notes, MLPF&S 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 MLPF&S 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, MLPF&S 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 MLPF&S 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.
STRUCTURING THE NOTES
The notes are our debt securities, the
return on which is linked to the performance of the Underlyings. The related guarantees are BAC’s obligations. 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 MLPF&S or one of our other affiliates. The terms of these hedging arrangements
are determined based upon terms provided by MLP&S 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.
MLPF&S 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-6 above and “Supplemental Use of Proceeds” on page PS-17 of product supplement
COMM-1.
U.S. FEDERAL
INCOME TAX SUMMARY
The following summary of the material
U.S. federal income 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 Bank of America Corporation for U.S. federal income tax purposes. Accordingly throughout
this discussion, references to “we,” “our” or “us” are generally to Bank of America Corporation
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, Morrison &
Foerster 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.
U.S. Holders
Upon receipt of a cash payment at maturity
or upon a sale, call 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. 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.
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 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 (“
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.
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 sale or exchange of the notes should be treated as ordinary gain
or loss.
Since the Index periodically rebalances,
it is possible that the notes could be treated as a series of single financial contracts, each of which matures on the next rebalancing
date. If the notes were properly characterized in such a manner, a U.S. Holder would be treated as disposing of the
notes on each rebalancing date in return for new notes that mature on the next rebalancing date, and a U.S. Holder would accordingly
likely recognize capital gain or loss on each rebalancing date equal to the difference between the holder’s tax basis in
the notes (which would be adjusted to take into account any prior recognition of gain or loss) and the fair market value of the
notes on such date.
Since the Underlyings track the value
of commodity futures contracts, it is possible that the IRS could assert that Section 1256 of the Code should apply to the notes
or a portion of the notes. If Section 1256 of the Code were to apply to the notes, gain or loss recognized with respect to the
notes (or the relevant portion of the notes) would be treated as 60% long-term capital gain or loss and 40% short-term capital
gain or loss, without regard to a U.S. Holder’s holding period in the notes. A U.S. Holder would also be required to mark
the notes (or a portion of the notes) to market at the end of each year (i.e., recognize gain or loss as if the notes or the relevant
portion of the notes had been sold for fair market value).
Non-U.S. Holders
A Non-U.S. Holder generally will not
be subject to U.S. federal income or withholding tax on any gain from the sale, call or exchange 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 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 settlement at maturity, sale, call
or exchange 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 the gain realized on the settlement at maturity, 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 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.
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 of
the notes should consult their own tax advisors in this regard.
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, the notes are likely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities
should consult their own tax advisors regarding the U.S. federal estate tax consequences of investing in the notes.
Backup Withholding and Information Reporting
Please see the discussion under “U.S.
Federal Income Tax Considerations — Taxation of Debt Securities — 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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