If, with respect to any Underlying, (i) a
Market Disruption Event occurs on a scheduled Observation Date or (ii) the calculation agent determines that by reason of
an extraordinary event, occurrence, declaration or otherwise, any scheduled Observation Date is not a Trading Day for any Underlying
(any such day in either (i) or (ii) being a “Non-Observation Date”), the calculation agent will determine
the Closing Market Price of the applicable Underlyings for that day as follows:
The applicable Observation Date will be deemed to occur after the calculation
agent has determined the Closing Market Prices of the Underlyings as provided above.
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 identified on page PS-2 above.
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Your investment may result in a loss; there is no guaranteed return of principal. There
is no fixed principal repayment amount on the Notes at maturity. If the Notes are not automatically called prior to maturity and
the Final Value of any Underlying is less than its Downside Threshold, at maturity, you will lose 1% of the Stated Principal Amount
for each 1% that the Final Value of the Least Performing Underlying is less than its Initial Value. In that case, you will lose
a significant portion or all of your investment in the Notes. Generally, the longer the Notes remain outstanding, the less likely
the Notes will be subject to an automatic call because of the shorter time remaining for the level of an Underlying that has experienced
a decline to recover. The periods in which it is less likely the Notes will be subject to an automatic call generally coincide
with a period of greater risk of loss of the Stated Principal Amount on your Notes.
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The limited downside protection provided by the Downside Threshold applies only at maturity.
You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary market prior to an
automatic call or maturity, you may have to sell them at a loss relative to your initial investment even if the level of each Underlying
at that time is equal to or greater than its Downside Threshold. All payments on the Notes are subject to the credit risk of BofA
Finance, as issuer, and BAC, as guarantor.
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Your return on the Notes is limited to the return represented by the Contingent Coupon Payments,
if any, over the term of the Notes. Your return on the Notes is limited to the Contingent Coupon Payments paid over the term
of the Notes, regardless of the extent to which the Current Underlying Price or Final Value of any Underlying exceeds its Coupon
Barrier or Initial Value, as applicable. Similarly, the amount payable at maturity or upon an automatic call will never exceed
the sum of the Stated Principal Amount and the applicable Contingent Coupon Payment, regardless of the extent to which the Final
Value or the Current Underlying Price of any Underlying exceeds its Initial Value. In contrast, a direct investment in the Underlyings
or the securities included in one or more of the Underlyings would allow you to receive the benefit of any appreciation in their
values. Thus, any return on the Notes will not reflect the return you would realize if you actually owned those securities and
received the dividends paid or distributions made on them.
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The Notes are subject to a potential automatic early call, which would limit your ability to
receive the Contingent Coupon Payments over the full term of the Notes. The Notes are subject to a potential automatic early
call. Beginning in December 2020, the Notes will be automatically called if, on any Observation Date (other than the Final Observation
Date), the Current Underlying Price of the Least Performing Underlying is greater than or equal to its Initial Value. If the Notes
are automatically called prior to the Maturity Date, you will be entitled to receive the Stated Principal Amount and the Contingent
Coupon Payment with respect to the applicable Observation Date. In this case, you will lose the opportunity to continue to receive
Contingent Coupon Payments after the date of automatic call. If the Notes are called prior to the Maturity Date, you may be unable
to invest in other securities with a similar level of risk that could provide a return that is similar to the Notes.
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You may not receive any Contingent Coupon Payments. The Notes do not provide for any regular
fixed coupon payments. Investors in the Notes will not necessarily receive any Contingent Coupon Payments on the Notes. If the
Current Underlying Price of the Least Performing Underlying is less than its Coupon Barrier on an Observation Date, you will not
receive the Contingent Coupon Payment applicable to that Observation Date. If the Current Underlying Price of the Least Performing
Underlying is less than its Coupon Barrier on all the Observation Dates during the term of the Notes, you will not receive any
Contingent Coupon Payments during the term of the Notes, and will not receive a positive return on the Notes.
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Your return on the Notes may be less than the yield on a conventional debt security of comparable
maturity. Any return that you receive on the Notes may be less than the return you would earn if you purchased a conventional
debt security with the same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost
to you when you consider factors, such as inflation, that affect the time value of money. In addition, if interest rates increase
during the term of the Notes, the Contingent Coupon Payment (if any) may be less than the yield on a conventional debt security
of comparable maturity.
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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 all payments
on the Notes will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the
Notes on the applicable payment date, regardless of the Current Underlying Price or Final Value, as applicable, of any Underlying
as compared to its Coupon Barrier, Downside Threshold or Initial Value, as applicable. 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 and you could lose all of your initial investment.
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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.
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The Notes are subject to the market risk of the Underlyings. The return on the Notes, which
may be negative, is directly linked to the performance of the Underlyings and indirectly linked to the value of the securities
included in the Underlyings. The prices of the Underlyings can rise or fall sharply due to factors specific to the Underlyings
and the securities included in the Underlyings and the issuers of such securities, such as stock price volatility, earnings and
financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well
as general market factors, such as general stock market or commodity market volatility and levels, interest rates and economic
and political conditions.
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The Notes are subject to risks associated with small-size capitalization companies. The
stocks comprising the Russell 2000® Index, which is the IWM’s underlying index, are issued by companies with
small-sized market capitalization. The stock prices of small-size companies may be more volatile than stock prices of large capitalization
companies. Small-size capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions
relative to larger companies. Small-size capitalization companies may also be more susceptible to adverse developments related
to their products or services.
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The performance of each Underlying may not correlate with the performance of its underlying
index (each, an “Underlying Index”) as well as the net asset value per share of the Underlying, especially during periods
of market volatility. The performance of each Underlying and that of its Underlying Index generally will vary due to, for example,
transaction costs, management fees, certain corporate actions, and timing variances. Moreover, it is also possible that the performance
of an Underlying may not fully replicate or may, in certain circumstances, diverge significantly from the performance of its Underlying
Index. This could be due to, for example, the Underlying not holding all or substantially all of the underlying assets included
in the Underlying Index and/or holding assets that are not included in the Underlying Index, the temporary unavailability of certain
securities in the secondary market, the performance of any derivative instruments held by the Underlying, differences in trading
hours between the Underlying (or the underlying assets held by the Underlying) and the Underlying Index, or due to 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 the Underlying may differ from its net asset value per share; shares of the Underlying
may trade at, above, or below its net asset value per share. During periods of market volatility, securities held by each Underlying
may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share
of the Underlying and the liquidity of the Underlying may be adversely affected. Market volatility may also disrupt the ability
of market participants to trade shares of the Underlying. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Underlying. As a result, under these circumstances,
the market value of shares of the Underlying may vary substantially from the net asset value per share of the Underlying.
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For the foregoing reasons, the performance of
each Underlying may not match the performance of its Underlying Index or the net asset value per share of the Underlying over the
same period. Because of this variance, the return on the Notes to the extent dependent on the performance of the Underlying may
not be the same as an investment directly in the securities included in the Underlying Index or the same as a debt security with
a return linked to the performance of the Underlying Index.
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We are a finance subsidiary and, as such, have no independent assets, operations or revenues.
We are a finance subsidiary of BAC, 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.
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The public offering price you are paying for the Notes exceeds their initial estimated value.
The initial estimated value of the Notes that is provided on the cover page of this pricing supplement is an estimate only, determined
as of the Trade Date by reference to our and our affiliates' pricing models. These pricing models consider certain assumptions
and variables, including our credit spreads and those of the Guarantor, the Guarantor’s internal funding rate, mid-market
terms on hedging transactions, expectations on interest rates, dividends and volatility, price-sensitivity analysis, and the expected
term of the Notes. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect.
If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and lower
than their initial estimated value. This is due to, among other things, changes in the level of the Underlyings, changes in 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.
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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.
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The price of the Notes that may be paid by BofAS in any secondary market (if BofAS makes a
market, which it is not required to do), as well as the price which may be reflected on customer account statements, will be higher
than the then-current estimated value of the Notes for a limited time period after the Trade Date. As agreed by BofAS and the
distribution participants, for approximately a three-month
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period after the Trade Date, to the extent BofAS
offers to buy the Notes in the secondary market, it will do so at a price that will exceed the estimated value of the Notes at
that time. The amount of this excess, which represents a portion of the hedging-related charges expected to be realized by
BofAS and the distribution participants over the term of the Notes, will decline to zero on a straight line basis over that three-month
period. Accordingly, the estimated value of your Notes during this initial three-month period may be lower than the value
shown on your customer account statements. Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect
the estimated value determined by reference to its pricing models at that time. Any price at any time after the Trade Date 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 other party 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.
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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.
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The development of a trading market for the Notes
will depend on the Guarantor’s financial performance and other factors, including changes in the prices of the Underlyings.
The number of potential buyers of your Notes in any secondary market may be limited. We anticipate that BofAS will act as a market-maker
for the Notes, but none of us, the Guarantor or BofAS 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. BofAS may discontinue its market-making activities as to the Notes
at any time. To the extent that BofAS engages in any market-making activities, it may bid for or offer the Notes. Any price at
which BofAS 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 BofAS 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.
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Economic and market factors have affected the terms of the Notes and may affect the market
value of the Notes prior to maturity or an automatic call. Because market-linked notes, including the Notes, can be thought
of as having a debt component and a derivative component, factors that influence the values of debt instruments and options and
other derivatives will also affect the terms and features of the Notes at issuance and the market price of the Notes prior to maturity
or an automatic call. These factors include the prices of the Underlyings and the securities included in the Underlyings; the volatility
of the Underlyings and the securities included in the Underlyings; the correlation among the Underlyings; the dividend rate paid
on the Underlyings or the securities included in the Underlyings, if applicable; the time remaining to the maturity of the Notes;
interest rates in the markets; geopolitical conditions and economic, financial, political, force majeure and regulatory or judicial
events; whether each of the Underlyings is currently or has been less than its Coupon Barrier; the availability of comparable instruments;
the creditworthiness of BofA Finance, as issuer, and BAC, as guarantor; and the then current bid-ask spread for the Notes and the
factors discussed under “— Trading and hedging activities by us, the Guarantor and any of our other affiliates, including
BofAS, and UBS and its affiliates may create conflicts of interest with you and may affect your return on the Notes and their market
value” below. These factors are unpredictable and interrelated and may offset or magnify each other.
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The Contingent Coupon Payment, Payment at Maturity, or payment upon an automatic call, as applicable,
will not reflect the prices of the Underlyings other than on the Observation Dates. The prices of the Underlyings during the
term of the Notes other than on the Observation Dates will not affect payments on the Notes. Notwithstanding the foregoing, investors
should generally be aware of the performance of the Underlyings while holding the Notes, as the performance of the Underlyings
may influence the market value of the Notes. The calculation agent will determine whether each Contingent Coupon Payment is payable
and will calculate the Contingent Coupon Payment or the Payment at Maturity, as applicable, by comparing only the Initial Value,
the Coupon Barrier or the Downside Threshold, as applicable, to the Current Underlying Price or the Final Value for each Underlying.
No other levels of the Underlyings will be taken into account. As a result, if the Notes are not automatically called prior to
maturity and the Final Value of the Least Performing Underlying is less than its Downside Threshold, you will receive less than
the Stated Principal Amount at maturity, even if the level of each Underlying was always above its Downside Threshold prior to
the Final Observation Date.
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The sponsors or investment advisors of the Underlyings may adjust an Underlying in a way that
affects its price, and the sponsors or investment advisors have no obligation to consider your interests. The sponsors or investment
advisors of the Underlyings can add, delete, or substitute the components included in the Underlyings or make other methodological
changes that could change their prices. Any of these actions could adversely affect the value of your Notes.
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You are exposed to the market risk of both Underlyings. Your return
on the Notes is not linked to a basket consisting of the Underlyings. Rather, it will be contingent upon the independent performance
of each of the SPY and the IWM. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated
and diversified among all of the components of the basket, you will be exposed to the risks related to both the SPY and the IWM.
Poor performance by either of the Underlyings over the term of the Notes may negatively affect your return and will not be offset
or mitigated by positive performance by the other Underlying. For the Notes to be automatically called or to receive any Contingent
Coupon Payment or contingent repayment of principal at maturity, both Underlyings must close at or above their respective Initial
Values, Coupon Barriers or Downside Thresholds, respectively, on the applicable Observation Date or Final Observation Date, as
applicable. In addition, if the Notes are not called prior to maturity, you may incur a loss proportionate to the negative return
of the Least Performing Underlying even if the other Underlying appreciates during the term of the Notes. Accordingly, your investment
is subject to the market risk of both Underlyings. Additionally, movements in the values of the Underlyings may be correlated or
uncorrelated at different times during the term of the Notes, and such correlation (or lack thereof) could have an adverse effect
on your return on the Notes. For example, the likelihood that one of the Underlyings will close below its Coupon Barrier on an
Observation Date or below its Downside Threshold on the Final Observation Date will increase when the movements in the values of
the Underlyings are uncorrelated. Thus, if the performance of the
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Underlyings
is not correlated or is negatively correlated, the risk of not receiving a Contingent Coupon Payment and of incurring a significant
loss of principal at maturity is greater. In addition, correlation generally decreases for each additional Underlying to which
the Notes are linked, resulting in a greater potential for a significant loss of principal at maturity. Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the economic terms of the Notes, including the Contingent
Coupon Rate, Downside Thresholds and Coupon Barriers, are determined, in part, based on the correlation of the Underlyings’
performance calculated using our and our affiliates' pricing models at the time when the terms of the Notes are finalized. All
other things being equal, a higher Contingent Coupon Rate and lower Downside Threshold and Coupon Barrier is generally associated
with lower correlation of the Underlyings, which may indicate a greater potential for missed Contingent Coupon Payments and/or
a significant loss on your investment at maturity. See “Correlation of the Underlyings” below.
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Because the Notes are linked to the performance of the least performing between the SPY and
the IWM, you are exposed to greater risk of receiving no Contingent Coupon Payments or sustaining a significant loss on your investment
than if the Notes were linked to just the SPY or just the IWM. The risk that you will not receive any Contingent Coupon Payments
and/or lose a significant portion or all of your investment in the Notes is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of just the SPY or just the IWM. With two Underlyings, it is more likely
that either Underlying will close below its Coupon Barrier on the Observation Dates or below its Downside Threshold on the Final
Observation Date than if the Notes were linked to only one of the Underlyings, and therefore it is more likely that you will not
receive any Contingent Coupon Payments or will receive a Payment at Maturity that is significantly less than the Stated Principal
Amount on the Maturity Date.
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A higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or Downside Threshold may
reflect greater expected volatility of the Underlyings, which is generally associated with a greater risk of loss. Volatility
is a measure of the degree of variation in the levels of the Underlyings over a period of time. The greater the expected volatilities
of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that you may not receive
one or more, or all, Contingent Coupon Payments and that you may lose a significant portion or all of the Stated Principal Amount
at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside
Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where
higher expected volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on
conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier and/or
a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon Rate will generally
be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate that the
Notes have a greater likelihood of paying Contingent Coupon Payments or returning the Stated Principal Amount at maturity. You
should be willing to accept the downside market risk of each Underlying and the potential loss of a significant portion or all
of the Stated Principal Amount at maturity.
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Trading and hedging activities by us, the Guarantor and any of our other affiliates,including
BofAS, and UBS and its affiliates, 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, and UBS and its affiliates, may buy
or sell shares of the Underlyings or the securities held by or included in the Underlyings, or futures or options contracts on
the Underlyings or those securities, or other listed or over-the-counter derivative instruments linked to the Underlyings or those
securities. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates also may issue
or underwrite other financial instruments with returns based upon the Underlyings. 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, including
BofAS, and UBS and its 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 the Notes offered hereby. We or UBS may enter into such hedging arrangements
with one of our or their affiliates. Our affiliates or their 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 and UBS and its 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 BofAS, and UBS and its affiliates receive
for the sale of the Notes, which creates an additional incentive to sell the Notes to you. While we, the Guarantor or one or more
of our other affiliates, including BofAS, and UBS and its affiliates may from time to time own shares of the Underlyings or securities
represented by the Underlyings, except to the extent that BAC’s or UBS Group AG’s (the parent company of UBS) common
stock may be included in the Underlyings, as applicable, we, the Guarantor and our other affiliates, including BofAS, and UBS and
its affiliates 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, and UBS and its affiliates 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.
The transactions described above may present a conflict of interest between your interest in the Notes and the interests we, the
Guarantor and our other affiliates, including BofAS, and UBS and its affiliates 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.
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The transactions described above may adversely
affect the value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the Trade Date,
any purchases or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf, and UBS and its affiliates
(including for the purpose of hedging some or all of our anticipated exposure in connection with the Notes) may have affected the
value of the Underlyings. Consequently, the value of the Underlyings may change subsequent to the Trade Date, which may adversely
affect the market value of the Notes. 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 BofAS,
and UBS and its affiliates 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 value
of the Underlyings, the market value of your Notes prior to maturity or the amounts payable on the Notes.
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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.
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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 contingent income-bearing single financial contracts, as described below under “U.S. Federal
Income Tax Summary—General.” If the Internal Revenue Service (the “IRS”) were successful in asserting an
alternative characterization for the Notes, the timing and character of income, gain or loss with respect to the Notes may differ.
No ruling will be requested from the IRS with respect to the Notes and no assurance can be given that the IRS will agree with the
statements made in the section entitled “U.S. Federal Income Tax Summary.” You are urged to consult with your own
tax advisor regarding all aspects of the U.S. federal income tax consequences of investing in the Notes.
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Hypothetical terms only. Actual terms may vary. See
the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon automatic call
or at maturity for a $10.00 Stated Principal Amount Note with the following assumptions* (amounts may have been rounded for ease
of reference and do not take into account any tax consequences from investing in the Notes.):
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Stated Principal Amount: $10
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Term: 2 years, unless earlier automatically called
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Hypothetical Initial Values:
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SPDR® S&P 500® ETF Trust: 100.00
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iShares® Russell 2000 ETF: 100.00
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Contingent Coupon Rate: 11.10% per annum (or 2.775% per quarter)
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Quarterly Contingent Coupon Payment: $0.2775 per quarter per Note
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Observation Dates: Quarterly, automatically callable (other than on the Final Observation Date)
after approximately 3 months, as set forth on page PS-6 of this pricing supplement
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Hypothetical Coupon Barriers:
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SPDR® S&P 500® ETF Trust: 70.00, which is 70% of its hypothetical Initial Value
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iShares® Russell 2000 ETF: 70.00, which is 70% of its hypothetical Initial Value
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Hypothetical Downside Thresholds:
|
|
o
|
SPDR® S&P 500® ETF Trust: 70.00, which is 70% of its hypothetical Initial Value
|
|
o
|
iShares® Russell 2000 ETF: 70.00, which is 70% of its hypothetical Initial Value
|
*The hypothetical Initial Values,
Coupon Barriers and Downside Thresholds do not represent the actual Initial Values, Coupon Barriers and Downside Thresholds, respectively,
applicable to the Underlyings. The actual Initial Values, Coupon Barriers and Downside Thresholds are set forth on the cover page
of this pricing supplement. All payments on the Notes are subject to issuer and guarantor credit risk.
Example 1 — Notes are automatically called on the second Observation
Date.
Date
|
Current Underlying Price of the Underlying
|
Payment (per Note)
|
SPDR® S&P 500® ETF Trust
|
iShares® Russell 2000 ETF
|
First Observation Date
|
50.00 (below Coupon Barrier and Initial Value)*
|
78.00 (at or above Coupon Barrier; below Initial Value)
|
$0.00 (not called)
|
Second Observation Date
|
110.00 (at or above Coupon Barrier and Initial Value)*
|
120.00 (at or above Coupon Barrier and Initial Value)
|
$10.2775 (Payment upon automatic call)
|
|
|
Total Payment:
|
$10.2775 (2.775% total return)
|
* Denotes Least Performing Underlying for the applicable Observation Date
The Least Performing Underlying on the first Observation Date closes below
its Coupon Barrier and Initial Value, and as a result no Contingent Coupon Payment is paid on the first Coupon Payment Date and
the Notes are not automatically called. On the second Observation Date, the Least Performing Underlying closes above its Initial
Value, and the Notes are automatically called on the related Coupon Payment Date. You will receive on the Coupon Payment Date a
total of $10.2775 per Note, reflecting the $10.00 Stated Principal Amount plus the applicable Contingent Coupon Payment.
You would have been paid a total of $10.2775 per Note for a 2.775% total return on the Notes over six months. No further amount
would be owed to you under the Notes, and you would not participate in the appreciation of the Underlyings.
Example 2 — Notes are NOT automatically called and the Final Value
of the Least Performing Underlying on the Final Observation Date is at or above its Downside Threshold.
Date
|
Current Underlying Price of the Underlying
|
Payment (per Note)
|
SPDR® S&P 500® ETF Trust
|
iShares® Russell 2000 ETF
|
First Observation Date
|
99.00 (at or above Coupon Barrier below Initial Value)
|
85.00 (at or above Coupon Barrier below Initial Value)*
|
$0.2775 (Contingent Coupon Payment — not called)
|
Second Observation Date
|
95.00 (at or above Coupon Barrier; below Initial Value)
|
90.00 (at or above Coupon Barrier; below Initial Value)*
|
$0.2775 (Contingent Coupon Payment — not called)
|
Third Observation Date
|
75.00 (at or above Coupon Barrier; below Initial Value)
|
55.00 (below Coupon Barrier and Initial Value)*
|
$0.00 (not called)
|
Fourth Observation Date
|
90.00 (at or above Coupon Barrier; below Initial Value)
|
66.00 (below Coupon Barrier and Initial Value)*
|
$0.00 (not called)
|
Fifth to seventh Observation Dates
|
various (all at or above Coupon Barrier; all below Initial Value)
|
various (all below Coupon Barrier and Initial Value)*
|
$0.00 (not called)
|
Final Observation Date
|
78.00 (at or above Downside Threshold and Coupon Barrier)
|
77.00 (at or above Downside Threshold and Coupon Barrier)*
|
$10.2775 (Payment at Maturity)
|
|
|
Total Payment:
|
$10.8325 (8.325% total return)
|
* Denotes Least Performing Underlying for the applicable Observation Date(s)
The Least Performing Underlying on each of the first two Observation Dates
closes above its Coupon Barrier and therefore a Contingent Coupon Payment is paid on each of the first two Coupon Payment Dates.
On each of the third to seventh Observation Dates, the Least Performing Underlying closes below its Coupon Barrier. Therefore,
no Contingent Coupon Payment is paid on any related Coupon Payment Date. In addition, on each of the first to seventh Observation
Dates, the Least Performing Underlying closes below its Initial Value, and as a result the Notes are not automatically called.
On the Final Observation Date, the Least Performing Underlying on the Final Observation Date closes at or above its Downside Threshold
and Coupon Barrier. Therefore, at maturity, you would receive a total of $10.2775 per Note, reflecting the $10.00 Stated Principal
Amount plus the applicable Contingent Coupon Payment. When added to the total Contingent Coupon Payments of $0.5550 received
in respect of the prior Observation Dates, you would have been paid a total of $10.8325 per Note for an 8.325% total return on
the Notes over two years.
Example 3 — Notes are NOT automatically called and the Final Value
of the Least Performing Underlying on the Final Observation Date is below its Downside Threshold.
Date
|
Current Underlying Price of the Underlying
|
Payment (per Note)
|
SPDR® S&P 500® ETF Trust
|
iShares® Russell 2000 ETF
|
First to Seventh Observation Dates
|
Various (all below Coupon Barrier and Initial Value)
|
Various (all below Coupon Barrier and Initial Value)*
|
$0 (not called)
|
Final Observation Date
|
110.00 (at or above Downside Threshold and Coupon Barrier)
|
30.00 (below Downside Threshold and Coupon Barrier)*
|
$10.00 × [1 + Underlying Return of the Least Performing
Underlying on the Final Observation Date] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (Payment at Maturity)
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
|
|
|
|
* Denotes Least Performing Underlying for the applicable Observation Date(s)
The Least Performing Underlying on each Observation Date closes below its
Coupon Barrier, and as a result no Contingent Coupon Payment is paid on any Coupon Payment Date during the term of the Notes. In
addition, on each of the first to seventh Observation Dates, the Least Performing Underlying closes below its Initial Value, and
as a result the Notes are not automatically called. On the Final Observation Date, the Least Performing Underlying closes below
its Downside Threshold and Coupon Barrier. Therefore, at maturity, investors are exposed to the downside performance of the Least
Performing Underlying and you will receive $3.00 per Note for a -70.00% total return over two years, which reflects the percentage
decrease of the Least Performing Underlying on the Final Observation Date from the Trade Date to the Final Observation Date.
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, each of SSGA Funds
Management, Inc. (“SSGA”), the investment advisor of the SPY, and BlackRock Fund Advisors (“BFA”), the
investment advisor of the IWM. We refer to SSGA and BFA as the “Investment Advisors.” The Investment Advisors, which
license the copyright and all other rights to the Underlyings, have no obligation to continue to publish, and may discontinue publication
of, the Underlyings. The consequences of the Investment Advisor discontinuing publication of the Underlyings are discussed in “Description
of the Notes— Anti-Dilution and Discontinuance Adjustments Relating to ETFs— Discontinuance of an ETF” in the
accompanying product supplement. None of us, the Guarantor, the calculation agent, or either Selling Agent accepts any responsibility
for the calculation, maintenance or publication of any Underlyings or any successor underlying.
None of us, the Guarantor, the Selling Agents or any of our or their respective
affiliates makes any representation to you as to the future performance of the Underlyings.
You should make your own investigation into the Underlyings.
The SPDR® S&P 500® ETF Trust
The SPY is a unit investment trust that issues securities called “trust
units” or “units.” The SPY is organized under New York law and is governed by an amended and restated trust agreement
between State Street Bank and Trust Company (the “Trustee”) and PDR Services LLC (the “Sponsor”), dated
as of January 1, 2004 and effective as of January 27, 2004, as amended (the “Trust Agreement”). The SPY is an investment
company registered under the Investment Company Act of 1940, as amended. The SPY commenced operations on January 22, 1993. The
units of the SPDR® S&P 500® ETF Trust trade on the NYSE Arca under the symbol “SPY.”
A trust unit represents an undivided ownership interest in a portfolio
consisting of all of the common stocks of the S&P 500® Index. The SPY intends to provide investment results that, before
expenses, generally correspond to the price and yield performance of the S&P 500® Index. The expenses of the SPY are accrued
daily and reflected in the net asset value of the SPY. After reflecting waivers (including earnings credits as a result of uninvested
cash balances of the SPY), the SPY currently is accruing ordinary operating expenses at an annual rate of 0.0945%.
The units of the SPY are registered under the Securities Exchange Act of
1934 (“the Exchange Act”). Accordingly, information filed with the SEC relating to the SPY, including its periodic
financial reports, may be found on the SEC website.
The S&P 500® Index
The S&P 500® Index (the “SPX”), which is sponsored
by the S&P Dow Jones Indices LLC (“SPDJI”), includes a representative sample of 500 companies in leading industries
of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price movement. The calculation
of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of 500 companies as of
a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base
period of the years 1941 through 1943.
The SPX includes companies from eleven main groups: Communication Services;
Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology; Real Estate; Materials;
and Utilities. The Underlying Sponsor may from time to time, in its sole discretion, add companies to, or delete companies from,
the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted company market capitalization
of $8.2 billion or more (an increase from the previous requirement of an unadjusted company market capitalization of $6.1 billion
or more).
SPDJI calculates the SPX by reference to the prices of the constituent
stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on the Notes will
not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid on those
stocks.
Computation of
the SPX
While SPDJI currently
employs the following methodology to calculate the SPX, no assurance can be given that SPDJI will not modify or change this methodology
in a manner that may affect the payments on the Notes.
Historically, the market value of any component stock of the SPX was calculated
as the product of the market price per share and the number of then outstanding shares of such component stock. In March 2005,
SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the
SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not change with
the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX reflect
only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes shares
that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing more than 5% of a stock’s
outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating
the SPX. Generally, these “control holders” will include officers and directors, private equity, venture capital and
special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares,
ESOPs, employee and family trusts, foundations associated with the company,
holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds)
and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings
by block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government
retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations
and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares, equity participation
units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors
in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the
float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or
non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”) is calculated
by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares
outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5%
of the company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However,
if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s
shares, SPDJI would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered
to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in
the SPX. Constituents of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to
be included in the SPX. If a constituent company of the SPX reorganizes into a multiple share class line structure, that company
will remain in the SPX at the discretion of the S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate methodology. The
level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941 through
1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has
been set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of
the SPX is computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the
index divisor is an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original
base period level of the SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments
to the SPX, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the adjustments for
company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring
or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding
and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due to corporate actions,
corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting the index divisor
for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of individual
companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
market price.
Changes in a company’s
shares outstanding of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange
offers are made as soon as reasonably possible. Share changes due to mergers or acquisitions of publicly held companies that trade
on a major exchange are implemented when the transaction occurs, even if both of the companies are not in the same headline index,
and regardless of the size of the change. All other changes of 5.00% or more (due to, for example, company stock repurchases, private
placements, redemptions, exercise of options, warrants, conversion of preferred stock, Notes, debt, equity participation units,
at-the-market offerings, or other recapitalizations) are made weekly and are announced on Fridays for implementation after the
close of trading on the following Friday.
Changes of less than 5.00%
are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding of 5.00% or more
causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the share change.
IWF changes resulting from partial tender offers are considered on a case by case basis.
Historical Performance of the SPY
The following graph sets forth the daily historical performance of the
SPY in the period from January 1, 2008 through the Trade Date. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal line in the
graph represents the SPY’s Coupon Barrier and Downside Threshold of $235.09 (rounded to two decimal places), which is 70%
of the SPY’s Initial Value of $335.84.
This historical data on the SPY is not necessarily
indicative of the future performance of the SPY or what the value of the Notes may be. Any historical upward or downward trend
in the price of the SPY during any period set forth above is not an indication that the price of the SPY is more or less likely
to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the prices and trading patterns of the SPY.
The iShares® Russell 2000 ETF
The iShares® Russell 2000 ETF seeks investment results that correspond
generally to the price and yield performance, before fees and expenses, of the Russell 2000® Index. The IWM
typically earns income dividends from securities included in the Russell 2000® Index. These amounts, net
of expenses and taxes (if applicable), are passed along to the IWM’s shareholders as “ordinary income.” In addition,
the IWM realizes capital gains or losses whenever it sells securities. Net long-term capital gains are distributed to shareholders
as “capital gain distributions.” However, because the Notes are linked only to the share price of the IWM, you will
not be entitled to receive income, dividend, or capital gain distributions from the IWM or any equivalent payments. The shares
of the iShares® Russell 2000 Index ETF trade on the NYSE Arca under the symbol “IWM”.
The shares of the IWM are registered under the Exchange Act. Accordingly,
information filed with the SEC relating to the IWM, including its periodic financial reports, may be found on the SEC website.
The Russell 2000® Index
The Russell 2000® Index was developed by Russell Investments
(“Russell”) before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly
owned by London Stock Exchange Group. Additional information on the Russell 2000® Index is available at the following
website: http://www.ftserussell.com. No information on that website is deemed to be included or incorporated by reference in this
pricing supplement.
Russell began dissemination of the Russell 2000® Index (Bloomberg
L.P. index symbol “Russell 2000® Index”) on January 1, 1984. FTSE Russell calculates and publishes the
Russell 2000® Index. The Russell 2000® Index was set to 135 as of the close of business on December
31, 1986. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the
U.S. equity market. As a subset of the Russell 3000® Index, the Russell 2000® Index consists of the
smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures the
performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The Russell
2000® Index is determined, comprised, and calculated by FTSE Russell without regard to the Notes.
Selection of Stocks Comprising the Russell 2000® Index
All companies eligible for inclusion in the Russell 2000®
Index must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated,
has a stated headquarters location, and trades in the same country (American Depositary Receipts and American Depositary Shares
are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same,
FTSE Russell defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters, and
country of the most
liquid exchange (as defined by a two-year average daily dollar trading
volume) (“ADDTV”) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of
the company’s assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company
is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the company’s
assets are primarily located, FTSE Russell will use the country from which the company’s revenues are primarily derived for
the comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years of assets or revenues data to
reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE Russell will assign
the company to the country of its headquarters, which is defined as the address of the company’s principal executive offices,
unless that country is a Benefit Driven Incorporation “BDI” country, in which case the company will be assigned to
the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize,
Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey,
Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any
companies incorporated or headquartered in a U.S. territory, including Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is
assigned.
All securities eligible for inclusion in the Russell 2000®
Index must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the
last trading day in May to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover,
if an existing member’s closing price is less than $1.00 on the last day of May, it will be considered eligible if the average
of the daily closing prices (from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public
offerings are added each quarter and must have a closing price at or above $1.00 on the last day of their eligibility period in
order to qualify for index inclusion. If an existing stock does not trade on the “rank day” (typically the last trading
day in May but a confirmed timetable is announced each spring) but does have a closing price at or above $1.00 on another eligible
U.S. exchange, that stock will be eligible for inclusion.
An important criterion used to determine the list of securities eligible
for the Russell 2000® Index is total market capitalization, which is defined as the market price as of the last
trading day in May for those securities being considered at annual reconstitution times the total number of shares outstanding.
Where applicable, common stock, non-restricted exchangeable shares and partnership units/membership interests are used to determine
market capitalization. Any other form of shares such as preferred stock, convertible preferred stock, redeemable shares, participating
preferred stock, warrants and rights, installment receipts or trust receipts, are excluded from the calculation. If multiple share
classes of common stock exist, they are combined. In cases where the common stock share classes act independently of each other
(e.g., tracking stocks), each class is considered for inclusion separately. If multiple share classes exist, the pricing vehicle
will be designated as the share class with the highest two-year trading volume as of the rank day in May.
Companies with a total market capitalization of less than $30 million are
not eligible for the Russell 2000® Index. Similarly, companies with only 5% or less of their shares available in
the marketplace are not eligible for the Russell 2000® Index. Royalty trusts, limited liability companies, closed-end
investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC, including business
development companies), blank check companies, special purpose acquisition companies, and limited partnerships are also ineligible
for inclusion. Bulletin board, pink sheets, and over-the-counter (“OTC”) traded securities are not eligible for inclusion.
Exchange traded funds and mutual funds are also excluded.
Annual reconstitution is a process by which the Russell 2000®
Index is completely rebuilt. Based on closing market prices of the company’s common stock on its primary exchange on the
rank day of May of each year, FTSE Russell reconstitutes the composition of the Russell 2000® Index using the then
existing market capitalizations of eligible companies. Reconstitution of the Russell 2000® Index occurs on the last
Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the prior Friday. In addition, FTSE
Russell adds initial public offerings to the Russell 2000® Index on a quarterly basis based on total market capitalization
ranking within the market-adjusted capitalization breaks established during the most recent reconstitution. After membership is
determined, a security’s shares are adjusted to include only those shares available to the public. This is often referred
to as “free float.” The purpose of the adjustment is to exclude from market calculations the capitalization that is
not available for purchase and is not part of the investable opportunity set.
Historical Performance of the IWM
The following graph sets forth the daily historical performance of the
IWM in the period from January 1, 2008 through the Trade Date. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal line in the
graph represents the IWM’s Coupon Barrier of $107.58 (rounded to two decimal places), which is 70% of the IWM’s Initial
Value of $153.69.
This historical data on the IWM is not necessarily indicative of the
future performance of the IWM or what the value of the Notes may be. Any historical upward or downward trend in the price of the
IWM during any period set forth above is not an indication that the price of the IWM 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 prices and trading patterns of the IWM.
Correlation of the Underlyings
The graph below illustrates the daily performance of the SPY and the IWM from
January 1, 2008 through the Trade Date. For comparison purposes, each Underlying has been “normalized” to have a Closing
Market Price of 100 on January 1, 2008 by dividing the Closing Market Price of that Underlying on each trading day by the Closing
Market Price of that Underlying on January 1, 2008 and multiplying by 100. We obtained the Closing Market Prices used to determine
the normalized Closing Market Prices set forth below from Bloomberg L.P., without independent verification.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e.,
the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings)
and -1.0 indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other
Underlying decreases and the ratio of their returns has been constant).
The graph below illustrates the historical performance of each Underlying relative
to each other over the time period shown and provides an indication of how close the relative performance of each Underlying has
historically been to the other Underlying. A closer relationship between the daily returns of two or more underlying assets over
a given period indicates that such underlying assets have been more positively correlated. Lower (or more-negative) correlation
among two or more underlying assets over a given period may indicate that it is less likely that those underlying assets will subsequently
move in the same direction. Therefore, lower correlation among the Underlyings may indicate a greater potential for one of the
Underlyings to close below its respective Coupon Barrier or Downside Threshold on an Observation Date, including the Final Observation
Date, as applicable, because there may be a greater likelihood that at least one of the Underlyings will decrease in value significantly.
However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings may close below the respective
Coupon Barrier(s) or Downside Threshold(s) on an Observation Date or the Final Observation Date, as applicable, as the Underlyings
may both decrease in value. Moreover, the actual correlation among the Underlyings may differ, perhaps significantly, from their
historical correlation. Although the correlation of the Underlyings’ performance may change over the term of the Notes, the
economic terms of the Notes, including the Contingent Coupon Rate, Downside Threshold and Coupon Barrier are determined, in part,
based on the correlation of the Underlyings’ performance calculated using our and our affiliates' pricing models at the time
when the terms of the Notes are finalized. All other things being equal, a higher Contingent Coupon Rate and lower Downside Threshold
and Coupon Barrier is generally associated with lower correlation among the Underlyings, which may indicate a greater potential
for missed Contingent Coupon Payments and/or a significant loss on your investment at maturity. See “Risk Factors —
You are exposed to the market risk of both Underlyings”, “—Because the Notes are linked to the performance of
the least performing between the SPY and the IWM, you are exposed to greater risk of receiving no Contingent Coupon Payments or
sustaining a significant loss on your investment than if the Notes were linked to just the SPY or just the IWM” and “—A
higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or Downside Threshold may reflect greater expected volatility of
the Underlyings, which is generally associated with a greater risk of loss” herein.
Past performance and correlation of the Underlyings are not indicative of the
future performance or correlation of the Underlyings.
Supplement to the Plan of Distribution; Role of BofAS and Conflicts of Interest
|
BofAS, an affiliate of BofA Finance and the lead selling agent for the sale
of the Notes, will not receive an underwriting discount for any Note sold in this offering. UBS, as selling agent for sales of
the Notes, has agreed to purchase from BofAS, and BofAS has agreed to sell to UBS, all of the Notes sold in this offering for $10.00
per Note. UBS will not receive an underwriting discount for any Note sold in this offering. UBS proposes to offer the Notes to
certain fee-based advisory accounts for which UBS is an investment advisor at a price of $10.00 per Note. If all of the Notes are
not sold at the initial offering price, BofAS may change the public offering price and other selling terms.
BofAS, a broker-dealer affiliate of ours, is a member of the Financial
Industry Regulatory Authority, Inc. (“FINRA”) and will participate as lead selling agent in the distribution of the
Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in
this offering to any of its discretionary accounts without the prior written approval of the account holder.
We will deliver the Notes against payment therefor in New York, New York
on a date that is greater than two business days following the Trade 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, purchasers who wish to trade the Notes more than two business days prior to the Issue Date
will be required to specify alternative settlement arrangements to prevent a failed settlement.
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. BofAS 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.
As agreed by BofAS and UBS, for approximately a three-month period after
the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market, it will do so at a price that will exceed
the estimated value of the Notes at that time. The amount of this excess will decline on a straight line basis over that period.
Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value determined by reference
to its pricing models at that time. Any price at any time after the Trade Date 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, UBS or any other party 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.
Sales Outside of the United States
The Notes have not been approved for public sale in any jurisdiction
outside of the United States. There has been no registration or filing as to the Notes with any regulatory, securities, banking,
or local authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other affiliate
of BAC, or by UBS or any of its affiliates, to offer the Notes in any jurisdiction other than the United States. As such, these
Notes are made available to investors outside of the United States only in jurisdictions where it is lawful to make such offer
or sale and only under circumstances that will result in compliance with applicable laws and regulations, including private placement
requirements.
Further, no offer or sale of the Notes is being made to residents of:
You are urged to carefully review the selling restrictions that may
be applicable to your jurisdiction beginning on page S-68 of the accompanying prospectus supplement.
European Economic Area and United Kingdom
None of this pricing supplement, the accompanying
product supplement, the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the
Prospectus Regulation (as defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus
and the accompanying prospectus supplement have been prepared on the basis that any offer of Notes in any Member State of the European
Economic Area (the “EEA”) or in the United Kingdom (each, a “Relevant State”) will only be made to a legal
entity which is a qualified investor under the Prospectus Regulation (“Qualified Investors”). Accordingly any person
making or intending to make an offer in that Relevant State of Notes which are the subject of the offering contemplated in this
pricing supplement, the accompanying product
supplement, the accompanying prospectus and the
accompanying prospectus supplement may only do so with respect to Qualified Investors. Neither BofA Finance nor BAC has authorized,
nor does it authorize, the making of any offer of Notes other than to Qualified Investors. The expression “Prospectus Regulation”
means Regulation (EU) 2017/1129.
PROHIBITION OF SALES TO EEA AND UNITED KINGDOM
RETAIL INVESTORS – The Notes are not intended to be offered, sold or otherwise made available to and should not be offered,
sold or otherwise made available to any retail investor in the EEA or in the United Kingdom. For these purposes: (a) a retail investor
means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as
amended (“MiFID II”); or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution Directive),
where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not
a qualified investor as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication
in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an
investor to decide to purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU)
No 1286/2014, as amended (the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available
to retail investors in the EEA or in the United Kingdom has been prepared and therefore offering or selling the Notes or otherwise
making them available to any retail investor in the EEA or in the United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement, the
accompanying product supplement, the accompanying prospectus supplement, the accompanying 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 the Issuer or the 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.
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. Any payments on the Notes, including
any Contingent Coupon Payments, depend on the credit risk of BofA Finance and BAC and on the performance of each of the Underlyings.
The economic terms of the Notes reflect our and BAC’s actual or perceived creditworthiness at the time of pricing and 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 elsewhere in this pricing supplement, reduced
the economic terms of the Notes to you and the initial estimated value of the Notes. Due to these factors, the public offering
price you are paying to purchase the Notes is greater than the initial estimated value of the Notes as of the Trade Date.
On the cover page of this pricing supplement, we have provided the initial
estimated value range for the Notes.
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.
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 BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to “we,” “our”
or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders and Non-U.S. Holders that, except
as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the Notes as capital assets within
the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not excluded from the
discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning the U.S. federal income
tax consequences to you of acquiring, owning, and disposing of the Notes, as well as any tax consequences arising under the laws
of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.
General
Although there is no statutory, judicial, or administrative authority directly
addressing the characterization of the Notes, we intend to treat the Notes for all tax purposes as contingent income-bearing single
financial contracts with respect to the Underlyings and under the terms of the Notes, we and every investor in the Notes agree,
in the absence of an administrative determination or judicial ruling to the contrary, to treat the Notes in accordance with such
characterization. In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the Notes as contingent income-bearing
single financial contracts with respect to the Underlyings. However, Sidley Austin LLP has advised us that it is unable to conclude
that it is more likely than not that this treatment will be upheld. This discussion assumes that the Notes constitute contingent
income-bearing single financial contracts with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did
not constitute contingent income-bearing single financial contracts, the tax consequences described below would be materially different.
This characterization of the Notes is not binding on the IRS or the courts.
No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or any similar instruments
for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization
and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences of an
investment in the Notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterization
and tax treatment described in this pricing supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects
of the U.S. federal income tax consequences of an investment in the Notes, including possible alternative characterizations.
Unless otherwise stated, the following discussion is based on the characterization
described above. The discussion in this section assumes that there is a significant possibility of a significant loss of principal
on an investment in the Notes.
We will not attempt to ascertain whether the issuer of either 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
either Underlying were so treated, certain adverse U.S. federal income tax consequences could possibly apply to a holder of the
Notes. You should refer to information filed with the SEC by the issuers of the Underlyings and consult your tax advisor regarding
the possible consequences to you, if any, if the issuer of either Underlying is or becomes a PFIC or is or becomes a United States
real property holding corporation.
U.S. Holders
Although the U.S. federal income tax treatment of any Contingent Coupon Payment
on the Notes is uncertain, we intend to take the position, and the following discussion assumes, that any Contingent Coupon Payment
constitutes taxable ordinary income to a U.S. Holder at the time received or accrued in accordance with the U.S. Holder’s
regular method of accounting. By purchasing the Notes you agree, in the absence of an administrative determination or judicial
ruling to the contrary, to treat any Contingent Coupon Payment as described in the preceding sentence.
Upon receipt of a cash payment at maturity or upon a sale, exchange, or redemption
of the Notes prior to maturity, a U.S. Holder generally will recognize capital gain or loss equal to the difference between the
amount realized (other than amounts representing any Contingent Coupon Payment, which would be taxed as described above) and the
U.S. Holder’s tax basis in the Notes. A U.S. Holder’s tax basis in the Notes will equal the amount paid by that holder
to acquire them. Subject to the discussion below concerning the possible application of the “constructive
ownership” rules of Section 1260 of the Code, this capital gain or loss
generally will be long-term capital gain or loss if the U.S. Holder held the Notes for more than one year. The deductibility of
capital losses is subject to limitations.
Possible Application of Section 1260 of the Code. Since the Underlyings
are 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 as a “constructive ownership transaction” to which
Section 1260 of the Code applies. If Section 1260 of the Code applies, all or a portion of any long-term capital gain recognized
by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income (the “Excess Gain”). In addition,
an interest charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would
have resulted in gross income inclusion for the U.S. Holder in taxable years prior to the taxable year of the sale, exchange, redemption,
or settlement (assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange,
redemption, or settlement).
If an investment in the Notes is treated as a constructive ownership transaction,
it is not clear to what extent any long-term capital gain of a U.S. Holder in respect of the Notes will be recharacterized as ordinary
income. It is possible, for example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary income
in respect of the Notes will equal the excess of (i) any long-term capital gain recognized by the U.S. Holder in respect of the
Notes and attributable to Section 1260 Financial Assets, over (ii) the “net underlying long-term capital gain” (as
defined in Section 1260 of the Code) such U.S. Holder would have had if such U.S. Holder had acquired an amount of the corresponding
Section 1260 Financial Assets at fair market value on the original issue date for an amount equal to the portion of the issue price
of the Notes attributable to the corresponding Section 1260 Financial Assets and sold such amount of Section 1260 Financial Assets
at maturity or upon sale, exchange, or redemption of the Notes at fair market value. Unless otherwise established by clear and
convincing evidence, the net underlying long-term capital gain is treated as zero and therefore it is possible that all long-term
capital gain recognized by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income if Section 1260 of
the Code applies to an investment in the Notes. U.S. Holders should consult their tax advisors regarding the potential application
of Section 1260 of the Code to an investment in the Notes.
As described below, the IRS, as indicated in Notice 2008-2 (the “Notice”),
is considering whether Section 1260 of the Code generally applies or should apply to the Notes, including in situations where the
Underlyings are not the type of financial asset described under Section 1260 of the Code.
Alternative Tax Treatments. Due to the absence of authorities that directly
address the proper tax treatment of the Notes, prospective investors are urged to consult their tax advisors regarding all possible
alternative tax treatments of an investment in the Notes. In particular, the IRS could seek to subject the Notes to the Treasury
regulations governing contingent payment debt instruments. If the IRS were successful in that regard, the timing and character
of income on the Notes would be affected significantly. Among other things, a U.S. Holder would be required to accrue original
issue discount every year at a “comparable yield” determined at the time of issuance. In addition, any gain realized
by a U.S. Holder at maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary income,
and any loss realized at maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary loss
to the extent of the U.S. Holder’s prior accruals of original issue discount, and as capital loss thereafter.
In addition, it is possible that the Notes could be treated as a unit consisting
of a deposit and a put option written by the Note holder, in which case the timing and character of income on the Notes would be
affected significantly.
The Notice sought comments from the public on the taxation of financial instruments
currently taxed as “prepaid forward contracts.” This Notice addresses instruments such as the Notes. According to the
Notice, the IRS and Treasury are considering whether a holder of an instrument such as the Notes should be required to accrue ordinary
income on a current basis, regardless of whether any payments are made prior to maturity. It is not possible to determine what
guidance the IRS and Treasury will ultimately issue, if any. Any such future guidance may affect the amount, timing and character
of income, gain, or loss in respect of the Notes, possibly with retroactive effect.
The IRS and Treasury are also considering additional issues, including whether
additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holders of such instruments
should be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive
ownership transactions,” generally applies or should generally apply to such instruments, and whether any of these determinations
depend on the nature of the underlying asset.
In addition, proposed Treasury regulations require the accrual of income
on a current basis for contingent payments made under certain notional principal contracts. The preamble to the regulations states
that the “wait and see” method of accounting does not properly reflect the economic accrual of income on those contracts,
and requires current accrual of income for some contracts already in existence. While the proposed regulations do not apply to
prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in the
case of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingent
payments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of the Notes.
Because of the absence of authority regarding the appropriate tax characterization
of the Notes, it is also possible that the IRS could seek to characterize the Notes in a manner that results in tax consequences
that are different from those described above. For example, the IRS could possibly assert that any gain or loss that a holder may
recognize at maturity or upon the sale, exchange, or redemption of the Notes should be treated as ordinary gain or loss.
Non-U.S. Holders
Because the U.S. federal income tax treatment of the Notes (including any Contingent
Coupon Payment) is uncertain, we will withhold U.S. federal income tax at a 30% rate (or at a lower rate under an applicable income
tax treaty) on the entire amount of any Contingent Coupon Payment made unless such payments are effectively connected with the
conduct by the Non-U.S. Holder of a trade or business in the U.S. (in which case, to avoid withholding, the Non-U.S. Holder will
be required to provide a Form W-8ECI). We will not pay any additional amounts in respect of such withholding. To claim benefits
under an income tax treaty, a Non-U.S. Holder must obtain a taxpayer identification number and certify as to its eligibility under
the appropriate treaty’s limitations on benefits article, if applicable. In addition, special rules may apply to claims for
treaty benefits made by Non-U.S. Holders that are entities rather than individuals. The availability of a lower rate of withholding
under an applicable income tax treaty will depend on whether such rate applies to the characterization of the payments under U.S.
federal income tax laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal withholding tax pursuant to an income
tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for refund with the IRS.
Except as discussed below, a Non-U.S. Holder generally will not be subject to
U.S. federal income or withholding tax for amounts paid in respect of the Notes (not including, for the avoidance of doubt, amounts
representing any Contingent Coupon Payment which would be subject to the rules discussed in the previous paragraph) upon the sale,
exchange, or redemption of the Notes or their settlement at maturity, provided that the Non-U.S. Holder complies with applicable
certification requirements and that the payment is not effectively connected with the conduct by the Non-U.S. Holder of a U.S.
trade or business. Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the Notes or their settlement
at maturity may be subject to U.S. federal income tax if that Non-U.S. Holder is a non-resident alien individual and is present
in the U.S. for 183 days or more during the taxable year of the sale, exchange, redemption, or settlement and certain other conditions
are satisfied.
If a Non-U.S. Holder of the Notes is engaged in the conduct of a trade or business
within the U.S. and if any Contingent Coupon Payment and gain realized on the settlement at maturity, or upon sale, exchange, or
redemption of the Notes, is effectively connected with the conduct of such trade or business (and, if certain tax treaties apply,
is attributable to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S. Holder, although exempt
from U.S. federal withholding tax, generally will be subject to U.S. federal income tax on such Contingent Coupon Payment and gain
on a net income basis in the same manner as if it were a U.S. Holder. Such Non-U.S. Holders should read the material under the
heading “—U.S. Holders,” for a description of the U.S. federal income tax consequences of acquiring, owning,
and disposing of the Notes. In addition, if such Non-U.S. Holder is a foreign corporation, it may also be subject to a branch profits
tax equal to 30% (or such lower rate provided by any applicable tax treaty) of a portion of its earnings and profits for the taxable
year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated as a dividend from sources
within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a Non-U.S. Holder.
Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”)
that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an
“underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income
tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides
that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are
issued before January 1, 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 in addition to the withholding tax described
above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should consult their own tax advisors
regarding the tax consequences of such alternative characterizations.
U.S. Federal Estate Tax. Under current law, while the matter is not entirely
clear, individual Non-U.S. Holders, and entities whose property is potentially includible in those individuals’ gross estates
for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual
has retained certain interests or powers), should note that, absent an applicable treaty benefit, a Note is likely to be treated
as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors
regarding the U.S. federal estate tax consequences of investing in a Note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal Income Tax Considerations
— 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.