This amended and restated pricing supplement amends and restates in full the pricing supplement dated April 26, 2023 for CUSIP 09709VTS5
Linked to the Least Performing of the iShares®
Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
| ● | Approximate 2 year term if not called
prior to maturity. |
| ● | Payments on the Notes will depend on the individual performance of the iShares®
Silver Trust, the S&P 500® Index and the SPDR® Gold Shares (each
an “Underlying”). |
| ● | Contingent coupon rate of 8.10% per annum
(2.025% per quarter) payable quarterly if
the Observation Value of each Underlying on the applicable Observation Date is greater than
or equal to 70% of its Starting Value. The coupon per $1,000 in principal amount of Notes payable
on the related Contingent Payment Date, if applicable, will equal (i) the product of $20.25 times the number of Contingent Payment Dates
that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment Date) minus (ii) the sum of
all Contingent Coupon Payments previously paid. |
| ● | Beginning in October 2023, automatically
callable quarterly for an amount equal to the principal amount plus the relevant Contingent Coupon
Payment if the Observation Value of each Underlying is greater than or equal to 100%
of its Starting Value on any Observation Date (other than the final Observation Date). |
| ● | Assuming the Notes are not called prior to maturity, if any
Underlying declines by more than 40% from its Starting Value, at maturity
your investment will be subject to 1:1 downside exposure to decreases in the value of the Least Performing Underlying, with
up to 100% of the principal at risk; otherwise, at maturity you will receive the principal amount.
At maturity you will also receive the final Contingent Coupon Payment if the Observation Value of
each Underlying on the final Observation Date is greater than or equal to 70%
of its Starting Value. |
| ● | All payments on the Notes are subject to the credit risk of BofA Finance
LLC (“BofA Finance”), as issuer of the Notes, and Bank of America Corporation (“BAC” or the “Guarantor”),
as guarantor of the Notes. |
| ● | The Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares®
Silver Trust, the S&P 500® Index and the SPDR® Gold Shares, due
May 1, 2025 (the “Notes”) priced on April 26, 2023 and will
issue on May 1, 2023. |
| ● | The Notes will not be listed on any securities exchange. |
The initial estimated value of the Notes as of the
pricing date is $950.60 per $1,000 in principal amount of Notes, which is less than the public offering price listed below. The actual
value of your Notes at any time will reflect many factors and cannot be predicted with accuracy. See “Risk Factors” beginning
on page PS-9 of this pricing supplement and “Structuring the Notes” on page PS-22 of this pricing supplement for additional
information.
There are important differences between the Notes
and a conventional debt security. Potential purchasers of the Notes should consider the information in “Risk Factors” beginning
on page PS-9 of this pricing supplement, page PS-5 of the accompanying product supplement, page S-6 of the accompanying prospectus supplement,
and page 7 of the accompanying prospectus.
None of the Securities and Exchange Commission (the
“SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined
if this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
| |
Public offering price(1) |
Underwriting discount(1)(2) |
Proceeds, before expenses, to BofA Finance(2) |
| Per Note |
$1,000.00 |
$27.50 |
$972.50 |
| Total |
$350,000.00 |
$9,625.00 |
$340,375.00 |
| (1) |
Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these fee-based advisory accounts may be as low as $972.50 per $1,000 in principal amount of Notes. |
| (2) |
The underwriting discount per $1,000
in principal amount of Notes may be as high as $27.50, resulting in proceeds, before expenses, to BofA Finance of as low as $972.50 per $1,000
in principal amount of Notes. The total
underwriting discount and proceeds, before expenses, to BofA Finance specified above reflect the aggregate of the underwriting discounts
per $1,000 in principal amount of Notes. |
The Notes and the related guarantee:
| Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
 |
| Selling Agent |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Terms of the Notes
The Notes provide a quarterly Contingent Coupon Payment
of $20.25 per $1,000 in principal amount of Notes on the applicable Contingent Payment Date if, on the related quarterly Observation Date,
the Observation Value of each Underlying is greater than or equal to its Coupon Barrier. The coupon per $1,000 in principal amount
of Notes payable on the related Contingent Payment Date, if applicable, will equal (i) the product of $20.25 times the number of Contingent
Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment Date) minus
(ii) the sum of all Contingent Coupon Payments previously paid.
Beginning in October 2023, if the Observation Value
of each Underlying is greater than or equal to its Call Value on any Observation Date (other than the final Observation Date),
the Notes will be automatically called, in whole but not in part, at 100% of the principal amount, together with the relevant Contingent
Coupon Payment. No further amounts will be payable following an Automatic Call. If the Notes are not automatically called prior to maturity
and the Least Performing Underlying declines by more than 40% from its Starting Value, there is full exposure to declines in the Least
Performing Underlying, and you will lose a significant portion or all of your investment in the Notes. Otherwise, at maturity you will
receive the principal amount. At maturity you will also receive the final Contingent Coupon Payment if the Observation Value of each
Underlying on the final Observation Date is greater than or equal to its Coupon Barrier. It is possible that the Notes will not pay any
Contingent Coupon Payments and you may lose a significant portion or all of your investment in the Notes at maturity. Any payments on
the Notes will be calculated based on $1,000 in principal amount of Notes and will depend on the performance of the Underlyings, subject
to our and BAC’s credit risk.
| Issuer: |
BofA Finance |
| Guarantor: |
BAC |
| Denominations: |
The Notes will be issued in minimum denominations of $1,000 and whole multiples of $1,000 in excess thereof. |
| Term: |
Approximately 2 years, unless previously automatically called. |
| Underlyings: |
The iShares® Silver Trust (Bloomberg symbol: “SLV”), the S&P 500® Index (Bloomberg symbol: “SPX”), a price return index, and the SPDR® Gold Shares (Bloomberg symbol: “GLD”). |
| Pricing Date: |
April 26, 2023 |
| Issue Date: |
May 1, 2023 |
| Valuation Date: |
April 28, 2025, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” in the accompanying product supplement. |
| Maturity Date: |
May 1, 2025 |
| Starting Value: |
SLV: $22.83
SPX: 4,055.99
GLD: $184.74 |
| Observation Value: |
With respect to the SLV, its Closing Market Price on the applicable Observation Date multiplied by its Price Multiplier.
With respect to the SPX, its closing level on the applicable Observation Date.
With respect to the GLD, its Closing Market Price on the applicable Observation Date multiplied by its Price Multiplier. |
| Ending Value: |
With respect to each Underlying, its Observation Value on the Valuation Date. |
| Call Value: |
SLV: $22.83, which is 100% of its Starting Value.
SPX: 4,055.99, which is 100% of its Starting Value.
GLD: $184.74, which is 100% of its Starting Value. |
| Price Multiplier: |
With respect to the SLV and GLD, 1, subject to adjustment for certain events as described in “Description of the Notes — Anti-Dilution and Discontinuance Adjustments Relating to ETFs” beginning on page PS-28 of the accompanying product supplement. |
| Coupon Barrier: |
SLV: $15.98, which is 70% of its Starting Value (rounded
to two decimal places).
SPX: 2,839.19, which is 70% of its Starting Value (rounded
to two decimal places).
GLD: $129.32, which is 70% of its Starting Value (rounded
to two decimal places). |
 |
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-2 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
| Threshold Value: |
SLV: $13.70, which is 60% of its Starting Value (rounded
to two decimal places).
SPX: 2,433.59, which is 60% of its Starting Value (rounded
to two decimal places).
GLD: $110.84, which is 60% of its Starting Value (rounded
to two decimal places). |
|
Contingent Coupon
Payment: |
If, on any quarterly Observation Date, the Observation Value of each Underlying is greater than or equal to its Coupon Barrier, we will pay a Contingent Coupon Payment of $20.25 per $1,000 in principal amount of Notes (equal to a rate of 2.025% per quarter or 8.10% per annum) on the applicable Contingent Payment Date (including the Maturity Date). The coupon per $1,000 in principal amount of Notes payable on the related Contingent Payment Date, if applicable, will equal (i) the product of $20.25 times the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid. |
| Automatic Call: |
Beginning in October 2023, all (but not less than all) of the Notes will be automatically called if the Observation Value of each Underlying is greater than or equal to its Call Value on any Observation Date (other than the final Observation Date). If the Notes are automatically called, the Early Redemption Amount will be paid on the applicable Contingent Payment Date. No further amounts will be payable following an Automatic Call. |
|
Early Redemption
Amount: |
For each $1,000 in principal amount of Notes, $1,000 plus the applicable Contingent Coupon Payment. |
| Redemption Amount: |
If the Notes have not been automatically called prior to maturity, the Redemption Amount per $1,000 in principal amount of Notes will be: |
| a) |
If the Ending Value of the Least Performing Underlying is greater than or equal to its Threshold Value: |
| |
|
$1,000; or |
| b) |
If the Ending Value of the Least Performing Underlying is less than its Threshold Value: |
| |
|
 |
| |
In this case, the Redemption Amount will be less than 60% of the principal amount and you could lose up to 100% of your investment in the Notes. |
| The Redemption Amount will also include the final Contingent Coupon Payment if the Ending Value of the Least Performing Underlying is greater than or equal to its Coupon Barrier. |
| Observation Dates: |
As set forth on page PS-4. |
|
Contingent Payment
Dates: |
As set forth on page PS-4. |
| Calculation Agent: |
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance. |
| Selling Agent: |
BofAS |
| CUSIP: |
09709VTS5 |
| Underlying Return: |
With respect to each Underlying,
|
| Least Performing Underlying: |
The Underlying with the lowest Underlying Return. |
| Events of Default and Acceleration: |
If an Event of Default, as defined in the senior indenture relating to the Notes and in the section entitled “Description of Debt Securities of BofA Finance LLC—Events of Default and Rights of Acceleration; Covenant Breaches” on page 54 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “Redemption Amount” above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third trading day prior to the date of acceleration. We will also determine whether the final Contingent Coupon Payment is payable based |
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-3 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
|
upon the values of the Underlyings on the deemed Valuation Date; any such final Contingent Coupon Payment will be prorated by the calculation agent to reflect the length of the final contingent payment period. In case of a default in the payment of the Notes, whether at their maturity or upon acceleration, the Notes will not bear a default interest rate. |
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-4 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Observation Dates and Contingent Payment Dates
| |
Observation Dates* |
|
Contingent Payment Dates |
|
| |
July 26, 2023 |
|
July 31, 2023 |
|
| |
October 26, 2023 |
|
October 31, 2023 |
|
| |
January 26, 2024 |
|
January 31, 2024 |
|
| |
April 26, 2024 |
|
May 1, 2024 |
|
| |
July 26, 2024 |
|
July 31, 2024 |
|
| |
October 28, 2024 |
|
October 31, 2024 |
|
| |
January 27, 2025 |
|
January 30, 2025 |
|
| |
April 28, 2025 (the “Valuation Date”) |
|
May 1, 2025 (the “Maturity Date”) |
|
* The Observation Dates are subject
to postponement as set forth in “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation
Dates” beginning on page PS-23 of the accompanying product supplement.
Any payments on the Notes depend on the credit risk
of BofA Finance, as Issuer, and BAC, as Guarantor, and on the performance of the Underlyings. The economic terms of the Notes are based
on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked notes, and
the economic terms of certain related hedging arrangements BAC’s affiliates enter into. BAC’s internal funding rate is typically
lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding rate,
as well as the underwriting discount, if any, and the hedging related charges described below (see “Risk Factors” beginning
on page PS-9), reduced the economic terms of the Notes to you and the initial estimated value of the Notes. Due to these factors, the
public offering price you are paying to purchase the Notes is greater than the initial estimated value of the Notes as of the pricing
date.
The initial estimated value of the Notes as of the pricing
date is set forth on the cover page of this pricing supplement. For more information about the initial estimated value and the structuring
of the Notes, see “Risk Factors” beginning on page PS-9 and “Structuring the Notes” on page PS-22.
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-5 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Contingent Coupon Payment and Redemption Amount Determination
On each Contingent Payment Date,
you may receive a
Contingent Coupon Payment per $1,000
in principal amount of Notes determined as follows:
Assuming the Notes have not been
automatically called,
on the Maturity Date, you will receive
a cash payment per $1,000 in principal amount of Notes determined as follows:
All payments described above are subject
to the credit risk of BofA Finance, as issuer, and BAC, as guarantor.
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-6 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Total Contingent Coupon Payment Examples
The examples below illustrate the hypothetical total
Contingent Coupon Payments per $1,000 in principal amount of Notes over the term of the Notes, based on the Contingent Coupon Payment
of $20.25, depending on how many Contingent Coupon Payments are payable prior to an Automatic Call or maturity. Depending on the performance
of the Underlyings, you may not receive any Contingent Coupon Payments during the term of the Notes.
Example 1 – The Observation Value of each
Underlying on the first Observation Date is below its Coupon Barrier. No Contingent Coupon Payment will be paid on the applicable Contingent
Payment Date. The Observation Value of each Underlying on the second Observation Date (which is also the first date on which the Notes
may be automatically called) is above its Coupon Barrier but below its Call Value. Therefore, a Contingent Coupon Payment will be paid
on the applicable Contingent Payment Date, but the Notes will not be automatically called on the Contingent Payment Date. The Contingent
Coupon Payment per $1,000 in principal amount of Notes due on the related Contingent Payment Date will be calculated as follows:
(i) the product of $20.25 times
the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent
Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $20.25 x 2 - (ii) $0.00
= $40.50 per $1,000 in principal amount of Notes.
The Observation Value of each Underlying on the third
Observation Date is above its Coupon Barrier and its Call Value. Therefore, the Notes will be automatically called, and the Contingent
Coupon Payment per $1,000 in principal amount of Notes otherwise due on the related Contingent Payment Date will be calculated as follows:
(i) the product of $20.25 times
the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent
Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $20.25 x 3 - (ii) $40.50 = $20.25
per $1,000 in principal amount of Notes. No further amounts will be payable following an Automatic Call.
Example 2 - The Observation Value of each Underlying
on the first Observation Date is below its Coupon Barrier. No Contingent Coupon Payment will be paid on the applicable Contingent
Payment Date. The Observation Value of each Underlying on the second Observation Date (which is also the first date on which the Notes
may be automatically called) is below its Coupon Barrier and Call Value. Therefore, the Notes will not be automatically called and no
Contingent Coupon Payment is paid on the applicable Contingent Payment Date. The Observation Value of each Underlying on the third Observation
Dates is above its Coupon Barrier and its Call Value. Therefore, the Notes will be automatically called, and the Contingent Coupon Payment
per $1,000 in principal amount of Notes otherwise due on the related Contingent Payment Date will be calculated as follows:
(i) the product of $20.25 times
the number of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent
Payment Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $20.25 x 3 - (ii) $0.00 = $60.75
per $1,000 in principal amount of Notes. No further amounts will be payable following an Automatic Call.
Example 3 - The Observation Value of each Underlying
on the first Observation Dates is above its Coupon Barrier. A Contingent Coupon Payment in the amount of $20.25 will be paid on the applicable
Contingent Payment Dates. The Observation Value of each Underlying on the second Observation Date (which is also the first date on which
the Notes may be automatically called) is above its Coupon Barrier but below its Call Value. Therefore, the Notes will not be automatically
called but a Contingent Coupon Payment will be payable on the related Contingent Payment Date, calculated as follows:
(i) the product of $20.25 times the number
of Contingent Payment Dates that have occurred up to the relevant Contingent Payment Date (inclusive of the relevant Contingent Payment
Date) minus (ii) the sum of all Contingent Coupon Payments previously paid.
= (i) $20.25 x 2 - (ii) $20.25 x 1
= $20.25 per $1,000 in principal amount of Notes.
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-7 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Hypothetical Payout Profile and Examples of Payments at Maturity
Contingent Income Auto-Callable Yield Notes Table
The following table is for purposes of illustration
only. It assumes the Notes have not been automatically called prior to maturity and is based on hypothetical values and shows hypothetical
returns on the Notes. The table illustrates the calculation of the Redemption Amount and the return on the Notes based on a hypothetical
Starting Value of 100 for the Least Performing Underlying, a hypothetical Coupon Barrier of 70 for the Least Performing Underlying, a
hypothetical Threshold Value of 60 for the Least Performing Underlying, the Contingent Coupon Payment of $20.25 per $1,000 in principal
amount of Notes and a range of hypothetical Ending Values of the Least Performing Underlying. The actual amount you receive and the
resulting return will depend on the actual Starting Values, Coupon Barriers, Threshold Values, Observation Values and Ending Values of
the Underlyings, whether the Notes are automatically called prior to maturity, and whether you hold the Notes to maturity. The following
examples do not take into account any tax consequences from investing in the Notes. The table below assumes that a Contingent Coupon Payment
was paid on each Contingent Payment Date prior to maturity.
For recent actual values of the Underlyings, see “The
Underlyings” section below. The Ending Value of each Underlying will not include any income generated by dividends or other distributions
paid with respect to shares or units of that Underlying or on the securities included in that Underlying, as applicable. In addition,
all payments on the Notes are subject to Issuer and Guarantor credit risk.
|
Ending Value of the Least Performing
Underlying
|
Underlying Return of the Least
Performing Underlying
|
Redemption Amount per Note (including
any final Contingent Coupon Payment)
|
Return on the Notes(1)
|
| 160.00 |
60.00% |
$1,020.25(2) |
2.025% |
| 150.00 |
50.00% |
$1,020.25 |
2.025% |
| 140.00 |
40.00% |
$1,020.25 |
2.025% |
| 130.00 |
30.00% |
$1,020.25 |
2.025% |
| 120.00 |
20.00% |
$1,020.25 |
2.025% |
| 110.00 |
10.00% |
$1,020.25 |
2.025% |
| 105.00 |
5.00% |
$1,020.25 |
2.025% |
| 102.00 |
2.00% |
$1,020.25 |
2.025% |
| 100.00(3) |
0.00% |
$1,020.25 |
2.025% |
| 90.00 |
-10.00% |
$1,020.25 |
2.025% |
| 80.00 |
-20.00% |
$1,020.25 |
2.025% |
| 70.00(4) |
-30.00% |
$1,020.25 |
2.025% |
| 69.99 |
-30.01% |
$1,000.00 |
0.000% |
| 60.00(5) |
-40.00% |
$1,000.00 |
0.000% |
| 59.99 |
-40.01% |
$599.90 |
-40.010% |
| 50.00 |
-50.00% |
$500.00 |
-50.000% |
| 0.00 |
-100.00% |
$0.00 |
-100.000% |
| (1) |
The “Return on the Notes” is calculated based on the Redemption Amount and potential final Contingent Coupon Payment, not including any Contingent Coupon Payments paid prior to maturity, and assumes that the relevant Contingent Coupon Payment has been made on each prior Contingent Payment Date. |
| (2) |
This amount represents the sum of the principal amount and a final quarterly Contingent Coupon Payment of $20.25 per $1,000 in principal amount of Notes (assuming that each prior quarterly Contingent Coupon Payment has been made on the related Contingent Payment Date). |
| (3) |
The hypothetical Starting Value of 100 used in the table above has been chosen for illustrative purposes only. The actual Starting Value for each Underlying is set forth on page PS-2 above. |
| (4) |
This is the hypothetical Coupon Barrier of the Least Performing Underlying. |
| (5) |
This is the hypothetical Threshold Value of the Least Performing Underlying. |
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-8 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Risk Factors
Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only after
carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light of your particular
circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant elements of the Notes
or financial matters in general. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk
Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-6 of the accompanying prospectus supplement
and page 7 of the accompanying prospectus, each as identified on page PS-27 below.
Structure-related Risks
| ● | Your investment may result in a loss; there is no guaranteed return of principal. There is no fixed principal repayment amount
on the Notes at maturity. If the Notes are not automatically called prior to maturity and the Ending Value of any Underlying is less than
its Threshold Value, at maturity, your investment will be subject to 1:1 downside exposure to decreases in the value of the Least Performing
Underlying and you will lose 1% of the principal amount for each 1% that the Ending Value of the Least Performing Underlying is less than
its Starting Value. In that case, you will lose a significant portion or all of your investment in the Notes. |
| ● | Your return on the Notes is limited to the return represented by the Contingent Coupon Payments, if any, over the term of the Notes.
Your return on the Notes is limited to the Contingent Coupon Payments paid over the term of the Notes, regardless of the extent to which
the Observation Value or the Ending Value of any Underlying exceeds its Coupon Barrier or Starting Value, as applicable. Similarly, the
amount payable at maturity or upon an Automatic Call will never exceed the sum of the principal amount and the applicable Contingent Coupon
Payment, regardless of the extent to which the Observation Value or the Ending Value of any Underlying exceeds its Starting Value. In
contrast, a direct investment in an Underlying or in the securities included in one or more of the Underlyings, as applicable, would allow
you to receive the benefit of any appreciation in their values. Any return on the Notes will not reflect the return you would realize
if you actually owned those securities and received the dividends paid or distributions made on them. |
| ● | The Notes are subject to a potential Automatic Call, which would limit your ability to receive the Contingent Coupon Payments over
the full term of the Notes. The Notes are subject to a potential Automatic Call. Beginning in October 2023, the Notes will be automatically
called if, on any Observation Date (other than the final Observation Date), the Observation Value of each Underlying is greater than or
equal to its Call Value. If the Notes are automatically called prior to the Maturity Date, you will be entitled to receive the principal
amount and the Contingent Coupon Payment with respect to the applicable Observation Date and no further amounts will be payable following
the Automatic Call. In this case, you will lose the opportunity to continue to receive Contingent Coupon Payments after the date of the
Automatic Call. If the Notes are called prior to the Maturity Date, you may be unable to invest in other securities with a similar level
of risk that could provide a return that is similar to the Notes. |
| ● | You may not receive any Contingent Coupon Payments. The Notes do not provide for any regular fixed coupon payments. Investors
in the Notes will not necessarily receive any Contingent Coupon Payments on the Notes. If the Observation Value of any Underlying is less
than its Coupon Barrier on an Observation Date, you will not receive the Contingent Coupon Payment applicable to that Observation Date
(unless on a later Observation Date a Contingent Coupon Payment is payable). If the Observation Value of any Underlying is less than its
Coupon Barrier on all the Observation Dates during the term of the Notes, you will not receive any Contingent Coupon Payments during the
term of the Notes, and will not receive a positive return on the Notes. |
| ● | Your return on the Notes may be less than the yield on a conventional debt security of comparable maturity. Any return that
you receive on the Notes may be less than the return you would earn if you purchased a conventional debt security with the same Maturity
Date. As a result, your investment in the Notes may not reflect the full opportunity cost to you when you consider factors, such as inflation,
that affect the time value of money. In addition, if interest rates increase during the term of the Notes, the Contingent Coupon Payment
(if any) may be less than the yield on a conventional debt security of comparable maturity. |
| ● | The Contingent Coupon Payment, Early Redemption Amount or Redemption Amount, as applicable, will not reflect changes in the values
of the Underlyings other than on the Observation Dates. The values 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 Early Redemption Amount or the Redemption
Amount, as applicable, by comparing only the Starting Value, the Coupon Barrier or the Threshold Value, as applicable, to the Observation
Value or the Ending Value for each Underlying. No other values of the Underlyings will be taken into account. As a result, if the Notes
are not automatically called prior to maturity and the Ending Value of the Least Performing Underlying is less than its Threshold Value,
you will receive less than the principal amount at maturity even if the value of each Underlying was always above its Threshold Value
prior to the Valuation Date. |
| ● | Because the Notes are linked to the least performing (and not the average performance) of the Underlyings, you may not receive
any return on the Notes and may lose a significant portion or all of your investment in the Notes even if the Observation Value or Ending
Value of one Underlying is greater than or equal to its Coupon Barrier or Threshold Value, as applicable. Your Notes are linked to
the least performing of the Underlyings, and a change in the value of one Underlying may not correlate with changes in the value of the
other Underlyings. The Notes are not linked to a basket composed of the Underlyings, where the depreciation in the value of one Underlying
could be offset to some extent by the appreciation in the value of the other Underlyings. In the case of the Notes, the individual performance
of each Underlying would not be combined, and the depreciation in the value of one Underlying would not be offset by any appreciation
in the value of the other Underlyings. Even if the Observation Value of an Underlying is at or above its Coupon Barrier on an Observation
Date, you will not receive the Contingent Coupon Payment with respect to that Observation Date if the Observation Value of another Underlying
is below its Coupon Barrier on that day. In addition, even if the Ending Value of an Underlying is at or above its Threshold Value, you
will lose a significant portion or all of your investment in the Notes if the Ending Value of the Least Performing Underlying is below
its Threshold Value. |
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-9 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
| ● | Any payments on the Notes are subject to our credit risk and the credit risk of the Guarantor, and any actual or perceived changes
in our or the Guarantor’s creditworthiness are expected to affect the value of the Notes. The Notes are our senior unsecured
debt securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor. The Notes are not guaranteed
by any entity other than the Guarantor. As a result, your receipt of the Early Redemption Amount or the Redemption Amount at maturity,
as applicable, will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the Notes
on the applicable Contingent Payment Date or the Maturity Date, regardless of the Ending Value of the Least Performing Underlying as compared
to its Starting Value. No assurance can be given as to what our financial condition or the financial condition of the Guarantor will be
at any time after the pricing date of the Notes. If we and the Guarantor become unable to meet our respective financial obligations as
they become due, you may not receive the amount(s) payable under the terms of the Notes.
In addition, our credit ratings and the credit ratings of the Guarantor are assessments by ratings agencies of our respective abilities
to pay our obligations. Consequently, our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our
or the Guarantor’s credit ratings or increases in the spread between the yield on our respective securities and the yield on U.S.
Treasury securities (the “credit spread”) prior to the Maturity Date may adversely affect the market value of the Notes. However,
because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective
obligations, such as the values of the Underlyings, an improvement in our or the Guarantor’s credit ratings will not reduce the
other investment risks related to the Notes. |
| ● | We are a finance subsidiary and, as such, have no independent assets, operations, or revenues. We are a finance subsidiary
of the Guarantor, have no operations other than those related to the issuance, administration and repayment of our debt securities that
are guaranteed by the Guarantor, and are dependent upon the Guarantor and/or its other subsidiaries to meet our obligations under the
Notes in the ordinary course. Therefore, our ability to make payments on the Notes may be limited. |
Valuation- and Market-related
Risks
| ● | The public offering price you are paying for the Notes exceeds their initial estimated value. The initial estimated value of
the Notes that is provided on the cover page of this pricing supplement is an estimate only, determined as of the pricing date by reference
to our and our affiliates’ pricing models. These pricing models consider certain assumptions and variables, including our credit
spreads and those of the Guarantor, the Guarantor’s internal funding rate, mid-market terms on hedging transactions, expectations
on interest rates, dividends and volatility, price-sensitivity analysis, and the expected term of the Notes. These pricing models
rely in part on certain forecasts about future events, which may prove to be incorrect. If you attempt to sell the Notes prior to maturity,
their market value may be lower than the price you paid for them and lower than their initial estimated value. This is due to, among other
things, changes in the values of the Underlyings, changes in the Guarantor’s internal funding rate, and the inclusion in the public
offering price of the underwriting discount, if any, and the hedging related charges, all as further described in “Structuring the
Notes” below. These factors, together with various credit, market and economic factors over the term of the Notes, are expected
to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex
and unpredictable ways. |
| ● | The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS or any of our other affiliates
would be willing to purchase your Notes in any secondary market (if any exists) at any time. The value of your Notes at any time after
issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Underlyings, our and
BAC’s creditworthiness and changes in market conditions. |
| ● | We cannot assure you that a trading market for your Notes will ever develop or be maintained. We will not list the Notes on
any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that market will be liquid or illiquid. |
Conflict-related Risks
| ● | Trading and hedging activities by us, the Guarantor and any of our other affiliates, including BofAS, may create conflicts of interest
with you and may affect your return on the Notes and their market value. We, the Guarantor or one or more of our other affiliates,
including BofAS, may buy or sell shares or units of the Underlyings or the securities or assets held by or included in the Underlyings,
as applicable, or futures or options contracts or exchange traded instruments on the Underlyings or those securities or assets, or other
instruments whose value is derived from the Underlyings or those securities or assets. While we, the Guarantor or one or more of our other
affiliates, including BofAS, may from time to time own shares or units of the Underlyings or the securities represented by the Underlyings,
as applicable, except to the extent that BAC’s common stock may be included in the Underlyings, we, the Guarantor and our other
affiliates, including BofAS, do not control any company included in the Underlyings, and have not verified any disclosure made by any
other company. We, the Guarantor or one or more of our other affiliates, including BofAS, may execute such purchases or sales for our
own or their own accounts, for business reasons, or in connection with hedging our obligations under the Notes. These transactions may
present a conflict of interest between your interest in the Notes and the interests we, the Guarantor and our other affiliates, including
BofAS, may have in our or their proprietary accounts, in facilitating transactions, including block trades, for our or their other customers,
and in accounts under our or their management. These transactions may adversely affect the values of the Underlyings in a manner that
could be adverse to your investment in the Notes. On or before the pricing date, any purchases or sales by us, the Guarantor or our other
affiliates, including BofAS or others on our or their behalf (including those for the purpose of hedging some or all of our anticipated
exposure in connection with the Notes), may have affected the values of the Underlyings. Consequently, the values of the Underlyings may
change subsequent to the pricing date, which may adversely affect the market value of the Notes.
We, the Guarantor or one or more of our other affiliates, including BofAS, also may have engaged in hedging activities that could have
affected the values of the Underlyings on the pricing date. In addition, these hedging activities, including the unwinding of a hedge,
may decrease the market value of your Notes prior to maturity, and may affect the amounts to be paid on the Notes. We, the Guarantor or
one or more of our other affiliates, including BofAS, may purchase or otherwise acquire a long or short position in the Notes and may
hold or resell the Notes. For |
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-10 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
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 values of the Underlyings, the market value of your Notes prior to maturity or the amounts payable on the Notes.
| ● | There may be potential conflicts of interest involving the calculation agent, which is an affiliate of ours. We have the right
to appoint and remove the calculation agent. One of our affiliates will be the calculation agent for the Notes and, as such, will make
a variety of determinations relating to the Notes, including the amounts that will be paid on the Notes. Under some circumstances, these
duties could result in a conflict of interest between its status as our affiliate and its responsibilities as calculation agent. |
Underlying-related Risks
| ● | There are risks associated with commodities trading on the London Bullion Market Association. The investment objective of each
of the GLD and SLV is to reflect generally the price of gold and silver, respectively, before the payment of expenses and liabilities.
The prices of silver and gold are determined by the London Bullion Market Association (the “LBMA”) or an independent service
provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members
of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated
entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added
tax or other tax or any other form of regulation currently not in place, the role of the LBMA gold and silver prices as a global benchmark
for the value of gold and silver may be adversely affected. The LBMA is a principals’ market that operates in a manner more closely
analogous to an over-the-counter physical commodity market than a regulated futures market, and certain features of U.S. futures contracts
are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA that would otherwise restrict
fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would continue to decline without limitation
within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation or dissemination of the
LBMA gold and silver prices or LBMA gold price, which could adversely affect the value of the Notes. The LBMA, or an independent service
provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA gold and silver
price. All of these factors could adversely affect the price of the SLV or the GLD and, therefore, the return on the Notes. |
| ● | The performance of the GLD and the SLV may be influenced by gold and silver prices. To the extent
the price of gold or silver has a limited effect, if any, on the performance of the GLD and the SLV, gold prices and silver prices are
subject to volatile price movements over short periods of time, represent trading in commodities markets, which are substantially different
from equities markets, and are affected by numerous factors. These include economic factors, including the structure of and confidence
in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar
(the currency in which the prices of gold and silver are generally quoted), interest rates and gold and silver borrowing and lending rates,
and global or regional economic, financial, political, regulatory, judicial, or other events.
Gold prices and silver prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and
purchases of gold and silver by the official sector, including central banks and other governmental agencies and multilateral institutions
which hold gold and silver, levels of gold and silver production and production costs, and short-term changes in supply and demand because
of trading activities in the gold and silver markets. It is not possible to predict the aggregate effects of all or any combination of
these factors. Any negative developments with respect to these factors may have an adverse effect on gold and silver prices and, as a
result, on the prices of the GLD and the SLV and, therefore, the return on the Notes. |
| ● | There is no direct correlation between the value of the Notes or the price of the GLD or the SLV, on the one hand, and gold and
silver prices, on the other hand. Although the price of gold or silver is one factor that may influence the performance of the GLD
and the SLV, the Notes are not linked to the gold or silver spot prices or to gold or silver futures. There is no direct linkage between
the price of the GLD and the SLV and the prices of gold and silver. While gold and silver prices may be one factor that could affect the
underlying asset of the GLD and the underlying asset of the SLV and, consequently, the price of the GLD and the SLV, the amounts payable
on the Notes are not directly linked to the movement of gold and silver prices and may be affected by factors unrelated to those movements.
Investing in the Notes is not the same as investing in gold or silver, and you should not invest in the Notes if you wish to invest in
a product that is linked directly to the price of gold or silver. |
| ● | Gold prices are characterized by high and unpredictable volatility, which could lead to high and unpredictable volatility in the
GLD. The investment objective of the GLD is to reflect the performance of the price of gold bullion, less the GLD’s expenses.
The price of gold is primarily affected by the global demand for and supply of gold. The market for gold bullion is global, and gold prices
are subject to volatile price movements over short periods of time and are affected by numerous factors, including macroeconomic factors,
such as the structure of and confidence in the global monetary system, expectations regarding the future rate of inflation, the relative
strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is usually quoted), interest rates, gold borrowing
and lending rates and global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may be affected
by industry factors, such as industrial and jewelry demand as well as lending, sales and purchases of gold by the official sector, including
central banks and other governmental agencies and multilateral institutions that hold gold. Additionally, gold prices may be affected
by levels of gold production, production costs and short-term changes in supply and demand due to trading activities in the gold market.
From time to time, above-ground inventories of gold may also influence the market. It is not possible to predict the aggregate effect
of all or any combination of these factors. The price of gold has recently been, and may continue to be, extremely volatile. Consequently,
the performance of the GLD and the return on the Notes could be adversely affected. |
| ● | The value of the GLD may not fully replicate the price of gold. The performance of the GLD may not fully replicate the price
of gold due to the fees and expenses charged by the GLD, restrictions on access to gold or other circumstances. The GLD does not generate
any income and as the GLD regularly sells gold to pay for its ongoing expenses, the amount of gold represented by the GLD has gradually
declined over time. The GLD sells gold to pay expenses on an ongoing basis irrespective of whether the trading price of the GLD rises
or falls in response to changes in the price of gold. The sale of the GLD’s gold to pay expenses at a time of low gold prices could
adversely affect the value of the GLD. |
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-11 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Additionally, there is a risk that part
or all of the GLD’s gold could be lost, damaged or stolen due to war, terrorism, theft, natural disaster or otherwise.
| ● | The Notes are subject to risks associated with silver. The SLV seeks to reflect generally the performance of the price of silver,
less the SLV’s expenses and liabilities. The price of silver is primarily affected by global demand for and supply of silver. Silver
prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, increases in silver hedging
activity by silver producers, significant changes in attitude by speculators and investors in silver, technical developments, substitution
issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation,
the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest
rates, central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not
necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists of a combination
of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions,
industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term
changes due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major
end uses for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of all
or any combination of these factors. |
| ● | Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally. Each
of the GLD and the SLV is linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The
GLD's or the SLV’s underlying commodity may not correlate to the price of commodities generally and may diverge significantly from
the prices of commodities generally. As a result, the Notes carry greater risk and may be more volatile than securities linked to the
prices of more commodities or a broad-based commodity index. |
| ● | The GLD and the SLV are not investment companies or commodity pools and will not be subject to regulation under the Investment
Company Act of 1940, as amended, or the Commodity Exchange Act of 1936, as amended. Accordingly, you will not benefit from any regulatory
protections afforded to persons who invest in regulated investment companies or commodity pools. |
| ● | The performance of the GLD or the SLV may not correlate with the performance of its respective underlying commodity as well as
its respective net asset value (“NAV”), especially during periods of market volatility. Neither the GLD nor the SLV fully
replicates the performance of its underlying commodity, which is gold and silver, respectively, due to the fees and expenses charged by
the SLV or by restrictions on access to its underlying commodity due to other circumstances. The SLV and the GLD do not generate any income,
and as each of the SLV and the GLD regularly sells its underlying commodity to pay for ongoing expenses, the amount of its underlying
commodity represented by each share gradually declines over time. Each of the SLV and the GLD sells its underlying commodity to pay expenses
on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in the price of its
underlying commodity. The sale by the SLV or the GLD of its underlying commodity to pay expenses at a time of low prices for its underlying
commodity could adversely affect the value of the Notes. Additionally, there is a risk that part or all of the SLV’s or the GLD’s
holdings in its underlying commodity could be lost, damaged or stolen. Access to the SLV’s or the GLD’s underlying commodity
could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors
may lead to a lack of correlation between the performance of the SLV and its underlying commodity. In addition, because the shares of
each of the SLV and the GLD are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of the SLV or the GLD may differ from the NAV per share of the SLV or the GLD, as applicable. During periods of market volatility,
each of the SLV’s and the GLD’s underlying commodity may be unavailable in the secondary market, market participants may be
unable to calculate accurately the NAV per share of the SLV or the GLD and the liquidity of the SLV or the GLD may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the SLV or the GLD.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and
sell shares of the SLV or the GLD. As a result, under these circumstances, the market value of shares of the SLV or the GLD may vary substantially
from its respective NAV per share. For all of the foregoing reasons, the performance of the SLV or the GLD may not correlate with the
performance of its underlying commodity as well as its respective NAV per share, which could materially and adversely affect the value
of the Notes in the secondary market and/or reduce any payment on the Notes. |
| ● | The anti-dilution adjustments will be limited. The calculation agent may adjust the Price Multiplier of the SLV and the GLD
and other terms of the Notes to reflect certain actions by the SLV and the GLD, as described in the section “Description of the
Notes—Anti-Dilution and Discontinuance Adjustments Relating to ETFs” in the accompanying product supplement. The calculation
agent will not be required to make an adjustment for every event that may affect the SLV and the GLD and will have broad discretion to
determine whether and to what extent an adjustment is required. |
| ● | The publisher or the sponsor or investment advisor of an Underlying may adjust that Underlying in a way that affects its values,
and the publisher or the sponsor or investment advisor has no obligation to consider your interests. The publisher or the sponsor
or investment advisor of an Underlying can add, delete, or substitute the components included in that Underlying or make other methodological
changes that could change its value. Any of these actions could adversely affect the value of your Notes. |
Tax-related Risks
| ● | The U.S. federal income tax consequences of an investment in the Notes are uncertain, and may be adverse to a holder of the Notes.
No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or securities similar to
the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment
in the Notes are not certain. Under the terms of the Notes, you will have agreed with us to treat the Notes as contingent income-bearing
single financial contracts, as described below under “U.S. Federal Income Tax Summary—General.” If the Internal Revenue
Service (the “IRS”) were successful in asserting an alternative characterization for the Notes, the timing and character of
income, gain or loss with respect to the Notes may differ. No ruling will be requested from the IRS with respect to the Notes and no assurance
can be given that the IRS will agree with the statements made in the section entitled “U.S. Federal Income Tax Summary.” You
are urged to consult with your own tax advisor regarding all aspects of the U.S. federal income tax consequences of investing in the Notes. |
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-12 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
The Underlyings
All disclosures contained in this pricing supplement
regarding the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have
been derived from publicly available sources. The information reflects the policies of, and is subject to change by, the investment advisor
of the SLV, the sponsor of the SPX, and the investment advisor of the GLD (collectively, the “Underlying Sponsors”). The Underlying
Sponsors, which license the copyright and all other rights to the respective Underlyings, have no obligation to continue to publish, and
may discontinue publication of, the Underlyings. The consequences of any Underlying Sponsor discontinuing publication of the applicable
Underlying are discussed in “Description of the Notes — Discontinuance of an Index” and “Description of the Notes
— Anti-Dilution and Discontinuance Adjustments Relating to ETFs — Discontinuance of or Material Change to an ETF” in
the accompanying product supplement. None of us, the Guarantor, the calculation agent, or BofAS accepts any responsibility for the calculation,
maintenance or publication of any Underlying or any successor underlying. None of us, the Guarantor, BofAS or any of our other affiliates
makes any representation to you as to the future performance of the Underlyings. You should make your own investigation into the Underlyings.
The iShares® Silver
Trust
The SLV trades under the ticker symbol “SLV”
on NYSE Arca. iShares Delaware Trust Sponsor LLC (“iShares Delaware”) is the sponsor of the SLV. The Bank of New York Mellon
is the trustee of the SLV, and JPMorgan Chase Bank, N.A., London branch is the custodian of the SLV.
The SLV seeks to reflect generally the price of silver
before the payment of its expenses and liabilities. The assets of the SLV consist primarily of silver held by the custodian on behalf
of the SLV. The SLV issues shares in exchange for deposits of silver and distributes silver in connection with the redemption of shares.
The shares of the SLV are intended to constitute a simple and cost-effective means of making an investment similar to an investment in
silver.
The SLV issues shares in Baskets to certain authorized
participants, on an ongoing basis. Baskets are only issued or redeemed in exchange for an amount of silver determined by the trustee on
each day that NYSE Arca is open for regular trading.
The shares of the SLV represent units of fractional
undivided beneficial interest in and ownership of the assets of the SLV. The SLV is a passive investment vehicle and the trustee of the
SLV does not actively manage the silver held by the SLV. The trustee of the SLV sells silver held by the SLV to pay the SLV’s expenses
on an as-needed basis irrespective of then-current silver prices. Currently, the SLV’s only ordinary recurring expense is expected
to be iShares Delaware’s fee, which is accrued daily at an annualized rate equal to 0.50% of the NAV of the SLV and is payable monthly
in arrears. The trustee of the SLV will, when directed by iShares Delaware, and, in the absence of such direction, may, in its discretion,
sell silver in such quantity and at such times as may be necessary to permit payment of iShares Delaware’s fee and of SLV expenses
or liabilities not assumed by iShares Delaware.
Information provided to or filed with the SEC
by the SLV pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located by
reference to SEC file numbers 333-262440 and 001-32863, respectively, through the SEC’s website at http://www.sec.gov. Information
on that website is not included or incorporated by reference in this document. According to the SLV’s prospectus, the SLV is not
a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and is not
subject to regulation thereunder, the SLV is not a commodity pool within the meaning of the Commodity Exchange Act of 1936, as amended,
and is not subject to regulation thereunder, and iShares Delaware is not subject to regulation by the Commodity Futures Trading Commission
as a commodity pool operator or a commodity trading advisor.
Creation and Redemption
The SLV issues and redeems Baskets on a continuous
basis. Baskets are only issued or redeemed in exchange for an amount of silver determined by the trustee on each day that NYSE Arca is
open for regular trading. No shares are issued unless the custodian has allocated to the SLV’s account (except for an unallocated
amount of silver not in excess of 1,100 ounces), the corresponding amount of silver. At the creation of the SLV, a Basket required delivery
of 500,000 ounces of silver. The amount of silver necessary for the creation of a Basket, or to be received upon redemption of a Basket,
will decrease over the life of the SLV, due to the payment or accrual of fees and other expenses or liabilities payable by the trust.
Baskets may be created or redeemed only by Authorized Participants, who pay the trustee a transaction fee for each order to create or
redeem Baskets.
Valuation of Silver; Computation of NAV
On each business day, as soon as practicable after
4:00 p.m. (New York time), the trustee evaluates the silver held by the SLV and determines the NAV of the SLV and the NAV per share. For
purposes of making these calculations, a business day means any day other than a day when NYSE Arca is closed for regular trading. The
trustee values the silver held by the SLV using that day’s LBMA Silver Price. LBMA Silver Price is the price per ounce, in U.S.
dollars, of unallocated silver delivered in London determined by the IBA following an electronic auction consisting of one or more 30-second
rounds starting at 12:00 p.m. (London time) on each day that the London silver market is open for business and published shortly thereafter.
Once the value of the SLV’s silver has been determined, the trustee subtracts all accrued fees, expenses and other liabilities of
the SLV from the total value of the silver and all other assets of the SLV. The resulting figure is the NAV of the SLV. The trustee determines
the NAV per share by dividing
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-13 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
the NAV of the SLV by the number of shares outstanding
on the day the computation is made.
Historical Performance of the SLV
The following graph sets forth the daily historical
performance of the SLV in the period from January 2, 2018 through the pricing date. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal crimson
line in the graph represents the SLV’s Coupon Barrier of $15.98 (rounded to two decimal places), which is 70% of the SLV’s
Starting Value of $22.83. The horizontal gray line in the graph represents the SLV’s Threshold Value of $13.70 (rounded to two decimal
places), which is 60% of the SLV’s Starting Value.
This historical data on the SLV is not necessarily indicative
of the future performance of the SLV or what the value of the Notes may be. Any historical upward or downward trend in the Closing Market
Price of the SLV during any period set forth above is not an indication that the Closing Market Price of the SLV is more or less likely
to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly
available sources for the Closing Market Prices and trading pattern of the SLV.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-14 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
The S&P 500®
Index
The SPX includes a representative sample of 500 companies
in leading industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price movement.
The calculation of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of 500 companies
as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period
of the years 1941 through 1943.
The SPX includes companies from eleven main groups:
Communication Services; Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology;
Real Estate; Materials; and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time,
in its sole discretion, add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted
company market capitalization of $14.6 billion or more (an increase from the previous requirement of an unadjusted company market capitalization
of $13.1 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 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,
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-15 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
in the context of the calculation of the SPX, it serves
as a link to the original base period level of the SPX. The index divisor keeps the SPX comparable over time and is the manipulation point
for all adjustments to the SPX, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to
company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares
outstanding and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due to
corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding of 5.00%
or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably
possible. Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented when
the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change. All
other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding
of 5.00% or more causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the
share change. IWF changes resulting from partial tender offers are considered on a case by case basis.
Historical Performance of the SPX
The following graph sets forth the daily historical
performance of the SPX in the period from January 2, 2018 through the pricing date. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal crimson
line in the graph represents the SPX’s Coupon Barrier of 2,839.19 (rounded to two decimal places), which is 70% of the SPX’s
Starting Value of 4,055.99. The horizontal gray line in the graph represents the SPX’s Threshold Value of 2,433.59 (rounded to two
decimal places), which is 60% of the SPX’s Starting Value.
This historical data on the SPX is not necessarily indicative
of the future performance of the SPX or what the value of the Notes may be. Any historical upward or downward trend in the closing level
of the SPX during any period set forth above is not an indication that the closing level of the SPX is more or less likely to increase
or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly
available sources for the closing levels of the SPX.
License Agreement
S&P® is
a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by
S&P Dow Jones Indices LLC. “Standard & Poor’s®,” “S&P
500®” and “S&P®”
are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, Merrill Lynch, Pierce, Fenner
& Smith Incorporated. The SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by
Merrill Lynch, Pierce, Fenner & Smith Incorporated.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-16 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
The Notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the Notes or any member of the public
regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the SPX to track general
market performance. S&P Dow Jones Indices’ only relationship to Merrill Lynch, Pierce, Fenner & Smith Incorporated with
respect to the SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or
its third party licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without regard to us, Merrill Lynch,
Pierce, Fenner & Smith Incorporated, or the Notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs
or the needs of Merrill Lynch, Pierce, Fenner & Smith Incorporated or holders of the Notes into consideration in determining, composing
or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices
and amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the equation by which
the Notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration,
marketing or trading of the Notes. There is no assurance that investment products based on the SPX will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a
security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security
or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may
independently issue and/or sponsor financial products unrelated to the Notes currently being issued by us, but which may be similar to
and competitive with the Notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance
of the SPX. It is possible that this trading activity will affect the value of the Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO,
ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT
TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY
US, BAC, BOFAS, MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW
JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF
PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES
INDICES AND MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-17 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
The SPDR® Gold Shares
The SPDR Gold Trust (the "trust")
issues SPDR® Gold Shares (the “Shares”), which represent units of fractional undivided beneficial interest
in and ownership of the trust. World Gold Trust Services, LLC is the sponsor of the trust, BNY Mellon Asset Servicing, a division of The
Bank of New York Mellon, is the trustee of the trust, HSBC Bank plc is the custodian of the trust, and State Street Global Advisors Funds
Distributors, LLC (formerly State Street Global Markets, LLC) is the marketing agent of the trust. The trust is not a commodity pool for
purposes of the Commodity Exchange Act of 1936, as amended, and its sponsor is not subject to regulation by the Commodity Futures Trading
Commission as a commodity pool operator, or a commodity trading advisor.
The Shares trade under the ticker symbol “GLD”
on NYSE Arca, Inc., or NYSE Arca. Information provided to or filed with the SEC by the trust pursuant to the Securities Act of 1933, as
amended, and the Securities Exchange Act of 1934, as amended, can be located by reference to SEC file numbers 333-267520 and 001-32356,
respectively, through the SEC's website at www.sec.gov. Information on that website is not included or incorporated by reference in this
document. According to the GLD's prospectus, the trust is not an investment company within the meaning of the Investment Company Act of
1940, as amended, and is not subject to regulation thereunder, the trust is not a commodity pool withing the meaning of the Commodity
Exchange Act of 1936, as amended, and is not subject to regulation thereunder, and none of the sponsor, the trustee or the marketing agent
is subject to regulation by the Commodity Futures Trading Commission as a commodity pool operator or a commodity trading advisor in connection
with the Shares.
The Shares may be purchased from
the GLD only in one or more blocks of 100,000 Shares (a block of 100,000 Shares is called a “Basket”). The GLD issues Shares
in Baskets to certain authorized participants (the “Authorized Participants”), on an ongoing basis. Baskets are offered continuously
at the NAV, for 100,000 Shares on the day that an order to create a Basket is accepted by the trustee.
Currently, the trust’s only recurring fixed expense
is the sponsor’s fee, which is accrued daily at an annualized rate equal to 0.40% of the NAV, in exchange for the sponsor assuming
the responsibility to pay all ordinary fees and expenses of the trust which include the fees and expenses of the trustee, the fees and
expenses of the custodian for the custody of the trust’s gold bars, the fees and expenses of the sponsor, certain taxes, the fees
of the marketing agent, printing and mailing costs, legal and audit fees, registration fees, NYSE Arca listing fees and other marketing
costs and expenses.
The investment objective of the
GLD is to reflect the performance of the price of gold bullion, less the GLD’s expenses. The GLD holds gold bars. The GLD issues
shares in exchange for deposits of gold and distributes gold in connection with the redemption of shares. The Shares of the GLD are intended
to offer investors an opportunity to participate in the gold market through an investment in securities. The ownership of the Shares of
the GLD is intended to overcome certain barriers to entry in the gold market, such as the logistics of buying, storing and insuring gold.
The Shares represent units of fractional
undivided beneficial interest in and ownership of the trust, the primary asset of which is allocated (or secured) gold. The trust is not
managed like a corporation or an active investment vehicle. The gold held by the trust will be sold only: (1) on an as-needed basis to
pay the trust’s expenses, (2) in the event the trust terminates and liquidates its assets or (3) as otherwise required by law or
regulation.
Creation and Redemption
The trust creates and redeems the
Shares from time to time, but only in one or more Baskets. The creation and redemption of Baskets requires the delivery to the trust or
the distribution by the trust of the amount of gold and any cash represented by the Baskets being created or redeemed, the amount of which
is based on the combined NAV of the number of Shares included in the Baskets being created or redeemed. The initial amount of gold required
for deposit with the trust to create shares for the period from the formation of the GLD to the first day of trading of the Shares on
the NYSE was 10,000 ounces per Basket. The number of ounces of gold required to create a Basket or to be delivered upon the redemption
of a Basket gradually decreases over time, due to the accrual of the trust’s expenses and the sale of the trust’s gold to
pay the trust’s expenses. Baskets may be created or redeemed only by authorized participants, who pay a transaction fee for each
order to create or redeem Baskets and may sell the Shares included in the Baskets they create to other investors.
Valuation of Gold; Computation
of NAV
The trustee determines the NAV
of the GLD on each day that NYSE Arca is open for regular trading at the earlier of (i) the afternoon session of the twice daily determination
of the price of an ounce of gold through an auction by the London Bullion Market Association (the “LBMA”), administered by
the ICE Benchmark Administration (the “IBA”), which starts at 3:00 PM London, England time, or the LBMA Gold Price PM, or
(ii) 12:00 PM New York time. The LBMA Gold Price PM is determined by participants in a physically settled, electronic and tradable auction.
The LBMA Gold Price PM replaced the previously established London PM Gold Fix on March 20, 2015. The NAV of the GLD is the aggregate value
of the GLD’s assets less its estimated accrued but unpaid liabilities (which include accrued expenses). In determining the GLD’s
NAV, the trustee values the gold held by the GLD based on the LBMA Gold Price PM for an ounce of gold. The trustee also determines the
NAV per Share.
The custodian is responsible for
the safekeeping of the trust’s gold bars transferred to it in connection with the creation of Baskets by Authorized Participants.
The custodian also facilitates the transfer of gold in and out of the trust through gold accounts it maintains for Authorized Participants
and the GLD. The custodian is a market maker, clearer and approved weigher under the rules of the LBMA.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-18 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Historical Performance of the GLD
The following graph sets forth the daily historical
performance of the GLD in the period from January 2, 2018 through the pricing date. We obtained this historical data from Bloomberg L.P.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal crimson
line in the graph represents the GLD’s Coupon Barrier of $129.32 (rounded to two decimal places), which is 70% of the GLD’s
Starting Value of $184.74. The horizontal gray line in the graph represents the GLD’s Threshold Value of $110.84 (rounded to two
decimal places), which is 60% of the GLD’s Starting Value.
This historical data on the GLD is not necessarily indicative
of the future performance of the GLD or what the value of the Notes may be. Any historical upward or downward trend in the Closing Market
Price of the GLD during any period set forth above is not an indication that the Closing Market Price of the GLD is more or less likely
to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly
available sources for the Closing Market Prices and trading pattern of the GLD.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-19 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Supplement to the Plan of Distribution; Role of BofAS and Conflicts
of Interest
BofAS, a broker-dealer affiliate of ours, is a member
of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the distribution of
the Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in this
offering to any of its discretionary accounts without the prior written approval of the account holder.
We will deliver the Notes against payment therefor in
New York, New York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange
Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than two business days prior to the original issue
date will be required to specify alternative settlement arrangements to prevent a failed settlement.
Under our distribution agreement with BofAS, BofAS will
purchase the Notes from us as principal at the public offering price indicated on the cover of this pricing supplement, less the indicated
underwriting discount, if any. BofAS will sell the Notes to other broker-dealers that will participate in the offering and that are not
affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the Notes to one or more additional
broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not all dealers will purchase or repurchase
the Notes at the same discount. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some
or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these fee-based
advisory accounts may be as low as $972.50 per $1,000 in principal amount of Notes.
BofAS and any of our other broker-dealer affiliates
may use this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and sales in
secondary market transactions and market-making transactions in the Notes. However, they are not obligated to engage in such secondary
market transactions and/or market-making transactions. These broker-dealer affiliates may act as principal or agent in these transactions,
and any such sales will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for a short, undetermined
initial period after the issuance of the Notes, BofAS may offer to buy the Notes in the secondary market at a price that may exceed the
initial estimated value of the Notes. Any price offered by BofAS for the Notes will be based on then-prevailing market conditions and
other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of us, the Guarantor,
BofAS or any of our other affiliates is obligated to purchase your Notes at any price or at any time, and we cannot assure you that any
party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes
will depend upon then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times,
this price may be higher than or lower than the initial estimated value of the Notes.
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, 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:
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-20 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
You are urged to carefully review the selling restrictions
that may be applicable to your jurisdiction beginning on page S-56 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 BofA Finance, as issuer, or BAC, as guarantor.
All applicable provisions of the FSMA must be complied
with in respect to anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-21 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Structuring the Notes
The Notes are our debt securities, the return on which
is linked to the performance of the Underlyings. The related guarantee is BAC’s obligation. As is the case for all of our and BAC’s
respective debt securities, including our market-linked notes, the economic terms of the Notes reflect our and BAC’s actual or perceived
creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational, funding and liability
management costs to us and BAC, BAC typically borrows the funds under these types of notes at a rate, which we refer to in this pricing
supplement as BAC’s internal funding rate, that is more favorable to BAC than the rate that it might pay for a conventional fixed
or floating rate debt security. This generally relatively lower internal funding rate, which is reflected in the economic terms of the
Notes, along with the fees and charges associated with market-linked notes, resulted in the initial estimated value of the Notes on the
pricing date being less than their public offering price.
In order to meet our payment obligations on the Notes,
at the time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based upon terms
provided by BofAS and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness, interest
rate movements, the volatility of the Underlyings, the tenor of the Notes and the hedging arrangements. The economic terms of the Notes
and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will
include hedging related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these hedging arrangements.
Since hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses from these hedging transactions
may be more or less than any expected amounts.
For further information, see “Risk Factors”
beginning on page PS-9 above and “Supplemental Use of Proceeds” on page PS-20 of the accompanying product supplement.
Validity of the Notes
In the opinion of McGuireWoods LLP, as counsel to BofA
Finance, as issuer, and BAC, as guarantor, when the trustee has made the appropriate entries or notations on Schedule 1 to the master
global note that represents the Notes (the “Master Note”) identifying the Notes offered hereby as supplemental obligations
thereunder in accordance with the instructions of BofA Finance, and the Notes have been delivered against payment therefor as contemplated
in this pricing supplement and the related prospectus, prospectus supplement and product supplement, all in accordance with the provisions
of the indenture governing the Notes and the related guarantee, such Notes will be the legal, valid and binding obligations of BofA Finance,
and the related guarantee will be the legal, valid and binding obligation of BAC, subject, in each case, to the effects of applicable
bankruptcy, insolvency (including laws relating to preferences, fraudulent transfers and equitable subordination), reorganization, moratorium
and other similar laws affecting creditors’ rights generally, and to general principles of equity. This opinion is given as of the
date of this pricing supplement and is limited to the Delaware General Corporation Law and the Delaware Limited Liability Company Act
(including the statutory provisions, all applicable provisions of the Delaware Constitution and reported judicial decisions interpreting
either of the foregoing) and the laws of the State of New York as in effect on the date hereof. In addition, this opinion is subject to
customary assumptions about the trustee’s authorization, execution and delivery of the indenture governing the Notes and due authentication
of the Master Note, the validity, binding nature and enforceability of the indenture governing the Notes and the related guarantee with
respect to the trustee, the legal capacity of individuals, the genuineness of signatures, the authenticity of all documents submitted
to McGuireWoods LLP as originals, the conformity to original documents of all documents submitted to McGuireWoods LLP as copies thereof,
the authenticity of the originals of such copies and certain factual matters, all as stated in the opinion letter of McGuireWoods LLP
dated December 8, 2022, which has been filed as an exhibit to the Registration Statement (File Nos. 333-268718 and 333-268718-01) of BAC
and BofA Finance, filed with the SEC on December 8, 2022.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-22 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
U.S. Federal Income Tax Summary
The following summary of the material U.S. federal income
and estate tax considerations of the acquisition, ownership, and disposition of the Notes supplements, and to the extent inconsistent
supersedes, the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and is not exhaustive
of all possible tax considerations. This summary is based upon the Internal Revenue Code of 1986, as amended (the “Code”),
regulations promulgated under the Code by the U.S. Treasury Department (“Treasury”) (including proposed and temporary regulations),
rulings, current administrative interpretations and official pronouncements of the IRS, and judicial decisions, all as currently in effect
and all of which are subject to differing interpretations or to change, possibly with retroactive effect. No assurance can be given that
the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences described below. This
summary does not include any description of the tax laws of any state or local governments, or of any foreign government, that may be
applicable to a particular holder.
Although the Notes are issued by us, they will be treated
as if they were issued by BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to “we,”
“our” or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders and
Non-U.S. Holders that, except as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the Notes
as capital assets within the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not
excluded from the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning the
U.S. federal income tax consequences to you of acquiring, owning, and disposing of the Notes, as well as any tax consequences arising
under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax
laws.
General
Although there is no statutory, judicial, or administrative
authority directly addressing the characterization of the Notes, we intend to treat the Notes for all tax purposes as contingent income-bearing
single financial contracts with respect to the Underlyings and under the terms of the Notes, we and every investor in the Notes agree,
in the absence of an administrative determination or judicial ruling to the contrary, to treat the Notes in accordance with such characterization.
In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the Notes as contingent income-bearing single financial contracts
with respect to the Underlyings. However, Sidley Austin LLP has advised us that it is unable to conclude that it is more likely than not
that this treatment will be upheld. This discussion assumes that the Notes constitute contingent income-bearing single financial contracts
with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did not constitute contingent income-bearing single
financial contracts, the tax consequences described below would be materially different.
This characterization of the Notes is not binding
on the IRS or the courts. No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or
any similar instruments for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper
characterization and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences
of an investment in the Notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterization
and tax treatment described in this pricing supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects of
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative characterizations.
Unless otherwise stated, the following discussion is
based on the characterization described above. The discussion in this section assumes that there is a significant possibility of a significant
loss of principal on an investment in the Notes.
We will not attempt to ascertain whether the issuer
of an Underlying or the issuer of any component stock included in an Underlying that is an index 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 an Underlying or the issuer of one or more stocks
included in an Underlying that is an index were so treated, certain adverse U.S. federal income tax consequences could possibly apply
to a holder of the Notes. You should refer to information filed with the SEC by the issuer of an Underlying or the issuers of the component
stocks included in an Underlying that is an index and consult your tax advisor regarding the possible consequences to you, if any, if
the issuer of an Underlying or the issuer of any component stock included in an Underlying that is an index 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.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-23 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
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 some of the Underlyings are the type of financial assets described under Section 1260 of the Code (including, among others, any
equity interest in pass-through entities such as exchange traded funds, regulated investment companies, real estate investment trusts,
partnerships, and passive foreign investment companies, each a “Section 1260 Financial Asset”), while the matter is not entirely
clear, there may exist a risk that an investment in the Notes will be treated, in whole or in part, as a “constructive ownership
transaction” to which Section 1260 of the Code applies. If Section 1260 of the Code applies, all or a portion of any long-term capital
gain recognized by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income (the “Excess Gain”). In
addition, an interest charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would
have resulted in gross income inclusion for the U.S. Holder in taxable years prior to the taxable year of the sale, exchange, redemption,
or settlement (assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange,
redemption, or settlement).
If an investment in the Notes is treated as a constructive
ownership transaction, it is not clear to what extent any long-term capital gain of a U.S. Holder in respect of the Notes will be recharacterized
as ordinary income. It is possible, for example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary
income in respect of the Notes will equal the excess of (i) any long-term capital gain recognized by the U.S. Holder in respect of the
Notes and attributable to Section 1260 Financial Assets, over (ii) the “net underlying long-term capital gain” (as defined
in Section 1260 of the Code) such U.S. Holder would have had if such U.S. Holder had acquired an amount of the corresponding Section 1260
Financial Assets at fair market value on the original issue date for an amount equal to the portion of the issue price of the Notes attributable
to the corresponding Section 1260 Financial Assets and sold such amount of Section 1260 Financial Assets at maturity or upon sale, exchange
or redemption of the Notes at fair market value. Unless otherwise established by clear and convincing evidence, the net underlying long-term
capital gain is treated as zero and therefore it is possible that all long-term capital gain recognized by a U.S. Holder in respect of
the Notes will be recharacterized as ordinary income if Section 1260 of the Code applies to an investment in the Notes. U.S. Holders should
consult their tax advisors regarding the potential application of Section 1260 of the Code to an investment in the Notes.
As described below, the IRS, as indicated in Notice
2008-2 (the “Notice”), is considering whether Section 1260 of the Code generally applies or should apply to the Notes, including
in situations where the Underlyings are not the type of financial asset described under Section 1260 of the Code.
Alternative Tax Treatments. Due to the absence
of authorities that directly address the proper tax treatment of the Notes, prospective investors are urged to consult their tax advisors
regarding all possible alternative tax treatments of an investment in the Notes. In particular, the IRS could seek to subject the Notes
to the Treasury regulations governing contingent payment debt instruments. If the IRS were successful in that regard, the timing and character
of income on the Notes would be affected significantly. Among other things, a U.S. Holder would be required to accrue original issue discount
every year at a “comparable yield” determined at the time of issuance. In addition, any gain realized by a U.S. Holder at
maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary income, and any loss realized at
maturity or upon a sale, exchange, or redemption of the Notes generally would be treated as ordinary loss to the extent of the U.S. Holder’s
prior accruals of original issue discount, and as capital loss thereafter.
In addition, it is possible that the Notes could be
treated as a unit consisting of a deposit and a put option written by the Note holder, in which case the timing and character of income
on the Notes would be affected significantly.
The Notice sought comments from the public on the taxation
of financial instruments currently taxed as “prepaid forward contracts.” This Notice addresses instruments such as the Notes.
According to the Notice, the IRS and Treasury are considering whether a holder of an instrument such as the Notes should be required to
accrue ordinary income on a current basis, regardless of whether any payments are made prior to maturity. It is not possible to determine
what guidance the IRS and Treasury will ultimately issue, if any. Any such future guidance may affect the amount, timing and character
of income, gain, or loss in respect of the Notes, possibly with retroactive effect.
The IRS and Treasury are also considering additional
issues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holders
of such instruments should be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain
“constructive ownership transactions,” generally applies or should generally apply to such instruments, and whether any of
these determinations depend on the nature of the underlying asset.
In addition, proposed Treasury regulations require the
accrual of income on a current basis for contingent payments made under certain notional principal contracts. The preamble to the regulations
states that the “wait and see” method of accounting does not properly reflect the economic accrual of income on those contracts,
and requires current accrual of income for some contracts already in existence. While the proposed regulations do not apply to prepaid
forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in the case of prepaid
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-24 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
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.
It is also possible that the IRS
could assert that your Notes should be treated as partially giving rise to “collectibles” gain or loss if you have held your
Notes for more than one year, although we do not think such a treatment would be appropriate in this case because a sale, exchange, or
redemption of the Notes is not a sale, exchange, or redemption of a collectible but is rather a sale, exchange, or redemption of a derivative
contract that reflects the value, in part, of a collectible. “Collectibles” gain is currently subject to tax at marginal rates
of up to 28%.
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.
Because one Underlying is an index that periodically
rebalances, it is possible that the Notes could be treated as a series of contingent income-bearing single financial contracts, each of
which matures on the next rebalancing date. If the Notes were properly characterized in such a manner, a U.S. Holder would be treated
as disposing of the Notes on each rebalancing date in return for new Notes that mature on the next rebalancing date, and a U.S. Holder
would accordingly likely recognize capital gain or loss on each rebalancing date equal to the difference between the holder’s tax
basis in the Notes (which would be adjusted to take into account any prior recognition of gain or loss) and the fair market value of the
Notes on such date.
Non-U.S. Holders
Because the U.S. federal income tax treatment of the
Notes (including any Contingent Coupon Payment) is uncertain, we (or the applicable paying agent) will withhold U.S. federal income tax
at a 30% rate (or at a lower rate under an applicable income tax treaty) on the entire amount of any Contingent Coupon Payment made unless
such payments are effectively connected with the conduct by the Non-U.S. Holder of a trade or business in the U.S. (in which case, to
avoid withholding, the Non-U.S. Holder will be required to provide a Form W-8ECI). We (or the applicable paying agent) will not pay any
additional amounts in respect of such withholding. To claim benefits under an income tax treaty, a Non-U.S. Holder must obtain a taxpayer
identification number and certify as to its eligibility under the appropriate treaty’s limitations on benefits article, if applicable.
In addition, special rules may apply to claims for treaty benefits made by Non-U.S. Holders that are entities rather than individuals.
The availability of a lower rate of withholding under an applicable income tax treaty will depend on whether such rate applies to the
characterization of the payments under U.S. federal income tax laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal
withholding tax pursuant to an income tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for
refund with the IRS.
Except as discussed below, a Non-U.S. Holder generally
will not be subject to U.S. federal income or withholding tax for amounts paid in respect of the Notes (not including, for the avoidance
of doubt, amounts representing any Contingent Coupon Payment which would be subject to the rules discussed in the previous paragraph)
upon the sale, exchange, or redemption of the Notes or their settlement at maturity, provided that the Non-U.S. Holder complies with applicable
certification requirements and that the payment is not effectively connected with the conduct by the Non-U.S. Holder of a U.S. trade or
business. Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the Notes or their settlement at maturity may
be subject to U.S. federal income tax if that Non-U.S. Holder is a non-resident alien individual and is present in the U.S. for 183 days
or more during the taxable year of the sale, exchange, redemption, or settlement and certain other conditions are satisfied.
If a Non-U.S. Holder of the Notes is engaged in the
conduct of a trade or business within the U.S. and if any Contingent Coupon Payment and gain realized on the settlement at maturity, or
upon sale, exchange, or redemption of the Notes, is effectively connected with the conduct of such trade or business (and, if certain
tax treaties apply, is attributable to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S. Holder,
although exempt from U.S. federal withholding tax, generally will be subject to U.S. federal income tax on such Contingent Coupon Payment
and gain on a net income basis in the same manner as if it were a U.S. Holder. Such Non-U.S. Holders should read the material under the
heading “—U.S. Holders,” for a description of the U.S. federal income tax consequences of acquiring, owning, and disposing
of the Notes. In addition, if such Non-U.S. Holder is a foreign corporation, it may also be subject to a branch profits tax equal to 30%
(or such lower rate provided by any applicable tax treaty) of a portion of its earnings and profits for the taxable year that are effectively
connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated
as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid
to a Non-U.S. Holder. Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”)
that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying
security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment
with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. 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
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-25 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
equivalent payments. Non-U.S. Holders that enter, or
have entered, into other transactions in respect of the Underlyings or the Notes should consult their tax advisors as to the application
of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend
equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to
pay any additional amounts with respect to amounts so withheld.
As discussed above, alternative characterizations of
the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or clarification
of the law, by regulation or otherwise, cause payments as to the Notes to become subject to withholding tax in addition to the withholding
tax described above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should consult their own tax
advisors regarding the tax consequences of such alternative characterizations.
U.S. Federal Estate Tax. Under current law, while
the matter is not entirely clear, individual Non-U.S. Holders, and entities whose property is potentially includible in those individuals’
gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual
has retained certain interests or powers), should note that, absent an applicable treaty benefit, a Note is likely to be treated as U.S.
situs property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors regarding the
U.S. federal estate tax consequences of investing in a Note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal
Income Tax Considerations — General — Backup Withholding and Information Reporting” in the accompanying prospectus for
a description of the applicability of the backup withholding and information reporting rules to payments made on the Notes.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-26 |
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the iShares® Silver Trust, the S&P 500® Index and the SPDR® Gold Shares
Where You Can Find More Information
The terms and risks of the Notes are contained in this
pricing supplement and in the following related product supplement, prospectus supplement and prospectus, which can be accessed at the
following links:
This pricing supplement and the accompanying product
supplement, prospectus supplement and prospectus have been filed as part of a registration statement with the SEC, which may, without
cost, be accessed on the SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before you invest, you should read
this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for information about us, BAC and
this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by this
pricing supplement and the accompanying product supplement, prospectus supplement and prospectus. Certain terms used but not defined in
this pricing supplement have the meanings set forth in the accompanying product supplement or prospectus supplement. Unless otherwise
indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,”
or similar references are to BofA Finance, and not to BAC.
The Notes are our senior debt securities. Any payments
on the Notes are fully and unconditionally guaranteed by BAC. The Notes and the related guarantee are not insured by the Federal Deposit
Insurance Corporation or secured by collateral. The Notes will rank equally in right of payment with all of our other unsecured and unsubordinated
obligations, except obligations that are subject to any priorities or preferences by law. The related guarantee will rank equally in right
of payment with all of BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities
or preferences by law, and senior to its subordinated obligations. Any payments due on the Notes, including any repayment of the principal
amount, will be subject to the credit risk of BofA Finance, as issuer, and BAC, as guarantor.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-27 |
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