Pricing Supplement
(To Prospectus dated December 30, 2022,
Prospectus Supplement dated December 30, 2022 and
Product Supplement EQUITY-1 dated December 30, 2022)
Dated July 18, 2024
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Filed Pursuant to Rule 424(b)(2)
Series A Registration Statement
Nos. 333-268718 and 333-268718-01 |
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BofA Finance LLC $7,694,000 Trigger Callable Yield Notes |
Linked to the Nasdaq-100® Index Due October 23, 2025
Fully and Unconditionally Guaranteed by Bank of America Corporation
The Trigger Callable Yield Notes
linked to the Nasdaq-100® Index (the “Underlying”) due October 23, 2025
(the “Notes”) are senior unsecured obligations issued by BofA Finance LLC (“BofA Finance”
or the “issuer”), a consolidated finance subsidiary of Bank of America Corporation (“BAC” or the “Guarantor”),
which are fully and unconditionally guaranteed by the Guarantor. The Notes will pay a Coupon Payment, regardless of the performance of
the Underlying, on each monthly Coupon Payment Date. Beginning in October 2024, on any Call Date, the issuer may, in its sole discretion,
call the Notes in whole, but not in part, and pay you the Stated Principal Amount plus the Coupon Payment otherwise due on such Call Date,
and no further amounts will be owed to you. If the Notes have not previously been called, at maturity, the amount you receive will depend
on the Final Value of the Underlying on the Final Observation Date. If the Final Value of the Underlying on the Final Observation Date
is greater than or equal to its Downside Threshold, you will receive the Stated Principal Amount at maturity (plus the final Coupon Payment).
However, if the Notes have not been called prior to maturity and the Final Value of the Underlying on the Final Observation Date is less
than its Downside Threshold, although you will receive the final Coupon Payment, you will receive less than the Stated Principal Amount
at maturity, resulting in a loss that is proportionate to the decline in the closing level of the Underlying from the Trade Date to the
Final Observation Date, up to a 100% loss of your investment. Investing in the Notes involves significant risks. You may lose a substantial
portion or all of your initial investment. The payment at maturity on the Notes will be based on the performance of the Underlying. You
will not receive dividends or other distributions paid on any stocks included in the Underlying or participate in any appreciation of
the Underlying. The contingent repayment of the Stated Principal Amount applies only if you hold the Notes to maturity or earlier call
by the issuer. Any payment on the Notes, including any repayment of the Stated Principal Amount, is subject to the creditworthiness of
BofA Finance and the Guarantor and is not, either directly or indirectly, an obligation of any third party.
| q | Coupon Payment — Regardless of the performance
of the Underlying, we will pay you a Coupon Payment on each monthly Coupon Payment Date. |
| q | Issuer Callable — Beginning in October 2024,
on any Call Date, the issuer may, in its sole discretion, call the Notes in whole, but not in part, and pay you the Stated Principal
Amount plus the Coupon Payment otherwise due on such Call Date. If the Notes are not called, investors may have full downside market
exposure to the Underlying at maturity. |
| q | Downside Exposure with Contingent Repayment of Principal
at Maturity — If the Notes are not called prior to maturity and the Final Value on the Final Observation Date is greater than
or equal to its Downside Threshold, you will receive the Stated Principal Amount at maturity (plus the final Coupon Payment). However,
if the Final Value on the Final Observation Date is less than its Downside Threshold, although you will receive the final Coupon Payment,
you will receive less than the Stated Principal Amount of your Notes at maturity, resulting in a loss that is proportionate to the decline
in the closing level of the Underlying from the Trade Date to the Final Observation Date, up to a 100% loss of your investment. |
Any payment on the Notes is subject to the creditworthiness of BofA Finance
and the Guarantor.
Key Dates |
Trade Date1
Issue Date1
Coupon Payment Dates2
Call Dates2
Final Observation Date3
Maturity Date |
July 18, 2024
July 23, 2024
Monthly, beginning on August 21, 2024
Monthly, prior to the Maturity Date, beginning on October
22, 2024
October 20, 2025
October 23, 2025 |
| 1 | See “Supplement
to the Plan of Distribution; Role of BofAS and Conflicts of Interest”
in this pricing supplement for additional information. |
| 2 | See page PS-6 for additional details. |
| 3 | See page PS-4 for additional details. |
NOTICE TO INVESTORS: The
Notes are significantly riskier than conventional debt INSTRUMENTS. BofA Finance IS NOT NECESSARILY OBLIGATED TO REPAY THE STATED PRINCIPAL
AMOUNT AT MATURITY, AND the Notes CAN have downside MARKET risk SIMILAR TO the UNDERLYING. This MARKET risk is in addition to the CREDIT
risk INHERENT IN PURCHASING A DEBT OBLIGATION OF BOFA FINANCE THAT IS GUARANTEED BY BAC. You should not PURCHASE the Notes if you
do not understand or are not comfortable with the significant risks INVOLVED in INVESTING IN the Notes.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “RISK FACTORS’’
BEGINNING ON PAGE PS-7 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 BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS
AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL
INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND MAY HAVE LIMITED OR NO LIQUIDITY.
We are offering Trigger Callable Yield Notes linked to the Nasdaq-100®
Index due October 23, 2025. The payment at maturity on the Notes will be based on the performance of the Underlying. The Notes are our
senior unsecured obligations, guaranteed by BAC, and are offered for a minimum investment of 100 Notes (each Note corresponding to $10.00
in Stated Principal Amount) at the Public Offering Price described below.
Underlying |
Coupon Rate |
Initial Value |
Downside Threshold |
CUSIP / ISIN |
|
Nasdaq-100® Index (Ticker: NDX) |
7.15% per annum |
19,705.09 |
13,793.56, which is 70% of the Initial Value (rounded to two decimal places) |
09710R854 / US09710R8549 |
See “Summary” in this pricing supplement. The Notes will have
the terms specified in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement.
None of the Securities and Exchange Commission (the “SEC”), any
state securities commission, or any other regulatory body has approved or disapproved of these Notes or the guarantee, or passed upon
the adequacy or accuracy of this pricing supplement, or the accompanying product supplement, prospectus supplement or prospectus. Any
representation to the contrary is a criminal offense. The Notes and the related guarantee of the Notes by the Guarantor are unsecured
and are not savings accounts, deposits, or other obligations of a bank. The Notes are not guaranteed by Bank of America, N.A. or any other
bank, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and involve investment risks.
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Public Offering Price |
Underwriting Discount(1) |
Proceeds (before expenses) to BofA Finance |
Per Note |
$10.00 |
$0.10 |
$9.90 |
Total |
$7,694,000.00 |
$76,940.00 |
$7,617,060.00 |
(1) The underwriting discount is $0.10 per Note. BofA Securities,
Inc. (“BofAS”), acting as principal, has agreed to purchase from BofA Finance, and BofA Finance has agreed to sell to BofAS,
the aggregate principal amount of the Notes set forth above for $9.90 per Note. UBS Financial Services Inc. (“UBS”), acting
as a selling agent for sales of the Notes, has agreed to purchase from BofAS, and BofAS has agreed to sell to UBS, all of the Notes for
$9.90 per Note. UBS will receive an underwriting discount of $0.10 per Note for each Note it sells in this offering. UBS proposes to offer
the Notes to the public at a price of $10.00 per Note. For additional information on the distribution of the Notes, see “Supplement
to the Plan of Distribution; Role of BofAS and Conflicts of Interest” in this pricing supplement.
The initial estimated value of the Notes is less than
the public offering price. The initial estimated value of the Notes as of the Trade Date is $9.833 per $10 in Stated Principal Amount.
See “Summary” on page PS-4 of this pricing supplement, “Risk Factors” beginning on page PS-7 of this pricing supplement
and “Structuring the Notes” on page PS-18 of this pricing supplement for additional information. The actual value of your
Notes at any time will reflect many factors and cannot be predicted with accuracy.
UBS Financial Services Inc. |
BofA Securities |
Additional
Information about BofA Finance LLC, Bank of America Corporation and the Notes |
You should read carefully this entire pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus to understand fully the terms of the Notes, as well as the tax and other considerations
important to you in making a decision about whether to invest in the Notes. In particular, you should review carefully the section in
this pricing supplement entitled “Risk Factors,” which highlights a number of risks of an investment in the Notes, to determine
whether an investment in the Notes is appropriate for you. If information in this pricing supplement is inconsistent with the product
supplement, prospectus supplement or prospectus, this pricing supplement will supersede those documents. You are urged to consult with
your own attorneys and business and tax advisors before making a decision to purchase any of the Notes.
The information in the “Summary” section is qualified
in its entirety by the more detailed explanation set forth elsewhere in this pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus. You should rely only on the information contained in this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus. We have not authorized any other person to provide you with different information.
If anyone provides you with different or inconsistent information, you should not rely on it. None of us, the Guarantor, BofAS or UBS
is making an offer to sell these Notes in any jurisdiction where the offer or sale is not permitted. You should assume that the information
in this pricing supplement and the accompanying product supplement, prospectus supplement, and prospectus is accurate only as of the date
on their respective front covers.
Certain terms used but not defined in this pricing supplement have
the meanings set forth in the accompanying product supplement, prospectus supplement and prospectus. Unless otherwise indicated or unless
the context requires otherwise, all references in this pricing supplement to “we,” “us,” “our,” or
similar references are to BofA Finance, and not to BAC (or any other affiliate of BofA Finance).
The above-referenced accompanying documents may be accessed at the
following links:
¨ Product supplement EQUITY-1 dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315473/d429684d424b2.htm
¨ Series A MTN prospectus supplement dated December 30, 2022 and prospectus dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315195/d409418d424b3.htm
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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The Notes may be suitable for you if, among other considerations:
¨ You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire investment.
¨ You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that will have the full downside
market risk of an investment in the Underlying.
¨ You
understand and accept the risks associated with the Underlying.
¨ You
believe the Final Value will be greater than or equal to the Downside Threshold on the Final Observation Date, and, if the Final Value
is below the Downside Threshold on the Final Observation Date, you can tolerate a loss of all or a substantial portion of your investment.
¨ You
can tolerate fluctuations in the value of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the
level of the Underlying.
¨ You
understand that your return will be based on the performance of the Underlying.
¨ You
are willing to hold Notes that may be called early by the issuer in its sole discretion, regardless of the closing level of the Underlying,
on any Call Date on or after the October 2024 Call Date, and you are otherwise willing to hold such Notes to maturity.
¨ You
are willing to make an investment whose positive return is limited to the Coupon Payments, regardless of the potential appreciation of
the Underlying, which could be significant.
¨ You
are willing and able to hold the Notes to maturity, and accept that there may be little or no secondary market for the Notes.
¨ You
are willing to forgo dividends or any other distributions paid on the stocks included in the Underlying.
¨ You
are willing to assume the credit risk of BofA Finance and BAC for all payments under the Notes, and understand that if BofA Finance and
BAC default on their obligations, you might not receive any amounts due to you, including any repayment of the Stated Principal Amount. |
The Notes may not be suitable for you if, among
other considerations:
¨ You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire investment.
¨ You
cannot tolerate the loss of all or a substantial portion of your initial investment, or you are not willing to make an investment that
will have the full downside market risk of an investment in the Underlying.
¨ You
require an investment designed to guarantee a full return of the Stated Principal Amount at maturity.
¨ You
do not understand or are not willing to accept the risks associated with the Underlying.
¨ You
believe the Final Value will be less than the Downside Threshold on the Final Observation Date, exposing you to the full downside performance
of the Underlying.
¨ You
cannot tolerate fluctuations in the value of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in
the level of the Underlying.
¨ You
are unwilling to accept that your return will be based on the performance of the Underlying.
¨ You
are unwilling to hold Notes that may be called early by the issuer in its sole discretion, regardless of the closing level of the Underlying,
on any Call Date on or after the October 2024 Call Date, or you are otherwise unable or unwilling to hold such Notes to maturity.
¨ You
seek an investment that participates in the full appreciation of the Underlying and whose positive return is not limited to the Coupon
Payments.
¨ You
seek an investment for which there will be an active secondary market.
¨ You
prefer to receive the dividends and any other distributions paid on the stocks included in the Underlying.
¨ You
prefer the lower risk of conventional fixed income investments with comparable maturities and credit ratings.
¨ You
are not willing to assume the credit risk of BofA Finance and BAC for all payments under the Notes, including any repayment of the Stated
Principal Amount. |
The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You should review “The Underlying” herein for more information on the Underlying. You should also review carefully the “Risk Factors” section herein for risks related to an investment in the Notes. |
Summary |
Issuer |
BofA Finance |
Guarantor |
BAC |
Public Offering Price |
100% of the Stated Principal Amount |
Stated Principal Amount |
$10.00 per Note |
Minimum Investment |
$1,000 (100 Notes) |
Term |
Approximately 15 months, unless earlier called |
Trade Date1 |
July 18, 2024 |
Issue Date1 |
July 23, 2024 |
Final Observation Date |
October 20, 2025, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Calculation Days” in the accompanying product supplement. |
Maturity Date |
October 23, 2025 |
Underlying |
Nasdaq-100® Index (Ticker: NDX) |
Issuer Call Feature |
Beginning in October 2024, the issuer may, in its sole discretion,
call the Notes in whole, but not in part, on any Call Date upon not less than five (5) business days’ but not more than 60 calendar
days’ notice prior to such Call Date.
If the Notes are called, on the applicable Call Date we will
pay you a cash payment per $10.00 Stated Principal Amount equal to the Stated Principal Amount plus the Coupon Payment otherwise due on
such Call Date.
If the Notes are called, no further payments will be made
on the Notes. |
Coupon Payment Dates |
See “Coupon Payment Dates” on page PS-6. |
Coupon Payment/Coupon Rate |
We will pay a Coupon Payment on each monthly Coupon Payment
Date.
Each Coupon Payment will be in the amount of $0.05959 for each
$10.00 Stated Principal Amount (based on the per annum Coupon Rate of 7.15%) and will be payable on the related Coupon Payment Date. |
Call Dates |
The monthly Coupon Payment Dates beginning on October 22, 2024 and ending on September 22, 2025, as indicated on page PS-6. |
Payment At Maturity (per $10.00 Stated Principal Amount) |
If the Notes are not called prior to maturity and the Final Value
of the Underlying on the Final Observation Date is greater than or equal to its Downside Threshold, on the Maturity Date we will pay
you the Stated Principal Amount.
If the Notes are not called prior to maturity and the Final Value of
the Underlying on the Final Observation Date is less than its Downside Threshold, we will pay you a cash payment on the Maturity Date
that is less than your Stated Principal Amount and may be zero, resulting in a loss that is proportionate to the negative Underlying Return,
equal to:
$10.00 × (1 + Underlying Return)
Accordingly, you may lose all or a substantial portion of
your Stated Principal Amount at maturity, depending on how significantly the Underlying declines.
In each case described above you will also receive the final Coupon
Payment. |
| 1 | See “Supplement
to the Plan of Distribution; Role of BofAS and Conflicts of Interest” in this pricing supplement for additional information. |
Underlying Return |
Final Value – Initial Value
Initial Value |
Downside Threshold |
70% of its Initial Value, as specified on the cover page of this pricing supplement. |
Initial Value |
The closing level of the Underlying on the Trade Date, as specified on the cover page of this pricing supplement. |
Final Value |
The closing level of the Underlying on the Final Observation Date. |
Calculation Agent |
BofAS, an affiliate of BofA Finance. |
Selling Agents |
BofAS and UBS. |
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 “—Payment at Maturity” above, calculated as though the date of acceleration were the Maturity Date
of the Notes and as though the Final Observation Date were the third trading day prior to the date of acceleration. The final Coupon Payment
will be prorated by the calculation agent to reflect the length of the final coupon 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.
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Trade Date |
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The closing level of the Underlying (its Initial Value) is observed, the Coupon Rate/Coupon Payment is set and the Downside Threshold for the Underlying is determined. |
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Monthly (callable by the issuer in its sole discretion beginning in October 2024) |
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We will pay a Coupon Payment on each Coupon Payment Date.
Beginning in October 2024, the issuer may, in its sole discretion,
call the Notes in whole, but not in part, on any Call Date upon not less than five (5) business days’ but not more than 60 calendar
days’ notice prior to such Call Date.
If the Notes are called, on the applicable Call Date we will
pay you a cash payment per $10.00 Stated Principal Amount equal to the Stated Principal Amount plus the Coupon Payment otherwise due on
such Call Date.
If the Notes are called, no further payments will be made on
the Notes. |
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Maturity Date (if not previously called) |
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If the Notes are not called prior to maturity, the Final Value
of the Underlying will be observed on the Final Observation Date.
If the Final Value of the Underlying on the Final Observation
Date is greater than or equal to its Downside Threshold, on the Maturity Date we will pay you the Stated Principal Amount.
If the Final Value of the Underlying on the Final Observation
Date is less than its Downside Threshold, on the Maturity Date we will pay you a cash payment that is less than your Stated Principal
Amount and may be zero, resulting in a loss that is proportionate to the negative Underlying Return, equal to:
$10.00 × (1 + Underlying Return)
In each case described above you will also receive the final Coupon Payment.
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A
SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. YOU WILL BE EXPOSED TO THE MARKET RISK OF THE UNDERLYING AND ANY DECLINE IN
THE LEVEL OF THE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN. THE CONTINGENT REPAYMENT OF THE STATED PRINCIPAL AMOUNT APPLIES ONLY IF
YOU HOLD THE NOTES TO MATURITY OR EARLIER CALL BY THE ISSUER. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF BOFA FINANCE
AND THE GUARANTOR.
Coupon
Payment Dates
August 21, 2024 |
September 20, 2024 |
October 22, 2024 * |
November 20, 2024 * |
December 20, 2024 * |
January 23, 2025 * |
February 20, 2025 * |
March 20, 2025 * |
April 23, 2025 * |
May 21, 2025 * |
June 23, 2025 * |
July 22, 2025 * |
August 20, 2025 * |
September 22, 2025 * |
October 23, 2025 |
*These are the Call Dates. |
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 identified on page PS-2 above.
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 called prior to maturity and the Final Value is less than its Downside Threshold, at maturity,
you will lose 1% of the Stated Principal Amount for each 1% that the Final Value is less than its Initial Value. In that case, you will
lose a significant portion or all of your investment in the Notes. |
| ¨ | The limited downside protection provided by the Downside Threshold applies only at maturity. You should be willing to hold
your Notes to maturity. If you are able to sell your Notes in the secondary market prior to a call or maturity, you may have to sell them
at a loss relative to your initial investment even if the level of the Underlying at that time is equal to or greater than its Downside
Threshold. All payments on the Notes are subject to the credit risk of BofA Finance, as issuer, and BAC, as guarantor. |
| ¨ | Your return on the Notes is limited to the return represented by the Coupon Payments over the term of the Notes. Your return
on the Notes is limited to the Coupon Payments paid over the term of the Notes, regardless of the extent to which the closing level of
the Underlying at any time exceeds its Initial Value. Similarly, the amount payable at maturity or upon a call will never exceed the sum
of the Stated Principal Amount and the applicable Coupon Payment, regardless of the extent to which the closing level or Final Value of
the Underlying, as applicable, exceeds its Initial Value. In contrast, a direct investment in the securities included in the Underlying
would allow you to receive the benefit of any appreciation in their values. Thus, any return on the Notes will not reflect the return
you would realize if you actually owned those securities and received the dividends paid or distributions made on them. |
| ¨ | The Notes are subject to a potential early call, which would limit your ability to receive the Coupon Payments over the full term
of the Notes. Beginning in October 2024, on each Call Date, at our option, we may redeem your Notes in whole, but not in part. If
the Notes are called prior to the Maturity Date, you will be entitled to receive the Stated Principal Amount plus the Coupon Payment otherwise
due on such Call Date. In this case, you will lose the opportunity to continue to receive Coupon Payments after the date of the early
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. Even if we do not exercise our option to redeem your Notes, our ability to do
so may adversely affect the market value of your Notes. It is our sole option whether to redeem your Notes prior to maturity on any Call
Date and we may or may not exercise this option for any reason. Because of this, the term of your Notes could be anywhere between three
and fifteen months. |
It is more likely that we will call the Notes
in our sole discretion prior to maturity to the extent that the expected Coupon Payments payable on the Notes are greater than the coupon
that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. The greater
likelihood of us calling the Notes in that environment increases the risk that you will not be able to reinvest the proceeds from the
called Notes in another investment that provides a similar yield with a similar level of risk. We are less likely to call the Notes prior
to maturity when the expected Coupon Payments payable on the Notes are less than the coupon that would be payable on other comparable
instruments issued by us. Therefore, the Notes are more likely to remain outstanding when the expected Coupon Payments payable on the
Notes are less than what would be payable on other comparable instruments and when your risk of not receiving a coupon is relatively higher.
| ¨ | 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 Coupon Payment (if any)
may be less than the yield on a conventional debt security of comparable maturity. |
| ¨ | Any payment on the Notes is subject to our credit risk and the credit risk of the Guarantor, and actual or perceived changes in
our or the Guarantor’s creditworthiness are expected to affect the value of the Notes. The Notes are our senior unsecured debt
securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor. The Notes are not guaranteed by any
entity other than the Guarantor. As a result, your receipt of all payments on the Notes will be dependent upon our ability and the ability
of the Guarantor to repay our respective obligations under the Notes on the applicable payment date, regardless of the closing level or
Final Value of the Underlying as compared to its Downside Threshold or Initial Value, as applicable. No assurance can be given as to what
our financial condition or the financial condition of the Guarantor will be on the Maturity Date. If we and the Guarantor become unable
to meet our respective financial obligations as they become due, you may not receive the amounts payable under the terms of the Notes
and you could lose all of your initial investment. |
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 of your Notes 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 value of the Underlying,
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. |
| ¨ | Greater expected volatility generally indicates an increased risk of loss. A higher Coupon Rate and/or a lower Downside Threshold
may reflect greater expected volatility of the Underlying, which is generally associated with a greater risk of loss. Volatility is a
measure of the degree of variation in the level of the Underlying over a period of time. The greater the expected volatility of the Underlying
at the time the terms of the Notes are set, the greater the expectation is at that time that you may lose a significant portion or all
of the Stated Principal Amount at maturity. In addition, the economic terms of the Notes, including the Coupon Rate and the Downside Threshold,
are based, in part, on the expected volatility of the Underlying at the time the terms of the Notes are set, where higher expected volatility
will generally be reflected in a higher Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity
and/or on otherwise comparable securities and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly,
a higher Coupon Rate will generally be indicative of a greater risk of loss while a lower Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of returning the Stated Principal Amount at maturity. You should be willing to accept the downside
market risk of the Underlying and the potential loss of a significant portion or all of the Stated Principal Amount at maturity. |
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 Trade Date by reference
to our and our affiliates' pricing models. These pricing models consider certain assumptions and variables, including our credit spreads
and those of the Guarantor, the Guarantor’s internal funding rate, mid-market terms on hedging transactions, expectations on interest
rates, dividends and volatility, price-sensitivity analysis, and the expected term of the Notes. These pricing models rely in part
on certain forecasts about future events, which may prove to be incorrect. If you attempt to sell the Notes prior to maturity, their market
value may be lower than the price you paid for them and lower than their initial estimated value. This is due to, among other things,
changes in the level of the Underlying, changes in the Guarantor’s internal funding rate, and the inclusion in the public offering
price of the underwriting discount and the hedging related charges, all as further described in “Structuring the Notes” below.
These factors, together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price
at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable
ways. |
| ¨ | 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 Underlying,
our and BAC’s creditworthiness and changes in market conditions. |
| ¨ | The price of the Notes that may be paid by BofAS in any secondary market (if BofAS makes a market, which it is not required to
do), as well as the price which may be reflected on customer account statements, will be higher than the then-current estimated value
of the Notes for a limited time period after the Trade Date. As agreed by BofAS and UBS, for approximately a three-month period after
the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market, it will do so at a price that will exceed the estimated
value of the Notes at that time. The amount of this excess, which represents a portion of the hedging-related charges expected to
be realized by BofAS and UBS over the term of the Notes, will decline to zero on a straight line basis over that three-month period.
Accordingly, the estimated value of your Notes during this initial three-month period may be lower than the value shown on your customer
account statements. Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value determined
by reference to its pricing models at that time. Any price at any time after the Trade Date will be based on then-prevailing market conditions
and other considerations, including the performance of the Underlying and the remaining term of the Notes. However, none of us,
the Guarantor, BofAS or any other party is obligated to purchase your Notes at any price or at any time, and we cannot assure you that
any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes. |
| ¨ | We cannot assure you that a trading market for your Notes will ever develop or be maintained. We will not list the Notes on
any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that market will be liquid or illiquid. |
The development of a trading market for the
Notes will depend on the Guarantor’s financial performance and other factors, including changes in the level of the Underlying.
The number of potential buyers of your Notes in any secondary market may be limited. We anticipate that BofAS will act as a market-maker
for the Notes, but none of us, the Guarantor or BofAS is required to do so. There is no assurance that any party will be willing to purchase
your Notes at any price in any secondary market. BofAS may discontinue its market-making activities as to the Notes at any time. To the
extent that BofAS engages in any market-making activities, it may bid for or offer the Notes. Any price at which BofAS may bid for, offer,
purchase, or sell any Notes may differ from the values determined by pricing models that it may use, whether as a result of dealer discounts,
mark-ups, or other transaction costs. These bids, offers, or completed transactions may affect the prices, if any, at which the Notes
might otherwise trade in the market. In addition, if at any time BofAS were to cease acting
as a market-maker as to the Notes, it is likely
that there would be significantly less liquidity in the secondary market. In such a case, the price at which the Notes could be sold likely
would be lower than if an active market existed.
| ¨ | Economic and market factors have affected the terms of the Notes and may affect the market value of the Notes prior to maturity
or a call. Because market-linked notes, including the Notes, can be thought of as having a debt component and a derivative component,
factors that influence the values of debt instruments and options and other derivatives will also affect the terms and features of the
Notes at issuance and the market price of the Notes prior to maturity or a call. These factors include the level of the Underlying and
the securities included in the Underlying; the volatility of the Underlying and the securities included in the Underlying; the dividend
rate paid on the securities included in the Underlying, if applicable; the time remaining to the maturity of the Notes; interest rates
in the markets; geopolitical conditions and economic, financial, political, force majeure and regulatory or judicial events; the availability
of comparable instruments; the creditworthiness of BofA Finance, as issuer, and BAC, as guarantor; and the then current bid-ask spread
for the Notes and the factors discussed under “— Trading and hedging activities by us, the Guarantor and any of our other
affiliates, including BofAS, and UBS and its affiliates, may create conflicts of interest with you and may affect your return on the Notes
and their market value” below. These factors are unpredictable and interrelated and may offset or magnify each other. |
Conflict-related Risks
| ¨ | Trading and hedging activities by us, the Guarantor and any of our other affiliates, including
BofAS, and UBS and its affiliates, may create conflicts of interest with you and may affect your return on the Notes and their
market value. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates, may buy or sell
the securities held by or included in the Underlying, or futures or options contracts on the Underlying or those securities, or other
listed or over-the-counter derivative instruments linked to the Underlying or those securities. We, the Guarantor or one or more of our
other affiliates, including BofAS, and UBS and its affiliates also may issue or underwrite other financial instruments with returns based
upon the Underlying. We expect to enter into arrangements or adjust or close out existing transactions to hedge our obligations under
the Notes. We, the Guarantor or our other affiliates, including BofAS, and UBS and its affiliates also may enter into hedging transactions
relating to other notes or instruments, some of which may have returns calculated in a manner related to that of the Notes offered hereby.
We or UBS may enter into such hedging arrangements with one of our or their affiliates. Our affiliates or their affiliates may enter into
additional hedging transactions with other parties relating to the Notes and the Underlying. This hedging activity is expected to result
in a profit to those engaging in the hedging activity, which could be more or less than initially expected, or the hedging activity could
also result in a loss. We and our affiliates and UBS and its affiliates will price these hedging transactions with the intent to realize
a profit, regardless of whether the value of the Notes increases or decreases. Any profit in connection with such hedging activities will
be in addition to any other compensation that we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates
receive for the sale of the Notes, which creates an additional incentive to sell the Notes to you. While we, the Guarantor or one or more
of our other affiliates, including BofAS, and UBS and its affiliates may from time to time own securities represented by the Underlying,
except to the extent that BAC’s or UBS Group AG’s (the parent company of UBS) common stock may be included in the Underlying,
as applicable, we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates do not control any company included
in the Underlying, and have not verified any disclosure made by any other company. We, the Guarantor or one or more of our other affiliates,
including BofAS, and UBS and its affiliates may execute such purchases or sales for our own or their own accounts, for business reasons,
or in connection with hedging our obligations under the Notes. The transactions described above may present a conflict of interest between
your interest in the Notes and the interests we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates may
have in our or their proprietary accounts, in facilitating transactions, including block trades, for our or their other customers, and
in accounts under our or their management. |
The transactions described above may affect
the value of the Underlying in a manner that could be adverse to your investment in the Notes. On or before the Trade Date, any purchases
or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf, and UBS and its affiliates (including
for the purpose of hedging some or all of our anticipated exposure in connection with the Notes) may have affected the value of the Underlying.
Consequently, the value of the Underlying may change subsequent to the Trade Date, which may adversely affect the market value of the
Notes. In addition, these activities may decrease the market value of your Notes prior to maturity, and may affect the amounts to be paid
on the Notes. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates may purchase or otherwise
acquire a long or short position in the Notes and may hold or resell the Notes. For example, BofAS may enter into these transactions in
connection with any market making activities in which it engages. We cannot assure you that these activities will not adversely affect
the value of the Underlying, the market value of your Notes prior to maturity or the amounts payable on the Notes.
| t | 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
| t | The Notes are subject to the market risk of the Underlying. The return on the Notes, which may be negative, is directly linked
to the performance of the Underlying and indirectly linked to the value of the securities included in the Underlying. The level of the
Underlying can rise or fall sharply due to factors specific to the Underlying and the securities included in the Underlying and the issuers
of such securities, such as stock price volatility, earnings and financial conditions, corporate, industry and regulatory developments,
management changes and decisions and other events, as well as general market factors, such as general stock market or commodity market
volatility and levels, interest rates and economic and political conditions. |
| t | The Notes are subject to risks associated with foreign securities markets. The NDX includes certain foreign equity securities.
You should be aware that investments in securities linked to the value of foreign equity securities involve particular risks. The foreign |
securities markets comprising the NDX
may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets
differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets,
as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally
less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements
of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from
those applicable to U.S. reporting companies. Prices of securities in foreign countries are subject to political, economic, financial
and social factors that apply in those geographical regions. These factors, which could negatively affect those securities markets, include
the possibility of recent or future changes in a foreign government’s economic and fiscal policies, the possible imposition of,
or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities
and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility and political
instability and the possibility of natural disaster or adverse public health developments in the region. Moreover, foreign economies may
differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency.
| t | Governmental regulatory actions could result in material changes to the composition of the NDX and could negatively affect your
return on the Notes. Governmental regulatory actions, including but not limited to sanctions-related actions by the U.S. or foreign
governments, could make it necessary or advisable for there to be material changes to the composition of the NDX, depending on the nature
of such governmental regulatory actions and the constituent stocks that are affected. For instance, pursuant to recent executive orders,
U.S. persons are prohibited from engaging in transactions in publicly traded securities of certain companies that are determined to be
linked to the People’s Republic of China (the “PRC”) military, intelligence and security apparatus, or securities that
are derivative of, or are designed to provide investment exposure to such securities. If any governmental regulatory action results in
the removal of constituent stocks that have (or historically have had) significant weights within the NDX, such removal, or even any uncertainty
relating to a possible removal, could have a material and negative effect on the price of the NDX and, therefore, your return on the Notes. |
| ¨ | The publisher of the Underlying may adjust the Underlying in a way that affects its level, and the publisher has no obligation
to consider your interests. The publisher of the Underlying can add, delete, or substitute the components included in the Underlying
or make other methodological changes that could change its level. Any of these actions could adversely affect the value of your Notes. |
Tax-related Risks
| t | 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 substantially 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 consisting of a put option and a deposit, as more fully 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. |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon a call
or at maturity for a $10.00 Stated Principal Amount Note with the following assumptions* (the actual terms of the Notes will be determined
on the Trade Date; amounts may have been rounded for ease of reference and do not take into account any tax consequences from investing
in the Notes):
| t | Stated Principal Amount: $10 |
| t | Term: Approximately 15 months, unless earlier called |
| t | Hypothetical Initial Value: |
| o | Nasdaq-100® Index: 100.00 |
| t | Coupon Rate: 7.15% per annum (or 0.5959% per month) |
| t | Monthly Coupon Payment: $0.05959 per month per Note |
| t | Issuer Call: Beginning in October 2024, monthly, on any Call Date, as indicated on page PS-6 |
| t | Hypothetical Downside Threshold: |
| o | Nasdaq-100® Index: 70.00, which is 70% of its hypothetical Initial Value |
*The hypothetical Initial
Value and Downside Threshold do not represent the actual Initial Value and Downside Threshold, respectively, applicable to the Underlying.
The actual Initial Value and Downside Threshold are specified on the cover page of this pricing supplement. All payments on the Notes
are subject to issuer and Guarantor credit risk.
Example 1 — Notes are called by us in our sole discretion
on the third Coupon Payment Date (which is also the first Call Date).
Date |
Payment (per Note) |
First Coupon Payment Date |
$0.05959 (Coupon Payment — Not callable) |
Second Coupon Payment Date |
$0.05959 (Coupon Payment — Not callable) |
Third Coupon Payment Date (First Call Date) |
$10.05959 (Stated Principal Amount plus Coupon Payment — Notes are called) |
Total Payment: |
$10.17877 (1.7877% total return) |
A Coupon Payment is paid on each of the first and second Coupon Payment
Dates. Since the Notes are called by us in our sole discretion on the third Coupon Payment Date, which is also the first Call Date, we
will pay you a total of $10.05959 per Note (equal to the Stated Principal Amount plus the Coupon Payment) on that Call Date. When added
to the $0.11918 in Coupon Payments received in respect of the first two Coupon Payment Dates, you would have been paid a total of $10.17877
per Note, representing a 1.7877% total return on the Notes over the approximately three months the Notes were outstanding before they
were called by us in our sole discretion. You will not receive any further payments on the Notes.
Example 2 — Notes are NOT called prior to the Maturity Date
and the Final Value of the Underlying on the Final Observation Date is at or above its Downside Threshold.
Date |
Final Value on the Final Observation Date |
Payment (per Note) |
|
Nasdaq-100® Index |
|
First Coupon Payment Date |
N/A |
$0.05959 (Coupon Payment — Not callable) |
Second Coupon Payment Date |
N/A |
$0.05959 (Coupon Payment — Not callable) |
Third to Fourteenth Coupon Payment Dates |
N/A |
$0.05959 (Coupon Payment on each Coupon Payment Date—Notes are not called) |
Final Observation Date |
99.00 (at or above Downside Threshold) |
$10.05959 (Stated Principal Amount plus the final
Coupon Payment)
|
|
Total Payment: |
$10.89385 (8.9385% total return) |
A Coupon Payment is paid on each of the first fourteen Coupon Payment
Dates, but the Notes are not called prior to maturity. On the final Observation Date, the Final Value of the Underlying is above its Downside
Threshold. At maturity, we will pay you $10.05959 per Note (equal to the Stated Principal Amount plus the final Coupon Payment). When
added to the Coupon Payments of $0.83426 received in respect of the first fourteen Coupon Payment Dates, you would have been paid a total
of $10.89385 per Note, representing an 8.9385% total return on the Notes over 15 months.
Example 3 — Notes are NOT called prior to the Maturity Date
and the Final Value of the Underlying on the Final Observation Date is below its Downside Threshold.
Date |
Final Value on the Final Observation Date |
Payment (per Note) |
|
Nasdaq-100® Index |
|
First Coupon Payment Date |
N/A |
$0.05959 (Coupon Payment — Not callable) |
Second Coupon Payment Date |
N/A |
$0.05959 (Coupon Payment — Not callable) |
Third to Fourteenth Coupon Payment Dates |
N/A |
$0.05959 (Coupon Payment on each Coupon Payment Date — Notes are not called) |
Final Observation Date |
45.00 (below Downside Threshold) |
$10.000 × [1 + Underlying Return of the Underlying]
=
$10.00 × [1 + -55.00%] =
$10.00 × 0.45 =
$4.50
$4.50000+$0.05959 = $4.55959 (Payment at Maturity) |
|
Total Payment: |
$5.39385 (-46.0615% total return) |
A Coupon Payment is paid on each of the first fourteen Coupon
Payment Dates, but the Notes are not called. On the Final Observation Date, the Underlying closes below its Downside Threshold. At
maturity, investors are exposed to the proportionate downside performance of the Underlying and you will receive $4.50000 per Note,
which reflects the percentage decrease of the closing level of the Underlying from the Trade Date to the Final Observation Date,
plus the final Coupon Payment of $0.05959, for a Payment at Maturity of $4.55959. When added to the $0.83426 in Coupon Payments
received in respect of the first fourteen Coupon Payment Dates, you would have been paid a total of $5.39385 per Note, representing
a -46.0615% total return over 15 months.
The
Underlying
All disclosures contained in this pricing supplement regarding the Underlying,
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 sponsor of the NDX, the sponsor of the NDX
(the “Underlying Sponsor”). The Underlying Sponsor, which licenses the copyright and all other rights to the Underlying, has
no obligation to continue to publish, and may discontinue publication of, the Underlying. The consequence of the Underlying Sponsor discontinuing
publication of the Underlying are discussed in “Description of the Notes — Discontinuance of an Index” in the accompanying
product supplement. None of us, the Guarantor, the Calculation Agent, or either Selling Agent accepts any responsibility for the calculation,
maintenance or publication of the Underlying or any successor index.
None of us, the Guarantor, the Selling Agents or any of our or their respective
affiliates makes any representation to you as to the future performance of the Underlying.
You should make your own investigation into the Underlying.
The Nasdaq-100® Index
The NDX is intended to measure the performance of the 100 largest domestic
and international non-financial securities listed on NASDAQ based on market capitalization. The NDX reflects companies across major industry
groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities
of financial companies including investment companies.
The NDX began trading on January 31, 1985 at a base value of 125.00. The
NDX is calculated and published by Nasdaq, Inc. In administering the NDX, Nasdaq, Inc. will exercise reasonable discretion as it deems
appropriate.
Underlying Stock Eligibility Criteria
NDX eligibility is limited to specific security types only. The security
types eligible for the NDX include foreign or domestic common stocks, ordinary shares, ADRs and tracking stocks. Security types not included
in the NDX are closed-end funds, convertible debt securities, exchange traded funds, limited liability companies, limited partnership
interests, preferred stocks, rights, shares or units of beneficial interest, warrants, units, and other derivative securities. The NDX
does not contain securities of investment companies. For purposes of the NDX eligibility criteria, if the security is a depositary receipt
representing a security of a non-U.S. issuer, then references to the “issuer” are references to the issuer of the underlying
security.
Initial Eligibility Criteria
To be eligible for initial inclusion in the NDX, a security must be listed
on NASDAQ and meet the following criteria:
the security’s U.S. listing must be exclusively on
the Nasdaq Global Select Market or the Nasdaq Global Market (unless the security was dually listed on another U.S. market prior to January
1, 2004 and has continuously maintained such listing);
| ● | the security must be of a non-financial company; |
| ● | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| ● | the security must have a minimum three-month average daily trading volume of at least 200,000 shares; |
| ● | if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such
security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized
options market in the U.S.; |
| ● | the issuer of the security may not have entered into a definitive agreement or other arrangement which
would likely result in the security no longer being eligible for inclusion in the NDX; |
| ● | the issuer of the security may not have annual financial statements with an audit opinion that is currently
withdrawn; and |
| ● | the issuer of the security must have “seasoned” on NASDAQ, NYSE or NYSE Amex. Generally,
a company is considered to be seasoned if it has been listed on a market for at least three full months (excluding the first month of
initial listing). |
Continued Eligibility Criteria
In addition, to be eligible for continued inclusion in the
NDX, the following criteria apply:
| ● | the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq
Global Market; |
| ● | the security must be of a non-financial company; |
| ● | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| ● | the security must have a minimum three-month average daily trading volume of at least 200,000 shares; |
| ● | if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such
security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized
options market in the U.S. (measured annually during the ranking review process); |
| ● | the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate
adjusted market capitalization of the NDX at each month-end. In the event a company does not meet this criterion for two consecutive month-ends,
it will be removed from the NDX effective after the close of trading on the third Friday of the following month; and |
| ● | the issuer of the security may not have annual financial statements with an audit opinion that is currently
withdrawn. |
Computation of the NDX
The value of the NDX equals the aggregate value of the NDX
share weights (the “NDX Shares”) of each of the NDX securities multiplied by each such security’s last sale price (last
sale price refers to the last sale price on NASDAQ), and divided by the divisor of the NDX. If trading in an NDX security is halted while
the market is open, the last traded price for that security is used for all NDX computations until trading resumes.
If trading is halted before the market is open, the previous day’s
last sale price is used. The formula for determining the NDX value is as follows:
The NDX is ordinarily calculated without regard to cash dividends on NDX
securities. The NDX is calculated during the trading day and is disseminated once per second from 09:30:01 to 17:16:00 ET. The closing
level of the NDX may change up until 17:15:00 ET due to corrections to the last sale price of the NDX securities. The official closing
value of the NDX is ordinarily disseminated at 17:16:00 ET.
NDX Maintenance
Changes to NDX Constituents
Changes to the NDX constituents may be made during the annual ranking review.
In addition, if at any time during the year other than the annual review, it is determined that an NDX security issuer no longer meets
the criteria for continued inclusion in the NDX, or is otherwise determined to have become ineligible for continued inclusion in the NDX,
it is replaced with the largest market capitalization issuer not currently in the NDX that meets the applicable eligibility criteria for
initial inclusion in the NDX.
Ordinarily, a security will be removed from the NDX at its last sale price.
However, if at the time of its removal the NDX security is halted from trading on its primary listing market and an official closing price
cannot readily be determined, the NDX security may, in Nasdaq, Inc.’s discretion, be removed at a price of $0.00000001 (“zero
price”). This zero price will be applied to the NDX security after the close of the market but prior to the time the official closing
value of the NDX is disseminated.
Divisor Adjustments
The divisor is adjusted to ensure that changes in the NDX constituents either
by corporate actions (that adjust either the price or shares of an NDX security) or NDX participation outside of trading hours do not
affect the value of the NDX. All divisor changes occur after the close of the applicable index security markets.
Quarterly NDX Rebalancing
The NDX will be rebalanced on a quarterly basis if it is determined that
(1) the current weight of the single NDX security with the largest market capitalization is greater than 24.0% of the NDX or (2) the collective
weight of those securities whose individual current weights are in excess of 4.5% exceeds 48.0% of the NDX. In addition, a “special
rebalancing” of the NDX may be conducted at any time if Nasdaq, Inc. determines it necessary to maintain the integrity and continuity
of the NDX. If either one or both of the above weight distribution conditions are met upon quarterly review, or Nasdaq, Inc. determines
that a special rebalancing is necessary, a weight rebalancing will be performed.
If the first weight distribution condition is met and the current weight
of the single NDX security with the largest market capitalization is greater than 24.0%, then the weights of all securities with current
weights greater than 1.0% (“large securities”) will be scaled down proportionately toward 1.0% until the adjusted weight of
the single largest NDX security reaches 20.0%.
If the second weight distribution condition is met and the collective weight
of those securities whose individual current weights are in excess of 4.5% (or adjusted weights in accordance with the previous step,
if applicable) exceeds 48.0% of the NDX, then the weights of all such large securities in that group will be scaled down proportionately
toward 1.0% until their collective weight, so adjusted, is equal to 40.0%.
The aggregate weight reduction among the large securities resulting from
either or both of the rebalancing steps above will then be redistributed to those securities with weightings of less than 1.0% (“small
securities”) in the following manner. In the first iteration, the weight of the largest small security will be scaled upwards by
a factor which sets it equal to the average NDX weight of 1.0%. The weights of each of the smaller remaining small securities will be
scaled up by the same factor reduced in relation to each security’s relative ranking among the small securities such that the smaller
the NDX security in the ranking, the less its weight will be scaled upward. This is intended to reduce the market impact of the weight
rebalancing on the smallest component securities in the NDX.
In the second iteration of the small security rebalancing, the weight of
the second largest small security, already adjusted in the first iteration, will be scaled upwards by a factor which sets it equal to
the average NDX weight of 1.0%. The weights of each of the smaller remaining small securities will be scaled up by this same factor reduced
in relation to each security’s relative ranking among the small securities such that, once again, the smaller the security in the
ranking, the less its weight will be scaled upward. Additional iterations will be performed until the accumulated increase in weight among
the small securities equals the aggregate weight reduction among the large securities that resulted from the rebalancing in accordance
with the two weight distribution conditions discussed above.
Finally, to complete the rebalancing process, once the final weighting percentages
for each NDX security have been set, the NDX Shares will be determined anew based upon the last sale prices and aggregate capitalization
of the NDX at the close of trading on the last calendar day in February, May, August and November. Changes to the NDX Shares will be made
effective after the close of trading on the third Friday in March, June, September and December, and an adjustment to the divisor is made
to ensure continuity of the NDX. Ordinarily, new rebalanced NDX Shares will be determined by applying the above procedures to the current
NDX Shares. However, Nasdaq, Inc. may, from time to time, determine rebalanced weights, if necessary, by applying the above procedure
to the actual current market capitalization of the NDX components. In such instances, Nasdaq, Inc. would announce the different basis
for rebalancing prior to its implementation.
During the quarterly rebalancing, data is cutoff as of the previous month
end and no changes are made to the NDX from that cutoff until the quarterly index share change effective date, except in the case of changes
due to corporate actions with an ex-date.
Adjustments for Corporate Actions
Changes in the price and/or NDX Shares driven by corporate events such as
stock dividends, splits, and certain spin-offs and rights issuances will be adjusted on the ex-date. If the change in total shares outstanding
arising from other corporate actions is greater than or equal to 10.0%, the change will be made as soon as practicable. Otherwise, if
the change in total shares outstanding is less than 10.0%, then all such changes are accumulated and made effective at one time on a quarterly
basis after the close of trading on the third Friday in each of March, June, September, and December. The NDX Shares are derived from
the security’s total shares outstanding. The NDX Shares are adjusted by the same percentage amount by which the total shares outstanding
have changed.
Historical Performance of the NDX
The following graph sets forth the daily historical performance of the NDX
in the period from January 2, 2019 through the Trade Date. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal line in the graph represents the
NDX’s Downside Threshold of 13,793.56 (rounded to two decimal places), which is 70% of the NDX’s Initial Value of 19,705.09.
This historical data on the NDX is not necessarily indicative of the future
performance of the NDX or what the value of the Notes may be. Any historical upward or downward trend in the level of the NDX during any
period set forth above is not an indication that the level of the NDX 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 levels of the NDX.
License Agreement
The Notes are not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or
its affiliates (Nasdaq, Inc. with its affiliates, are referred to as the “Corporations”). The Corporations have not passed
on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Notes. The Corporations
make no representation or warranty, express or implied, to the owners 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 NDX to track general stock market performance.
The Corporations’ only relationship to our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“Licensee”)
is in the licensing of the NASDAQ®, OMX®, NASDAQ OMX®, and NDX registered trademarks, and certain trade names of the Corporations
or their licensor and the use of the NDX which is determined, composed and calculated by Nasdaq, Inc. without regard to Licensee or the
Notes. Nasdaq, Inc. has no obligation to take the needs of the Licensee or the owners of the Notes into consideration in determining,
composing or calculating the NDX. The Corporations are not responsible for and have not participated in the determination of the timing
of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are to
be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the Notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION
OF THE NDX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NDX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS
OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT
TO THE NDX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY
FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.
Supplement to the Plan of Distribution; Role of BofAS and Conflicts of Interest |
BofAS, an affiliate of BofA Finance and the lead selling agent for the sale
of the Notes, will receive an underwriting discount of $0.10 for any Note sold in this offering. UBS, as selling agent for sales of the
Notes, has agreed to purchase from BofAS, and BofAS has agreed to sell to UBS, all of the Notes sold in this offering for $9.90 per Note.
UBS proposes to offer the Notes to the public at a price of $10.00 per Note. UBS will receive an underwriting discount of $0.10 for each
Note it sells to the public. The underwriting discount will be received by UBS and its financial advisors collectively. If all of the
Notes are not sold at the initial offering price, BofAS may change the public offering price and other selling terms.
BofAS, a broker-dealer affiliate of ours, is a member of the Financial
Industry Regulatory Authority, Inc. (“FINRA”) and will participate as lead selling agent in the distribution of the Notes.
Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the account holder.
We will deliver the Notes against payment therefor in New York, New York
on a date that is greater than one business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades
in the secondary market generally are required to settle in one business days, unless the parties to any such trade expressly agree otherwise.
Accordingly, purchasers who wish to trade the Notes more than one business days prior to the Issue Date will be required to specify alternative
settlement arrangements to prevent a failed settlement.
BofAS and any of our other broker-dealer affiliates may use this pricing
supplement, and the accompanying product supplement, prospectus supplement and prospectus, for offers and sales in secondary market transactions
and market-making transactions in the Notes. However, they are not obligated to engage in such secondary market transactions and/or market-making
transactions. 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.
As agreed by BofAS and UBS, for approximately a three-month period
after the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market, it will do so at a price that will exceed the
estimated value of the Notes at that time. The amount of this excess will decline on a straight line basis over that period. Thereafter,
if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value determined by reference to its pricing models
at that time. Any price at any time after the Trade Date will be based on then-prevailing market conditions and other considerations,
including the performance of the Underlying and the remaining term of the Notes. However, none of us, the Guarantor, BofAS, UBS or any
other party is obligated to purchase your Notes at any price or at any time, and we cannot assure you that any party will purchase your
Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes will depend upon
then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times, this price may
be higher than or lower than the initial estimated value of the Notes.
Sales Outside of the United States
The Notes have not been approved for public sale in any jurisdiction
outside of the United States. There has been no registration or filing as to the Notes with any regulatory, securities, banking, or local
authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other affiliate of BAC, or by UBS
or any of its affiliates, to offer the Notes in any jurisdiction other than the United States. As such, these Notes are made available
to investors outside of the United States only in jurisdictions where it is lawful to make such offer or sale and only under circumstances
that will result in compliance with applicable laws and regulations, including private placement requirements.
Further, no offer or sale of the securities is permitted with regards
to the following jurisdictions:
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 the issuer or the Guarantor.
All applicable provisions of the FSMA must be complied with in respect to
anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
Structuring
the Notes
The Notes are our debt securities, the return on which is linked
to the performance of the Underlying. The related guarantees are BAC’s obligations. Any payments on the Notes, including any Coupon
Payments, depend on the credit risk of BofA Finance and BAC and on the performance of the Underlying. The economic terms of the Notes
reflect our and BAC’s actual or perceived creditworthiness at the time of pricing and are based on BAC’s internal funding
rate, which is the rate it would pay to borrow funds through the issuance of market-linked Notes, and the economic terms of certain related
hedging arrangements it enters into. BAC’s internal funding rate is typically lower than the rate it would pay when it issues conventional
fixed or floating rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging related
charges described elsewhere in this pricing supplement, reduced the economic terms of the Notes to you and the initial estimated value
of the Notes. Due to these factors, the public offering price you are paying to purchase the Notes is greater than the initial estimated
value of the Notes as of the Trade Date.
On the cover page of this pricing supplement, we have provided the
initial estimated value of the Notes as of the Trade Date.
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 Underlying, the tenor of the Notes and the hedging arrangements. The economic terms of the Notes and their initial estimated
value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will include hedging
related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these hedging arrangements. Since
hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses from these hedging transactions may
be more or less than any expected amounts.
For further information, see “Risk Factors” beginning on
page PS-7 above and “Supplemental Use of Proceeds” on page PS-20 of the accompanying product supplement.
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.
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
There is no statutory, judicial, or administrative authority directly addressing
the characterization of the Notes or instruments substantially similar to the Notes. We intend to treat the Notes for all tax purposes
as a unit (a “Unit”) consisting of the following:
| (i) | a put option (the “Put Option”) written by you to us that, if exercised, requires you to pay us an amount equal to the
Deposit (as defined below) in exchange for a cash amount based upon the performance of the Underlying; and |
| (ii) | a deposit with us of a fixed amount of cash, equal to the issue price of the Note, to secure your obligation under the Put Option
(the “Deposit”) that pays you interest based on our cost of borrowing at the time of issuance (the “Deposit Interest”). |
Based on the treatment of each Note as a Unit consisting of the Put Option
and the Deposit, it would be reasonable to allocate each Coupon Payment between the Deposit and the Put Option and treat 33% of each Coupon
Payment as Deposit Interest and 67% of each Coupon Payment as Put Option premium. Under this approach, it would be reasonable to allocate
100% of the issue price of a Note to the Deposit and none to the Put Option.
No statutory, judicial or administrative authority directly addresses the
proper treatment of the Notes or instruments substantially similar to the Notes for U.S. federal income tax purposes, and no ruling is
being requested from the IRS with respect to the Notes. Significant aspects of the U.S. federal income tax consequences of an investment
in the Notes are uncertain, and no assurance can be given that the IRS or a court will agree with the tax treatment described herein.
In the opinion of our counsel, Sidley Austin LLP, the treatment of the Notes described above is reasonable under current law; however,
our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that
alternative treatments are possible. Accordingly, you should consult your tax advisor regarding the U.S. federal income tax consequences
of an investment in the Notes (including alternative treatments of the notes). Unless otherwise expressly stated, the remainder of this
discussion is based upon, and assumes, the treatment of each Note as a Unit consisting of the Put Option and the Deposit, as well as the
allocation of the Coupon Payments and issue price of the Note described above.
Unless otherwise stated, the following discussion is based on the characterization
described above. The discussion in this section assumes that there is a significant possibility of a significant loss of principal on
an investment in the Notes.
We will not attempt to ascertain whether the issuer of any component stocks
included in the Underlying would be treated as a “passive foreign investment company” (“PFIC”), within the meaning
of Section 1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c) of the Code.
If the issuer of one or more stocks included in the Underlying were so treated, certain adverse U.S. federal income tax consequences
could possibly apply to a holder of the Notes. You should refer to information filed with the SEC by the issuers of the component stocks
included in the Underlying and consult your tax advisor regarding the possible consequences to you, if any, if any issuer of a component
stock included in the Underlying is or becomes a PFIC or is or becomes a United States real property holding corporation.
U.S. Holders
The Deposit Interest payments will be included in the income of a U.S. Holder
as interest at the time that such interest is accrued or received in accordance with such U.S. Holder’s regular method of tax accounting.
The Put Option premium will not be included in the income of a U.S. Holder until the sale, exchange, redemption or maturity of the Notes.
Accordingly, all of the Put Option premium payments on the Notes (except for the last Put Option premium payment) generally will not be
included in the income of a U.S. Holder when they are received.
If at maturity the U.S. Holder receives cash equal to the full principal
amount plus the last Deposit Interest payment and the last Put Option premium payment, then such U.S. Holder (i) would include the last
Deposit Interest payment in income as interest in the manner described above and (ii) would recognize short-term capital gain equal to
the entire amount of Put Option premium, which amount is equal to the sum of all of the Put Option premium payments received.
If at maturity the U.S. Holder receives an amount of cash that is less than
the full principal amount and receives the last Deposit Interest payment and the last Put Option premium payment, then such U.S. Holder
(i) will include the last Deposit Interest payment in income as interest in the manner described above and (ii) will recognize long-term
capital gain or loss with respect to the remaining cash received at maturity (other than the last Put Option premium payment) in an amount
equal to the difference between (1) the sum of all of the Put Option premiums received (including the last Put Option premium payment)
and (2) the excess of the principal amount of the Note over the amount of such cash received.
Upon a redemption of the Notes prior to maturity, a U.S. Holder (i) would
include the last Deposit Interest payment in income as interest in the manner described above and (ii) would recognize short-term capital
gain equal to the sum of all the Put Option premium payments received.
Upon a sale or exchange of a Note prior to maturity (except upon redemption
of the Notes prior to maturity, which is described above), a U.S. Holder will generally recognize short-term or long-term capital gain
or loss with respect to the Deposit (depending upon the U.S. Holder’s holding period for the Notes). The U.S. Holder will also generally
recognize short-term capital gain or loss with respect to the Put Option. For purposes of determining the amount of such gain or loss,
a U.S. Holder should apportion the amount realized on the sale or exchange (other than amounts attributable to accrued but unpaid Deposit
Interest payments, which would be taxed as described above) between the Deposit and the Put Option based upon their respective fair market
values on the date of such sale or exchange. In general, the amount of capital gain or loss on the Deposit will equal the amount realized
that is attributable to the Deposit, less the U.S. Holder’s adjusted tax basis in the Deposit. The amount realized that is attributable
to the Put Option plus the total Put Option premiums previously received by the U.S. Holder should be treated as short-term capital gain.
Notwithstanding the foregoing, if the fair market value of the Deposit on the date of such sale or exchange exceeds the total amount realized
on the sale or exchange (other than amounts attributable to accrued but unpaid Deposit Interest payments), the U.S. Holder should be treated
as having (i) sold or exchanged the Deposit for an amount equal to its fair market value on such date and (ii) made a payment (the “Put
Option Assumption Payment”) equal to the amount of such excess in exchange for the purchaser’s assumption of the U.S. Holder’s
rights and obligations under the Put Option. In such event, the U.S. Holder should recognize short-term capital gain or loss in respect
of the Put Option in an amount equal to the difference between the total Put Option premiums previously received by the U.S. Holder and
the Put Option Assumption Payment.
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. Alternatively, under an alternative characterization of the Notes
as income-bearing single financial contracts, the entire Coupon Payments could be required to be included in income as ordinary income
by a U.S. holder at the time received accrued. Other alternative characterizations are possible and prospective investors should consult
with their tax advisors regarding all aspects of the U.S. federal income tax consequences of an investment in the Notes.
The IRS released Notice 2008-2 (the “Notice”), which sought comments
from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.” This Notice addresses
instruments such as the Notes. According to the Notice, the IRS and Treasury are considering whether a holder of an instrument such as
the Notes should be required to accrue ordinary income on a current basis, regardless of whether any payments are made prior to maturity.
It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such future guidance may affect
the amount, timing and character of income, gain, or loss in respect of the Notes, possibly with retroactive effect.
The IRS and Treasury are also considering additional issues, including whether
additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holders of such instruments should
be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive
ownership transactions,” generally applies or should generally apply to such instruments, and whether any of these determinations
depend on the nature of the underlying asset.
In addition, proposed Treasury regulations require the accrual of income
on a current basis for contingent payments made under certain notional principal contracts. The preamble to the regulations states that
the “wait and see” method of accounting does not properly reflect the economic accrual of income on those contracts, and requires
current accrual of income for some contracts already in existence. While the
proposed regulations do not apply to prepaid forward contracts, the
preamble to the proposed regulations expresses the view that similar timing issues exist in the case of prepaid forward contracts. If
the IRS or Treasury publishes future guidance requiring current economic accrual for contingent payments on prepaid forward contracts,
it is possible that you could be required to accrue income over the term of the Notes.
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 the Underlying is an index that periodically rebalances, it is possible
that the Notes could be treated as a series of 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
Assuming the treatment of the Notes as set forth above is respected and subject
to the discussions below regarding the potential application of Section 871(m) of the Code and the discussions in the accompanying prospectus
regarding FATCA, Coupon Payments with respect to a Note, and gain realized on the sale, exchange or redemption of such Note, should not
be subject to U.S. federal income or withholding tax under current law, provided that:
| · | the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes
of our stock entitled to vote; |
| · | the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to us through stock ownership; |
| · | the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code; |
| · | the certification requirement described below has been fulfilled with respect to the beneficial owner; and |
| · | and the payment is not effectively connected with the conduct by the Non-U.S. Holder of U.S. trade or business. |
Certification Requirement. The certification requirement referred
to in the preceding paragraph will be fulfilled if the beneficial owner of a Note (or a financial institution holding a Note on behalf
of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate form), on which the beneficial
owner certifies under penalties of perjury that it is not a U.S. person.
Alternative Tax Treatments. As described above under “—
U.S. Holders — Alternative Tax Treatments,” the IRS may seek to apply a different characterization and tax treatment from
the treatment described herein. While the U.S. federal income and withholding tax consequences to a Non-U.S. Holder of ownership and disposition
of a Note under current law should generally be the same as those described immediately above, it is possible that a Non-U.S. Holder could
be subject to withholding tax under certain recharacterizations of the Notes.
Moreover, among the issues addressed in the Notice described in “—
U.S. Holders — Alternative Tax Treatments” is the degree, if any, to which income realized by Non-U.S. Holders should be subject
to withholding tax. It is possible that any Treasury regulations or other guidance issued after consideration of this issue could materially
and adversely affect the withholding tax consequences of ownership and disposition of the Notes, possibly with retroactive effect. Accordingly,
prospective investors should consult their tax advisors regarding all aspects of the U.S. federal income tax consequences of an investment
in the Notes, including the possible implications of the Notice discussed above. Prospective investors should note that we currently do
not intend to withhold on any of the payments made with respect to the Notes to Non-U.S. Holders (subject to compliance by such holders
with the certification requirement described above and to the discussion regarding FATCA in the accompanying prospectus). However, in
the event of a change of law or any formal or informal guidance by the IRS, the Treasury or Congress, we (or the applicable paying agent)
may decide to withhold on payments made with respect to the Notes to Non-U.S. Holders and we will not be required to pay any additional
amounts with respect to amounts withheld.
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 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 Coupon Payment and gain on a net income basis in the same manner as
if it were a U.S. Holder. Such Non-U.S. Holders should read the material under the heading “—U.S. Holders,” for a description
of the U.S. federal income tax consequences of acquiring, owning, and disposing of the Notes. In addition, if such Non-U.S. Holder is
a foreign corporation, it may also be subject to a branch profits tax equal to 30% (or such lower rate provided by any applicable tax
treaty) of a portion of its earnings and profits for the taxable year that are effectively connected with its conduct of a trade or business
in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated as a dividend from
sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a Non-U.S. Holder.
Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are
“specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying
security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment
with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2027. Based on our
determination that the Notes are not delta-one instruments, Non-U.S. Holders should not be subject to withholding on dividend equivalent
payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the Underlying or the Notes, and following such occurrence the Notes could
be treated as subject to withholding on dividend equivalent payments. Non-U.S. Holders that enter, or have entered, into other transactions
in respect of the Underlying 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.
Exhibit 107.1
The prospectus to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price
for such offering is $7,694,000.00.
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