Linked
to the Least Performing of the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI Emerging Markets ETF
|
●
|
Approximate 2 year term
if not called prior to maturity.
|
|
●
|
Payments on the Notes will depend on the individual
performance of the Russell 2000® Index (the “RTY”),
the EURO STOXX 50® Index (the “SX5E”) and the iShares® MSCI Emerging Markets ETF (the
“EEM”) (each an “Underlying”).
|
|
●
|
Contingent coupon rate of 9.95% per
annum (2.4875% per quarter) payable quarterly if
the Observation Value of each Underlying on the applicable Observation
Date is greater than or equal to 70% of its Starting Value.
|
|
●
|
Beginning in January 2020,
automatically callable quarterly for an amount equal to the principal
amount plus the relevant contingent coupon if the Observation Value of each Underlying
is greater than or equal to its Starting Value on any Observation Date
(other than the final Observation Date).
|
|
●
|
Assuming the Notes are not called prior to maturity,
if any Underlying declines by more than 35% from
its Starting Value, at maturity your investment will be subject to a 1:1 downside, with up to 100%
of the principal at risk; otherwise, at maturity investors will receive the principal amount. At maturity the investor will
also receive the final contingent coupon if the Observation Value of each Underlying on the final Observation Date is greater
than or equal to 70% of its Starting Value.
|
|
●
|
The Starting Value of the RTY
is 1,500.702, which was its closing level on October 4, 2019 (the “Strike Date”). The Starting Value of the SX5E is
3,446.71, which was its closing level on the Strike Date. The Starting Value of the EEM
is $40.97, which was its Closing Market Price on the Strike Date.
|
|
●
|
All payments on the Notes are subject to the credit
risk of BofA Finance LLC (“BofA Finance”) and Bank of America Corporation (“BAC” or the “Guarantor”).
|
|
●
|
The Notes priced on October 8, 2019,
will issue on October 10, 2019 and will mature on October 14, 2021.
|
|
●
|
The Notes will not be listed on any securities exchange.
|
The initial estimated value of the Notes as of
the pricing date is $990.30 per Note, which is less than the public offering price listed below. The actual value of your Notes
at any time will reflect many factors and cannot be predicted with accuracy. See “Risk Factors” beginning on page PS-8
of this pricing supplement and “Structuring the Notes” on page PS-24 of this pricing supplement for additional information.
Potential purchasers of the Notes should consider
the information in “Risk Factors” beginning on page PS- 8 of this pricing supplement, page PS-5 of the accompanying
product supplement, page S-4 of the accompanying prospectus supplement, and page 7 of the accompanying prospectus.
None of the Securities and Exchange Commission (the
“SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities
or determined if this Note Prospectus (as defined on page PS-30) is truthful or complete. Any representation to the contrary is
a criminal offense.
|
Public offering price(1)
|
Underwriting discount(1)
|
Proceeds, before expenses, to BofA Finance
|
Per Note
|
$1,000.00
|
$2.50
|
$997.50
|
Total
|
$2,000,000.00
|
$5,000.00
|
$1,995,000.00
|
|
(1)
|
Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo
some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in
these fee-based advisory accounts may be as low as $997.50 per Note.
|
|
(2)
|
In addition to the underwriting discount
above, if any, an affiliate of BofA Finance will pay a referral fee of up to $5.00 per $1,000 in principal amount of the notes
in connection with the distribution of the notes to other registered broker-dealers.
|
The Notes and the related guarantee:
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
Selling
Agent
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Terms of the Notes
The Contingent Income Auto-Callable Yield Notes Linked
to the Least Performing of the Russell 2000® Index, the EURO
STOXX 50® Index and the iShares® MSCI Emerging Markets ETF (the “Notes”) provide a quarterly
Contingent Coupon Payment of $24.875 on the applicable Contingent Payment Date if, on any quarterly Observation Date, the Observation
Value of each Underlying is greater than or equal to its Coupon Barrier. Beginning in January 2020, if the Observation Value
of each Underlying is greater than or equal to its Starting Value on any Observation Date (other than the final Observation
Date), the Notes will be automatically called, in whole but not in part, at 100% of the principal amount, together with the relevant
Contingent Coupon Payment. No further amounts will be payable following an Automatic Call. If the Notes are not automatically called
prior to maturity and the Least Performing Underlying declines by more than 35% from its Starting Value, there is full exposure
to declines in the Least Performing Underlying, and you will lose a significant portion or all of your investment in the Notes.
Otherwise, at maturity you will receive the principal amount. At maturity you will also receive the final Contingent Coupon Payment
if the Observation Value of each Underlying on the final Observation Date is greater than or equal to its Coupon Barrier. The Notes
are not traditional debt securities and it is possible that the Notes will not pay any Contingent Coupon Payments, and you may
lose a significant portion or all of your principal amount at maturity. Any payments on the Notes will be calculated based on $1,000
in principal amount of Notes and will depend on the performance of the Underlyings, subject to our and BAC’s credit risk.
Issuer:
|
BofA Finance
|
Guarantor:
|
BAC
|
Denominations:
|
The Notes will be issued in minimum denominations of $1,000 and whole multiples of $1,000 in excess thereof.
|
Term:
|
Approximately 2 years, unless previously automatically called.
|
Underlyings:
|
The Russell 2000® Index (the “RTY”) (Bloomberg symbol: “RTY”), the EURO STOXX 50® Index (the “SX5E”) (Bloomberg symbol: “SX5E”) and the iShares® MSCI Emerging Markets ETF (the “EEM”) (Bloomberg symbol: “EEM”)
|
Strike Date:
|
October 4, 2019
|
Pricing Date:
|
October 8, 2019
|
Issue Date:
|
October 10, 2019
|
Valuation Date:
|
October 8, 2021, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” of the accompanying product supplement. If the Valuation Date is not a business day, the Valuation Date will be postponed to the next business day.
|
Maturity Date:
|
October 14, 2021
|
Starting Value:
|
RTY: 1,500.702, which was the closing level of the
RTY on the Strike Date (the Starting Value is higher than the closing level on the pricing date).
SX5E: 3,446.71, which was the closing level of the
SX5E on the Strike Sate (the Starting Value is higher than the closing level on the pricing date).
EEM: $40.97, which was the Closing Market Price of
the EEM on the Strike Date (the Starting Value is higher than the Closing Market Price on the pricing date).
|
Observation Value:
|
With respect to each of the RTY and the SX5E, the closing level of such Underlying on the applicable Observation Date. With respect to the EEM, its Closing Market Price on the applicable Observation Date multiplied by its Price Multiplier on that day, as determined by the Calculation Agent.
|
Price Multiplier:
|
With respect to the EEM, 1, subject to adjustment for certain events as described in "Description of the Notes — Anti-Dilution and Discontinuance Adjustments Relating to ETFs" beginning on page PS-23 of product supplement EQUITY-1.
|
Ending Value:
|
With respect to each of the RTY and the SX5E, the closing level of such Underlying on the Valuation Date, as determined by the Calculation Agent. With respect to the EEM, its Closing Market Price on the Valuation Date multiplied by its Price Multiplier, as determined by the Calculation Agent.
|
Coupon Barrier:
|
RTY: 1,050.491, which is 70% of its Starting Value
(rounded to three decimal places).
SX5E: 2,412.70, which is 70% of its Starting Value
(rounded to two decimal places).
EEM: $28.68, which is 70% of its Starting Value (rounded
to two decimal places).
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-2
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Threshold Value:
|
RTY: 975.456, which is 65% of its Starting Value (rounded
to three decimal places).
SX5E: 2,240.36, which is 65% of its Starting Value
(rounded to two decimal places).
EEM: $26.63, which is 65% of its Starting Value (rounded
to two decimal places).
|
Contingent
Coupon
Payment:
|
If, on any quarterly Observation Date, the Observation Value of each Underlying is greater than or equal to its Coupon Barrier, we will pay a Contingent Coupon Payment of $24.875 per $1,000 in principal amount of Notes (equal to a rate of 2.4875% per quarter or 9.95% per annum) on the applicable Contingent Payment Date (including the Maturity Date).
|
Automatic Call:
|
Beginning in January 2020, all (but not less than all) of the Notes will be automatically called if the Observation Value of each Underlying is greater than or equal to its Starting Value on any Observation Date (other than the final Observation Date). If the Notes are automatically called, the Early Redemption Amount will be paid on the applicable Contingent Payment Date. No further amounts will be payable following an Automatic Call.
|
Early
Redemption
Amount:
|
For each $1,000 in principal amount of Notes, $1,000 plus the applicable Contingent Coupon Payment.
|
Redemption Amount:
|
If the Notes have not been automatically
called prior to maturity, the Redemption Amount per $1,000 in principal amount of Notes will be:
a)
If the Ending Value of the Least Performing Underlying is greater than or equal to its Threshold Value:
$1,000; or
b)
If the Ending Value of the Least Performing Underlying is less than its Threshold Value:
$1,000 + ($1,000 x Underlying
Return of the Least Performing Underlying)
In this case, the
Redemption Amount will be less than 65% of the principal amount and could be zero.
The Redemption Amount
will also include the final Contingent Coupon Payment if the Ending Value of the Least Performing Underlying is greater than or
equal to its Coupon Barrier.
|
Observation Dates:
|
As set forth on page PS-4.
|
Contingent
Payment
Dates:
|
As set forth on page PS-4.
|
Calculation Agent:
|
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance.
|
Selling Agent:
|
BofAS
|
CUSIP:
|
09709TWF4
|
Underlying Return:
|
With respect to each Underlying,
|
Least
Performing
Underlying:
|
The Underlying with the lowest Underlying Return.
|
Events of Default and Acceleration:
|
If an Event of Default, as defined in the senior indenture and in the section entitled “Events of Default and Rights of Acceleration” beginning on page 35 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “—Redemption Amount” above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third trading day prior to the date of acceleration. We will also determine whether the final Contingent Coupon Payment is payable based upon the levels of the Underlyings on the deemed Valuation Date; any such final Contingent Coupon Payment will be prorated by the calculation agent to reflect the length of the final contingent payment period. In case of a default in the payment of the Notes, whether at their maturity or upon acceleration, the Notes will not bear a default interest rate.
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-3
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Observation Dates and Contingent Payment Dates
|
Observation Dates*
|
|
Contingent Payment Dates**
|
|
|
January 8, 2020
|
|
January 13, 2020
|
|
|
April 8, 2020
|
|
April 15, 2020
|
|
|
July 8, 2020
|
|
July 13, 2020
|
|
|
October 8, 2020
|
|
October 13, 2020
|
|
|
January 8, 2021
|
|
January 13, 2021
|
|
|
April 8, 2021
|
|
April 13, 2021
|
|
|
July 8, 2021
|
|
July 13, 2021
|
|
|
October 8, 2021 (the “Valuation Date”)
|
|
October 14, 2021 (the “Maturity Date”)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* The Observation Dates are subject to postponement as set forth in
“Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” on page PS-19
of the accompanying product supplement. If an Observation Date is not a business day, such Observation Date will be postponed to
the next business day.
** Postponement of a quarterly Observation Date will not cause the
postponement of the Contingent Payment Date relating to such Observation Date.
Any payments on the Notes depend on the credit risk
of BofA Finance, as Issuer, and BAC, as Guarantor, and on the performance of the Underlyings. The economic terms of the Notes are
based on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked
notes, and the economic terms of certain related hedging arrangements BAC’s affiliates enter into. BAC’s internal funding
rate is typically lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference
in funding rate, as well as the underwriting discount, referral fee and the hedging related charges described below (see “Risk
Factors” beginning on page PS-8), reduced the economic terms of the Notes to you and the initial estimated value of the Notes.
Due to these factors, the public offering price you are paying to purchase the Notes is greater than the initial estimated value
of the Notes as of the pricing date.
The initial estimated value of the Notes as of the
pricing date is set forth on the cover page of this pricing supplement. For more information about the initial estimated value
and the structuring of the Notes, see “Risk Factors” beginning on page PS-8 and “Structuring the Notes”
on page PS-24.
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-4
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Contingent Coupon Payment and Redemption Amount Determination
On
each Contingent Payment Date, you may receive a Contingent Coupon Payment per $1,000 in principal amount of Notes determined as
follows:
Assuming
the Notes have not been automatically called, on the Maturity Date, you will receive a cash payment per $1,000 in principal amount
of Notes determined as follows:
All payments described above are subject to Issuer and Guarantor
credit risk.
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-5
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Total Contingent Coupon Payment Examples
The table below illustrates the hypothetical total
Contingent Coupon Payments per $1,000 in principal amount of Notes over the term of the Notes, based on the Contingent Coupon Payment
of $24.875, depending on how many Contingent Coupon Payments are payable prior to an Automatic Call or maturity. Depending on the
performance of the Underlyings, you may not receive any Contingent Coupon Payments during the term of the Notes.
|
Number of Contingent Coupon Payments
|
|
Total Contingent Coupon Payments
|
|
|
0
|
|
$0.00
|
|
|
2
|
|
$49.75
|
|
|
4
|
|
$99.50
|
|
|
6
|
|
$149.25
|
|
|
8
|
|
$199.00
|
|
|
|
|
|
|
|
|
|
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-6
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Hypothetical Payout Profile and Examples of Payments at Maturity
Contingent
Income Auto-Callable Yield Notes Table
The following table is for purposes of illustration
only. It assumes the Notes have not been automatically called prior to maturity and is based on hypothetical values and
shows hypothetical returns on the Notes. The table illustrates the calculation of the Redemption Amount and the return on the Notes
based on a hypothetical Starting Value of 100, a hypothetical Coupon Barrier of 70 for the Least Performing Underlying, a hypothetical
Threshold Value of 65 for the Least Performing Underlying, the Contingent Coupon Payment of $24.875 per $1,000 in principal amount
of Notes and a range of hypothetical Ending Values of the Least Performing Underlying. The actual amount you receive and the
resulting return will depend on the actual Starting Values, Coupon Barriers, Threshold Values, Observation Values and Ending Values
of the Underlyings, whether the Notes are automatically called prior to maturity, and whether you hold the Notes to maturity.
The following examples do not take into account any tax consequences from investing in the Notes.
For recent actual levels of the Underlyings, see “The
Underlyings” section below. The Ending Value will not include any income generated by dividends paid on the stocks included
in or represented by that Underlying, which you would otherwise be entitled to receive if you invested in those stocks directly.
In addition, all payments on the Notes are subject to Issuer and Guarantor credit risk.
Ending Value of the Least Performing Underlying
|
Underlying Return of the Least Performing Underlying
|
Redemption Amount per Note (including any final Contingent Coupon Payment)
|
Return on the Notes(1)
|
160.00
|
60.00%
|
$1,024.875(2)
|
2.4875%
|
150.00
|
50.00%
|
$1,024.875
|
2.4875%
|
140.00
|
40.00%
|
$1,024.875
|
2.4875%
|
130.00
|
30.00%
|
$1,024.875
|
2.4875%
|
120.00
|
20.00%
|
$1,024.875
|
2.4875%
|
110.00
|
10.00%
|
$1,024.875
|
2.4875%
|
105.00
|
5.00%
|
$1,024.875
|
2.4875%
|
102.00
|
2.00%
|
$1,024.875
|
2.4875%
|
100.00(3)
|
0.00%
|
$1,024.875
|
2.4875%
|
90.00
|
-10.00%
|
$1,024.875
|
2.4875%
|
80.00
|
-20.00%
|
$1,024.875
|
2.4875%
|
70.00(4)
|
-30.00%
|
$1,024.875
|
2.4875%
|
67.00
|
-33.00%
|
$1,000.000
|
0.0000%
|
65.00 (5)
|
-35.00%
|
$1,000.000
|
0.0000%
|
64.99
|
-35.01%
|
$649.900
|
-35.0100%
|
60.00
|
-40.00%
|
$600.000
|
-40.0000%
|
50.00
|
-50.00%
|
$500.000
|
-50.0000%
|
0.00
|
-100.00%
|
$0.000
|
-100.0000%
|
(1)
|
The “Return on the Notes” is calculated based on the Redemption Amount and potential final Contingent Coupon Payment, not including any Contingent Coupon Payments paid prior to maturity.
|
(2)
|
This amount represents the sum of the principal amount and the final Contingent Coupon Payment.
|
(3)
|
The hypothetical Starting Value of 100 used in the table above has been chosen for illustrative purposes only. The actual Starting Value for each Underlying is set forth on page PS-2.
|
(4)
|
This is the hypothetical Coupon Barrier of the Least Performing Underlying.
|
(5)
|
This is the hypothetical Threshold Value of the Least Performing Underlying.
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-7
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Risk Factors
Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only
after carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light
of your particular circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant
elements of the Notes or financial matters in general. You should carefully review the more detailed explanation of risks relating
to the Notes in the “Risk Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-4
of the accompanying prospectus supplement and page 7 of the accompanying prospectus, each as identified on page PS-30 below.
|
●
|
Your investment may result in a loss; there is no guaranteed return of principal. There is no fixed principal repayment
amount on the Notes at maturity. If the Notes are not automatically called prior to maturity and the Ending Value of any
Underlying is less than its Threshold Value, you will lose 1% of the principal amount for each 1% that the Ending Value of the
Least Performing Underlying is less than its Starting Value. In that case, you will lose a significant portion or all of your investment
in the Notes.
|
|
●
|
Your return on the Notes is limited to the return represented by the Contingent Coupon Payments, if any, over the term of
the Notes. Your return on the Notes is limited to the Contingent Coupon Payments paid over the term of the Notes, regardless
of the extent to which the Ending Value of any Underlying exceeds its Starting Value. Similarly, the amount payable at maturity
or upon an Automatic Call will never exceed the sum of the principal amount and the applicable Contingent Coupon Payment, regardless
of the extent to which the Observation Value of any Underlying exceeds its Starting Value. In contrast, a direct investment in
the securities included in one or more of the Underlyings would allow you to receive the benefit of any appreciation in their prices.
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 Automatic Call, which would limit
your ability to receive the Contingent Coupon Payments over the full term of the Notes. The
Notes are subject to a potential Automatic Call. Beginning in January 2020, the Notes will be automatically called if, on any Observation
Date (other than the final Observation Date), the Observation Value of each Underlying is greater than or equal to its Starting
Value. If the Notes are automatically called, you will be entitled to receive the principal amount and the Contingent Coupon Payment
with respect to the applicable Observation Date. In this case, you will lose the opportunity to continue to receive Contingent
Coupon Payments after the date of the Automatic Call. If the Notes are called prior to the Maturity Date, you may be unable to
invest in other securities with a similar level of risk that could provide a return that is similar to the Notes.
|
|
●
|
You may not receive any Contingent Coupon Payments. The Notes do not provide for any regular fixed coupon payments.
Investors in the Notes will not necessarily receive any Contingent Coupon Payments on the Notes. If the Observation Value of any
Underlying is less than its Coupon Barrier on an Observation Date, you will not receive the Contingent Coupon Payment applicable
to that Observation Date. If the Observation Value of any Underlying is less than its Coupon Barrier on all the Observation Dates
during the term of the Notes, you will not receive any Contingent Coupon Payment during the term of the Notes, and will not receive
a positive return on the Notes.
|
|
●
|
Your return on the Notes may be less than the yield on a conventional debt security of comparable maturity. Any return
that you receive on the Notes may be less than the return you would earn if you purchased a conventional debt security with the
same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost to you when you consider
factors, such as inflation, that affect the time value of money. In addition, if interest rates increase during the term of the
Notes, the Contingent Coupon Payment (if any) may be less than the yield on a conventional debt security of comparable maturity.
|
|
●
|
Any payments on the Notes are subject to the credit risk of BofA Finance and the Guarantor, and actual or perceived changes
in BofA Finance or the Guarantor’s creditworthiness are expected to affect the value of the Notes. The Notes are our
senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor. The Notes
are not guaranteed by any entity other than the Guarantor. As a result, your receipt of the Early Redemption Amount or the Redemption
Amount at maturity, as applicable, will be dependent upon our ability and the ability of the Guarantor to repay our respective
obligations under the Notes on the applicable Contingent Payment Date or the Maturity Date, regardless of the Ending Value of the
Least Performing Underlying as compared to its Starting Value.
In addition, our credit ratings and the credit ratings of the Guarantor are assessments by ratings agencies of our respective abilities
to pay our obligations. Consequently, our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases
in our or the Guarantor’s credit ratings or increases in the spread between the yield on our respective securities and the
yield on U.S. Treasury securities (the “credit spread”) prior to the Maturity Date may adversely affect the market
value of the Notes. However, because your return on the Notes depends upon factors in addition to our ability and the ability of
the Guarantor to pay our respective obligations, such as the values of the Underlyings, an improvement in our or the Guarantor’s
credit ratings will not reduce the other investment risks related to the Notes.
|
|
●
|
We are a finance subsidiary and, as such, will have limited assets and operations. We are a finance subsidiary of BAC
and will have no assets, operations or revenues other than those related to the issuance, administration and repayment of our debt
securities that are guaranteed by the Guarantor. As a finance subsidiary, to meet our obligations under the Notes, we are dependent
upon payment or contribution of funds and/or repayment of outstanding loans from the Guarantor and/or its other subsidiaries. Therefore,
our ability to make payments on the Notes may be limited.
|
|
●
|
The public offering price you are paying for the Notes exceeds their initial estimated value. The initial estimated
value of the Notes that is provided on the cover page of this pricing supplement is an estimate only, determined as of the pricing
date by reference to our and our affiliates’
|
|
CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-8
|
Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
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 levels of the Underlyings,
the Guarantor’s internal funding rate, and the inclusion in the public offering price of the underwriting discount and the
hedging related charges, all as further described in “Structuring the Notes” below. These factors, together with various
credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell
the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways.
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The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS or any of our other affiliates
would be willing to purchase your Notes in any secondary market (if any exists) at any time. The value of your Notes at any
time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Underlyings,
our and BAC’s creditworthiness and changes in market conditions.
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We cannot assure you that a trading market for your Notes will ever develop or be maintained. We will not list the Notes
on any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that market will be liquid
or illiquid.
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The Contingent Coupon Payment, Early Redemption Amount or Redemption Amount, as applicable, will not reflect the values
of the Underlyings other than on the Observation Dates. The values of the Underlyings during the term of the Notes other than
on the Observation Dates will not affect payments on the Notes. Notwithstanding the foregoing, investors should generally be aware
of the performance of the Underlyings while holding the Notes. The calculation agent will determine whether each Contingent Coupon
Payment is payable and will calculate the Early Redemption Amount or the Redemption Amount, as applicable, by comparing only the
Starting Value, the Coupon Barrier or the Threshold Value, as applicable, to the Observation Value or the Ending Value for each
Underlying. No other levels of the Underlyings will be taken into account. As a result, if the Notes are not automatically called
prior to maturity, you will receive less than the principal amount at maturity even if the value of each Underlying has increased
at certain times during the term of the Notes before the Least Performing Underlying decreases to a value that is less than its
Threshold Value as of the Valuation Date.
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Because the Notes are linked to the least performing (and not the average performance) of the Underlyings, you may not receive
any return on the Notes and may lose some or all of your principal amount even if the Observation Value or Ending Value of one
Underlying is always greater than or equal to its Coupon Barrier or Threshold Value, as applicable. Your Notes are linked to
the least performing of the Underlyings, and a change in the level or price of one Underlying may not correlate with changes in
the level or price of the other Underlying(s). The Notes are not linked to a basket composed of the Underlyings, where the depreciation
in the level or price of one Underlying could be offset to some extent by the appreciation in the level or price of the other Underlying(s).
In the case of the Notes, the individual performance of each Underlying would not be combined, and the depreciation in the level
or price of one Underlying would not be offset by any appreciation in the level or price of the other Underlying(s). Even if the
Observation Value of an Underlying is at or above its Coupon Barrier on an Observation Date, you will not receive the Contingent
Coupon Payment with respect to that Observation Date if the Observation Value of another Underlying is below its Coupon Barrier
on that day. In addition, even if the Ending Value of an Underlying is at or above its Threshold Value, you will lose a portion
of your principal if the Ending Value of the Least Performing Underlying is below its Threshold Value.
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The publisher, sponsor or investment advisor of an Underlying may adjust that Underlying in a way that affects its values
or prices, and the investment advisor, sponsor or publisher has no obligation to consider your interests. The investment advisor,
sponsor or the publisher of an Underlying can add, delete, or substitute the components included in that Underlying or make other
methodological changes that could change its value or price. Any of these actions could adversely affect the value of your Notes.
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The performance of the EEM may not correlate with the performance of
its underlying index (the “Underlying Index”) as well as the net asset value per share of the EEM, especially during
periods of market volatility. The performance of the EEM and that of its Underlying Index
generally will vary due to, for example, transaction costs, management fees, certain corporate actions, and timing variances. Moreover,
it is also possible that the performance of the EEM may not fully replicate or may, in certain circumstances, diverge significantly
from the performance of its Underlying Index. This could be due to, for example, the EEM not holding all or substantially all of
the underlying assets included in the Underlying Index and/or holding assets that are not included in the Underlying Index, the
temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments held by the
EEM, differences in trading hours between the EEM (or the underlying assets held by the EEM) and the Underlying Index, or due to
other circumstances. This variation in performance is called the “tracking error,” and, at times, the tracking error
may be significant. In addition, because the shares of the EEM are traded on a securities exchange and are subject to market supply
and investor demand, the market price of one share of the EEM may differ from its net asset value per share; shares of the EEM
may trade at, above, or below its net asset value per share. During periods of market volatility, securities held by the EEM may
be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share
of the EEM and the liquidity of the EEM may be adversely affected. Market volatility may also disrupt the ability of market participants
to trade shares of the EEM. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants
are willing to buy and sell shares of the EEM. As a result, under these circumstances, the market value of shares of the EEM may
vary substantially from the net asset value per share of the EEM.
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The Notes are subject to risks associated with small-size capitalization companies. The stocks composing the RTY are
issued by companies with small-sized market capitalization. The stock prices of small-size companies may be more volatile than
stock prices of large capitalization companies. Small-size capitalization companies may be less able to withstand adverse economic,
market, trade and competitive
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-9
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
conditions relative to larger companies. Small-size
capitalization companies may also be more susceptible to adverse developments related to their products or services.
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The Notes are subject to risks associated with foreign
securities markets. The SX5E and the EEM and its Underlying Index each include 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 SX5E and the EEM and its Underlying Index 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 U.S. Securities and
Exchange Commission, 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.
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The anti-dilution adjustments will be limited. The
calculation agent may adjust the Price Multiplier of the EEM and other terms of the Notes to reflect certain corporate actions
by the EEM, as described in the section “Description of the Notes—Anti-Dilution and Discontinuance Adjustments Relating
to ETFs” in the accompanying product supplement. The calculation agent will not be required to make an adjustment for every
event that may affect the EEM and will have broad discretion to determine whether and to what extent an adjustment is required.
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Trading and hedging activities by us, the Guarantor and any of our other 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, may buy or sell the securities held by or included in the Underlyings, or futures or options contracts on the
Underlyings or those securities, or other listed or over-the-counter derivative instruments linked to the Underlyings or those
securities. While we, the Guarantor or one or more of our other affiliates, including BofAS, may from time to time own securities
represented by the Underlyings, except to the extent that BAC’s common stock may be included in the Underlyings, we, the
Guarantor and our other affiliates, including BofAS, do not control any company included in the Underlyings, and have not verified
any disclosure made by any other company. We, the Guarantor or one or more of our other affiliates, including BofAS, may execute
such purchases or sales for our own or their own accounts, for business reasons, or in connection with hedging our obligations
under the Notes. These transactions may present a conflict of interest between your interest in the Notes and the interests we,
the Guarantor and our other affiliates, including BofAS, may have in our or their proprietary accounts, in facilitating transactions,
including block trades, for our or their other customers, and in accounts under our or their management. These transactions may
affect the value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the pricing
date, any purchases or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf (including for
the purpose of hedging anticipated exposures), may have affected the value of the Underlyings. Consequently, the value of the Underlyings
may change subsequent to the pricing date, adversely affecting the market value of the Notes.
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We, the Guarantor or one or more of our other affiliates,
including BofAS, may also have engaged in hedging activities that could have affected the value of the Underlyings on the pricing
date. 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, may purchase or otherwise acquire
a long or short position in the Notes and may hold or resell the Notes. For example, BofAS may enter into these transactions in
connection with any market making activities in which it engages. We cannot assure you that these activities will not adversely
affect the value of the Underlyings, the market value of your Notes prior to maturity or the amounts payable on the Notes.
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There may be potential conflicts of interest involving the calculation agent, which is an affiliate of ours. We
have the right to appoint and remove the calculation agent. One of our affiliates will be the calculation agent for the Notes and,
as such, will make a variety of determinations relating to the Notes, including the amounts that will be paid on the Notes. Under
some circumstances, these duties could result in a conflict of interest between its status as our affiliate and its responsibilities
as calculation agent.
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The U.S. federal income tax consequences of an investment in the Notes are uncertain, and may be adverse to a holder of
the Notes. No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or securities
similar to the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences
of an investment in the Notes are not certain. Under the terms of the Notes, you will have agreed with us to treat the Notes as
contingent income-bearing single financial contracts, as described below under “U.S. Federal Income Tax Summary—General.”
If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the Notes,
the timing and character of gain or loss with respect to the Notes may differ. No ruling will be requested from the IRS with respect
to the Notes and no assurance can be given that the IRS will agree with the statements made in the section entitled “U.S.
Federal Income Tax Summary.” You are urged to consult with your own tax advisor regarding all aspects of the U.S. federal
income tax consequences of investing in the Notes.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-10
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
The Underlyings
All disclosures contained in this pricing supplement
regarding the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components,
have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, each
of FTSE Russell, the sponsor of the RTY, STOXX Limited (“STOXX”), the sponsor of the SX5E, and BlackRock Fund Advisors
(“BFA”), the investment advisor of the EEM.
We refer to FTSE Russell and SPDJI as the “Underlying Sponsors” and BFA as the “Investment Advisor”.
The Underlying Sponsors and Investment Advisor, which license the copyright and all other rights to the Underlyings, have no obligation
to continue to publish, and may discontinue publication of, the Underlyings. The consequences of any Underlying Sponsor or Investment
Advisor discontinuing publication of the applicable Underlying are discussed in “Description of the Notes—- Discontinuance
of an Index” and in Description of the Notes— Anti-Dilution and Discontinuance Adjustments Relating to ETFs—
Discontinuance of an ETF” in the accompanying product supplement. None of us, the Guarantor, the calculation agent, or BofAS
accepts any responsibility for the calculation, maintenance or publication of any Underlying or any successor index. None of us,
the Guarantor, BofAS or any of our other affiliates makes any representation to you as to the future performance of the Underlyings.
You should make your own investigation into the Underlyings.
The Russell
2000® Index
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Additional information on the RTY is available at the following website: http://www.ftserussell.com. No information on that
website is deemed to be included or incorporated by reference in this pricing supplement.
Russell began dissemination of the RTY (Bloomberg
L.P. index symbol “RTY”) on January 1, 1984. FTSE Russell calculates and publishes the RTY. The RTY was set to 135
as of the close of business on December 31, 1986. The RTY is designed to track the performance of the small capitalization segment
of the U.S. equity market. As a subset of the Russell 3000® Index, the
RTY consists of the smallest 2,000 companies included in the Russell 3000®
Index. The Russell 3000® Index measures the performance of the largest
3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The RTY is determined, comprised, and
calculated by FTSE Russell without regard to the Notes.
Selection of Stocks Comprising the RTY
All companies eligible for inclusion in the RTY must
be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a
stated headquarters location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not
eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell
defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the
most liquid exchange (as defined by a two-year average daily dollar trading volume) (“ADDTV”) from all exchanges within
a country. Using the HCIs, FTSE Russell compares the primary location of the company’s assets with the three HCIs. If the
primary location of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If
there is insufficient information to determine the country in which the company’s assets are primarily located, FTSE Russell
will use the primary country from which the company’s revenues are primarily derived for the comparison with the three HCIs
in a similar manner. FTSE Russell uses the average of two years of assets or revenues data to reduce potential turnover. If conclusive
country details cannot be derived from assets or revenues data, FTSE Russell will assign the company to the country of its headquarters,
which is defined as the address of the company’s principal executive offices, unless that country is a Benefit Driven Incorporation
“BDI” country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries
include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel
Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba,
Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory,
including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the RTY must
trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the last trading
day in May to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing
member’s closing price is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily
closing prices (from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public offerings
are added each quarter and must have a closing price at or above $1.00 on the last day of their eligibility period in order to
qualify for index inclusion. If an existing stock does not trade on the “rank day” (typically the last trading day
in May but a confirmed timetable is announced each spring) but does have a closing price at or above $1.00 on another eligible
U.S. exchange, that stock will be eligible for inclusion.
An important criterion used to determine the list
of securities eligible for the RTY is total market capitalization, which is defined as the market price as of the last trading
day in May for those securities being considered at annual reconstitution times the total number of shares outstanding. Where applicable,
common stock, non-restricted exchangeable shares and partnership units/membership interests are used to determine market capitalization.
Any other form of shares such as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock,
warrants and rights, installment receipts or trust receipts, are excluded from the calculation. If multiple share classes of common
stock exist, they are combined. In cases where the common stock share classes act independently of each other (e.g., tracking stocks),
each class is considered for
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-11
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
inclusion separately. If multiple share classes exist,
the pricing vehicle will be designated as the share class with the highest two-year trading volume as of the rank day in May.
Companies with a total market capitalization of less
than $30 million are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace
are not eligible for the RTY. Royalty trusts, limited liability companies, closed-end investment companies (companies that are
required to report Acquired Fund Fees and Expenses, as defined by the SEC, including business development companies), blank check
companies, special purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Bulletin board, pink
sheets, and over-the-counter (“OTC”) traded securities are not eligible for inclusion. Exchange traded funds and mutual
funds are also excluded.
Annual reconstitution is a process by which the RTY
is completely rebuilt. Based on closing levels of the company’s common stock on its primary exchange on the rank day of May
of each year, FTSE Russell reconstitutes the composition of the RTY using the then existing market capitalizations of eligible
companies. Reconstitution of the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution
occurs on the prior Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total
market capitalization ranking within the market-adjusted capitalization breaks established during the most recent reconstitution.
After membership is determined, a security’s shares are adjusted to include only those shares available to the public. This
is often referred to as “free float.” The purpose of the adjustment is to exclude from market calculations the capitalization
that is not available for purchase and is not part of the investable opportunity set.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-12
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Historical Performance of the RTY
The following graph sets forth the daily historical
performance of the RTY in the period from January 1, 2008 through the pricing date. We obtained this historical data from Bloomberg
L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal
orange line in the graph represents the RTY’s Coupon Barrier of 1,050.491 (rounded to three decimal places), which is 70%
of the RTY’s Starting Value of 1,500.702, which was its closing level on the Strike Date. The horizontal grey line in the
graph represents the RTY’s Threshold Value of 975.456 (rounded to three decimal places), which is 65% of the RTY’s
Starting Value.
This historical data on the RTY is not necessarily
indicative of the future performance of the RTY or what the value of the Notes may be. Any historical upward or downward trend
in the level of the RTY during any period set forth above is not an indication that the level of the RTY 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 RTY.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-13
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have
been licensed for use by our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated. The Notes are not sponsored, endorsed,
sold, or promoted by FTSE Russell, and FTSE Russell makes no representation regarding the advisability of investing in the Notes.
FTSE Russell and Merrill Lynch, Pierce, Fenner &
Smith Incorporated have entered into a non-exclusive license agreement providing for the license to Merrill Lynch, Pierce, Fenner
& Smith Incorporated and its affiliates, including us, in exchange for a fee, of the right to use indices owned and published
by FTSE Russell in connection with some securities, including the Notes. The license agreement provides that the following language
must be stated in this pricing supplement:
The Notes are not sponsored, endorsed, sold, or promoted
by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the holders of the Notes or any member
of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the
RTY to track general stock market performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests
or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities upon which the RTY is
based. FTSE Russell’s only relationship to Merrill Lynch, Pierce, Fenner & Smith Incorporated and to us is the licensing
of certain trademarks and trade names of FTSE Russell and of the RTY, which is determined, composed, and calculated by FTSE Russell
without regard to Merrill Lynch, Pierce, Fenner & Smith Incorporated, us, or the Notes. FTSE Russell is not responsible for
and has not reviewed the Notes nor any associated literature or publications and FTSE Russell makes no representation or warranty
express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without
notice, to alter, amend, terminate, or in any way change the RTY. FTSE Russell has no obligation or liability in connection with
the administration, marketing, or trading of the Notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR
THE COMPLETENESS OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR
INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY MERRILL LYNCH, PIERCE,
FENNER & SMITH INCORPORATED, US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED
THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN
NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS),
EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-14
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
The EURO STOXX
50® Index
The SX5E was created by STOXX, which is owned by Deutsche
Börse AG. Publication of the SX5E began in February 1998, based on an initial index level of 1,000 at December 31, 1991.
Index Composition and Maintenance
The SX5E is composed
of 50 stocks from 11 Eurozone countries (Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands,
Portugal and Spain) of the STOXX Europe 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stocks
traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles &
parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial
goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications;
travel & leisure and utilities.
For each of the
19 EURO STOXX regional supersector indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks
are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization
of the corresponding supersector index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then
it is also added to the selection list. All current stocks in the SX5E are then added to the selection list. All of the stocks
on the selection list are then ranked in terms of free-float market capitalization to produce the final index selection list. The
largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks
ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest remaining stocks are selected until
there are 50 stocks. In exceptional cases, STOXX’s management board can add stocks to and remove them from the selection
list.
The index components
are subject to a capped maximum index weight of 10%, which is applied on a quarterly basis.
The composition
of the SX5E is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition
of the SX5E are made to ensure that the SX5E includes the 50 market sector leaders from within the EURO STOXX® Index.
The free float
factors for each component stock used to calculate the SX5E, as described below, are reviewed, calculated, and implemented on a
quarterly basis and are fixed until the next quarterly review.
The SX5E is subject
to a “fast exit rule.” The index components are monitored for any changes based on the monthly selection list ranking.
A stock is deleted from the SX5E if: (a) it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below
for a consecutive period of two months in the monthly selection list. The highest-ranked stock that is not an index component will
replace it. Changes will be implemented on the close of the fifth trading day of the month, and are effective the next trading
day.
The SX5E is also
subject to a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are
reviewed for a fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection
list generated end of February, May, August or November and (b) it ranks within the “lower buffer” on this selection
list.
The SX5E is also reviewed on an ongoing monthly basis.
Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect
the index composition are announced immediately, implemented two trading days later and become effective on the next trading day
after implementation.
Index Calculation
The SX5E is calculated
with the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base
quantity weight. The formula for calculating the index value can be expressed as follows:
EURO STOXX 50®
Index = Free float market capitalization of the EURO STOXX 50® Index
Divisor
The “free float
market capitalization of the Index” is equal to the sum of the product of the price, the number of shares and the free float
factor and the weighting cap factor for each component stock as of the time the SX5E is being calculated.
The SX5E is also
subject to a divisor, which is adjusted to maintain the continuity of the index values across changes due to corporate actions,
such as the deletion and addition of stocks, the substitution of stocks, stock dividends, and stock splits.
Neither we nor any of
our affiliates, including MLPF&S, accepts any responsibility for the calculation, maintenance, or publication of, or for any
error, omission, or disruption in, the SX5E or any successor to the SX5E. STOXX does not guarantee the accuracy or the completeness
of the SX5E or any data included in the SX5E. STOXX assumes no liability for any errors, omissions, or disruption in the calculation
and dissemination of the SX5E. STOXX disclaims all responsibility for any errors or omissions in the calculation and dissemination
of the SX5E or the manner in which the SX5E is applied in determining the amount payable on the Notes at maturity.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-15
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Historical Performance of the SX5E
The following graph sets forth the daily historical
performance of the SX5E in the period from January 1, 2008 through the pricing date. We obtained this historical data from Bloomberg
L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal
orange line in the graph represents the SX5E’s Coupon Barrier of 2,412.70 (rounded to two decimal places), which is 70% of
the SX5E’s Starting Value of 3,446.71, which was its closing level on the Strike Date. The horizontal grey line in the graph
represents the SX5E’s Threshold Value of 2,240.36 (rounded to two decimal places), which is 65% of the SX5E’s Starting
Value.
This historical data on the SX5E is not necessarily
indicative of the future performance of the SX5E or what the value of the Notes may be. Any historical upward or downward trend
in the level of the SX5E during any period set forth above is not an indication that the level of the SX5E 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 SX5E.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-16
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
License Agreement
One of our affiliates has
entered into a non-exclusive license agreement with STOXX providing for the license to it and certain of its affiliated companies,
including us, of the right to use indices owned and published by STOXX (including the SX5E) in connection with certain securities,
including the Notes.
The license agreement requires
that the following language be stated in this pricing supplement:
“STOXX Limited, Deutsche
Börse Group and their licensors, research partners or data providers have no relationship to us other than the licensing of
the SX5E and the related trademarks for use in connection with the Notes.
STOXX, Deutsche Börse Group and
their licensors, research partners or data providers do not:
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sponsor, endorse, sell or promote the Notes.
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recommend that any person invest in the Notes or any other securities.
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have any responsibility or liability for or make any decisions about the timing, amount or pricing
of the Notes.
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have any responsibility or liability for the administration, management or marketing of the Notes.
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consider the needs of the Notes or the owners of the Notes in determining, composing or calculating
the SX5E or have any obligation to do so.
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STOXX, Deutsche Börse Group and
their licensors, research partners or data providers give no warranty, and exclude any liability (whether in negligence or otherwise),
in connection with the Notes or their performance.
STOXX does not assume any contractual relationship
with the purchasers of the Notes or any other third parties.
Specifically,
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not
give any warranty, express or implied, and exclude any liability about:
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The results to be obtained by the Notes, the owner of the Notes or any other person in connection
with the use of the SX5E and the data included in the SX5E;
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The accuracy, timeliness, and completeness of the SX5E and its data;
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The merchantability and the fitness for a particular purpose or use of the SX5E and its data;
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The performance of the Notes generally.
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers give
no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data;
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Under no circumstances will STOXX, Deutsche Börse Group or their licensors, research partners
or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential
damages or losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation
to the Notes, even in circumstances where STOXX, Deutsche Börse Group or their licensors, research partners or data providers
are aware that such loss or damage may occur.
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The licensing agreement discussed above is solely for our
benefit and that of STOXX, and not for the benefit of the owners of the Notes or any other third parties.”
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-17
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
The iShares®
MSCI Emerging Markets ETF
The shares of the EEM are issued
by iShares, Inc., a registered investment company. The EEM seeks investment results that correspond generally to the price and
yield performance, before fees and expenses, of the MSCI Emerging Markets Index, which is the Underlying Index. The EEM typically
earns income dividends from securities included in the EEM. These amounts, net of expenses and taxes (if applicable), are passed
along to the EEM’s shareholders as “ordinary income.” In addition, the EEM realizes capital gains or losses whenever
it sells securities. Net long-term capital gains are distributed to shareholders as “capital gain distributions.” However,
because the notes are linked only to the share price of the EEM, you will not be entitled to receive income, dividend, or capital
gain distributions from the EEM or any equivalent payments. The EEM trades on the NYSE Arca under the ticker symbol “EEM.”
As investment adviser, BFA has overall
responsibility for the general management and administration of the EEM. For its investment advisory services to the EEM, BFA is
paid a management fee based on the EEM’s average daily net assets as follows: 0.75% per annum of net assets of the EEM
less than or equal to $14.0 billion, plus 0.68% per annum of the net assets of the EEM on amounts over $14.0 billion, up to
and including $28.0 billion, plus 0.61% per annum of the net assets of the EEM on amounts over $28.0 billion up to and including
$42.0 billion, plus 0.54% per annum of the net assets of the EEM on amounts over $42.0 billion, up to and including $56.0
billion, plus 0.47% per annum of the net assets of the EEM on amounts over $56.0 billion, up to and including $70.0 billion,
plus 0.41% per annum of the net assets of the EEM on amounts over $70.0 billion, up to and including $84.0 billion, plus 0.35% per
annum of the net assets of the EEM on amounts in excess of $84.0 billion. As of December 31, 2018, the expense ratio of the EEM
was 0.67% per annum..
Investment Objective and Strategy
The EEM seeks to provide investment results
that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in emerging
markets, as represented by the Underlying Index. The EEM’s investment objective and the Underlying Index may be changed at
any time without shareholder approval. Notwithstanding the EEM’s investment objective, the return on your notes will not
reflect any dividends paid on the EEM shares, on the securities purchased by the EEM or on the securities that comprise the Underlying
Index.
The return on your notes is linked to the performance
of the iShares® MSCI Emerging Markets ETF, and not to the performance of the MSCI Emerging Markets Index on which
the EEM is based. Although the EEM seeks results that correspond generally to the performance of the Underlying Index, the EEM
follows a strategy of “representative sampling,” which means the EEM’s holdings do not identically correspond
to the holdings and weightings of the Underlying Index, and may significantly diverge from the Underlying Index. Currently, the
EEM holds substantially fewer securities than the Underlying Index. Additionally, when the EEM purchases securities not held by
the Underlying Index, the EEM may be exposed to additional risks, such as counterparty credit risk or liquidity risk, to which
the Underlying Index components are not exposed. Therefore, the EEM will not directly track the performance of the Underlying Index
and there may be significant variation between the performance of the EEM and the Underlying Index on which it is based.
Representative Sampling
BFA uses a representative sampling strategy
to track the Underlying Index. Representative sampling is an indexing strategy that involves investing in a representative sample
of securities that collectively has an investment profile similar to that of the Underlying Index. The securities selected are
expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings),
fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the Underlying Index.
The EEM may or may not hold all of the securities that are included in the Underlying Index.
The
EEM generally invests at least 90% of its assets in the securities of the Underlying Index and in American Depositary Receipts
or Global Depositary Receipts representing securities of the Underlying Index. The EEM may invest the remainder of its assets in
securities, including securities that are not in the Underlying Index, but which BFA believes will help the EEM track the Underlying
Index, and futures contracts, options on futures contracts, other types of options and swaps related to the Underlying Index, as
well as cash and cash equivalents, including shares of money market funds affiliated with BFA or its affiliates. BFA will waive
portfolio management fees in an amount equal to the portfolio management fees of such other iShares funds for any portion of the
EEM’s assets invested in shares of such other funds.
The MSCI Emerging Markets Index (“MXEF”)
The MXEF is intended to measure equity
market performance in the global emerging markets. The MXEF is a free float--adjusted market capitalization index with a base date
of December 31, 1987 and an initial value of 100. The MXEF is calculated daily in U.S. dollars and published in real time every
60 seconds during market trading hours. The MXEF has a base value of 100.00 and a base date of December 31, 1987. As of March 31,
2019, the MXEF consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt,
Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, South Korea,
Taiwan, Thailand, Turkey and United Arab Emirates.
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The MXEF is an “MSCI Index.”
The Country Indices
Each country’s index included
in an MSCI Index is referred to as a “Country Index.” Under the MSCI methodology, each Country Index is an “MSCI
Global Standard Index.” The components of each Country Index used to be selected by the index sponsor from among the universe
of securities eligible for inclusion in the relevant Country Index so as to target an 85% free float-adjusted market representation
level within each of a number of industry groups, subject to adjustments to (i) provide for sufficient liquidity, (ii) reflect
foreign investment restrictions (only those securities that can be held by non-residents of the country corresponding to the relevant
Country Index are included) and (iii) meet certain other investibility criteria. Following a change in the index sponsor’s
methodology implemented in May 2008, the 85% target is now measured at the level of the country universe of eligible securities
rather than the industry group level-so each Country Index will seek to include the securities that represent 85% of the free float-adjusted
market capitalization of all securities eligible for inclusion-but will still be subject to liquidity, foreign investment restrictions
and other investibility adjustments. The index sponsor defines “free float” as total shares excluding shares held by
strategic investors such as governments, corporations, controlling shareholders and management, and shares subject to foreign ownership
restrictions.
Calculation of the Country Indices
Each Country Index is a free float-adjusted
market capitalization index that is designed to measure the market performance, including price performance, of the equity securities
in that country. Each Country Index is calculated in the relevant local currency as well as in U.S. dollars, with price, gross
and net returns.
Each component is included in the relevant
Country Index at a weight that reflects the ratio of its free float-adjusted market capitalization (i.e., free public float
multiplied by price) to the free float-adjusted market capitalization of all the components in that Country Index. The index sponsor
defines the free float of a security as the proportion of shares outstanding that is deemed to be available for purchase in the
public equity markets by international investors.
Calculation of the MSCI Indices
The performance of a MSCI Index on any
given day represents the weighted performance of all of the components included in all of the Country Indices. Each component in
a MSCI Index is included at a weight that reflects the ratio of its free float-adjusted market capitalization (i.e., free
public float multiplied by price) to the free float-adjusted market capitalization of all the components included in all of the
Country Indices.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-19
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Maintenance of and Changes to
the MSCI Indices
The index sponsor maintains the MSCI
Indices with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets and segments. In maintaining
the indices, emphasis is also placed on continuity, continuous investibility of the constituents, replicability, index stability
and low turnover in the indices.
As part of the changes to the index
sponsor’s methodology which became effective in May 2008, maintenance of the indices falls into three broad categories:
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semi-annual reviews, which
will occur each May and November and will involve a comprehensive reevaluation of the market, the universe of eligible securities
and other factors involved in composing the indices;
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quarterly reviews, which
will occur each February, May, August and November and will focus on significant changes in the market since the last semi-annual
review and on including significant new eligible securities (such as IPOs, which were not eligible for earlier inclusion in the
indices); and
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ongoing event-related
changes, which will generally be reflected in the indices at the time of the event and will include changes resulting from mergers,
acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events.
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Prices and Exchange Rates
Prices
The prices used to calculate the
MSCI Indices are the official exchange closing prices or those figures accepted as such. The index sponsor reserves the right to
use an alternative pricing source on any given day.
Exchange Rates
The index sponsor uses the closing
spot rates published by WM / Reuters at 4:00 p.m., London time. The index sponsor uses WM / Reuters rates for all countries for
which it provides indices.
In case WM/Reuters does not provide
rates for specific markets on given days (for example Christmas Day and New Year’s Day), the previous business day’s
rates are normally used. The index sponsor independently monitors the exchange rates on all its indices and may, under exceptional
circumstances elect to use an alternative exchange rate if the WM / Reuters rates are not available, or if the index sponsor determines
that the WM / Reuters rates are not reflective of market circumstances for a given currency on a particular day. In such circumstances,
an announcement would be sent to clients with the related information. If appropriate, the index sponsor may conduct a consultation
with the investment community to gather feedback on the most relevant exchange rate.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-20
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Historical Performance of the EEM
The following graph sets forth the
daily historical performance of the EEM in the period from January 1, 2008 through the pricing date. We obtained this historical
data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg
L.P. The horizontal orange line in the graph represents the EEM’s Coupon Barrier of $28.68 (rounded to two decimal places),
which is 70% of the EEM’s Starting Value of $40.97, which was its closing price on the Strike Date. The horizontal grey line
in the graph represents the EEM’s Threshold Value of $26.63 (rounded to two decimal places), which is 65% of the EEM’s
Starting Value.
This historical data on the EEM
is not necessarily indicative of the future performance of the EEM or what the value of the Notes may be. Any historical upward
or downward trend in the price of the EEM during any period set forth above is not an indication that the price of the EEM is more
or less likely to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you
should consult publicly available sources for the prices and trading patterns of the EEM.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-21
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Supplement to the Plan of Distribution; Role of BofAS and Conflicts
of Interest
BofAS, a broker-dealer affiliate of ours, is a member
of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the distribution
of the Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales
in this offering to any of its discretionary accounts without the prior written approval of the account holder.
Under our distribution agreement with BofAS, BofAS
will purchase the Notes from us as principal at the public offering price indicated on the cover of this pricing supplement, less
the indicated underwriting discount. BofAS will sell the Notes to other broker-dealers that will participate in the offering and
that are not affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the Notes
to one or more additional broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not
all dealers will purchase or repurchase the Notes at the same discount. Certain dealers who purchase the Notes for sale to certain
fee-based advisory accounts may forgo some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the Notes in these fee-based advisory accounts may be as low as $997.50 per Note. In addition to the underwriting
discount above, if any, an affiliate of BofA Finance will pay a referral fee of up to $5.00 per $1,000 in principal amount of the
notes in connection with the distribution of the notes to other registered broker-dealers.
BofAS and any of our other broker-dealer affiliates
may use this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and sales
in secondary market transactions and market-making transactions in the Notes. However, they are not obligated to engage in such
secondary market transactions and/or market-making transactions. The selling agent may act as principal or agent in these transactions,
and any such sales will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for a short, undetermined
initial period after the issuance of the Notes, BofAS may offer to buy the Notes in the secondary market at a price that may exceed
the initial estimated value of the Notes. Any price offered by BofAS for the Notes will be based on then-prevailing market conditions
and other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of us,
the Guarantor, BofAS or any of our other affiliates is obligated to purchase your Notes at any price or at any time, and we cannot
assure you that any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes
will depend upon then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain
times, this price may be higher than or lower than the initial estimated value of the Notes.
European Economic Area
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”) which has implemented the Prospectus Regulation (each, a “Relevant Member 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 Member 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 have authorized, nor do
they 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 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. 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), as amended or superseded,
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 has been prepared and therefore offering or selling the Notes or otherwise making them available
to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
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
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-22
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
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.
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Structuring the Notes
The Notes are our debt securities, the return on which
is linked to the performance of the Underlyings. The related guarantee is BAC’s obligation. As is the case for all of our
and BAC’s respective debt securities, including our market-linked notes, the economic terms of the Notes reflect our and
BAC’s actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased
operational, funding and liability management costs to us and BAC, BAC typically borrows the funds under these types of notes at
a rate, which we refer to in this pricing supplement as BAC’s internal funding rate, that is more favorable to BAC than the
rate that it might pay for a conventional fixed or floating rate debt security. This generally relatively lower internal funding
rate, which is reflected in the economic terms of the Notes, along with the fees and charges associated with market-linked notes,
resulted in the initial estimated value of the Notes on the pricing date being less than their public offering price.
In order to meet our payment obligations on the Notes,
at the time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based upon
terms provided by BofAS and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness,
interest rate movements, the volatility of the Underlyings, the tenor of the Notes and the hedging arrangements. The economic terms
of the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements
will include hedging related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these
hedging arrangements. Since hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses
from these hedging transactions may be more or less than any expected amounts.
For further information, see “Risk Factors”
beginning on page PS-8 above and “Supplemental Use of Proceeds” on page PS-16 of the accompanying product supplement.
Validity of the Notes
In the opinion of McGuireWoods LLP,
as counsel to BofA Finance and BAC, when the trustee has made an appropriate entry on Schedule 1 to the Master Registered Global
Note dated November 4, 2016 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 legal, valid and binding
obligations of BofA Finance, and the related guarantee will be the legal, valid and binding obligations 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 laws of the State of New York
and the Delaware Limited Liability Company Act and the Delaware General Corporation Law (including the statutory provisions, all
applicable provisions of the Delaware Constitution and reported judicial decisions interpreting the foregoing) 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 letter of McGuireWoods LLP dated August 23, 2016, which has been filed
as an exhibit to the Registration Statement of BofA Finance and BAC relating to the Notes and the related guarantees initially
filed with the Securities and Exchange Commission on August 23, 2016.
Sidley Austin LLP, New York, New
York, is acting as counsel to BofAS and as special tax counsel to BofA Finance and BAC.
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U.S. Federal Income Tax Summary
The following summary of the material U.S. federal
income tax considerations of the acquisition, ownership, and disposition of the Notes supplements, and to the extent inconsistent
supersedes, the discussions under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and under
“U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement and is not exhaustive of all possible
tax considerations. In addition, any reference to “Morrison & Foerster LLP” in the aforementioned tax discussions
in the accompanying prospectus and prospectus supplement should be read as a reference to “Sidley Austin LLP.” This
summary is based upon the Internal Revenue Code of 1986, as amended (the “Code”), regulations promulgated under the
Code by the U.S. Treasury Department (“Treasury”) (including proposed and temporary regulations), rulings, current
administrative interpretations and official pronouncements of the IRS, and judicial decisions, all as currently in effect and all
of which are subject to differing interpretations or to change, possibly with retroactive effect. No assurance can be given that
the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences described below.
This summary does not include any description of the tax laws of any state or local governments, or of any foreign government,
that may be applicable to a particular holder.
Although the Notes are issued by us, they will be
treated as if they were issued by Bank of America Corporation for U.S. federal income tax purposes. Accordingly throughout this
tax discussion, references to “we,” “our” or “us” are generally to Bank of America Corporation
unless the context requires otherwise.
This summary is directed solely to U.S. Holders and
Non-U.S. Holders that, except as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the
Notes as capital assets within the meaning of Section 1221 of the Code, which generally means property held for investment, and
that are not excluded from the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning
the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the Notes, as well as any tax consequences
arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal
or other tax laws.
General
Although there is no statutory, judicial, or administrative
authority directly addressing the characterization of the Notes, we intend to treat the Notes for all tax purposes as contingent
income-bearing single financial contracts with respect to the Underlyings and under the terms of the Notes, we and every investor
in the Notes agree, in the absence of an administrative determination or judicial ruling to the contrary, to treat the Notes in
accordance with such characterization. In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the Notes as
contingent income-bearing single financial contracts with respect to the Underlyings. However, Sidley Austin LLP has advised us
that it is unable to conclude that it is more likely than not that this treatment will be upheld. This discussion assumes that
the Notes constitute contingent income-bearing single financial contracts with respect to the Underlyings for U.S. federal income
tax purposes. If the Notes did not constitute contingent income-bearing single financial contracts, the tax consequences described
below would be materially different.
This characterization of the Notes is not binding
on the IRS or the courts. No statutory, judicial, or administrative authority directly addresses the characterization of the Notes
or any similar instruments for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to
their proper characterization and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal
income tax consequences of an investment in the Notes are not certain, and no assurance can be given that the IRS or any court
will agree with the characterization and tax treatment described in this pricing supplement. Accordingly, you are urged to consult
your tax advisor regarding all aspects of the U.S. federal income tax consequences of an investment in the Notes, including possible
alternative characterizations.
Unless otherwise stated, the following discussion
is based on the characterization described above. The discussion in this section assumes that there is a significant possibility
of a significant loss of principal on an investment in the Notes.
We will not attempt to ascertain whether the issuer
of the EEM or of a component stock included in an Underlying that is an index would be treated as a “passive foreign investment
company” (“PFIC”), within the meaning of Section 1297 of the Code, or a United States real property holding corporation,
within the meaning of Section 897(c) of the Code. If the issuer of the EEM or of one or more stocks included in an Underlying that
is an index were so treated, certain adverse U.S. federal income tax consequences could possibly apply to a holder of the Notes.
You should refer to information filed with the SEC by the issuer of the EEM and by the issuers of the component stocks included
in an Underlying that is an index and consult your tax advisor regarding the possible consequences to you, if any, if the issuer
of the EEM or any issuer of a component stock included in an Underlying is or becomes a PFIC or is or becomes a United States real
property holding corporation.
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
U.S. Holders
Although the U.S. federal income tax treatment of
any Contingent Coupon Payment on the Notes is uncertain, we intend to take the position, and the following discussion assumes,
that any Contingent Coupon Payment constitutes taxable ordinary income to a U.S. Holder at the time received or accrued in accordance
with the U.S. Holder’s regular method of accounting. By purchasing the Notes you agree, in the absence of an administrative
determination or judicial ruling to the contrary, to treat any Contingent Coupon Payment as described in the preceding sentence.
Upon receipt of a cash payment at maturity or upon
a sale, exchange, or redemption of the Notes prior to maturity, a U.S. Holder generally will recognize capital gain or loss equal
to the difference between the amount realized (other than amounts representing any Contingent Coupon Payment, which would be taxed
as described above) and the U.S. Holder’s tax basis in the Notes. A U.S. Holder’s tax basis in the Notes will equal
the amount paid by that holder to acquire them. Subject to the discussion below concerning the possible application of the “constructive
ownership” rules of Section 1260 of the Code, this capital gain or loss generally will be long-term capital gain or loss
if the U.S. Holder held the Notes for more than one year. The deductibility of capital losses is subject to limitations.
Possible Application of Section 1260 of the Code.
Since one Underlying is the type of financial asset described under Section 1260 of the Code (including, among others, any equity
interest in pass-through entities such as exchange traded funds, regulated investment companies, real estate investment trusts,
partnerships, and passive foreign investment companies, each a “Section 1260 Financial Asset”), while the matter is
not entirely clear, there may exist a risk that an investment in the Notes will be treated, in whole or in part, as a “constructive
ownership transaction” to which Section 1260 of the Code applies. If Section 1260 of the Code applies, all or a portion of
any long-term capital gain recognized by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income (the
“Excess Gain”). In addition, an interest charge will also apply to any deemed underpayment of tax in respect of any
Excess Gain to the extent such gain would have resulted in gross income inclusion for the U.S. Holder in taxable years prior to
the taxable year of the sale, exchange, redemption, or settlement (assuming such income accrued at a constant rate equal to the
applicable federal rate as of the date of sale, exchange, redemption, or settlement).
If an investment in the Notes is treated as
a constructive ownership transaction, it is not clear to what extent any long-term capital gain of a U.S. Holder in respect
of the Notes will be recharacterized as ordinary income. It is possible, for example, that the amount of the Excess Gain
(if any) that would be recharacterized as ordinary income in respect of the Notes will equal the excess of (i) any
long-term capital gain recognized by the U.S. Holder in respect of the Notes and attributable to the Section 1260 Financial
Asset, over (ii) the “net underlying long-term capital gain” (as defined in Section 1260 of the Code) such U.S.
Holder would have had if such U.S. Holder had acquired an amount of the corresponding Section 1260 Financial Asset at fair
market value on the original issue date for an amount equal to the portion of the issue price of the Notes attributable to
the corresponding Section 1260 Financial Asset and sold such amount of the Section 1260 Financial Asset at maturity or upon
sale, exchange, or redemption of the notes at fair market value. Unless otherwise established by clear and convincing
evidence, the net underlying long-term capital gain is treated as zero and therefore it is possible that all long-term
capital gain recognized by a U.S. Holder in respect of the Notes will be recharacterized as ordinary income if Section 1260
of the Code applies to an investment in the Notes. U.S. Holders should consult their tax advisors regarding the potential
application of Section 1260 of the Code to an investment in the Notes.
As described below, the IRS, as indicated in Notice
2008-2 (the “Notice”), is considering whether Section 1260 of the Code generally applies or should apply to the Notes,
including in situations where the Underlyings are not the type of financial asset described under Section 1260 of the Code.
Alternative Tax Treatments. Due to the absence
of authorities that directly address the proper tax treatment of the Notes, prospective investors are urged to consult their tax
advisors regarding all possible alternative tax treatments of an investment in the Notes. In particular, the IRS could seek to
subject the Notes to the Treasury regulations governing contingent payment debt instruments. If the IRS were successful in that
regard, the timing and character of income on the Notes would be affected significantly. Among other things, a U.S. Holder would
be required to accrue original issue discount every year at a “comparable yield” determined at the time of issuance.
In addition, any gain realized by a U.S. Holder at maturity or upon a sale, exchange, or redemption of the Notes generally would
be treated as ordinary income, and any loss realized at maturity or upon a sale, exchange, or redemption of the Notes generally
would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount, and as capital
loss thereafter.
In addition, it is possible that the Notes could be
treated as a unit consisting of a deposit and a put option written by the Note holder, in which case the timing and character of
income on the Notes would be affected significantly.
The Notice sought comments from the public on the
taxation of financial instruments currently taxed as “prepaid forward contracts.” This Notice addresses instruments
such as the Notes. According to the Notice, the IRS and Treasury are considering whether a holder of an instrument such as the
Notes should be required to accrue ordinary income on a current basis, regardless of whether any payments are made prior to maturity.
It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such future guidance may
affect the amount, timing and character of income, gain, or loss in respect of the Notes, possibly with retroactive effect.
The IRS and Treasury are also considering additional
issues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign
holders of such instruments should be subject to withholding tax on any deemed income accruals, whether Section
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
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 two Underlyings are indices that periodically
rebalance, it is possible that the Notes could be treated as a series of contingent income-bearing single financial contracts,
each of which matures on the next rebalancing date. If the Notes were properly characterized in such a manner, a U.S. Holder would
be treated as disposing of the Notes on each rebalancing date in return for new Notes that mature on the next rebalancing date,
and a U.S. Holder would accordingly likely recognize capital gain or loss on each rebalancing date equal to the difference between
the holder’s tax basis in the Notes (which would be adjusted to take into account any prior recognition of gain or loss)
and the fair market value of the Notes on such date.
Non-U.S. Holders
Because the U.S. federal income tax treatment of the
Notes (including any Contingent Coupon Payment) is uncertain, we will withhold U.S. federal income tax at a 30% rate (or at a lower
rate under an applicable income tax treaty) on the entire amount of any Contingent Coupon Payment made unless such payments are
effectively connected with the conduct by the Non-U.S. Holder of a trade or business in the U.S. (in which case, to avoid withholding,
the Non-U.S. Holder will be required to provide a Form W-8ECI). We will not pay any additional amounts in respect of such withholding.
To claim benefits under an income tax treaty, a Non-U.S. Holder must obtain a taxpayer identification number and certify as to
its eligibility under the appropriate treaty’s limitations on benefits article, if applicable. In addition, special rules
may apply to claims for treaty benefits made by Non-U.S. Holders that are entities rather than individuals. The availability of
a lower rate of withholding under an applicable income tax treaty will depend on whether such rate applies to the characterization
of the payments under U.S. federal income tax laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal withholding
tax pursuant to an income tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for refund
with the IRS.
Except as discussed below, a Non-U.S. Holder generally
will not be subject to U.S. federal income or withholding tax for amounts paid in respect of the Notes (not including, for the
avoidance of doubt, amounts representing any Contingent Coupon Payment which would be subject to the rules discussed in the previous
paragraph) upon the sale, exchange, or redemption of the Notes or their settlement at maturity, provided that the Non-U.S. Holder
complies with applicable certification requirements and that the payment is not effectively connected with the conduct by the Non-U.S.
Holder of a U.S. trade or business. Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the Notes or
their settlement at maturity may be subject to U.S. federal income tax if that Non-U.S. Holder is a non-resident alien individual
and is present in the U.S. for 183 days or more during the taxable year of the sale, exchange, redemption, or settlement and certain
other conditions are satisfied.
If a Non-U.S. Holder of the Notes is engaged in the
conduct of a trade or business within the U.S. and if any Contingent Coupon Payment and gain realized on the settlement at maturity,
or upon sale, exchange, or redemption of the Notes, is effectively connected with the conduct of such trade or business (and, if
certain tax treaties apply, is attributable to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S.
Holder, although exempt from U.S. federal withholding tax, generally will be subject to U.S. federal income tax on such Contingent
Coupon Payment and gain on a net income basis in the same manner as if it were a U.S. Holder. Such Non-U.S. Holders should read
the material under the heading “—U.S. Holders,” for a description of the U.S. federal income tax consequences
of acquiring, owning, and disposing of the Notes. In addition, if such Non-U.S. Holder is a foreign corporation, it may also be
subject to a branch profits tax equal to 30% (or such lower rate provided by any applicable tax treaty) of a portion of its earnings
and profits for the taxable year that are effectively connected with its conduct of a trade or business in the U.S., subject to
certain adjustments.
A “dividend equivalent” payment is treated
as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax
if paid to a Non-U.S. Holder. Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments
(“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference
an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for
U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However,
IRS guidance provides that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one
instruments and that are issued before January 1, 2021. 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.
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Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
However, it is possible that the Notes could be treated
as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Underlyings or the
Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S.
Holders that enter, or have entered, into other transactions in respect of the Underlyings or the Notes should consult their tax
advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions.
If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled
to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
As discussed above, alternative characterizations
of the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or
clarification of the law, by regulation or otherwise, cause payments as to the Notes to become subject to withholding tax in addition
to the withholding tax described above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should
consult their own tax advisors regarding the tax consequences of such alternative characterizations.
U.S. Federal Estate Tax. Under current law,
while the matter is not entirely clear, individual Non-U.S. Holders, and entities whose property is potentially includible in those
individuals’ gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with
respect to which the individual has retained certain interests or powers), should note that, absent an applicable treaty benefit,
a Note is likely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should
consult their own tax advisors regarding the U.S. federal estate tax consequences of investing in a Note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal
Income Tax Considerations — Taxation of Debt Securities — Backup Withholding and Information Reporting” in the
accompanying prospectus for a description of the applicability of the backup withholding and information reporting rules to payments
made on the Notes.
Foreign Account Tax Compliance Act (“FATCA”)
The discussion in the accompanying prospectus under
“U.S. Federal Income Tax Considerations – Foreign Account Tax Compliance Act” is hereby modified to reflect regulations
proposed by Treasury indicating its intent to eliminate the requirements under FATCA of withholding on gross proceeds from the
sale, exchange, settlement at maturity, or other disposition of relevant financial instruments. Treasury has indicated that taxpayers
may rely on these proposed regulations pending their finalization.
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Where You Can Find More Information
The terms and risks of the Notes
are contained in this pricing supplement and in the following related product supplement, prospectus supplement and prospectus,
which can be accessed at the following links:
These documents (together, the “Note
Prospectus”) have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the
SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus,
including this pricing supplement, for information about us, BAC and this offering. Any prior or contemporaneous oral statements
and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined
in this pricing supplement have the meanings set forth in the accompanying product supplement or prospectus supplement. Unless
otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,”
“our,” or similar references are to BofA Finance, and not to BAC.
As a result of the completion of
the reorganization of Bank of America’s U.S. broker-dealer business, references to Merrill Lynch, Pierce, Fenner & Smith
Incorporated (“MLPF&S”) in the accompanying product supplement, prospectus supplement and prospectus, as such references
relate to MLPF&S’s institutional services, should now be read as references to BofAS.
The Notes are our senior debt securities.
Any payments on the Notes are fully and unconditionally guaranteed by BAC. The Notes and the related guarantee are not insured
by the Federal Deposit Insurance Corporation or secured by collateral. The Notes will rank equally in right of payment with all
of our other unsecured and unsubordinated obligations, and the related guarantee will rank equally in right of payment with all
of BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities or preferences
by law. Any payments due on the Notes, including any repayment of the principal amount, will be subject to the credit risk of BofA
Finance, as Issuer, and BAC, as Guarantor.
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CONTINGENT INCOME AUTO-CALLABLE YIELD NOTES | PS-29
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