This pricing supplement, which is not complete and may be changed, relates to an effective Registration Statement under the Securities Act of 1933. This pricing supplement and the accompanying product supplement, prospectus supplement and prospectus are not an offer to sell these Notes in any country or jurisdiction where such an offer would not be permitted.
Linked to the Least Performing of the Nasdaq-100® Index,
the Russell 2000® Index and the S&P 500® Index
•
The Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100®
Index, the Russell 2000® Index and the S&P 500® Index, due June 2, 2031 (the “Notes”) are
expected to price on May 28, 2024 and expected to issue on May 31, 2024.
•
Approximate 7 year term if not called prior to maturity.
•
Payments on the Notes will depend on the individual performance of the Nasdaq-100®
Index, the Russell 2000® Index and the S&P 500® Index (each an “Underlying”).
•
Contingent coupon rate of 7.00% per annum (1.75% per quarter) payable quarterly if the closing level
of each Underlying on the applicable Observation Date is greater than or equal to 85.00% of its Starting Value, assuming the Notes
have not been called.
•
Beginning on June 2, 2025, callable quarterly at our option for an amount equal to the principal amount
plus the relevant Contingent Coupon Payment, if otherwise payable.
•
Assuming the Notes are not called prior to maturity, if any Underlying declines by more than
100% from its Starting Value, at maturity you will receive the principal amount. At maturity you will also receive a final Contingent
Coupon Payment if the closing level of each Underlying on the final Observation Date is greater than or equal to 85.00% of its
Starting Value.
•
All payments on the Notes are subject to the credit risk of BofA Finance LLC (“BofA Finance”
or the “Issuer”), as issuer of the Notes, and Bank of America Corporation (“BAC” or the “Guarantor”),
as guarantor of the Notes.
•
The Notes will not be listed on any securities exchange.
•
CUSIP No. 09711BWC6.
The initial estimated value
of the Notes as of the pricing date is expected to be between $856.60 and $936.60 per $1,000.00 in principal amount of Notes, which is
less than the public offering price listed below. The actual value of your Notes at any time will reflect many factors and cannot
be predicted with accuracy. See “Risk Factors” beginning on page PS-9 of this pricing supplement and “Structuring the
Notes” on page PS-24 of this pricing supplement for additional information.
There are important differences
between the Notes and a conventional debt security. Potential purchasers of the Notes should consider the information in “Risk Factors”
beginning on page PS-9 of this pricing supplement, page PS-5 of the accompanying product supplement, page S-6 of the accompanying prospectus
supplement, and page 7 of the accompanying prospectus.
None of the Securities and
Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved
of these securities or determined if this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
is truthful or complete. Any representation to the contrary is a criminal offense.
|
Public offering price(1) |
Underwriting discount(1)(2) |
Proceeds, before expenses, to BofA Finance(2) |
Per Note |
$1,000.00 |
$35.50 |
$964.50 |
Total |
|
|
|
| (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 $964.50 per $1,000.00 in principal amount of Notes. |
| (2) | The underwriting discount per $1,000.00 in principal amount of Notes may be as high as $35.50, resulting
in proceeds, before expenses, to BofA Finance of as low as $964.50 per $1,000.00 in principal amount of Notes. |
The Notes and the related guarantee:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
Selling Agent
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Terms of the Notes
Issuer: |
BofA Finance |
Guarantor: |
BAC |
Denominations: |
The Notes will be issued in minimum denominations of $1,000.00 and whole multiples of $1,000.00 in excess thereof. |
Term: |
Approximately 7 years, unless previously called. |
Underlyings: |
The Nasdaq-100® Index (Bloomberg symbol: “NDX”), the Russell 2000® Index (Bloomberg symbol: “RTY”) and the S&P 500® Index (Bloomberg symbol: “SPX”), each a price return index. |
Pricing Date*: |
May 28, 2024 |
Issue Date*: |
May 31, 2024 |
Valuation Date*: |
May 28, 2031, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” in the accompanying product supplement. |
Maturity Date*: |
June 2, 2031 |
Starting Value: |
With respect to each Underlying, its closing level on the pricing date. |
Observation Value: |
With respect to each Underlying, its closing level on the applicable Observation Date. |
Ending Value: |
With respect to each Underlying, its Observation Value on the Valuation Date. |
Coupon Barrier: |
With respect to each Underlying, 85.00% of its Starting Value. |
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 $17.50 per $1,000.00 in principal amount of Notes (equal to a rate of 1.75% per quarter or 7.00% per annum) on the applicable Contingent Payment Date (including the Maturity Date). |
Optional Early Redemption: |
On any quarterly Call Payment Date, we have the right to redeem all (but not less than all) of the Notes at the Early Redemption Amount. No further amounts will be payable following an Optional Early Redemption. We will give notice to the trustee at least five business days but not more than 60 calendar days before the applicable Call Payment Date. |
Early Redemption Amount: |
For each $1,000.00 in principal amount of Notes, $1,000.00, plus the applicable Contingent Coupon Payment if the Observation Value of each Underlying on the corresponding Observation Date is greater than or equal to its Coupon Barrier. |
Redemption Amount: |
If the Notes have not been called prior to maturity,
the Redemption Amount per $1,000.00 in principal amount of Notes will be:
The Redemption Amount will also include a 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 beginning on page PS-4 |
Contingent Payment Dates*: |
As set forth beginning on page PS-4 |
Call Payment Dates*: |
As set forth beginning on page PS-5. Each Call Payment Date is also a Contingent Payment Date. |
Calculation Agent: |
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance. |
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-2 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Selling Agent: |
BofAS |
CUSIP: |
09711BWC6 |
Underlying Return: |
With respect to each Underlying,
|
Least Performing Underlying: |
The Underlying with the lowest Underlying Return. |
Events of Default and Acceleration: |
If an Event of Default, as defined in the senior indenture relating to the Notes and in the section entitled “Description of Debt Securities of BofA Finance LLC—Events of Default and Rights of Acceleration; Covenant Breaches” on page 54 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “Redemption Amount” above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third Trading Day prior to the date of acceleration. We will also determine whether a 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. |
* Subject to change.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-3 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Observation Dates, Contingent Payment Dates and Call Payment Dates
Observation Dates* |
Contingent Payment Dates |
August 28, 2024 |
September 3, 2024 |
November 29, 2024 |
December 4, 2024 |
February 28, 2025 |
March 5, 2025 |
May 28, 2025 |
June 2, 2025 |
August 28, 2025 |
September 3, 2025 |
November 28, 2025 |
December 3, 2025 |
March 2, 2026 |
March 5, 2026 |
May 28, 2026 |
June 2, 2026 |
August 28, 2026 |
September 2, 2026 |
November 30, 2026 |
December 3, 2026 |
March 1, 2027 |
March 4, 2027 |
May 28, 2027 |
June 3, 2027 |
August 30, 2027 |
September 2, 2027 |
November 29, 2027 |
December 2, 2027 |
February 28, 2028 |
March 2, 2028 |
May 30, 2028 |
June 2, 2028 |
August 28, 2028 |
August 31, 2028 |
November 28, 2028 |
December 1, 2028 |
February 28, 2029 |
March 5, 2029 |
May 29, 2029 |
June 1, 2029 |
August 28, 2029 |
August 31, 2029 |
November 28, 2029 |
December 3, 2029 |
February 28, 2030 |
March 5, 2030 |
May 28, 2030 |
May 31, 2030 |
August 28, 2030 |
September 3, 2030 |
November 29, 2030 |
December 4, 2030 |
February 28, 2031 |
March 5, 2031 |
May 28, 2031 (the “Valuation Date”) |
June 2, 2031 (the “Maturity Date”) |
* The Observation Dates are subject to postponement
as set forth in “Description of the Notes—Certain Terms of the Notes—Events Relating to Observation Dates” beginning
on page PS-23 of the accompanying product supplement.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-4 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Call Payment Dates |
June 2, 2025 |
September 3, 2025 |
December 3, 2025 |
March 5, 2026 |
June 2, 2026 |
September 2, 2026 |
December 3, 2026 |
March 4, 2027 |
June 3, 2027 |
September 2, 2027 |
December 2, 2027 |
March 2, 2028 |
June 2, 2028 |
August 31, 2028 |
December 1, 2028 |
March 5, 2029 |
June 1, 2029 |
August 31, 2029 |
December 3, 2029 |
March 5, 2030 |
May 31, 2030 |
September 3, 2030 |
December 4, 2030 |
March 5, 2031 |
Any payments on the Notes depend on the credit risk
of BofA Finance, as Issuer, and BAC, as Guarantor, and on the performance of the Underlyings. The economic terms of the Notes are based
on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked notes, and
the economic terms of certain related hedging arrangements BAC’s affiliates enter into. BAC’s internal funding rate is typically
lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding rate,
as well as the underwriting discount, if any, and the hedging related charges described below (see “Risk Factors” beginning
on page PS-9), will reduce the economic terms of the Notes to you and the initial estimated value of the Notes. Due to these factors,
the public offering price you pay to purchase the Notes will be greater than the initial estimated value of the Notes as of the pricing
date.
The initial estimated value range of the Notes is
set forth on the cover page of this pricing supplement. The final pricing supplement will set forth the initial estimated value of the
Notes as of the pricing date. For more information about the initial estimated value and the structuring of the Notes, see “Risk
Factors” beginning on page PS-9 and “Structuring the Notes” on page PS-24.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-5 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Contingent Coupon Payment and Redemption Amount Determination
On
each Contingent Payment Date, if the Notes have not been previously called, you may receive a
Contingent
Coupon Payment per $1,000.00 in principal amount of Notes determined as follows:
All payments described above are subject to the
credit risk of BofA Finance, as Issuer, and BAC, as Guarantor.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-6 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Total Contingent Coupon Payment Examples
The table below illustrates the hypothetical total
Contingent Coupon Payments per $1,000.00 in principal amount of Notes over the term of the Notes, based on the Contingent Coupon Payment
of $17.50, depending on how many Contingent Coupon Payments are payable prior to an Optional Early Redemption 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 |
$35.00 |
4 |
$70.00 |
6 |
$105.00 |
8 |
$140.00 |
10 |
$175.00 |
12 |
$210.00 |
14 |
$245.00 |
16 |
$280.00 |
18 |
$315.00 |
20 |
$350.00 |
22 |
$385.00 |
24 |
$420.00 |
26 |
$455.00 |
28 |
$490.00 |
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-7 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Hypothetical Payout Profile and Examples of Payments at Maturity
Contingent Income Issuer Callable Yield Notes
Table
The following table is for purposes of illustration
only. It assumes the Notes have not been called prior to maturity and is based on hypothetical values and shows hypothetical
returns on the Notes. The table illustrates the calculation of the Redemption Amount and the return on the Notes based on a hypothetical
Starting Value of 100 for the Least Performing Underlying, a hypothetical Coupon Barrier of 85 for the Least Performing Underlying, the
Contingent Coupon Payment of $17.50 per $1,000.00 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,
Observation Values and Ending Values of the Underlyings, whether the Notes are 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 values of the Underlyings, see
“The Underlyings” section below. The Ending Value of each Underlying will not include any income generated by dividends or
other distributions paid with respect to shares or units of that Underlying or on the securities included in that Underlying, as applicable.
In addition, all payments on the Notes are subject to Issuer and Guarantor credit risk.
Ending Value of the Least Performing Underlying |
Underlying Return of the Least Performing Underlying |
Redemption Amount per Note (including any final Contingent Coupon Payment) |
Return on the Notes(1) |
160.00 |
60.00% |
$1,017.500 |
1.7500% |
150.00 |
50.00% |
$1,017.500 |
1.7500% |
140.00 |
40.00% |
$1,017.500 |
1.7500% |
130.00 |
30.00% |
$1,017.500 |
1.7500% |
120.00 |
20.00% |
$1,017.500 |
1.7500% |
110.00 |
10.00% |
$1,017.500 |
1.7500% |
105.00 |
5.00% |
$1,017.500 |
1.7500% |
102.00 |
2.00% |
$1,017.500 |
1.7500% |
100.00(2) |
0.00% |
$1,017.500 |
1.7500% |
90.00 |
-10.00% |
$1,017.500 |
1.7500% |
85.00(3) |
-15.00% |
$1,017.500 |
1.7500% |
84.99 |
-15.01% |
$1,000.000 |
0.0000% |
80.00 |
-20.00% |
$1,000.000 |
0.0000% |
70.00 |
-30.00% |
$1,000.000 |
0.0000% |
60.00 |
-40.00% |
$1,000.000 |
0.0000% |
50.00 |
-50.00% |
$1,000.000 |
0.0000% |
0.00 |
-100.00% |
$1,000.000 |
0.0000% |
(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) |
The hypothetical Starting Value of 100 used in the table above has been chosen for illustrative purposes only and does not represent a likely Starting Value of any Underlying. |
(3) |
This is the hypothetical Coupon Barrier of the Least Performing Underlying. |
|
|
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-8 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Risk Factors
Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only after
carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light of your particular
circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant elements of the Notes
or financial matters in general. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk
Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-6 of the accompanying prospectus supplement
and page 7 of the accompanying prospectus, each as identified on page PS-27 below.
Structure-related Risks
•
Your return on the Notes is limited to the return represented by the Contingent Coupon Payments,
if any, over the term of the Notes. Your return on the Notes is limited to the Contingent Coupon Payments paid over the term of the
Notes, regardless of the extent to which the Observation Value or Ending Value of any Underlying exceeds its Coupon Barrier or Starting
Value, as applicable. Similarly, the amount payable at maturity or upon an Optional Early Redemption will never exceed the sum of the
principal amount and the applicable Contingent Coupon Payment, regardless of the extent to which the Observation Value or Ending 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 values. Any return on the Notes will not reflect the return you would
realize if you actually owned those securities and received the dividends paid or distributions made on them.
•
The Notes are subject to Optional Early Redemption, which would limit your ability to receive the
Contingent Coupon Payments over the full term of the Notes. On each Call Payment Date, at our option, we may call your Notes in whole,
but not in part. If the Notes are called prior to the Maturity Date, you will be entitled to receive the Early Redemption Amount on the
applicable Call Payment Date, and no further amounts will be payable on the Notes. In this case, you will lose the opportunity to continue
to receive Contingent Coupon Payments after the date of the Optional Early Redemption. If the Notes are called prior to the Maturity Date,
you may be unable to invest in other securities with a similar level of risk that could provide a return that is similar to the Notes.
Even if we do not exercise our option to call your Notes, our ability to do so may adversely affect the market value of your Notes. It
is our sole option whether to call your Notes prior to maturity on any such Call Payment Date and we may or may not exercise this option
for any reason. Because of this Optional Early Redemption potential, the term of your Notes could be anywhere between twelve and eighty-four
months.
•
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 Payments during the term of the Notes, and will not receive a positive
return on the Notes.
•
Your return on the Notes may be less than the yield on a conventional debt security of comparable
maturity. Any return that you receive on the Notes may be less than the return you would earn if you purchased a conventional debt
security with the same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost to you when
you consider factors, such as inflation, that affect the time value of money. In addition, if interest rates increase during the term
of the Notes, the Contingent Coupon Payment (if any) may be less than the yield on a conventional debt security of comparable maturity.
•
The Contingent Coupon Payment, Early Redemption Amount or Redemption Amount, as applicable, will
not reflect changes in the levels of the Underlyings other than on the Observation Dates. The levels of the Underlyings during the
term of the Notes other than on the Observation Dates will not affect payments on the Notes. Notwithstanding the foregoing, investors
should generally be aware of the performance of the Underlyings while holding the Notes, as the performance of the Underlyings may influence
the market value of the Notes. The calculation agent will determine whether each Contingent Coupon Payment is payable and will calculate
the Early Redemption Amount or the Redemption Amount, as applicable, by comparing only the Starting Value or the Coupon Barrier, 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 called prior to maturity, you will receive only the principal amount at maturity.
•
Because the Notes are linked to the least performing (and not the average performance) of the Underlyings,
you may not receive any positive return on the Notes. Your Notes are linked to the least performing of the Underlyings, and a change
in the level of one Underlying may not correlate with changes in the levels of the other Underlyings. The Notes are not linked to a basket
composed of the Underlyings, where the depreciation in the level of one Underlying could be offset to some extent by the appreciation
in the levels of the other Underlyings. In the case of the Notes, the individual performance of each Underlying would not be combined,
and the depreciation in the level of one Underlying would not be offset by any appreciation in the levels of the other Underlyings. Even
if the Observation Value of an Underlying is at or above its Coupon Barrier on an Observation Date, you will not receive the Contingent
Coupon Payment with respect to that Observation Date if the Observation Value of another Underlying is below its Coupon Barrier on that
day.
•
Any payments on the Notes are subject to our credit risk and the credit risk of the Guarantor,
and any actual or perceived changes in our or the Guarantor’s creditworthiness are expected to affect the value of the Notes. The
Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor.
The Notes are not
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-9 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
guaranteed by any entity other than
the Guarantor. As a result, your receipt of any payments on the Notes will be dependent upon our ability and the ability of the Guarantor
to repay our respective obligations under the Notes on the applicable payment date, regardless of the performance of the Underlyings.
No assurance can be given as to what our financial condition or the financial condition of the Guarantor will be at any time after the
pricing date of the Notes. If we and the Guarantor become unable to meet our respective financial obligations as they become due, you
may not receive the amount(s) payable under the terms of the Notes.
In addition, our credit ratings and the credit ratings of the Guarantor are assessments by ratings agencies of our respective abilities
to pay our obligations. Consequently, our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our
or the Guarantor’s credit ratings or increases in the spread between the yield on our respective securities and the yield on U.S.
Treasury securities (the “credit spread”) prior to the Maturity Date may adversely affect the market value of the Notes. However,
because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective
obligations, such as the values of the Underlyings, an improvement in our or the Guarantor’s credit ratings will not reduce the
other investment risks related to the Notes.
•
We are a finance subsidiary and, as such, have no independent assets, operations, or revenues.
We are a finance subsidiary of the Guarantor, have no operations other than those related to the issuance, administration and repayment
of our debt securities that are guaranteed by the Guarantor, and are dependent upon the Guarantor and/or its other subsidiaries to meet
our obligations under the Notes in the ordinary course. Therefore, our ability to make payments on the Notes may be limited.
Valuation and Market-related Risks
•
The public offering price you pay for the Notes will exceed their initial estimated value. The
range of initial estimated values of the Notes that is provided on the cover page of this preliminary pricing supplement, and the initial
estimated value as of the pricing date that will be provided in the final pricing supplement, are each estimates only, determined as of
a particular point in time by reference to our and our affiliates’ pricing models. These pricing models consider certain assumptions
and variables, including our credit spreads and those of the Guarantor, the Guarantor’s internal funding rate, mid-market terms
on hedging transactions, expectations on interest rates, 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, changes in the Guarantor’s internal funding
rate, and the inclusion in the public offering price of the underwriting discount, if any, and the hedging related charges, all as further
described in “Structuring the Notes” below. These factors, together with various credit, market and economic factors over
the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect
the value of the Notes in complex and unpredictable ways.
•
The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS
or any of our other affiliates would be willing to purchase your Notes in any secondary market (if any exists) at any time. The value
of your Notes at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance
of the Underlyings, our and BAC’s creditworthiness and changes in market conditions.
•
We cannot assure you that a trading market for your Notes will ever develop or be maintained. We
will not list the Notes on any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that
market will be liquid or illiquid.
Conflict-related Risks
•
Trading and hedging activities by us, the Guarantor and any of our other affiliates, including
BofAS, may create conflicts of interest with you and may affect your return on the Notes and their market value. We, the Guarantor
or one or more of our other affiliates, including BofAS, may buy or sell the securities held by or included in the Underlyings, or futures
or options contracts or exchange traded instruments on the Underlyings or those securities, or other instruments whose value is derived
from 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 adversely affect the levels of the
Underlyings in a manner that could be adverse to your investment in the Notes. On or before the pricing date, any purchases or sales by
us, the Guarantor or our other affiliates, including BofAS or others on our or their behalf (including those for the purpose of hedging
some or all of our anticipated exposure in connection with the Notes), may affect the levels of the Underlyings. Consequently, the levels
of the Underlyings may change subsequent to the pricing date, which may adversely affect the market value of the Notes.
We, the Guarantor or one or more of our other affiliates, including BofAS, also expect to engage in hedging activities that could affect
the levels of the Underlyings on the pricing date. In addition, these hedging activities, including the unwinding of a hedge, may decrease
the
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-10 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
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 levels of the Underlyings, the market value of your Notes prior to maturity or the amounts payable on the
Notes.
•
There may be potential conflicts of interest involving the calculation agent, which is an affiliate
of ours. We have the right to appoint and remove the calculation agent. One of our affiliates will be the calculation agent for the
Notes and, as such, will make a variety of determinations relating to the Notes, including the amounts that will be paid on the Notes.
Under some circumstances, these duties could result in a conflict of interest between its status as our affiliate and its responsibilities
as calculation agent.
Underlying-related Risks
•
The Notes are subject to risks associated with small-size capitalization companies. The stocks
comprising 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 conditions relative to larger companies. Small-size capitalization companies may also be more
susceptible to adverse developments related to their products or services.
•
The Notes are subject to risks associated with foreign securities markets. The NDX includes
certain foreign equity securities. You should be aware that investments in securities linked to the value of foreign equity securities
involve particular risks. The foreign securities markets comprising the NDX may have less liquidity and may be more volatile than U.S.
or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct
or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies,
may affect trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies
than about those U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies. Prices of securities
in foreign countries are subject to political, economic, financial and social factors that apply in those geographical regions. These
factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign government’s
economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable
to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between currencies,
the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse public health developments
in the region. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
•
The publisher or the sponsor of an Underlying may adjust that Underlying in a way that affects
its levels, and the publisher or the sponsor has no obligation to consider your interests. The publisher or the sponsor of an Underlying
can add, delete, or substitute the components included in that Underlying or make other methodological changes that could change its level.
Any of these actions could adversely affect the value of your Notes.
Tax-related Risks
| • | The U.S. federal income tax consequences of an investment in the Notes
are uncertain. However, it would be reasonable to treat your Notes as variable rate debt instruments for U.S. federal income tax purposes.
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 variable rate debt instruments, as described below under “U.S. Federal Income Tax Summary.”
If you are a secondary purchaser of the Notes, the tax consequences to you may be different. No ruling will be requested from the
Internal Revenue Service (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 ISSUER CALLABLE YIELD NOTES | PS-11 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
The Underlyings
All disclosures contained in this pricing supplement
regarding the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have
been derived from publicly available sources. The information reflects the policies of, and is subject to change by, the sponsor of the
NDX, the sponsor of the RTY and the sponsor of the SPX (collectively, the “Underlying Sponsors”). The Underlying Sponsors,
which license the copyright and all other rights to the respective Underlyings, have no obligation to continue to publish, and may discontinue
publication of, the Underlyings. The consequences of any Underlying Sponsor discontinuing publication of the applicable Underlying are
discussed in “Description of the Notes — Discontinuance of an Index” 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 Nasdaq-100® Index
The NDX is intended to measure the performance of
the 100 largest domestic and international non-financial securities listed on The Nasdaq Stock Market ("NASDAQ") based on market
capitalization. The NDX reflects companies across major industry groups including computer hardware and software, telecommunications,
retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.
The NDX began trading on January 31, 1985 at a base
value of 125.00. The NDX is calculated and published by Nasdaq, Inc. In administering the NDX, Nasdaq, Inc. will exercise reasonable discretion
as it deems appropriate.
Underlying Stock Eligibility Criteria
NDX eligibility is limited to specific security
types only. The security types eligible for the NDX include foreign or domestic common stocks, ordinary shares, ADRs and tracking stocks.
Security types not included in the NDX are closed-end funds, convertible debt securities, exchange traded funds, limited liability companies,
limited partnership interests, preferred stocks, rights, shares or units of beneficial interest, warrants, units, and other derivative
securities. The NDX does not contain securities of investment companies. For purposes of the NDX eligibility criteria, if the security
is a depositary receipt representing a security of a non-U.S. issuer, then references to the “issuer” are references to the
issuer of the underlying security.
Initial Eligibility Criteria
To be eligible for initial inclusion in the NDX,
a security must be listed on NASDAQ and meet the following criteria:
•
the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq
Global Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained such
listing);
•
the security must be of a non-financial company;
•
the security may not be issued by an issuer currently in bankruptcy proceedings;
•
the security must have a minimum three-month average daily trading volume of at least 200,000 shares;
•
if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then
such security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized
options market in the U.S.;
•
the issuer of the security may not have entered into a definitive agreement or other arrangement which
would likely result in the security no longer being eligible for inclusion in the NDX;
•
the issuer of the security may not have annual financial statements with an audit opinion that is
currently withdrawn; and
•
the issuer of the security must have “seasoned” on NASDAQ, the New York Stock Exchange
or NYSE Amex. Generally, a company is considered to be seasoned if it has been listed on a market for at least three full months (excluding
the first month of initial listing).
Continued Eligibility Criteria
In addition, to be eligible for continued inclusion
in the NDX, the following criteria apply:
•
the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq
Global Market;
•
the security must be of a non-financial company;
•
the security may not be issued by an issuer currently in bankruptcy proceedings;
•
the security must have a minimum three-month average daily trading volume of at least 200,000 shares;
•
if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then
such security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized
options market in the U.S. (measured annually during the ranking review process);
•
the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate
adjusted market capitalization of the NDX at each month-end. In the event a company does not meet this criterion for two consecutive month-ends,
it will be removed from the NDX effective after the close of trading on the third Friday of the following month; and
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-12 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
•
the issuer of the security may not have annual financial statements with an audit opinion that is
currently withdrawn.
Computation of the NDX
The value of the NDX equals the aggregate value
of the NDX share weights (the “NDX Shares”) of each of the NDX securities multiplied by each such security’s last sale
price (last sale price refers to the last sale price on NASDAQ), and divided by the divisor of the NDX. If trading in an NDX security
is halted while the market is open, the last traded price for that security is used for all NDX computations until trading resumes. If
trading is halted before the market is open, the previous day’s last sale price is used. The formula for determining the NDX value
is as follows:
The NDX is ordinarily calculated without regard
to cash dividends on NDX securities. The NDX is calculated during the trading day and is disseminated once per second from 09:30:01 to
17:16:00 ET. The closing level of the NDX may change up until 17:15:00 ET due to corrections to the last sale price of the NDX securities.
The official closing value of the NDX is ordinarily disseminated at 17:16:00 ET.
NDX Maintenance
Changes to NDX Constituents
Changes to the NDX constituents may be made during
the annual ranking review. In addition, if at any time during the year other than the annual review, it is determined that an NDX security
issuer no longer meets the criteria for continued inclusion in the NDX, or is otherwise determined to have become ineligible for continued
inclusion in the NDX, it is replaced with the largest market capitalization issuer not currently in the NDX that meets the applicable
eligibility criteria for initial inclusion in the NDX.
Ordinarily, a security will be removed from the
NDX at its last sale price. However, if at the time of its removal the NDX security is halted from trading on its primary listing market
and an official closing price cannot readily be determined, the NDX security may, in Nasdaq, Inc.’s discretion, be removed at a
price of $0.00000001 (“zero price”). This zero price will be applied to the NDX security after the close of the market but
prior to the time the official closing value of the NDX is disseminated.
Divisor Adjustments
The divisor is adjusted to ensure that changes in
the NDX constituents either by corporate actions (that adjust either the price or shares of an NDX security) or NDX participation outside
of trading hours do not affect the value of the NDX. All divisor changes occur after the close of the applicable index security markets.
Quarterly NDX Rebalancing
The NDX will be rebalanced on a quarterly basis
if it is determined that (1) the current weight of the single NDX security with the largest market capitalization is greater than 24.0%
of the NDX or (2) the collective weight of those securities whose individual current weights are in excess of 4.5% exceeds 48.0% of the
NDX. In addition, a “special rebalancing” of the NDX may be conducted at any time if Nasdaq, Inc. determines it necessary
to maintain the integrity and continuity of the NDX. If either one or both of the above weight distribution conditions are met upon quarterly
review, or Nasdaq, Inc. determines that a special rebalancing is necessary, a weight rebalancing will be performed.
If the first weight distribution condition is met
and the current weight of the single NDX security with the largest market capitalization is greater than 24.0%, then the weights of all
securities with current weights greater than 1.0% (“large securities”) will be scaled down proportionately toward 1.0% until
the adjusted weight of the single largest NDX security reaches 20.0%.
If the second weight distribution condition is met
and the collective weight of those securities whose individual current weights are in excess of 4.5% (or adjusted weights in accordance
with the previous step, if applicable) exceeds 48.0% of the NDX, then the weights of all such large securities in that group will be scaled
down proportionately toward 1.0% until their collective weight, so adjusted, is equal to 40.0%.
The aggregate weight reduction among the large securities
resulting from either or both of the rebalancing steps above will then be redistributed to those securities with weightings of less than
1.0% (“small securities”) in the following manner. In the first iteration, the weight of the largest small security will be
scaled upwards by a factor which sets it equal to the average NDX weight of 1.0%. The weights of each of the smaller remaining small securities
will be scaled up by the same factor reduced in relation to each security’s relative ranking among the small securities such that
the smaller the NDX security in the ranking, the less its weight will be scaled upward. This is intended to reduce the market impact of
the weight rebalancing on the smallest component securities in the NDX.
In the second iteration of the small security rebalancing,
the weight of the second largest small security, already adjusted in the first iteration, will be scaled upwards by a factor which sets
it equal to the average NDX weight of 1.0%. The weights of each of the smaller remaining small securities will be scaled up by this same
factor reduced in relation to each security’s relative ranking among the small securities such that, once again, the smaller the
security in the ranking, the less its weight will be scaled upward. Additional iterations will be performed until the accumulated increase
in weight among
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-13 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
the small securities equals the aggregate weight
reduction among the large securities that resulted from the rebalancing in accordance with the two weight distribution conditions discussed
above.
Finally, to complete the rebalancing process, once
the final weighting percentages for each NDX security have been set, the NDX Shares will be determined anew based upon the last sale prices
and aggregate capitalization of the NDX at the close of trading on the last calendar day in February, May, August and November. Changes
to the NDX Shares will be made effective after the close of trading on the third Friday in March, June, September and December, and an
adjustment to the divisor is made to ensure continuity of the NDX. Ordinarily, new rebalanced NDX Shares will be determined by applying
the above procedures to the current NDX Shares. However, Nasdaq, Inc. may, from time to time, determine rebalanced weights, if necessary,
by applying the above procedure to the actual current market capitalization of the NDX components. In such instances, Nasdaq, Inc. would
announce the different basis for rebalancing prior to its implementation.
During the quarterly rebalancing, data is cutoff
as of the previous month end and no changes are made to the NDX from that cutoff until the quarterly index share change effective date,
except in the case of changes due to corporate actions with an ex-date.
Adjustments for Corporate Actions
Changes in the price and/or NDX Shares driven by
corporate events such as stock dividends, splits, and certain spin-offs and rights issuances will be adjusted on the ex-date. If the change
in total shares outstanding arising from other corporate actions is greater than or equal to 10.0%, the change will be made as soon as
practicable. Otherwise, if the change in total shares outstanding is less than 10.0%, then all such changes are accumulated and made effective
at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September, and December. The NDX
Shares are derived from the security’s total shares outstanding. The NDX Shares are adjusted by the same percentage amount by which
the total shares outstanding have changed.
Historical Performance of the NDX
The following graph sets forth the daily historical
performance of the NDX in the period from January 2, 2019 through April 26, 2024. 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. On April 26, 2024, the
closing level of the NDX was 17,718.30.
This historical data on the NDX is not necessarily
indicative of the future performance of the NDX or what the value of the Notes may be. Any historical upward or downward trend in the
closing level of the NDX during any period set forth above is not an indication that the closing level of the NDX is more or less likely
to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the closing levels of the NDX.
License Agreement
The Notes are not sponsored, endorsed, sold or promoted
by Nasdaq, Inc. or its affiliates (Nasdaq, Inc., with its affiliates, are referred to as the “Corporations”). The Corporations
have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Notes.
The Corporations make no representation or warranty, express or implied, to the owners of the Notes or any member of the public
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-14 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
regarding the advisability of investing in securities
generally or in the Notes particularly, or the ability of the NDX to track general stock market performance. The Corporations’ only
relationship to our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“Licensee”) is in the licensing of
the NASDAQ®, OMX®, NASDAQ OMX®, and NDX registered trademarks, and certain trade names of
the Corporations or their licensor and the use of the NDX which is determined, composed and calculated by Nasdaq, Inc. without regard
to Licensee or the Notes. Nasdaq, Inc. has no obligation to take the needs of the Licensee or the owners of the Notes into consideration
in determining, composing or calculating the NDX. The Corporations are not responsible for and have not participated in the determination
of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the
Notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of
the Notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR
UNINTERRUPTED CALCULATION OF THE NDX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NDX OR ANY DATA INCLUDED THEREIN. THE
CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE NDX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS
HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES.
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-15 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
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 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
Each company 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) from all exchanges within a country. Using the HCIs, FTSE Russell compares
the primary location of the company’s assets with the three HCIs. If the primary location of its assets matches any of the HCIs,
then the company is assigned to the primary location of its assets. If there is insufficient information to determine the country in which
the company’s assets are primarily located, FTSE Russell will use the country from which the company’s revenues are primarily
derived for the comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years of assets or revenues data
to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE Russell will assign the
company to the country of its headquarters, which is defined as the address of the company’s principal executive offices, unless
that country is a Benefit Driven Incorporation (“BDI”) country, in which case the company will be assigned to the country
of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, Bonaire,
British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey,
Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or
headquartered in a U.S. territory, including Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the 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 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
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 ISSUER CALLABLE YIELD NOTES | PS-16 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Historical Performance of the RTY
The following graph sets forth the daily historical
performance of the RTY in the period from January 2, 2019 through April 26, 2024. 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. On April 26, 2024, the
closing level of the RTY was 2,002.000.
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
closing level of the RTY during any period set forth above is not an indication that the closing 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 closing levels of the RTY.
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, BAC, BOFAS, 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
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-17 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
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.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-18 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
The S&P 500® Index
The SPX includes a representative sample of 500
companies in leading industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price
movement. The calculation of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of
500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during
the base period of the years 1941 through 1943.
The SPX includes companies from eleven main groups:
Communication Services; Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology;
Real Estate; Materials; and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time,
in its sole discretion, add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted
company market capitalization of $18.0 billion or more (an increase from the previous requirement of an unadjusted company market capitalization
of $15.8 billion or more).
SPDJI calculates the SPX by reference to the prices
of the constituent stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on
the Notes will not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid
on those stocks.
Computation of the SPX
While SPDJI currently employs the following methodology
to calculate the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect payments
on the Notes.
Historically, the market value of any component
stock of the SPX was calculated as the product of the market price per share and the number of then outstanding shares of such component
stock. In March 2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula,
before moving the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not
change with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in
calculating the SPX reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float
adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing
more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for
purposes of calculating the SPX. Generally, these “control holders” will include officers and directors, private equity, venture
capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted
shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in
a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds
and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers
and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares,
equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust
to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares, are normally
part of the float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted
or non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total
shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the
company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s
officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, SPDJI
would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the SPX. Constituents of the SPX
prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the SPX. If a constituent
company of the SPX reorganizes into a multiple share class line structure, that company will remain in the SPX at the discretion of the
S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate
methodology. The level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941
through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been
set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of the SPX is
computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the
SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is index
maintenance.
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-19 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Index Maintenance
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to
company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares
outstanding and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due
to corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding
of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as
reasonably possible. Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented
when the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change.
All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding
of 5.00% or more causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the
share change. IWF changes resulting from partial tender offers are considered on a case by case basis.
Historical Performance of the SPX
The following graph sets forth the daily historical
performance of the SPX in the period from January 2, 2019 through April 26, 2024. 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. On April 26, 2024, the
closing level of the SPX was 5,099.96.
This historical data on the SPX is not necessarily
indicative of the future performance of the SPX or what the value of the Notes may be. Any historical upward or downward trend in the
closing level of the SPX during any period set forth above is not an indication that the closing level of the SPX is more or less likely
to increase or decrease at any time over the term of the Notes.
Before investing in the Notes, you should consult
publicly available sources for the closing levels of the SPX.
License Agreement
S&P® is a registered trademark
of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark
of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices
LLC. “Standard & Poor’s®,” “S&P 500®” and “S&P®”
are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, Merrill Lynch, Pierce, Fenner
& Smith Incorporated. The SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by
Merrill Lynch, Pierce,
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-20 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Fenner & Smith Incorporated.
The Notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the Notes or any member of the public
regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the SPX to track general
market performance. S&P Dow Jones Indices’ only relationship to Merrill Lynch, Pierce, Fenner & Smith Incorporated with
respect to the SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or
its third party licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without regard to us, Merrill Lynch,
Pierce, Fenner & Smith Incorporated, or the Notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs
or the needs of Merrill Lynch, Pierce, Fenner & Smith Incorporated or holders of the Notes into consideration in determining, composing
or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices
and amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the equation by which
the Notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration,
marketing or trading of the Notes. There is no assurance that investment products based on the SPX will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a
security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security
or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, SPDJI and its affiliates may independently
issue and/or sponsor financial products unrelated to the Notes currently being issued by us, but which may be similar to and competitive
with the Notes. In addition, SPDJI and its affiliates may trade financial products which are linked to the performance of the SPX. It
is possible that this trading activity will affect the value of the Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO,
ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT
TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY
US, BAC, BOFAS, MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW
JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF
PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES
INDICES AND MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-21 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
Supplement to the Plan of Distribution; Role of BofAS and Conflicts
of Interest
BofAS, a broker-dealer affiliate of ours, is a member
of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the distribution of
the Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in this
offering to any of its discretionary accounts without the prior written approval of the account holder.
We expect to deliver the Notes against payment therefor
in New York, New York on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities
Exchange Act of 1934, trades in the secondary market generally are required to settle in one business day, unless the parties to any such
trade expressly agree otherwise. Accordingly, if the initial settlement of the Notes occurs more than one business day from the pricing
date, purchasers who wish to trade the Notes more than one business day prior to the original issue date will be required to specify alternative
settlement arrangements to prevent a failed settlement.
Under our distribution agreement with BofAS, BofAS
will purchase the Notes from us as principal at the public offering price indicated on the cover of this pricing supplement, less the
indicated underwriting discount, if any. BofAS will sell the Notes to other broker-dealers that will participate in the offering and that
are not affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the Notes to one or more
additional broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not all dealers will purchase
or repurchase the Notes at the same discount. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may
forgo some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these
fee-based advisory accounts may be as low as $964.50 per $1,000.00 in principal amount of Notes.
BofAS and any of our other broker-dealer affiliates
may use this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and sales in
secondary market transactions and market-making transactions in the Notes. However, they are not obligated to engage in such secondary
market transactions and/or market-making transactions. These broker-dealer affiliates may act as principal or agent in these transactions,
and any such sales will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for a short, undetermined
initial period after the issuance of the Notes, BofAS may offer to buy the Notes in the secondary market at a price that may exceed the
initial estimated value of the Notes. Any price offered by BofAS for the Notes will be based on then-prevailing market conditions and
other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of us, the Guarantor,
BofAS or any of our other affiliates is obligated to purchase your Notes at any price or at any time, and we cannot assure you that any
party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes
will depend upon then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times,
this price may be higher than or lower than the initial estimated value of the Notes.
European Economic Area and United Kingdom
None of this pricing supplement, the accompanying
product supplement, the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the Prospectus
Regulation (as defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying
prospectus supplement have been prepared on the basis that any offer of Notes in any Member State of the European Economic Area (the “EEA”)
or in the United Kingdom (each, a “Relevant State”) will only be made to a legal entity which is a qualified investor under
the Prospectus Regulation (“Qualified Investors”). Accordingly any person making or intending to make an offer in that Relevant
State of Notes which are the subject of the offering contemplated in this pricing supplement, the accompanying product supplement, the
accompanying prospectus and the accompanying prospectus supplement may only do so with respect to Qualified Investors. Neither BofA Finance
nor BAC has authorized, nor does it authorize, the making of any offer of Notes other than to Qualified Investors. The expression “Prospectus
Regulation” means Regulation (EU) 2017/1129.
PROHIBITION OF SALES
TO EEA AND UNITED KINGDOM RETAIL INVESTORS – The Notes are not intended to be offered, sold or otherwise made available
to and should not be offered, sold or otherwise made available to any retail investor in the EEA or in the United Kingdom. For these purposes:
(a) a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended (“MiFID II”); or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution
Directive) where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii)
not a qualified investor as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication
in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor
to decide to purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU) No 1286/2014, as
amended (the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors
in the EEA or in the United Kingdom has been prepared and therefore offering or selling the Notes or otherwise making them available to
any retail investor in the EEA or in the United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement, the
accompanying product supplement, the accompanying prospectus supplement, the accompanying
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-22 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
prospectus and any other document or materials relating
to the issue of the Notes offered hereby is not being made, and such documents and/or materials have not been approved, by an authorized
person for the purposes of Section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the “FSMA”).
Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general public in the United
Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those persons in the United
Kingdom who have professional experience in matters relating to investments and who fall within the definition of investment professionals
(as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended (the “Financial
Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion Order, or who are any other persons to
whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons together being referred to as “Relevant
Persons”). In the United Kingdom, the Notes offered hereby are only available to, and any investment or investment activity to which
this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement and the accompanying prospectus relates
will be engaged in only with, Relevant Persons. Any person in the United Kingdom that is not a relevant person should not act or rely
on this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement or the accompanying prospectus
or any of their contents.
Any invitation or inducement to engage in investment
activity (within the meaning of Section 21 of the FSMA) in connection with the issue or sale of the Notes may only be communicated or
caused to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to BofA Finance, as Issuer, or BAC, as Guarantor.
All applicable provisions of the FSMA must be complied
with in respect to anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-23 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
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, typically results in the initial estimated
value of the Notes on the pricing date being less than their public offering price.
In order to meet our payment obligations on the
Notes, at the time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with 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-5 and “Supplemental Use of Proceeds” on page PS-20 of the accompanying product supplement.
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-24 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
U.S. Federal Income Tax Summary
The following summary of the material U.S. federal income
considerations of the acquisition, ownership, and disposition of the Notes is based upon the advice of Sidley Austin LLP,
our tax counsel. The following discussion supplements, and to the extent inconsistent supersedes, the discussion under “U.S. Federal
Income Tax Considerations” in the accompanying prospectus and is not exhaustive of all possible tax considerations. This summary
is based upon the Internal Revenue Code of 1986, as amended (the “Code”), regulations promulgated under the Code by the U.S.
Treasury Department (“Treasury”) (including proposed and temporary regulations), rulings, current administrative interpretations
and official pronouncements of the IRS, and judicial decisions, all as currently in effect and all of which are subject to differing interpretations
or to change, possibly with retroactive effect. No assurance can be given that the IRS would not assert, or that a court would not sustain,
a position contrary to any of the tax consequences described below. This summary does not include any description of the tax laws of any
state or local governments, or of any foreign government, that may be applicable to a particular holder.
Although the Notes are issued by us, they will be treated
as if they were issued by BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to “we,”
“our” or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders and
Non-U.S. Holders that, except as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the Notes
as capital assets within the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not
excluded from the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus. This discussion
does not address the tax consequences applicable to holders subject to Section 451(b) of the Code. This summary assumes that the issue
price of the Notes, as determined for U.S. federal income tax purposes, equals the principal amount thereof.
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.
U.S. Holders
The tax treatment of your Notes is uncertain. The tax
treatment of your Notes will depend upon whether the Notes are properly treated as variable rate debt instruments or contingent payment
debt instruments. This in turn depends, in part, upon whether it is reasonably expected that the return on the Notes during the first
half of the Notes’ term will be significantly greater or less than the return on the Notes during the second half of the Notes’
term. Based on our numerical analysis, we expect to take the position that it is not reasonably expected that the return on the Notes
during the first half of the Notes’ term will be significantly greater or less than the return on the Notes during the second half
of the Notes’ term. We accordingly expect to treat your Notes as variable rate debt instruments for U.S. federal income tax purposes.
Based on market conditions on the trade date, we may take the position that it is reasonably expected that the return on the Notes during the first half of
the Notes term will be significantly greater or less than the return on the Notes during the second half of the Notes term. In this case, we would treat your
Notes as contingent payment debt instruments, as discussed below under “Alternative Tax Treatments“. We will make a final determination as to the
manner in which we intend to treat the Notes on the trade date based on market conditions in effect at such time. The final disclosure statement will set
forth the manner in which we intend to treat the Notes for tax purposes.Except as otherwise noted below under “Alternative
Tax Treatments,“ the discussion below assumes that the Notes will be treated as variable rate debt instruments for U.S. federal
income tax purposes. Under this characterization, interest on a Note generally will be included in the income of a U.S. Holder as ordinary
income at the time it is accrued or is received in accordance with the U.S. Holder’s regular method of accounting for U.S. federal
income tax purposes. Please see the discussion in the prospectus under the section entitled “U.S. Federal Income Tax Considerations—General—Consequences to U.S. Holders—Variable Rate Debt Securities” for a discussion of these rules.
Upon the sale, exchange, redemption, retirement, or
other disposition of a Note, a U.S. Holder will recognize gain or loss equal to the difference between the amount realized upon the sale,
exchange, redemption, retirement, or other disposition (less an amount equal to any accrued interest not previously included in income
if the Note is disposed of between interest payment dates, which will be included in income as interest income for U.S. federal income
tax purposes) and the U.S. Holder’s adjusted tax basis in the Note. A U.S. Holder’s adjusted tax basis in a Note generally
will be the cost of the Note to such U.S. Holder. Any gain or loss realized on the sale, exchange, redemption, retirement, or other disposition
of a Note generally will be capital gain or loss and will be long-term capital gain or loss if the Note has been held for more than one
year. The ability of U.S. Holders to deduct capital losses is subject to limitations under the Code.
Alternative Tax Treatments. If it is determined
that it is reasonably expected that the return on the Notes during the first half of the Notes’ term will be significantly greater
or less than the return on the Notes during the second half of the Notes’ term, the Notes should be treated as a debt instrument
subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. If the Notes are so treated,
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, you would be required to construct a projected payment schedule for the Notes and you would make a “positive
adjustment” to the extent of any excess of an actual payment over the corresponding projected payment under the Notes, and you would
make a “negative adjustment” to the extent of the excess of any
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CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-25 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
projected payment over the corresponding actual payment under
the Notes. 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.
It is also possible that the IRS could determine that
the Notes should be subject to special rules for Notes that provide for alternative payment schedules if one of such schedules is significantly
more likely than not to occur. If your Notes are subject to those rules, you would generally be required to include the stated interest
on your Notes in income as it accrues even if you are otherwise subject to the cash basis method of accounting for tax purposes. The rules
for Notes that provide alternative payment schedules if one of such schedules is significantly more likely than not to occur are discussed
under “U.S. Federal Income Tax Considerations—General—Consequences to U.S. Holders—Debt Securities
Subject to Contingencies” in the accompanying prospectus.
Non-U.S. Holders
Please see the discussion under “U.S. Federal
Income Tax Considerations—General—Consequences to Non-U.S. Holders” in the accompanying prospectus
for the material U.S. federal income tax consequences that will apply to Non-U.S. Holders of the Notes, except that the following disclosure
supplements the discussion in the prospectus.
A “dividend equivalent” payment is treated
as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid
to a Non-U.S. Holder. Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”)
that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying
security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment
with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our
determination that the Notes are not delta-one instruments, Non-U.S. Holders should not be subject to withholding on dividend equivalent
payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the Underlyings or the Notes, and following such occurrence the Notes could
be treated as subject to withholding on dividend 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.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal
Income Tax Considerations — General — Backup Withholding and Information Reporting” in the accompanying prospectus for
a description of the applicability of the backup withholding and information reporting rules to payments made on the Notes.
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-26 |
Contingent Income Issuer Callable Yield Notes Linked to the Least Performing of the Nasdaq-100® Index, the Russell 2000® Index and the S&P 500® Index
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:
•
Product Supplement EQUITY-1 dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315473/d429684d424b2.htm
•
Series A MTN prospectus supplement dated December 30, 2022 and prospectus dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315195/d409418d424b3.htm
This pricing supplement and the accompanying product
supplement, prospectus supplement and prospectus have been filed as part of a registration statement with the SEC, which may, without
cost, be accessed on the SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before you invest, you should read
this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for information about us, BAC and
this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by this
pricing supplement and the accompanying product supplement, prospectus supplement and prospectus. Certain terms used but not defined in
this pricing supplement have the meanings set forth in the accompanying product supplement or prospectus supplement. Unless otherwise
indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,”
or similar references are to BofA Finance, and not to BAC.
The Notes are our senior debt securities. Any payments
on the Notes are fully and unconditionally guaranteed by BAC. The Notes and the related guarantee are not insured by the Federal Deposit
Insurance Corporation or secured by collateral. The Notes will rank equally in right of payment with all of our other unsecured and unsubordinated
obligations, except obligations that are subject to any priorities or preferences by law. The related guarantee will rank equally in right
of payment with all of BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities
or preferences by law, and senior to its subordinated obligations. Any payments due on the Notes, including any repayment of the principal
amount, will be subject to the credit risk of BofA Finance, as Issuer, and BAC, as Guarantor
|
CONTINGENT INCOME ISSUER CALLABLE YIELD NOTES | PS-27 |
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