Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only
after carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light
of your particular circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant
elements of the Notes or financial matters in general. You should carefully review the more detailed explanation of risks relating
to the Notes in the “Risk Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-5
of the accompanying prospectus supplement and page 7 of the accompanying prospectus identified on page PS-2 above.
|
¨
|
Your investment may result in a loss; there is no guaranteed return of principal. There
is no fixed principal repayment amount on the Notes at maturity. If the Notes are not called prior to maturity and the Final Value
of any Underlying is less than its Downside Threshold, at maturity, you will lose 1% of the Stated Principal Amount for each 1%
that the Final Value of the Least Performing Underlying is less than its Initial Value. In that case, you will lose a significant
portion or all of your investment in the Notes.
|
|
¨
|
The limited downside protection provided by the Downside Threshold applies only at maturity.
You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary market prior to a
call or maturity, you may have to sell them at a loss relative to your initial investment even if the level of each Underlying
at that time is equal to or greater than its Downside Threshold. All payments on the Notes are subject to the credit risk of BofA
Finance, as issuer, and BAC, as guarantor.
|
|
¨
|
Your return on the Notes is limited to the return represented by the Coupon Payments over the
term of the Notes. Your return on the Notes is limited to the Coupon Payments paid over the term of the Notes, regardless of
the extent to which the Final Value of any Underlying exceeds its Initial Value. Similarly, the amount payable at maturity or upon
a call will never exceed the sum of the Stated Principal Amount and the applicable Coupon Payment, regardless of the extent to
which the Final Value of any Underlying exceeds its Initial 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. Thus, any return
on the Notes will not reflect the return you would realize if you actually owned those securities and received the dividends paid
or distributions made on them.
|
|
¨
|
The Notes are subject to a potential early call, which would limit your ability to receive
the Coupon Payments over the full term of the Notes. Beginning in October 2020, on each Call Date prior to the Maturity Date,
at our option, we may redeem your Notes in whole, but not in part. If the Notes are called prior to the Maturity Date, you will
be entitled to receive the Stated Principal Amount plus any Coupon Payment otherwise due on such Call Date. In this case, you will
lose the opportunity to continue to receive Coupon Payments after the date of the early call. If the Notes are called prior to
the Maturity Date, you may be unable to invest in other securities with a similar level of risk that could provide a return that
is similar to the Notes. Even if we do not exercise our option to redeem your Notes, our ability to do so may adversely affect
the market value of your Notes. It is our sole option whether to redeem your Notes prior to maturity on any Call Date and we may
or may not exercise this option for any reason. Because of this, the term of your Notes could be anywhere between three months
and one year.
|
It is more likely that we will call the Notes
in our sole discretion prior to maturity to the extent that the expected Coupon Payments payable on the Notes are greater than
the coupon that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the
market. The greater likelihood of us calling the Notes in that environment increases the risk that you will not be able to reinvest
the proceeds from the called Notes in an another investment that provides a similar yield with a similar level of risk. We are
less likely to call the Notes prior to maturity when the expected Coupon Payments payable on the Notes are less than the coupon
that would be payable on other comparable instruments issued by us. Therefore, the Notes are more likely to remain outstanding
when the expected Coupon Payments payable on the Notes are less than what would be payable on other comparable instruments and
when your risk of not receiving a coupon is relatively higher.
|
¨
|
Your return on the Notes may be less than the yield on a conventional debt security of comparable
maturity. Any return that you receive on the Notes may be less than the return you would earn if you purchased a conventional
debt security with the same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost
to you when you consider factors, such as inflation, that affect the time value of money. In addition, if interest rates increase
during the term of the Notes, the Coupon Payment (if any) may be less than the yield on a conventional debt security of comparable
maturity.
|
|
¨
|
Any payment on the Notes is subject to our credit risk and the credit risk of the Guarantor,
and actual or perceived changes in our or the Guarantor’s creditworthiness are expected to affect the value of the Notes.
The Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed
by the Guarantor. The Notes are not guaranteed by any entity other than the Guarantor. As a result, your receipt of all payments
on the Notes will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the
Notes on the applicable payment date, regardless of the Final Value of any Underlying as compared to its Downside Threshold or
Initial Value, as applicable. No assurance can be given as to what our financial condition or the financial condition of the Guarantor
will be on the Maturity Date. If we and the Guarantor become unable to meet our respective financial obligations as they become
due, you may not receive the amounts payable under the terms of the Notes and you could lose all of your initial investment.
|
In addition, our credit ratings and the credit
ratings of the Guarantor are assessments by ratings agencies of our respective abilities to pay our obligations. Consequently,
our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our or the Guarantor’s credit
ratings or increases in the spread between the yield on our respective securities and the yield on U.S. Treasury securities (the
“credit spread”) prior to the Maturity Date of your Notes may adversely affect the market value of the Notes. However,
because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective
obligations, such as the 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.
|
¨
|
The Notes are subject to the market risk of the Underlyings. The return on the Notes, which
may be negative, is directly linked to the performance of the Underlyings and indirectly linked to the value of the securities
included in the Underlyings. The levels of the Underlyings can rise or fall sharply due to factors specific to the Underlyings
and the securities included in the Underlyings and the issuers of such securities, such
|
as stock price volatility, earnings and financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market or commodity market volatility and levels, interest rates and economic and political
conditions.
|
¨
|
We are a finance subsidiary and, as such, have no independent assets, operations or revenues.
We are a finance subsidiary of BAC, have no operations other than those related to the issuance, administration and repayment of
our debt securities that are guaranteed by the Guarantor, and are dependent upon the Guarantor and/or its other subsidiaries to
meet our obligations under the Notes in the ordinary course. Therefore, our ability to make payments on the Notes may be limited.
|
|
¨
|
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 Trade 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 level of the Underlyings,
changes in the Guarantor’s internal funding rate, and the inclusion in the public offering price of the underwriting discount
and the hedging related charges, all as further described in “Structuring the Notes” below. These factors, together
with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may
be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways.
|
|
¨
|
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.
|
|
¨
|
The price of the Notes that may be paid by BofAS in any secondary market (if BofAS makes a
market, which it is not required to do), as well as the price which may be reflected on customer account statements, will be higher
than the then-current estimated value of the Notes for a limited time period after the Trade Date. As agreed by BofAS and UBS,
for approximately a four-month period after the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market,
it will do so at a price that will exceed the estimated value of the Notes at that time. The amount of this excess, which
represents a portion of the hedging-related charges expected to be realized by BofAS and UBS over the term of the Notes, will decline
to zero on a straight line basis over that four-month period. Accordingly, the estimated value of your Notes during this
initial four-month period may be lower than the value shown on your customer account statements. Thereafter, if BofAS buys
or sells your Notes, it will do so at prices that reflect the estimated value determined by reference to its pricing models at
that time. Any price at any time after the Trade Date will be based on then-prevailing market conditions and other considerations,
including the performance of the Underlyings and the remaining term of the Notes. However, none of us, the Guarantor, BofAS
or any other party is obligated to purchase your Notes at any price or at any time, and we cannot assure you that any party will
purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
|
|
¨
|
We cannot assure you that a trading market for your Notes will ever develop or be maintained.
We will not list the Notes on any securities exchange. We cannot predict how the Notes will trade in any secondary market or
whether that market will be liquid or illiquid.
|
The development of a trading market for the Notes
will depend on the Guarantor’s financial performance and other factors, including changes in the level of the Underlyings.
The number of potential buyers of your Notes in any secondary market may be limited. We anticipate that BofAS will act as a market-maker
for the Notes, but none of us, the Guarantor or BofAS is required to do so. There is no assurance that any party will be willing
to purchase your Notes at any price in any secondary market. BofAS may discontinue its market-making activities as to the Notes
at any time. To the extent that BofAS engages in any market-making activities, it may bid for or offer the Notes. Any price at
which BofAS may bid for, offer, purchase, or sell any Notes may differ from the values determined by pricing models that it may
use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers, or completed transactions
may affect the prices, if any, at which the Notes might otherwise trade in the market. In addition, if at any time BofAS were to
cease acting as a market-maker as to the Notes, it is likely that there would be significantly less liquidity in the secondary
market. In such a case, the price at which the Notes could be sold likely would be lower than if an active market existed.
|
¨
|
Economic and market factors have affected the terms of the Notes and may affect the market
value of the Notes prior to maturity or a call. Because market-linked notes, including the Notes, can be thought of as having
a debt component and a derivative component, factors that influence the values of debt instruments and options and other derivatives
will also affect the terms and features of the Notes at issuance and the market price of the Notes prior to maturity or a call.
These factors include the level of the Underlyings and the securities included in the Underlyings; the volatility of the Underlyings
and the securities included in the Underlyings; the correlation among the Underlyings; the dividend rate paid on the securities
included in the Underlyings, if applicable; the time remaining to the maturity of the Notes; interest rates in the markets; geopolitical
conditions and economic, financial, political, force majeure and regulatory or judicial events; the availability of comparable
instruments; the creditworthiness of BofA Finance, as issuer, and BAC, as guarantor; and the then current bid-ask spread for the
Notes and the factors discussed under “— Trading and hedging activities by us, the Guarantor and any of our other affiliates,
including BofAS, and UBS and its affiliates, may create conflicts of interest with you and may affect your return on the Notes
and their market value” below. These factors are unpredictable and interrelated and may offset or magnify each other.
|
|
¨
|
The publisher of an Underlying may adjust that Underlying in a way that affects its levels,
and the publisher has no obligation to consider your interests. The publisher of an Underlying can add, delete, or substitute
the components included in that Underlying or make other methodological changes that could change its level. Any of these actions
could adversely affect the value of your Notes.
|
|
t
|
You
are exposed to the market risk of both Underlyings. Your return on the Notes is not
linked to a basket consisting of the Underlyings. Rather, it will be contingent upon
the independent performance of each of the SPX and the RTY. Unlike an instrument with
a return linked to a basket of underlying assets, in which risk is mitigated and diversified
among all of the components of the basket, you will be exposed to the risks related to
both the SPX and the RTY. Poor performance by either of the Underlyings over the term
of the Notes may negatively affect your return and will not be offset or mitigated by
positive performance by the other Underlying. To
receive the contingent repayment of principal at maturity, each Underlying must close
at or above its Downside Threshold on the Final Observation Date. Therefore, if the
Notes are not called prior to maturity, you may incur a loss proportionate to the negative
return of the Least Performing Underlying even if the other Underlying appreciates during
the term of the Notes. Accordingly, your investment is subject to the market risk of
both Underlyings. Additionally, movements in the values of the Underlyings may be correlated
or uncorrelated at different times during the term of the Notes, and such correlation
(or lack thereof) could have an adverse effect on your return on the Notes. For example,
the likelihood that one of the Underlyings will close below its Downside Threshold on
the Final Observation Date will increase when the movements in the values of the Underlyings
are uncorrelated. Thus, if the performance of the Underlyings is not correlated or is
negatively correlated, the risk of incurring a significant loss of principal at maturity
is greater. In addition, correlation generally decreases for each additional Underlying
to which the Notes are linked, resulting in a greater potential for a significant loss
of principal at maturity. Although the correlation of the Underlyings’ performance
may change over the term of the Notes, the economic terms of the Notes, including the
Coupon Rate and Downside Thresholds, are determined, in part, based on the correlation
of the Underlyings’ performance calculated using our and our affiliates' pricing
models at the time when the terms of the Notes are finalized. All other things being
equal, a higher Coupon Rate and lower Downside Threshold is generally associated with
lower correlation of the Underlyings, which may indicate a greater potential for a significant
loss on your investment at maturity. See “Correlation of the Underlyings”
below.
|
|
t
|
Because the Notes are linked to the performance of the least performing
between the SPX and the RTY, you are exposed to greater risk of sustaining a significant loss on your investment than if the Notes
were linked to just the SPX or just the RTY. The risk that you will lose a significant portion or all of your investment in
the Notes is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance
of just the SPX or just the RTY. With two Underlyings, it is more likely that either Underlying will close below its Downside Threshold
on the Final Observation Date than if the Notes were linked to only one of the Underlyings, and therefore it is more likely that
you will receive a Payment at Maturity that is significantly less than the Stated Principal Amount on the Maturity Date.
|
|
t
|
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.
|
|
¨
|
Greater expected volatility generally indicates an increased risk of loss. A higher Coupon
Rate and/or a lower Downside Threshold may reflect greater expected volatilities of the Underlyings, which is generally associated
with a greater risk of loss. Volatility is a measure of the degree of variation in the levels of the Underlyings over a period
of time. The greater the expected volatilities of the Underlyings at the time the terms of the Notes are set, the greater the expectation
is at that time that you may not receive one or more, or all, Coupon Payments and that you may lose a significant portion or all
of the Stated Principal Amount at maturity. In addition, the economic terms of the Notes, including the Coupon Rate and the Downside
Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where
higher expected volatilities will generally be reflected in a higher Coupon Rate than the fixed rate we would pay on conventional
debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Downside Threshold as compared to
otherwise comparable securities. Accordingly, a higher Coupon Rate will generally be indicative of a greater risk of loss while
a lower Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Coupon Payments or
returning the Stated Principal Amount at maturity. You should be willing to accept the downside market risk of each Underlying
and the potential loss of a significant portion or all of the Stated Principal Amount at maturity.
|
|
t
|
Trading and hedging activities by us, the Guarantor and any of our other affiliates, including
BofAS, and UBS and its affiliates, may create conflicts of interest with you and may affect your return on the Notes and
their market value. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates,
may buy or sell the securities held by or included in the Underlyings, or futures or options contracts on the Underlyings or those
securities, or other listed or over-the-counter derivative instruments linked to the Underlyings or those securities. We, the Guarantor
or one or more of our other affiliates, including BofAS, and UBS and its affiliates also may issue or underwrite other financial
instruments with returns based upon the Underlyings. We expect to enter into arrangements or adjust or close out existing transactions
to hedge our obligations under the Notes. We, the Guarantor or our other affiliates, including BofAS, and UBS and its affiliates
also may enter into hedging transactions relating to other notes or instruments, some of which may have returns calculated in a
manner related to that of the Notes offered hereby. We or UBS may enter into such hedging arrangements with one of our or their
affiliates. Our affiliates or their affiliates may enter into additional hedging transactions with other parties relating to the
Notes and the Underlyings. This hedging activity is expected to result in a profit to those engaging in the hedging activity, which
could be more or less than initially expected, or the hedging activity could also result in a loss. We and our affiliates and UBS
and its affiliates will price these hedging transactions with the intent to realize a profit, regardless of whether the value of
the Notes increases or decreases. Any profit in connection with such hedging activities will be in addition to any other compensation
that we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates receive for the sale of the Notes,
which creates an additional incentive to sell the Notes to you. While we, the Guarantor or one or more of our other affiliates,
including BofAS, and UBS and its affiliates may from time to time own securities represented by the Underlyings, except to the
extent that BAC’s or UBS Group AG’s (the parent company of UBS) common stock may be included in the Underlyings, as
applicable, we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates do not control any company
included in the Underlyings, and have not verified any disclosure made by any other company. We, the Guarantor or one or more of
our other affiliates, including BofAS, and UBS and its affiliates may execute such purchases or sales for our own or their own
accounts, for business reasons, or in connection with hedging our obligations under the Notes. The transactions described above
may present a conflict of interest between your interest in the Notes and the interests we, the Guarantor and our other affiliates,
including BofAS, and UBS and its affiliates may have in our or their proprietary accounts, in facilitating transactions, including
block trades, for our or their other customers, and in accounts under our or their management.
|
The transactions described above may affect the
value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the Trade Date, any purchases
or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf, and UBS and its affiliates (including
for the purpose of hedging anticipated exposures) may affect the value of the Underlyings. Consequently, the value of the Underlyings
may change subsequent to the Trade Date, adversely affecting the market value of the Notes. In addition, these activities may decrease
the market value of your Notes prior to maturity, and may affect the amounts to be paid on the Notes. We, the Guarantor or one
or more of our other affiliates, including BofAS, and UBS and its affiliates may purchase or otherwise acquire a long or short
position in the Notes and
may hold or resell the Notes. For example, BofAS
may enter into these transactions in connection with any market making activities in which it engages. We cannot assure you that
these activities will not adversely affect the value of the Underlyings, the market value of your Notes prior to maturity or the
amounts payable on the Notes.
|
t
|
There may be potential conflicts of interest involving the calculation agent, which is an affiliate
of ours. We have the right to appoint and remove the calculation agent. One of our affiliates will be the calculation agent
for the Notes and, as such, will make a variety of determinations relating to the Notes, including the amounts that will be paid
on the Notes. Under some circumstances, these duties could result in a conflict of interest between its status as our affiliate
and its responsibilities as calculation agent.
|
|
t
|
The U.S. federal income tax consequences of an investment in the Notes are uncertain, and may
be adverse to a holder of the Notes. No statutory, judicial, or administrative authority directly addresses the characterization
of the Notes or securities similar to the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S.
federal income tax consequences of an investment in the Notes are not certain. Under the terms of the Notes, you will have agreed
with us to treat the Notes as income-bearing single financial contracts, as described below under “U.S. Federal Income Tax
Summary—General.” If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative
characterization for the Notes, the timing and character of income, gain or loss with respect to the Notes may differ. No ruling
will be requested from the IRS with respect to the Notes and no assurance can be given that the IRS will agree with the statements
made in the section entitled “U.S. Federal Income Tax Summary.” You are urged to consult with your own tax advisor
regarding all aspects of the U.S. federal income tax consequences of investing in the Notes.
|
Hypothetical terms only. Actual terms may vary. See
the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon a call or at
maturity for a $10.00 Stated Principal Amount Note with the following assumptions* (the actual terms of the Notes will be determined
on the Trade Date; amounts may have been rounded for ease of reference and do not take into account any tax consequences from investing
in the Notes):
|
t
|
Stated Principal Amount: $10
|
|
t
|
Term: One year, unless earlier called
|
|
t
|
Hypothetical Initial Values:
|
|
o
|
Russell 2000® Index: 100.00
|
|
t
|
Coupon Rate: 10.25% per annum (or 0.85416% per month) (the lower end of the range for the Coupon
Rate)
|
|
t
|
Monthly Coupon Payment: $0.085416 per month per Note (the lower end of the range for the Coupon
Payment)
|
|
t
|
Issuer Call: Beginning in October 2020, quarterly, on any Call Date prior to the Maturity Date
|
|
t
|
Hypothetical Downside Thresholds:
|
|
o
|
S&P 500® Index: 50.00, which is 70% of its hypothetical Initial Value
|
|
o
|
Russell 2000® Index: 50.00, which is 70% of its hypothetical Initial Value
|
*The hypothetical Initial Value
and Downside Threshold does not represent the actual Initial Values and Downside Thresholds, respectively, applicable to the Underlying.
The actual Initial Values and Downside Thresholds will be determined on the Trade Date. All payments on the Notes are subject to
issuer and Guarantor credit risk.
Example 1 — Notes are called by us in our sole discretion on the Third Coupon Payment
Date (which is also the First Call Date).
Date
|
Payment (per Note)
|
|
First Coupon Payment Date
|
$0.085416 (Coupon Payment — Not callable)
|
Second Coupon Payment Date
|
$0.085416 (Coupon Payment — Not callable)
|
Third Coupon Payment Date (First Call Date)
|
$10.085416 (Stated Principal Amount plus Coupon Payment — Notes are called)
|
Total Payment:
|
$10.256248 (2.56248 % total return)
|
A Coupon Payment is paid on each of the first and second Coupon Payment
Dates. Since the Notes are called by us in our sole discretion on the third Coupon Payment date, which is also the first Call Date,
we will pay you a total of $10.085416 per Note (equal to the Stated Principal Amount plus the Coupon Payment) on that Call Date,
representing a 2.56248% total return on the Notes over the approximately three months the Notes were outstanding before they were
called by us in our sole discretion. You will not receive any further payments on the Notes.
Example 2 — Notes are NOT called prior to the Maturity Date and
the Final Value of the Least Performing Underlying on the Final Observation Date is at or above its Downside Threshold.
Date
|
Final Value on the Final Observation Date
|
Payment (per Note)
|
S&P 500® Index
|
Russell 2000® Index
|
|
First Coupon
Payment Date
|
|
|
$0.085416 (Coupon Payment — Not callable)
|
Second Coupon
Payment Date
|
|
|
$0.085416 (Coupon Payment — Not callable)
|
Third to Eleventh
Coupon Payment
Dates
|
|
|
$0.085416 (Coupon Payment
on each Coupon Payment Date — Notes are not called)
|
Final Observation
|
99.00 (at or above
|
85.00 (at or above Downside
|
$10.085416 (Stated Principal Amount plus the Final
|
Date
|
Downside Threshold)
|
Threshold)
|
Coupon Payment)
|
|
|
|
Total
Payment:
|
$11.025 (10.25% total return)
|
A Coupon Payment is paid on each of the first eleven Coupon
Payment Dates. On the final Observation Date, the Final Value of the Least Performing Underlying closes above its Downside Threshold.
At maturity, we will pay you $10.085416 per Note (equal to the Stated Principal Amount plus the final Coupon Payment). When added
to the Coupon Payments of $0.939576 received in respect of the first eleven Coupon Payment Dates, you would have been paid a total
of $11.025 per Note, representing a 10.25% total return on the Notes over one year.
Example 3 — Notes are NOT called prior to the Maturity Date and
the Final Value of the Least Performing Underlying on the Final Observation Date is below its Downside Threshold.
Date
|
Final Value on the Final Observation Date
|
Payment (per Note)
|
S&P 500® Index
|
Russell 2000® Index
|
|
First Coupon
Payment Date
|
|
|
$0.085416 (Coupon Payment — Not callable)
|
Second Coupon
Payment Date
|
|
|
$0.085416 (Coupon Payment — Not callable)
|
Third to Eleventh
Coupon Payment
Dates
|
|
|
$0.085416 (Notes are not called)
|
Final Observation
Date
|
99.00 (at or above
Downside Threshold)
|
50.00 (below Downside
Threshold)
|
$10.00 × [1 + Underlying Return of
the Least Performing Underlying] =
$10.00 × [1 + -50.00%] =
$10.00 × 0.50 =
$5.00
$5.00+$0.085416 = $5.085416 (Payment at Maturity)
|
|
|
|
|
|
|
|
|
|
|
|
Total Payment:
|
$6.025 (-39.75% total return)
|
A Coupon Payment is paid on each of the
first eleven Coupon Payment Dates. On the Final Observation Date, the Least Performing Underlying closes below its Downside Threshold.
At maturity, investors are exposed to the proportionate downside performance of the Least Performing Underlying and you will receive
$5.00 per Note, which reflects the percentage decrease of the closing level of the Least Performing Underlying from the Trade Date
to the Final Observation Date, plus the final Coupon Payment of $0.085416, for a Payment at Maturity of $5.085416.
The
Underlyings
All disclosures contained in this pricing supplement regarding the
Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have been derived
from publicly available sources. The information reflects the policies of, and is subject to change by each of S&P Dow Jones
Indices LLC (“SPDJI”), the sponsor of the SPX, and FTSE Russell, the sponsor of the RTY. We refer to SPDJI and FTSE
Russell as the “Underlying Sponsors.” The Underlying Sponsors, which license the copyright and all other rights to
the Underlyings, have no obligation to continue to publish, and may discontinue publication of, the Underlyings. The consequences
of any Underlying Sponsor 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 either Selling
Agent accepts any responsibility for the calculation, maintenance or publication of any Underlying or any successor index.
None of us, the Guarantor, the Selling Agents or any of our or their respective
affiliates makes any representation to you as to the future performance of the Underlyings.
You should make your own investigation into the Underlyings.
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. SPDJI may from time to time, in its sole discretion, add companies to, or delete companies from, the SPX to achieve
the objectives stated above.
Company additions to the SPX must have an unadjusted company market capitalization
of $8.2 billion or more (an increase from the previous requirement of an unadjusted company market capitalization of $6.1 billion
or more).
SPDJI calculates the SPX by reference to the prices of the constituent
stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on the Notes will
not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid on those
stocks.
Computation of the SPX
While SPDJI currently employs the following methodology to calculate
the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect the Payment
at Maturity.
Historically, the market value of any component stock of the SPX was
calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March
2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula, before moving
the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not change
with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX
reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes
shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing more than 5% of a stock’s
outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating
the SPX. Generally, these “control holders” will include officers and directors, private equity, venture capital and
special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares,
ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater
stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds,
mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance
companies, asset managers and investment funds, independent foundations and savings and investment plans, will ordinarily be considered
part of the float.
Treasury stock, stock options, restricted shares, equity participation
units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors
in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the
float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or
non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”) is calculated
by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares
outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5%
of the company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However,
if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s
shares, SPDJI would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered
to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in
the SPX. Constituents of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to
be included in the SPX. If a constituent company of the SPX reorganizes into a multiple share class line structure, that company
will remain in the SPX at the discretion of the S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate methodology. The
level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941 through
1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has
been set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of
the SPX is computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the
index divisor is an arbitrary number.
However, in the context of the calculation of the SPX, it serves as a
link to the original base period level of the SPX. The index divisor keeps the SPX comparable over time and is the manipulation
point for all adjustments to the SPX, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the adjustments
for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring
or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding
and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due to corporate actions,
corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting the index divisor
for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of individual
companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
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 1, 2008 through July 7, 2020. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal orange line in the graph represents
the SPX’s hypothetical Downside Threshold of 2,201.72 (rounded to two decimal places), which is 70% of the SPX’s hypothetical
Initial Value of 3,145.32, which was the SPX’s closing level on July 7, 2020. The actual Initial Value and Downside Threshold
will be determined on the Trade Date.
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 level of the
SPX during any period set forth above is not an indication that the 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 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, MLPF&S. The SPX is a product of S&P
Dow Jones Indices LLC and/or its affiliates and has been licensed for use by MLPF&S.
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 MLPF&S 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, MLPF&S,
or the Notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs or the needs of MLPF&S or holders
of the Notes into consideration in determining, composing or calculating the SPX. S&P Dow Jones
Indices are not responsible for and have not participated in the determination
of the prices, and amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation
of the equation by which the Notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in
connection with the administration, marketing or trading of the Notes. There is no assurance that investment products based on
the SPX will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries
are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow
Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding
the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Notes
currently being issued by us, but which may be similar to and competitive with the Notes. In addition, CME Group Inc. and its affiliates
may trade financial products which are linked to the performance of the SPX. It is possible that this trading activity will affect
the value of the Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS
AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY
DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED
BY US, BAC, MLPF&S, 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 MLPF&S,
OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The Russell 2000® Index
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Additional information on the RTY is available at the following website: http://www.ftserussell.com. No information on that
website is deemed to be included or incorporated by reference in this pricing supplement.
Russell began dissemination of the RTY (Bloomberg L.P. index symbol “RTY”)
on January 1, 1984. FTSE Russell calculates and publishes the RTY. The RTY was set to 135 as of the close of business on December
31, 1986. The RTY is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset
of the Russell 3000® Index, the RTY consists of the smallest 2,000 companies included in the Russell 3000®
Index. The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies, representing
approximately 98% of the investable U.S. equity market. The RTY is determined, comprised, and calculated by FTSE Russell without
regard to the Notes.
Selection of Stocks Comprising the RTY
All companies eligible for inclusion in the RTY must be classified
as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated headquarters
location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the
company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell defines three Home
Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most liquid exchange
(as defined by a two-year average daily dollar trading volume) (“ADDTV”) from all exchanges within a country. Using
the HCIs, FTSE Russell compares the primary location of the company’s assets with the three HCIs. If the primary location
of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient
information to determine the country in which the company’s assets are primarily located, FTSE Russell will use the primary
country from which the company’s revenues are 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
(“OTC”) traded securities are not eligible for inclusion. Exchange traded funds and mutual funds are also excluded.
Annual reconstitution is a process by which the RTY is completely rebuilt.
Based on closing levels of the company’s common stock on its primary exchange on the rank day of May of each year, FTSE Russell
reconstitutes the composition of the RTY using the then existing market capitalizations of eligible companies. Reconstitution of
the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the prior
Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization
ranking within the market-adjusted capitalization breaks established during the most recent reconstitution. After membership is
determined, a security’s shares are adjusted to include only those shares available to the public. This is often referred
to as “free float.” The purpose of the adjustment is to exclude from market calculations the capitalization that is
not available for purchase and is not part of the investable opportunity set.
Historical Performance of the RTY
The following graph sets forth the daily historical performance of the
RTY in the period from January 1, 2008 through July 7, 2020. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal orange line in the graph represents
the RTY’s hypothetical Downside Threshold of 991.197 (rounded to three decimal places), which is 70% of the RTY’s hypothetical
Initial Value of 1,415.996, which was the RTY’s closing level on July 7, 2020. The actual Initial Value and Downside Threshold
will be determined on the Trade Date.
This historical data on the RTY is not necessarily indicative of the
future performance of the RTY or what the value of the Notes may be. Any historical upward or downward trend in the level of the
RTY during any period set forth above is not an indication that the level of the RTY is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available
sources for the levels of the RTY.
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have
been licensed for use by our affiliate, MLPF&S. 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 MLPF&S have entered into a non-exclusive license agreement
providing for the license to MLPF&S 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 MLPF&S 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 MLPF&S, 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 MLPF&S, US, HOLDERS OF THE NOTES, OR ANY
OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RTY OR
ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Correlation of the Underlyings
The graph below illustrates the daily performance
of the SPX and the RTY from January 1, 2008 through July 7, 2020. For comparison purposes, each Underlying has been “normalized”
to have a closing level of 100 on January 1, 2008 by dividing the closing level of that Underlying on each trading day by the closing
level of that Underlying on January 1, 2008 and multiplying by 100. We obtained the closing levels used to determine the normalized
closing levels set forth below from Bloomberg L.P., without independent verification.
The correlation of a pair of Underlyings
represents a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a
given period in terms of timing and direction. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0
indicating perfect positive correlation (i.e., the value of both Underlyings are increasing together or decreasing together
and the ratio of their returns has been constant), 0 indicating no correlation (i.e., there is no statistical relationship
between the returns of that pair of Underlyings) and -1.0 indicating perfect negative correlation (i.e., as the value of
one Underlying increases, the value of the other Underlying decreases and the ratio of their returns has been constant).
The graph below illustrates the historical
performance of each Underlying relative to each other over the time period shown and provides an indication of how close the relative
performance of each Underlying has historically been to the other Underlying. A closer relationship between the daily returns of
two or more underlying assets over a given period indicates that such underlying assets have been more positively correlated. Lower
(or more-negative) correlation among two or more underlying assets over a given period may indicate that it is less likely that
those underlying assets will subsequently move in the same direction. Therefore, lower correlation among the Underlyings may indicate
a greater potential for one of the Underlyings to close below its Downside Threshold on the Final Observation Date, because there
may be a greater likelihood that at least one of the Underlyings will decrease in value significantly. However, even if the Underlyings
have a higher positive correlation, one or both of the Underlyings may close below the Downside Threshold(s) on the Final Observation
Date, as the Underlyings may both decrease in value. Moreover, the actual correlation among the Underlyings may differ, perhaps
significantly, from their historical correlation. Although the correlation of the Underlyings’ performance may change over
the term of the Notes, the economic terms of the Notes, including the Coupon Rate and Downside Threshold are determined, in part,
based on the correlation of the Underlyings’ performance calculated using our and our affiliates' pricing models at the time
when the terms of the Notes are finalized. All other things being equal, a higher Coupon Rate and lower Downside Threshold is generally
associated with lower correlation among the Underlyings, which may indicate a greater potential for a significant loss on your
investment at maturity. See “Risk Factors — You are exposed to the market risk of both Underlyings”, “—Because
the Notes are linked to the performance of the least performing between the SPX and the RTY, you are exposed to greater risk of
sustaining a significant loss on your investment than if the Notes were linked to just the SPX or just the RTY” and “—A
higher Coupon Rate and/or a lower Downside Threshold may reflect greater expected volatility of the Underlyings, which is generally
associated with a greater risk of loss” herein.
Past performance and correlation of the
Underlyings are not indicative of the future performance or correlation of the Underlyings.
Supplement to the Plan of Distribution; Role of BofAS and Conflicts of Interest
|
BofAS, an affiliate of BofA Finance and the lead selling agent for the sale
of the Notes, will receive an underwriting discount of $0.10 for any Note sold in this offering. UBS, as selling agent for sales
of the Notes, expects to purchase from BofAS, and BofAS expects to sell to UBS, all of the Notes sold in this offering for $9.90
per Note. UBS proposes to offer the Notes to the public at a price of $10.00 per Note. UBS will receive an underwriting discount
of $0.10 for each Note it sells to the public. The underwriting discount will be received by UBS and its financial advisors collectively.
If all of the Notes are not sold at the initial offering price, BofAS may change the public offering price and other selling terms.
BofAS, a broker-dealer affiliate of ours, is a member of the Financial
Industry Regulatory Authority, Inc. (“FINRA”) and will participate as lead selling agent in the distribution of the
Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in
this offering to any of its discretionary accounts without the prior written approval of the account holder.
BofAS and any of our other broker-dealer affiliates may use this pricing
supplement, and the accompanying product supplement, prospectus supplement and prospectus, for offers and sales in secondary market
transactions and market-making transactions in the Notes. However, they are not obligated to engage in such secondary market transactions
and/or market-making transactions. BofAS may act as principal or agent in these transactions, and any such sales will be made at
prices related to prevailing market conditions at the time of the sale.
As agreed by BofAS and UBS, for approximately a four-month period after
the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market, it will do so at a price that will exceed
the estimated value of the Notes at that time. The amount of this excess will decline on a straight line basis over that period.
Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value determined by reference
to its pricing models at that time. Any price at any time after the Trade Date will be based on then-prevailing market conditions
and other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of us,
the Guarantor, BofAS, UBS or any other party is obligated to purchase your Notes at any price or at any time, and we cannot assure
you that any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase the Notes will depend upon
then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times, this
price may be higher than or lower than the initial estimated value of the Notes.
Sales Outside of the United States
The Notes have not been approved for public sale in any jurisdiction
outside of the United States. There has been no registration or filing as to the Notes with any regulatory, securities, banking,
or local authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other affiliate
of BAC, or by UBS or any of its affiliates, to offer the Notes in any jurisdiction other than the United States. As such, these
Notes are made available to investors outside of the United States only in jurisdictions where it is lawful to make such offer
or sale and only under circumstances that will result in compliance with applicable laws and regulations, including private placement
requirements.
Further, no offer or sale of the Notes is being made to residents of:
You are urged to carefully review the selling
restrictions that may be applicable to your jurisdiction beginning on page S-68 of the accompanying prospectus supplement.
European Economic Area and United Kingdom
None of this pricing supplement, the accompanying product
supplement, the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the Prospectus
Regulation (as defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus and the
accompanying prospectus supplement have been prepared on the basis that any offer of Notes in any Member State of the European
Economic Area (the “EEA”) or in the United Kingdom (each, a “Relevant State”) will only be made to a legal
entity which is a qualified investor under the Prospectus Regulation (“Qualified Investors”). Accordingly any person
making or intending to make an offer in that Relevant State of Notes which are the subject of the offering contemplated in this
pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying prospectus supplement
may only do so with respect to Qualified Investors. Neither BofA Finance nor BAC have authorized, nor do they authorize, the making
of any offer of Notes other than to Qualified Investors. The expression “Prospectus Regulation” means Regulation (EU)
2017/1129.
PROHIBITION OF SALES TO EEA AND UNITED KINGDOM RETAIL
INVESTORS – The Notes are not intended to be offered, sold or otherwise made available to and should not be offered,
sold or otherwise made available to any retail investor in the EEA or in the United Kingdom.
For these purposes: (a) a retail investor means a person
who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended (“MiFID
II”); or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution Directive), where that
customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified
investor as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication in any
form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor
to decide to purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU) No 1286/2014,
as amended (the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail
investors in the EEA or in the United Kingdom has been prepared and therefore offering or selling the Notes or otherwise making
them available to any retail investor in the EEA or in the United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement, the accompanying
product supplement, the accompanying prospectus supplement, the accompanying prospectus and any other document or materials relating
to the issue of the Notes offered hereby is not being made, and such documents and/or materials have not been approved, by an authorized
person for the purposes of section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the “FSMA”).
Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general public in
the United Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those persons
in the United Kingdom who have professional experience in matters relating to investments and who fall within the definition of
investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order
2005, as amended (the “Financial Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion
Order, or who are any other persons to whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons
together being referred to as “relevant persons”). In the United Kingdom, the Notes offered hereby are only available
to, and any investment or investment activity to which this pricing supplement, the accompanying product supplement, the accompanying
prospectus supplement and the accompanying prospectus relates will be engaged in only with, relevant persons. Any person in the
United Kingdom that is not a relevant person should not act or rely on this pricing supplement, the accompanying product supplement,
the accompanying prospectus supplement or the accompanying prospectus or any of their contents.
Any invitation or inducement to engage in investment
activity (within the meaning of Section 21 of the FSMA) in connection with the issue or sale of the Notes may only be communicated
or caused to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to the issuer or the Guarantor.
All applicable provisions of the FSMA must be complied with in respect to anything
done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
Structuring
the Notes
Any payments on the Notes, including any Coupon Payments, depend
on the credit risk of BofA Finance and BAC and on the performance of the 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 it enters into. BAC’s internal funding rate is typically lower
than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding rate,
as well as the underwriting discount and the hedging related charges described elsewhere in this pricing supplement, 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 Trade Date.
On the cover page of this preliminary pricing supplement, we have provided
the initial estimated value range for the Notes. The final pricing supplement will set forth the initial estimated value of the
Notes as of the Trade Date.
The Notes are our debt securities, the return on which is linked
to the performance of the Underlying. The related guarantees are BAC’s obligations. 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 Trade 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-7 above and “Supplemental Use of Proceeds” on page PS-19 of the accompanying product supplement.
U.S. Federal Income Tax Summary
|
The following summary of the material U.S. federal income tax considerations
of the acquisition, ownership, and disposition of the Notes supplements, and to the extent inconsistent supersedes, the discussions
under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and under “U.S. Federal Income
Tax Considerations” in the accompanying prospectus supplement and is not exhaustive of all possible tax considerations. This
summary is based upon the Internal Revenue Code of 1986, as amended (the “Code”), regulations promulgated under the
Code by the U.S. Treasury Department (“Treasury”) (including proposed and temporary regulations), rulings, current
administrative interpretations and official pronouncements of the IRS, and judicial decisions, all as currently in effect and all
of which are subject to differing interpretations or to change, possibly with retroactive effect. No assurance can be given that
the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences described below.
This summary does not include any description of the tax laws of any state or local governments, or of any foreign government,
that may be applicable to a particular holder.
Although the Notes are issued by us, they will be treated as if they were issued
by BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to “we,” “our”
or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders and Non-U.S. Holders that, except
as otherwise specifically noted, will purchase the Notes upon original issuance and will hold the Notes as capital assets within
the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not excluded from the
discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning the U.S. federal income
tax consequences to you of acquiring, owning, and disposing of the Notes, as well as any tax consequences arising under the laws
of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.
General
Although there is no statutory, judicial, or administrative authority directly
addressing the characterization of the Notes, we intend to treat the Notes for all tax purposes as income-bearing single financial
contracts with respect to the Underlyings and under the terms of the Notes, we and every investor in the Notes agree, in the absence
of an administrative determination or judicial ruling to the contrary, to treat the Notes in accordance with such characterization.
In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the Notes as income-bearing single financial contracts
with respect to the Underlyings. However, Sidley Austin LLP has advised us that it is unable to conclude that it is more likely
than not that this treatment will be upheld. This discussion assumes that the Notes constitute income-bearing single financial
contracts with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did not constitute income-bearing
single financial contracts, the tax consequences described below would be materially different.
This characterization of the Notes is not binding on the IRS or the courts.
No statutory, judicial, or administrative authority directly addresses the characterization of the Notes or any similar instruments
for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization
and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences of an
investment in the Notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterization
and tax treatment described in this pricing supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects
of the U.S. federal income tax consequences of an investment in the Notes, including possible alternative characterizations.
Unless otherwise stated, the following discussion is based on the characterization
described above. The discussion in this section assumes that there is a significant possibility of a significant loss of principal
on an investment in the Notes.
We will not attempt to ascertain whether the issuer of any component stocks included
in the Underlyings would be treated as a “passive foreign investment company” (“PFIC”), within the meaning
of Section 1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c) of the
Code. If the issuer of one or more stocks included in the Underlyings were so treated, certain adverse U.S. federal income tax
consequences could possibly apply to a holder of the Notes. You should refer to information filed with the SEC by the issuers of
the component stocks included in the Underlyings and consult your tax advisor regarding the possible consequences to you, if any,
if any issuer of a component stock included in the Underlyings is or becomes a PFIC or is or becomes a United States real property
holding corporation.
U.S. Holders
Although the U.S. federal income tax treatment of any Coupon Payment on the Notes
is uncertain, we intend to take the position, and the following discussion assumes, that any Coupon Payment constitutes taxable
ordinary income to a U.S. Holder at the time received or accrued in accordance with the U.S. Holder’s regular method of accounting.
By purchasing the Notes you agree, in the absence of an administrative determination or judicial ruling to the contrary, to treat
any Coupon Payment as described in the preceding sentence.
Upon receipt of a cash payment at maturity or upon a sale, exchange, or redemption
of the Notes prior to maturity, a U.S. Holder generally will recognize capital gain or loss equal to the difference between the
amount realized (other than amounts representing any Coupon Payment, which would be taxed as described above) and the U.S. Holder’s
tax basis in the Notes. A U.S. Holder’s tax basis in the Notes will equal the amount paid by that holder to acquire them.
This capital gain or loss generally will be long-term capital gain or loss if the U.S. Holder held the Notes for more than one
year. The deductibility of capital losses is subject to limitations.
Alternative Tax Treatments. Due to the absence of authorities that directly
address the proper tax treatment of the Notes, prospective investors are urged to consult their tax advisors regarding all possible
alternative tax treatments of an investment in the Notes. In particular, the IRS could seek to
subject the Notes to the Treasury regulations governing contingent payment debt
instruments. If the IRS were successful in that regard, the timing and character of income on the Notes would be affected significantly.
Among other things, a U.S. Holder would be required to accrue original issue discount every year at a “comparable yield”
determined at the time of issuance. In addition, any gain realized by a U.S. Holder at maturity or upon a sale, exchange, or redemption
of the Notes generally would be treated as ordinary income, and any loss realized at maturity or upon a sale, exchange, or redemption
of the Notes generally would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue
discount, and as capital loss thereafter.
In addition, it is possible that the Notes could be treated as a unit consisting
of a deposit and a put option written by the Note holder, in which case the timing and character of income on the Notes would be
affected significantly.
The IRS released Notice 2008-2 (the “Notice”), which sought comments
from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.” This Notice
addresses instruments such as the Notes. According to the Notice, the IRS and Treasury are considering whether a holder of an instrument
such as the Notes should be required to accrue ordinary income on a current basis, regardless of whether any payments are made
prior to maturity. It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such future
guidance may affect the amount, timing and character of income, gain, or loss in respect of the Notes, possibly with retroactive
effect.
The IRS and Treasury are also considering additional issues, including whether
additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holders of such instruments
should be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive
ownership transactions,” generally applies or should generally apply to such instruments, and whether any of these determinations
depend on the nature of the underlying asset.
In addition, proposed Treasury regulations require the accrual of income
on a current basis for contingent payments made under certain notional principal contracts. The preamble to the regulations states
that the “wait and see” method of accounting does not properly reflect the economic accrual of income on those contracts,
and requires current accrual of income for some contracts already in existence. While the proposed regulations do not apply to
prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in the
case of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingent
payments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of the Notes.
Because of the absence of authority regarding the appropriate tax characterization
of the Notes, it is also possible that the IRS could seek to characterize the Notes in a manner that results in tax consequences
that are different from those described above. For example, the IRS could possibly assert that any gain or loss that a holder may
recognize at maturity or upon the sale, exchange, or redemption of the Notes should be treated as ordinary gain or loss.
Because each Underlying is an index that periodically rebalances, it is possible
that the Notes could be treated as a series of income-bearing single financial contracts, each of which matures on the next rebalancing
date. If the Notes were properly characterized in such a manner, a U.S. Holder would be treated as disposing of the Notes on each
rebalancing date in return for new Notes that mature on the next rebalancing date, and a U.S. Holder would accordingly likely recognize
capital gain or loss on each rebalancing date equal to the difference between the holder’s tax basis in the Notes (which
would be adjusted to take into account any prior recognition of gain or loss) and the fair market value of the Notes on such date.
Non-U.S. Holders
Because the U.S. federal income tax treatment of the Notes (including any Coupon
Payment) is uncertain, we will withhold U.S. federal income tax at a 30% rate (or at a lower rate under an applicable income tax
treaty) on the entire amount of any Coupon Payment made unless such payments are effectively connected with the conduct by the
Non-U.S. Holder of a trade or business in the U.S. (in which case, to avoid withholding, the Non-U.S. Holder will be required to
provide a Form W-8ECI). We will not pay any additional amounts in respect of such withholding. To claim benefits under an income
tax treaty, a Non-U.S. Holder must obtain a taxpayer identification number and certify as to its eligibility under the appropriate
treaty’s limitations on benefits article, if applicable. In addition, special rules may apply to claims for treaty benefits
made by Non-U.S. Holders that are entities rather than individuals. The availability of a lower rate of withholding under an applicable
income tax treaty will depend on whether such rate applies to the characterization of the payments under U.S. federal income tax
laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal withholding tax pursuant to an income tax treaty may
obtain a refund of any excess amounts withheld by filing an appropriate claim for refund with the IRS.
Except as discussed below, a Non-U.S. Holder generally will not be subject to
U.S. federal income or withholding tax for amounts paid in respect of the Notes (not including, for the avoidance of doubt, amounts
representing any Coupon Payment which would be subject to the rules discussed in the previous paragraph) upon the sale, exchange,
or redemption of the Notes or their settlement at maturity, provided that the Non-U.S. Holder complies with applicable certification
requirements and that the payment is not effectively connected with the conduct by the Non-U.S. Holder of a U.S. trade or business.
Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the Notes or their settlement at maturity may be
subject to U.S. federal income tax if that Non-U.S. Holder is a non-resident alien individual and is present in the U.S. for 183
days or more during the taxable year of the sale, exchange, redemption, or settlement and certain other conditions are satisfied.
If a Non-U.S. Holder of the Notes is engaged in the conduct of a trade or business
within the U.S. and if any Coupon Payment and gain realized on the settlement at maturity, or upon sale, exchange or redemption
of the Notes, is effectively connected with the conduct of such trade or business (and, if certain tax treaties apply, is attributable
to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S. Holder, although exempt from U.S. federal
withholding tax, generally will be subject to U.S. federal income tax on such Coupon Payment and gain on a net income basis in
the same manner as if it were a U.S. Holder. Such Non-U.S. Holders should read the material under the heading “—U.S.
Holders,” for a description of the U.S. federal income tax consequences of acquiring, owning, and disposing of the Notes.
In addition, if such Non-U.S. Holder is a foreign corporation, it may also be subject to a branch profits tax equal to 30% (or
such lower rate provided by any applicable tax treaty) of a portion of
its earnings and profits for the taxable year that are effectively connected
with its conduct of a trade or business in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated as a dividend from sources
within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a Non-U.S. Holder.
Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”)
that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an
“underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income
tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides
that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are
issued before January 1, 2023. Based on our determination that the Notes are not delta-one instruments, Non-U.S. Holders should
not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes
could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Underlyings
or the Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments.
Non-U.S. Holders that enter, or have entered, into other transactions in respect of the Underlyings or the Notes should consult
their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other
transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would
be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
As discussed above, alternative characterizations of the Notes for U.S. federal
income tax purposes are possible. Should an alternative characterization, by reason of change or clarification of the law, by regulation
or otherwise, cause payments as to the Notes to become subject to withholding tax in addition to the withholding tax described
above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should consult their own tax advisors
regarding the tax consequences of such alternative characterizations.
U.S. Federal Estate Tax. Under current law, while the matter is not entirely
clear, individual Non-U.S. Holders, and entities whose property is potentially includible in those individuals’ gross estates
for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual
has retained certain interests or powers), should note that, absent an applicable treaty benefit, a Note is likely to be treated
as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors
regarding the U.S. federal estate tax consequences of investing in a Note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal Income Tax Considerations
— Taxation of Debt Securities — Backup Withholding and Information Reporting” in the accompanying prospectus
for a description of the applicability of the backup withholding and information reporting rules to payments made on the Notes.