This pricing supplement, which is not complete and may be changed, relates to an effective Registration Statement under the Securities Act of 1933. This pricing supplement and the accompanying product supplement, prospectus supplement and prospectus are not an offer to sell these Notes in any country or jurisdiction where such an offer would not be permitted.
Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
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Approximate 2 year term.
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Payment on the Notes will depend on the individual performance of the Nasdaq-100® Index and the Dow Jones Industrial Average® (each an Underlying).
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1.055-to-1 upside exposure to increases in the Least Performing Underlying if its closing level on the Valuation Date is greater than its Starting Value.
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1-to-1 positive return based on decreases in the Least Performing Underlying if its closing level on the Valuation Date is less than its Starting Value but greater than or equal to 85% of its Starting Value. Otherwise, you will be exposed to any decrease in the Least Performing Underlying beyond 85% of its Starting Value, with up to 85% of the principal at risk.
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No periodic interest payments.
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All payments on the Notes are subject to the credit risk of BofA Finance LLC (BofA Finance) and Bank of America Corporation (BAC or the Guarantor).
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The Notes are expected to price on September 9, 2022, expected to issue on September 14, 2022 and expected to mature on September 12, 2024.
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The Notes will not be listed on any securities exchange.
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The initial estimated value of the Notes as of the pricing date is expected to be between $930 and $980 per $1,000 in principal amount of Notes, which is less than the public offering price listed below. The actual value of your Notes at any time will reflect many factors and cannot be predicted with accuracy. See Risk Factors beginning on page PS-6 of this pricing supplement and Structuring the Notes on page PS-17 of this pricing supplement for additional information. Potential purchasers of the Notes should consider the information in Risk Factors beginning on page PS-6 of this pricing supplement, page PS-5 of the accompanying product supplement, page S-5 of the accompanying prospectus supplement, and page 7 of the accompanying prospectus.
None of the Securities and Exchange Commission (the SEC), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus (as defined on page PS-20) is truthful or complete. Any representation to the contrary is a criminal offense.
|
Public offering price(1) |
Underwriting discount(1)(2) |
Proceeds, before expenses, to BofA Finance(2) |
Per Note |
$1,000.00 |
$7.50 |
$992.50 |
Total |
|
|
|
| (1) | Certain dealers who purchase the
Notes for sale to certain fee-based advisory accounts may forgo some or all of their selling concessions, fees or commissions. The public
offering price for investors purchasing the Notes in these fee-based advisory accounts may be as low as $992.50 per $1,000 in principal
amount of Notes. |
| (2) | The underwriting discount per $1,000
in principal amount of Notes may be as high as $7.50, resulting in proceeds, before expenses, to BofA Finance of as low as $992.50 per
$1,000 in principal amount of Notes. |
The Notes and the related guarantee:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
Selling Agent
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Terms of the Notes
The Dual Directional Buffered Notes Linked
to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average® (the “Notes”) provide a 1.055:1
upside exposure to increases in the Least Performing Underlying if its Ending Value is greater than or equal to its Starting Value. If
the Ending Value of the Least Performing Underlying is less than its Starting Value but greater than or equal to its Threshold Value,
you will receive a positive return equal to the Absolute Underlying Return. However, if the Ending Value of the Least Performing Underlying
is less than its Threshold Value, you will be exposed to any decrease in the Underlying beyond the Threshold Value, and you will lose
some or a substantial portion of your investment in the Notes. The Notes are not traditional debt securities and it is possible that you
may lose some or a substantial portion of your principal amount at maturity. Any payments on the Notes will be calculated based on $1,000
in principal amount of Notes and will depend on the performance of the Underlyings, subject to our and BAC’s credit risk.
Issuer: |
BofA Finance |
Guarantor: |
BAC |
Denominations: |
The Notes will be issued in minimum denominations of $1,000 and whole multiples of $1,000 in excess thereof. |
Term: |
Approximately 2 years |
Underlyings: |
The Nasdaq-100® Index (Bloomberg symbol: “NDX”) and the Dow Jones Industrial Average® (Bloomberg symbol: “INDU”), each a price return index. |
Pricing Date*: |
September 9, 2022 |
Issue Date*: |
September 14, 2022 |
Valuation Date*: |
September 9, 2024, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Calculation Days” of the accompanying product supplement. |
Maturity Date*: |
September 12, 2024 |
Starting Value: |
With respect to each Underlying, its closing level on the pricing date. |
Ending Value: |
With respect to each Underlying, its closing level on the Valuation Date, as determined by the calculation agent. |
Threshold Value: |
With respect to each Underlying, 85% of its Starting Value. |
Upside Participation Rate: |
105.5% |
Redemption Amount: |
At maturity, the Redemption
Amount per $1,000 in principal amount of Notes will be:
a)
If the Ending Value of the Least Performing Underlying
is greater than or equal to its Starting Value:
b)
If the Ending Value of the Least Performing Underlying
is less than its Starting Value but greater than or equal to its Threshold Value:
$1,000 +
c)
If the Ending Value of the Least Performing Underlying
is less than its Threshold Value:
In this case, the Redemption
Amount will be less than the principal amount and you will lose some or a substantial portion of the principal amount. |
Calculation Agent: |
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance. |
|
DUAL DIRECTIONAL BUFFERED NOTES | PS-2 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Selling Agent: |
BofAS |
CUSIP: |
09709U6M5 |
Underlying Return: |
With respect to each Underlying,
|
Absolute Underlying Return: |
The absolute value of
the Underlying Return of the Least Performing Underlying.
For example, if the Underlying
Return of the Least Performing Underlying is -5%, the Absolute Underlying Return will equal 5%. |
Least Performing Underlying: |
The Underlying with the
lowest Underlying Return.
|
Events of Default and Acceleration: |
If an Event of Default, as defined in the senior indenture relating to the Notes and in the section entitled “Description of Debt Securities—Events of Default and Rights of Acceleration” beginning on page 22 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “—Redemption Amount” above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third trading day prior to the date of acceleration. In case of a default in the payment of the Notes, whether at their maturity or upon acceleration, the Notes will not bear a default interest rate. |
*Subject to change. |
Any payments on the Notes depend on the credit risk of BofA Finance, as Issuer, and BAC, as Guarantor, and on the performance of the Underlyings.
The economic terms of the Notes are based on BAC’s internal funding rate, which is the rate it would pay to borrow funds through
the issuance of market-linked notes, and the economic terms of certain related hedging arrangements BAC’s affiliates enter into.
BAC’s internal funding rate is typically lower than the rate it would pay when it issues conventional fixed or floating rate debt
securities. This difference in funding rate, as well as the underwriting discount and the hedging related charges described below (see
“Risk Factors” beginning on page PS-6), will reduce the economic terms of the Notes to you and the initial estimated value
of the Notes. Due to these factors, the public offering price you pay to purchase the Notes will be greater than the initial estimated
value of the Notes as of the pricing date.
The initial estimated value range
of the Notes as of the date of this pricing supplement is set forth on the cover page of this pricing supplement. The final pricing supplement
will set forth the initial estimated value of the Notes as of the pricing date. For more information about the initial estimated value
and the structuring of the Notes, see “Risk Factors” beginning on page PS-6 and “Structuring the Notes” on page
PS-17.
|
DUAL DIRECTIONAL BUFFERED NOTES | PS-3 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Redemption Amount Determination
On the Maturity Date, you will receive
a cash payment per $1,000 in principal amount of Notes determined as follows:
All payments described above are
subject to the credit risk of BofA Finance, as Issuer, and BAC, as Guarantor.
|
DUAL DIRECTIONAL BUFFERED NOTES | PS-4 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Hypothetical Payout Profile and Examples of Payments
at Maturity
Dual Directional Buffered Notes Table
The following table is for purposes
of illustration only. It is based on hypothetical values and shows hypothetical
returns on the Notes. The table illustrates the calculation of the Redemption Amount and the return on the Notes based on a hypothetical
Starting Value of 100, a hypothetical Threshold Value of 85 for the Least Performing Underlying, the Upside Participation Rate of 105.5%
and a range of hypothetical Ending Values of the Least Performing Underlying. The actual amount you receive and the resulting return
will depend on the actual Starting Values, Threshold Values and Ending Values of the Underlyings and whether you hold the Notes to maturity.
The following examples do not take into account any tax consequences from investing in the Notes.
For recent actual levels of the Underlyings,
see “The Underlyings” section below. Each Underlying is a price return index and as such its Ending Value will not include
any income generated by dividends paid on the stocks included in that Underlying, which you would otherwise be entitled to receive if
you invested in those stocks directly. In addition, all payments on the Notes are subject to Issuer and Guarantor credit risk.
Ending Value of the
Least Performing Underlying |
Underlying Return of the
Least Performing Underlying |
Redemption Amount per Note |
Return on the Notes |
160.00 |
60.00% |
$1,633.00 |
63.300% |
150.00 |
50.00% |
$1,527.50 |
52.750% |
140.00 |
40.00% |
$1,422.00 |
42.200% |
130.00 |
30.00% |
$1,316.50 |
31.650% |
120.00 |
20.00% |
$1,211.00 |
21.100% |
110.00 |
10.00% |
$1,105.50 |
10.550% |
105.00 |
5.00% |
$1,052.75 |
5.275% |
102.00 |
2.00% |
$1,021.10 |
2.110% |
100.00(1) |
0.00% |
$1,000.00 |
0.000% |
95.00 |
-5.00% |
$1,050.00 |
5.000% |
85.00(2) |
-15.00% |
$1,150.00 |
15.000% |
84.99 |
-15.01% |
$999.90 |
-0.010% |
80.00 |
-20.00% |
$950.00 |
-5.000% |
50.00 |
-50.00% |
$650.00 |
-35.000% |
25.00 |
-75.00% |
$400.00 |
-60.000% |
0.00 |
-100.00% |
$150.00 |
-85.000% |
| (1) | The hypothetical
Starting Value of 100 used in the table above has been chosen for
illustrative purposes only and does not represent a likely Starting Value for any Underlying. |
| (2) | This is the hypothetical Threshold Value of the Least
Performing Underlying. |
|
DUAL DIRECTIONAL BUFFERED NOTES | PS-5 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Risk Factors
Your investment in the Notes entails significant risks,
many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only after carefully
considering the risks of an investment in the Notes, including those discussed below, with your advisors in light of your particular circumstances.
The Notes are not an appropriate investment for you if you are not knowledgeable about significant elements of the Notes or financial
matters in general. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk Factors”
sections beginning on page PS-5 of the accompanying product supplement, page S-5 of the accompanying prospectus supplement and page 7
of the accompanying prospectus, each as identified on page PS-20 below.
Structure-related
Risks
| • | Your investment may result
in a loss; there is no guaranteed return of principal. There is no fixed principal repayment amount on the Notes at maturity. If the
Ending Value of any Underlying is less than its Threshold Value, you will lose 1% of the principal amount for each 1% that the
Ending Value of the Least Performing Underlying is less than its Threshold Value. In that case, you will lose some or a significant portion
of your investment in the Notes. |
| • | The Notes do not bear interest.
Unlike a conventional debt security, no interest payments will be paid over the term of the Notes, regardless of the extent to which the
Ending Value of the Least Performing Underlying exceeds its Starting Value or Threshold Value. |
| • | Your potential for a positive
return based on the depreciation of the Underlying is limited. The Absolute Underlying Return feature applies only if the Ending
Value of the Least Performing Underlying is less than its Starting Value but greater than or equal to its Threshold Value. Because the
Threshold Value for each Underlying is 85% of its Starting Value, any positive return due to the depreciation of the Least Performing
Underlying is limited to 15%. Any decline in the Ending Value of the Least Performing Underlying from its Starting Value by more than
15% will result in a loss, rather than a positive return, on the Notes. |
| • | The Redemption Amount will
not reflect the levels of the Underlyings other than on the Valuation Date. The levels of the Underlyings during the term of the Notes
other than on the Valuation Date will not affect payment on the Notes. Notwithstanding the foregoing, investors should generally be aware
of the performance of the Underlyings while holding the Notes. The calculation agent will calculate the Redemption Amount by comparing
only the Starting Value or the Threshold Value, as applicable, to the Ending Value for each Underlying. No other levels of the Underlyings
will be taken into account. As a result, you will receive less than the principal amount at maturity even if the level of each Underlying
has increased at certain times during the term of the Notes before the Least Performing Underlying decreases to a level that is less than
its Threshold Value as of the Valuation Date. |
| • | Because the Notes are linked
to the least performing (and not the average performance) of the Underlyings, you may not receive any return on the Notes and may lose
some or a significant portion of your principal amount even if the Ending Value of one Underlying is greater than or equal to its Threshold
Value. Your Notes are linked to the least performing of the Underlyings, and a change in the level of one Underlying may not correlate
with changes in the level of the other Underlying(s). The Notes are not linked to a basket composed of the Underlyings, where the depreciation
in the level of one Underlying could be offset to some extent by the appreciation in the level of the other Underlying(s). In the case
of the Notes, the individual performance of each Underlying would not be combined, and the depreciation in the level of one Underlying
would not be offset by any appreciation in the level of the other Underlying(s). Even if the Ending Value of an Underlying is at or above
its Threshold Value, you will lose some or a significant portion of your principal if the Ending Value of the Least Performing Underlying
is below its Threshold Value. |
| • | 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. |
| • | Any payment on the Notes is subject to our credit risk
and the credit risk of the Guarantor, and any actual or perceived changes in our or the Guarantor’s creditworthiness are expected
to affect the value of the Notes. The Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally
guaranteed by the Guarantor. The Notes are not guaranteed by any entity other than the Guarantor. As a result, your receipt of the Redemption
Amount at maturity will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the Notes
on the Maturity Date, regardless of the Ending Value of the Least Performing Underlying as compared to its Starting Value. |
In addition, our credit ratings and the credit ratings
of the Guarantor are assessments by ratings agencies of our respective abilities to pay our obligations. Consequently, our or the Guarantor’s
perceived creditworthiness and actual or anticipated decreases in our or the Guarantor’s credit ratings or increases in the spread
between the yield on our respective securities and the yield on U.S. Treasury securities (the “credit spread”) prior to the
Maturity Date 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.
| • | We are a finance subsidiary and, as such, have no independent
assets, operations, or revenues. We are a finance subsidiary of the Guarantor, have no operations other than those related to the
issuance, administration and repayment of our debt securities that are |
|
DUAL DIRECTIONAL NOTES | PS-6 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
guaranteed by the Guarantor, and are dependent upon the
Guarantor and/or its other subsidiaries to meet our obligations under the Notes in the ordinary course. Therefore, our ability to make
payments on the Notes may be limited.
Valuation-
and Market-related Risks
| • | The public offering price
you pay for the Notes will exceed their initial estimated value. The range of initial estimated values of the Notes that is provided
on the cover page of this preliminary pricing supplement, and the initial estimated value as of the pricing date that will be provided
in the final pricing supplement, are each estimates only, determined as of a particular point in time by reference to our and our affiliates’
pricing models. These pricing models consider certain assumptions and variables, including our credit spreads and those of the Guarantor,
the Guarantor’s internal funding rate, mid-market terms on hedging transactions, expectations on interest rates, dividends and volatility,
price-sensitivity analysis, and the expected term of the Notes. These pricing models rely in part on certain forecasts about future
events, which may prove to be incorrect. If you attempt to sell the Notes prior to maturity, their market value may be lower than the
price you paid for them and lower than their initial estimated value. This is due to, among other things, changes in the levels of the
Underlyings, changes in the Guarantor’s internal funding rate, and the inclusion in the public offering price of the underwriting
discount and the hedging related charges, all as further described in "Structuring the Notes" below. These factors, together
with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able
to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. |
| • | The initial estimated value
does not represent a minimum or maximum price at which we, BAC, BofAS or any of our other affiliates would be
willing to purchase your Notes in any secondary market (if any exists) at any time. The value of your Notes at any time after issuance
will vary based on many factors that cannot be predicted with accuracy, including the performance of the Underlyings, our and
BAC’s creditworthiness and changes in market conditions. |
| • | We cannot assure you that
a trading market for your Notes will ever develop or be maintained. We will not list the Notes on any securities exchange. We cannot
predict how the Notes will trade in any secondary market or whether that market will be liquid or illiquid. |
Conflict-related
Risks
| • | Trading and hedging activities by us, the Guarantor and
any of our other affiliates, including BofAS, may create conflicts of interest with you and may affect your return on the Notes and their
market value. We, the Guarantor or one or more of our other affiliates, including BofAS, may buy or sell the securities held by or
included in the Underlyings, or futures or options contracts or exchange traded instruments on the Underlyings or those securities, or
other instruments whose value is derived from the Underlyings or those securities. While we, the Guarantor or one or more of our other
affiliates, including BofAS, may from time to time own securities represented by the Underlyings, except to the extent that BAC’s
common stock may be included in the Underlyings, we, the Guarantor and our other affiliates, including BofAS, do not control any company
included in the Underlyings, and have not verified any disclosure made by any other company. We, the Guarantor or one or more of our other
affiliates, including BofAS, may execute such purchases or sales for our own or their own accounts, for business reasons, or in connection
with hedging our obligations under the Notes. These transactions may present a conflict of interest between your interest in the Notes
and the interests we, the Guarantor and our other affiliates, including BofAS, may have in our or their proprietary accounts, in facilitating
transactions, including block trades, for our or their other customers, and in accounts under our or their management. These transactions
may adversely affect the value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the
pricing date, any purchases or sales by us, the Guarantor or our other affiliates, including BofAS or others on our or their behalf (including
those for the purpose of hedging some or all of our anticipated exposure in connection with the Notes), may affect the value of the Underlyings.
Consequently, the value of the Underlyings may change subsequent to the pricing date, which may adversely affect the market value of the
Notes.
We, the Guarantor or one or more of our other affiliates, including BofAS, also expect to engage in hedging activities that could affect
the value of the Underlyings on the pricing date. In addition, these hedging activities, including the unwinding of a hedge, may decrease
the market value of your Notes prior to maturity, and may affect the amounts to be paid on the Notes. We, the Guarantor or one or more
of our other affiliates, including BofAS, may purchase or otherwise acquire a long or short position in the Notes and may hold or resell
the Notes. For 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. |
| • | There may be potential conflicts
of interest involving the calculation agent, which is an affiliate of ours. We have the right to appoint and remove the calculation
agent. One of our affiliates will be the calculation agent for the Notes and, as such, will make a variety of determinations relating
to the Notes, including the amounts that will be paid on the Notes. Under some circumstances, these duties could result in a conflict
of interest between its status as our affiliate and its responsibilities as calculation agent. |
Underlying-related
Risks
| • | The Notes are subject to risks associated with foreign
securities markets. The NDX includes certain foreign equity securities. You should be aware that investments in securities linked
to the value of foreign equity securities involve particular risks. The foreign securities markets comprising the NDX may have less liquidity
and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S.
or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings
in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally less publicly available information
about foreign companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies
are subject to accounting, auditing and financial reporting standards and requirements that |
|
DUAL DIRECTIONAL NOTES | PS-7 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
| | differ from those applicable to U.S. reporting companies. Prices of securities
in foreign countries are subject to political, economic, financial and social factors that apply in those geographical regions. These
factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign government’s
economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable
to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between currencies,
the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse public health developments
in the region. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. |
| • | The publisher 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. |
Tax-related
Risks
| • | The U.S. federal income tax consequences of an investment
in the Notes are uncertain, and may be adverse to a holder of the Notes. No statutory, judicial, or administrative authority directly
addresses the characterization of the Notes or securities similar to the Notes for U.S. federal income tax purposes. As a result, significant
aspects of the U.S. federal income tax consequences of an investment in the Notes are not certain. Under the terms of the Notes, you will
have agreed with us to treat the Notes as single financial contracts, as described below under “U.S. Federal Income Tax Summary—General.”
If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the Notes, the
timing and character of gain or loss with respect to the Notes may differ. No ruling will be requested from the IRS with respect to the
Notes and no assurance can be given that the IRS will agree with the statements made in the section entitled “U.S. Federal Income
Tax Summary.” You are urged to consult with your own tax advisor regarding all aspects of the U.S. federal income tax consequences
of investing in the Notes. |
|
DUAL DIRECTIONAL NOTES | PS-8 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
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 Nasdaq,
Inc., the sponsor of the NDX, and S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the INDU. We refer to Nasdaq, Inc.
and SPDJI 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 BofAS accepts any responsibility for the
calculation, maintenance or publication of any Underlying or any successor index. None of us, the Guarantor, BofAS or any of our other
affiliates makes any representation to you as to the future performance of the Underlyings. You should make your own investigation into
the Underlyings.
The Nasdaq-100® Index
The
NDX is intended to measure the performance of the 100 largest domestic and international non-financial securities listed on NASDAQ based
on market capitalization. The NDX reflects companies across major industry groups including computer hardware and software, telecommunications,
retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.
The
NDX began trading on January 31, 1985 at a base value of 125.00. The NDX is calculated and published by Nasdaq, Inc. In administering
the NDX, Nasdaq, Inc. will exercise reasonable discretion as it deems appropriate.
Underlying Stock Eligibility Criteria
NDX
eligibility is limited to specific security types only. The security types eligible for the NDX include foreign or domestic common stocks,
ordinary shares, ADRs and tracking stocks. Security types not included in the NDX are closed-end funds, convertible debt securities, exchange
traded funds, limited liability companies, limited partnership interests, preferred stocks, rights, shares or units of beneficial interest,
warrants, units, and other derivative securities. The NDX does not contain securities of investment companies. For purposes of the NDX
eligibility criteria, if the security is a depositary receipt representing a security of a non-U.S. issuer, then references to the “issuer”
are references to the issuer of the underlying security.
Initial Eligibility Criteria
To be
eligible for initial inclusion in the NDX, a security must be listed on NASDAQ and meet the following criteria:
| ● | the security’s U.S. listing must
be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market (unless the security was dually listed on another U.S. market
prior to January 1, 2004 and has continuously maintained such listing); |
| ● | the security must be of a non-financial
company; |
| ● | the security may not be issued by an
issuer currently in bankruptcy proceedings; |
| ● | the security must have a minimum three-month
average daily trading volume of at least 200,000 shares; |
| ● | if the issuer of the security is organized
under the laws of a jurisdiction outside the U.S., then such security must have listed options on a recognized options market in the U.S.
or be eligible for listed-options trading on a recognized options market in the U.S.; |
| ● | the issuer of the security may not
have entered into a definitive agreement or other arrangement which would likely result in the security no longer being eligible for inclusion
in the NDX; |
| ● | the issuer of the security may not
have annual financial statements with an audit opinion that is currently withdrawn; and |
| ● | the issuer of the security must have
“seasoned” on NASDAQ, NYSE or NYSE Amex. Generally, a company is considered to be seasoned if it has been listed on a market
for at least three full months (excluding the first month of initial listing). |
Continued Eligibility Criteria
In addition,
to be eligible for continued inclusion in the NDX, the following criteria apply:
| ● | the security’s U.S. listing must
be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market; |
| ● | the security must be of a non-financial
company; |
| ● | the security may not be issued by an
issuer currently in bankruptcy proceedings; |
| ● | the security must have a minimum three-month
average daily trading volume of at least 200,000 shares; |
| ● | if the issuer of the security is organized
under the laws of a jurisdiction outside the U.S., then such security must have listed options on a recognized options market in the U.S.
or be eligible for listed-options trading on a recognized options market in the U.S. (measured annually during the ranking review process); |
| ● | the security must have an adjusted
market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization of the NDX at each month-end. In the
event a company does not meet this criterion for two consecutive month-ends, it will be removed from |
|
DUAL DIRECTIONAL NOTES | PS-9 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
| | the NDX effective after the close of trading on
the third Friday of the following month; and |
| ● | the issuer of the security may not
have annual financial statements with an audit opinion that is currently withdrawn. |
Computation of the NDX
The
value of the NDX equals the aggregate value of the NDX share weights (the “NDX Shares”) of each of the NDX securities multiplied
by each such security’s last sale price (last sale price refers to the last sale price on NASDAQ), and divided by the divisor of
the NDX. If trading in an NDX security is halted while the market is open, the last traded price for that security is used for all NDX
computations until trading resumes. If trading is halted before the market is open, the previous day’s last sale price is used.
The formula for determining the NDX value is as follows:
The
NDX is ordinarily calculated without regard to cash dividends on NDX securities. The NDX is calculated during the trading day and is disseminated
once per second from 09:30:01 to 17:16:00 ET. The closing level of the NDX may change up until 17:15:00 ET due to corrections to the last
sale price of the NDX securities. The official closing value of the NDX is ordinarily disseminated at 17:16:00 ET.
NDX Maintenance
Changes
to NDX Constituents
Changes
to the NDX constituents may be made during the annual ranking review. In addition, if at any time during the year other than the annual
review, it is determined that an NDX security issuer no longer meets the criteria for continued inclusion in the NDX, or is otherwise
determined to have become ineligible for continued inclusion in the NDX, it is replaced with the largest market capitalization issuer
not currently in the NDX that meets the applicable eligibility criteria for initial inclusion in the NDX.
Ordinarily,
a security will be removed from the NDX at its last sale price. However, if at the time of its removal the NDX security is halted from
trading on its primary listing market and an official closing price cannot readily be determined, the NDX security may, in Nasdaq, Inc.’s
discretion, be removed at a price of $0.00000001 (“zero price”). This zero price will be applied to the NDX security after
the close of the market but prior to the time the official closing value of the NDX is disseminated.
Divisor
Adjustments
The
divisor is adjusted to ensure that changes in the NDX constituents either by corporate actions (that adjust either the price or shares
of an NDX security) or NDX participation outside of trading hours do not affect the value of the NDX. All divisor changes occur after
the close of the applicable index security markets.
Quarterly
NDX Rebalancing
The
NDX will be rebalanced on a quarterly basis if it is determined that (1) the current weight of the single NDX security with the largest
market capitalization is greater than 24.0% of the NDX or (2) the collective weight of those securities whose individual current weights
are in excess of 4.5% exceeds 48.0% of the NDX. In addition, a “special rebalancing” of the NDX may be conducted at any time
if Nasdaq, Inc. determines it necessary to maintain the integrity and continuity of the NDX. If either one or both of the above weight
distribution conditions are met upon quarterly review, or Nasdaq, Inc. determines that a special rebalancing is necessary, a weight rebalancing
will be performed.
If the
first weight distribution condition is met and the current weight of the single NDX security with the largest market capitalization is
greater than 24.0%, then the weights of all securities with current weights greater than 1.0% (“large securities”) will be
scaled down proportionately toward 1.0% until the adjusted weight of the single largest NDX security reaches 20.0%.
If the
second weight distribution condition is met and the collective weight of those securities whose individual current weights are in excess
of 4.5% (or adjusted weights in accordance with the previous step, if applicable) exceeds 48.0% of the NDX, then the weights of all such
large securities in that group will be scaled down proportionately toward 1.0% until their collective weight, so adjusted, is equal to
40.0%.
The
aggregate weight reduction among the large securities resulting from either or both of the rebalancing steps above will then be redistributed
to those securities with weightings of less than 1.0% (“small securities”) in the following manner. In the first iteration,
the weight of the largest small security will be scaled upwards by a factor which sets it equal to the average NDX weight of 1.0%. The
weights of each of the smaller remaining small securities will be scaled up by the same factor reduced in relation to each security’s
relative ranking among the small securities such that the smaller the NDX security in the ranking, the less its weight will be scaled
upward. This is intended to reduce the market impact of the weight rebalancing on the smallest component securities in the NDX.
In the
second iteration of the small security rebalancing, the weight of the second largest small security, already adjusted in the first iteration,
will be scaled upwards by a factor which sets it equal to the average NDX weight of 1.0%. The weights of each of the smaller remaining
small securities will be scaled up by this same factor reduced in relation to each security’s relative ranking among the small securities
such that, once again, the smaller the security in the ranking, the less its weight will be scaled upward. Additional iterations will
be performed until the accumulated increase
|
DUAL DIRECTIONAL NOTES | PS-10 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
in weight among the small securities equals the
aggregate weight reduction among the large securities that resulted from the rebalancing in accordance with the two weight distribution
conditions discussed above.
Finally,
to complete the rebalancing process, once the final weighting percentages for each NDX security have been set, the NDX Shares will be
determined anew based upon the last sale prices and aggregate capitalization of the NDX at the close of trading on the last calendar day
in February, May, August and November. Changes to the NDX Shares will be made effective after the close of trading on the third Friday
in March, June, September and December, and an adjustment to the divisor is made to ensure continuity of the NDX. Ordinarily, new rebalanced
NDX Shares will be determined by applying the above procedures to the current NDX Shares. However, Nasdaq, Inc. may, from time to time,
determine rebalanced weights, if necessary, by applying the above procedure to the actual current market capitalization of the NDX components.
In such instances, Nasdaq, Inc. would announce the different basis for rebalancing prior to its implementation.
During
the quarterly rebalancing, data is cutoff as of the previous month end and no changes are made to the NDX from that cutoff until the quarterly
index share change effective date, except in the case of changes due to corporate actions with an ex-date.
Adjustments for Corporate Actions
Changes
in the price and/or NDX Shares driven by corporate events such as stock dividends, splits, and certain spin-offs and rights issuances
will be adjusted on the ex-date. If the change in total shares outstanding arising from other corporate actions is greater than or equal
to 10.0%, the change will be made as soon as practicable. Otherwise, if the change in total shares outstanding is less than 10.0%, then
all such changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday in
each of March, June, September, and December. The NDX Shares are derived from the security’s total shares outstanding. The NDX Shares
are adjusted by the same percentage amount by which the total shares outstanding have changed.
Historical Performance of the NDX
The following graph sets forth the
daily historical performance of the NDX in the period from January 3, 2017 through August 25, 2022. We obtained this historical data from
Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal
line in the graph represents the NDX’s hypothetical Threshold Value of 11,172.04 (rounded to two decimal places), which is 85% of
the NDX’s hypothetical Starting Value of 13,143.58, which was its closing level on August 25, 2022. The actual Starting Value and
Threshold Value will be determined on the pricing date.
This historical data on the NDX is not
necessarily indicative of the future performance of the NDX or what the value of the Notes may be. Any historical upward or downward trend
in the level of the NDX during any period set forth above is not an indication that the level of the NDX is more or less likely to increase
or decrease at any time over the term of the Notes.
Before investing in the Notes, you
should consult publicly available sources for the levels of the NDX.
License Agreement
The Notes are not sponsored, endorsed, sold
or promoted by Nasdaq, Inc. or its affiliates (Nasdaq, Inc., with its affiliates, are referred to as the “Corporations”).
The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating
to, the Notes. The Corporations make no representation or warranty, express or implied, to the owners of the Notes or any member of the
public regarding the advisability of investing in securities generally or in the Notes particularly, or the ability of the NDX to track
general stock market performance. The Corporations’ only relationship to our affiliate, Merrill Lynch, Pierce, Fenner & Smith
Incorporated (“Licensee”) is in the licensing of the NASDAQ®, OMX®, NASDAQ OMX®,
and NDX registered trademarks, and certain trade names of the Corporations or their licensor and the use of
|
DUAL DIRECTIONAL NOTES | PS-11 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
the NDX which is determined, composed and calculated by Nasdaq, Inc. without
regard to Licensee or the Notes. Nasdaq, Inc. has no obligation to take the needs of the Licensee or the owners of the Notes into consideration
in determining, composing or calculating the NDX. The Corporations are not responsible for and have not participated in the determination
of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the
Notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of
the Notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY
AND/OR UNINTERRUPTED CALCULATION OF THE NDX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO
RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NDX OR ANY DATA INCLUDED THEREIN.
THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE NDX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS
HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES.
|
DUAL DIRECTIONAL NOTES | PS-12 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
The Dow Jones Industrial Average®
Unless otherwise stated, all information
on the INDU provided in this pricing supplement is derived from Dow Jones Indexes, the marketing name and a licensed trademark of SPDJI.
The INDU is a price-weighted index, which means an underlying stock’s weight in the INDU is based on its price per share rather
than the total market capitalization of the issuer. The INDU is designed to provide an indication of the composite performance of 30 common
stocks of corporations representing a broad cross-section of U.S. industry. The corporations represented in the INDU tend to be market
leaders in their respective industries and their stocks are typically widely held by individuals and institutional investors.
The INDU is maintained by an Averages
Committee comprised of three representatives of SPDJI and two representatives of The Wall Street Journal (the “WSJ”).
Generally, composition changes occur only after mergers, corporate acquisitions or other dramatic shifts in a component's core business.
When such an event necessitates that one component be replaced, the entire INDU is reviewed. As a result, when changes are made they typically
involve more than one component. While there are no rules for component selection, a stock typically is added only if it has an excellent
reputation, demonstrates sustained growth, is of interest to a large number of investors and accurately represents the sector(s) covered
by the average.
Changes in the composition of the INDU
are made entirely by the Averages Committee without consultation with the corporations represented in the INDU, any stock exchange, any
official agency or us. Unlike most other indices, which are reconstituted according to a fixed review schedule, constituents of the INDU
are reviewed on an as-needed basis. Changes to the common stocks included in the INDU tend to be made infrequently, and the underlying
stocks of the INDU may be changed at any time for any reason. The companies currently represented in the INDU are incorporated in the
United States and its territories and their stocks are listed on the New York Stock Exchange and The Nasdaq Stock Market.
The INDU initially consisted of 12
common stocks and was first published in the WSJ in 1896. The INDU was increased to include 20 common stocks in 1916 and to include 30
common stocks in 1928. The number of common stocks in the INDU has remained at 30 since 1928, and, in an effort to maintain continuity,
the constituent corporations represented in the INDU have been changed on a relatively infrequent basis. The INDU includes companies from
nine main groups: Basic Materials; Consumer Goods; Consumer Services; Financials; Healthcare; Industrials; Oil & Gas; Technology;
and Telecommunications.
Computation of the INDU
The level of the INDU is the sum of the
primary exchange prices of each of the 30 component stocks included in the INDU, divided by a divisor that is designed to provide a meaningful
continuity in the level of the INDU. Because the INDU is price-weighted, stock splits or changes in the component stocks could result
in distortions in the INDU level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically changed
in accordance with a mathematical formula that reflects adjusted proportions within the INDU. The current divisor of the INDU is published
daily in the WSJ and other publications. In addition, other statistics based on the INDU may be found in a variety of publicly available
sources.
Historical Performance of the INDU
The following graph sets forth the
daily historical performance of the INDU in the period from January 3, 2017 through August 25, 2022. We obtained this historical data
from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The
horizontal line in the graph represents the INDU’s hypothetical Threshold Value of 28,298.01 (rounded to two decimal places), which
is 85% of the INDU’s hypothetical Starting Value of 33,291.78, which was its closing level on August 25, 2022. The actual Starting
Value and Threshold Value will be determined on the pricing date.
This historical data on the INDU is not
necessarily indicative of the future performance of the INDU or what the value of the Notes may be. Any
|
DUAL DIRECTIONAL NOTES | PS-13 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
historical upward or downward trend in the level of the INDU during any
period set forth above is not an indication that the level of the INDU 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 INDU.
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®,”
“Dow Jones Industrial Average®” and “S&P®”
are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, Merrill Lynch, Pierce, Fenner
& Smith Incorporated. The INDU is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by
Merrill Lynch, Pierce, Fenner & Smith Incorporated.
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 INDU to track general market performance. S&P Dow Jones Indices’ only relationship to Merrill Lynch, Pierce, Fenner &
Smith Incorporated with respect to the INDU is the licensing of the INDU and certain trademarks, service marks and/or trade names of S&P
Dow Jones Indices and/or its third party licensors. The INDU is determined, composed and calculated by S&P Dow Jones Indices without
regard to us, Merrill Lynch, Pierce, Fenner & Smith Incorporated, or the Notes. S&P Dow Jones Indices have no obligation to take
our needs, BAC’s needs or the needs of Merrill Lynch, Pierce, Fenner & Smith Incorporated or holders of the Notes into consideration
in determining, composing or calculating the INDU. 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 INDU will accurately
track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment
advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell,
or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, SPDJI and its
affiliates may independently issue and/or sponsor financial products unrelated to the Notes currently being issued by us, but which may
be similar to and competitive with the Notes. In addition, SPDJI and its affiliates may trade financial products which are linked to the
performance of the INDU. 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 INDU OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT
NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (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, MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE INDU OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL
S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED
TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER
IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P
DOW JONES INDICES AND MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
|
DUAL DIRECTIONAL NOTES | PS-14 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Supplement to the Plan of Distribution; Role of BofAS
and Conflicts of Interest
BofAS, a broker-dealer affiliate
of ours, is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent
in the distribution of the Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may
not make sales in this offering to any of its discretionary accounts without the prior written approval of the account holder.
We expect to deliver the Notes against
payment therefor in New York, New York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1
of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the
parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement of the Notes occurs more than two business
days from the pricing date, purchasers who wish to trade the Notes more than two business days prior to the original issue date will be
required to specify alternative settlement arrangements to prevent a failed settlement.
Under our distribution agreement
with BofAS, BofAS will purchase the Notes from us as principal at the public offering price indicated on the cover of this pricing supplement,
less the indicated underwriting discount. BofAS will sell the Notes to other broker-dealers that will participate in the offering and
that are not affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the Notes to one
or more additional broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not all dealers
will purchase or repurchase the Notes at the same discount. Certain dealers who purchase the Notes for sale to certain fee-based advisory
accounts may forgo some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the
Notes in these fee-based advisory accounts may be as low as $992.50 per $1,000 in principal amount of Notes.
BofAS and any of our other broker-dealer
affiliates may use this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and
sales in secondary market transactions and market-making transactions in the Notes. However, they are not obligated to engage in such
secondary market transactions and/or market-making transactions. These broker-dealer affiliates may act as principal or agent in these
transactions, and any such sales will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for
a short, undetermined initial period after the issuance of the Notes, BofAS may offer to buy the Notes in the secondary market at a price
that may exceed the initial estimated value of the Notes. Any price offered by BofAS for the Notes will be based on then-prevailing market
conditions and other considerations, including the performance of the Underlyings and the remaining term of the Notes. However, none of
us, the Guarantor, BofAS or any of our other affiliates is obligated to purchase your Notes at any price or at any time, and we cannot
assure you that any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
Any price that BofAS may pay to repurchase
the Notes will depend upon then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At
certain times, this price may be higher than or lower than the initial estimated value of the Notes.
Sales Outside of the United States
The Notes have not been approved
for public sale in any jurisdiction outside of the United States. There has been no registration or filing as to the Notes with any regulatory,
securities, banking, or local authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other
affiliate of BAC, to offer the Notes in any jurisdiction other than the United States. As such, these Notes are made available to investors
outside of the United States only in jurisdictions where it is lawful to make such offer or sale and only under circumstances that will
result in compliance with applicable laws and regulations, including private placement requirements.
Further, no offer or sale of the
Notes is being made to residents of:
|
DUAL DIRECTIONAL NOTES | PS-15 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
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 has authorized, nor does it authorize, the making of any offer of Notes other than to Qualified Investors. The expression “Prospectus
Regulation” means Regulation (EU) 2017/1129.
PROHIBITION OF SALES TO EEA AND UNITED
KINGDOM RETAIL INVESTORS – The Notes are not intended to be offered, sold or otherwise made available to and should not be offered,
sold or otherwise made available to any retail investor in the EEA or in the United Kingdom. For these purposes: (a) a retail investor
means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended
(“MiFID II”); or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution Directive) where
that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified
investor as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication in any form and
by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor to decide to
purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU) No 1286/2014, as amended (the
“PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors in the EEA or
in the United Kingdom has been prepared and therefore offering or selling the Notes or otherwise making them available to any retail investor
in the EEA or in the United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement,
the accompanying product supplement, the accompanying prospectus supplement, the accompanying prospectus and any other document or materials
relating to the issue of the Notes offered hereby is not being made, and such documents and/or materials have not been approved, by an
authorized person for the purposes of section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the
“FSMA”). Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general
public in the United Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those
persons in the United Kingdom who have professional experience in matters relating to investments and who fall within the definition of
investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005,
as amended (the “Financial Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion Order,
or who are any other persons to whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons together
being referred to as “relevant persons”). In the United Kingdom, the Notes offered hereby are only available to, and any investment
or investment activity to which this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement and
the accompanying prospectus relates will be engaged in only with, relevant persons. Any person in the United Kingdom that is not a relevant
person should not act or rely on this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement
or the accompanying prospectus or any of their contents.
Any invitation or inducement to engage
in investment activity (within the meaning of Section 21 of the FSMA) in connection with the issue or sale of the Notes may only be communicated
or caused to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to BofA Finance, as issuer, or BAC, as
guarantor.
All applicable provisions of the FSMA must
be complied with in respect to anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
|
DUAL DIRECTIONAL NOTES | PS-16 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Structuring the Notes
The Notes are
our debt securities, the return on which is linked to the performance of the Underlyings. The related guarantee is BAC’s obligation.
As is the case for all of our and BAC’s respective debt securities, including our market-linked notes, the economic terms of the
Notes reflect our and BAC’s actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes
result in increased operational, funding and liability management costs to us and BAC, BAC typically borrows the funds under these types
of notes at a rate, which we refer to in this pricing supplement as BAC’s internal funding rate, that is more favorable to BAC than
the rate that it might pay for a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate,
which is reflected in the economic terms of the Notes, along with the fees and charges associated with market-linked notes, typically
results in the initial estimated value of the Notes on the pricing date being less than their public offering price.
In order to meet our payment obligations
on the Notes, at the time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options,
put options or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based
upon terms provided by BofAS and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness,
interest rate movements, the volatility of the Underlyings, the tenor of the Notes and the hedging arrangements. The economic terms of
the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised
us that the hedging arrangements will include hedging related charges, reflecting the costs associated with, and our affiliates’
profit earned from, these hedging arrangements. Since hedging entails risk and may be influenced by unpredictable market forces, actual
profits or losses from these hedging transactions may be more or less than any expected amounts.
For further
information, see “Risk Factors” beginning on page PS-6 above and “Supplemental Use of Proceeds” on page PS-19
of the accompanying product supplement.
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DUAL DIRECTIONAL NOTES | PS-17 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
U.S. Federal Income Tax Summary
The following summary of the material U.S. federal
income and estate tax considerations of the acquisition, ownership, and disposition of the Notes supplements, and to the extent inconsistent
supersedes, the 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, in the opinion of our counsel, Sidley Austin LLP, and based on certain
factual representations received from us, the Notes should be treated as 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. This discussion assumes that the Notes constitute
single financial contracts with respect to the Underlyings for U.S. federal income tax purposes. If the Notes did not constitute 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 a component stock included in an Underlying would be treated as a “passive foreign investment company” (“PFIC”),
within the meaning of Section 1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c)
of the Code. If the issuer of one or more stocks included in an Underlying were so treated, certain adverse U.S. federal income tax consequences
could possibly apply to a holder of the Notes. You should refer to information filed with the SEC by the issuers of the component stocks
included in the 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
Upon receipt of a cash payment at maturity or
upon a sale or exchange 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 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.
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DUAL DIRECTIONAL NOTES | PS-18 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
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 or exchange of the Notes generally would be treated as ordinary income, and any loss realized at
maturity or upon a sale or exchange 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.
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 or exchange 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 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
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 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 or exchange 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, 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 gain realized on the settlement at maturity, or upon sale or exchange 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 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
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DUAL DIRECTIONAL NOTES | PS-19 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
30% U.S. withholding tax if paid to a Non-U.S. Holder. Under Treasury regulations,
payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs”
may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying security,” which is
generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest
could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent payments will not apply
to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our determination that the Notes
are not delta-one instruments, Non-U.S. Holders should not be subject to withholding on dividend equivalent payments, if any, under the
Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence
of certain events affecting the Underlyings or the Notes, and following such occurrence the Notes could be treated as subject to withholding
on dividend equivalent payments. Non-U.S. Holders that enter, or have entered, into other transactions in respect of the Underlyings or
the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes
and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying
agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
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, tax will be withheld at the
applicable statutory rate. As discussed above, the IRS has indicated in the Notice that it is considering whether income in respect of
instruments such as the Notes should be subject to withholding tax. 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.
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DUAL DIRECTIONAL NOTES | PS-20 |
Dual Directional Buffered Notes Linked to the Least Performing of the Nasdaq-100® Index and the Dow Jones Industrial Average®
Where You Can Find More Information
The terms and risks of the Notes are contained
in this pricing supplement and in the following related product supplement, prospectus supplement and prospectus, which can be accessed
at the following links:
This pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus have been filed as part of a registration statement with
the SEC, which may, without cost, be accessed on the SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before
you invest, you should read this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for
information about us, BAC and this offering. Any prior or contemporaneous oral statements and any other written materials you may have
received are superseded by this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus. Certain
terms used but not defined in this pricing supplement have the meanings set forth in the accompanying product supplement or prospectus
supplement. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,”
“us,” “our,” or similar references are to BofA Finance, and not to BAC.
The Notes are our senior debt securities.
Any payments on the Notes are fully and unconditionally guaranteed by BAC. The Notes and the related guarantee are not insured by the
Federal Deposit Insurance Corporation or secured by collateral. The Notes will rank equally in right of payment with all of our other
unsecured and unsubordinated obligations, and the related guarantee will rank equally in right of payment with all of BAC’s other
unsecured and unsubordinated obligations, in each case except obligations that are subject to any priorities or preferences by law. Any
payments due on the Notes, including any repayment of the principal amount, will be subject to the credit risk of BofA Finance, as issuer,
and BAC, as guarantor.
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DUAL DIRECTIONAL NOTES | PS-21 |
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