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Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-268718
and 333-268718-01
(To Prospectus dated December 30, 2022,
Prospectus Supplement dated December 30, 2022 and
Product Supplement EQUITY CYN-2 dated August 21, 2023) |
600,000 Units
$10 principal amount per unit
CUSIP No. 09710R458
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Pricing Date
Settlement Date
Maturity Date |
July 18, 2024
July 25, 2024
July 27, 2026 |
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BofA Finance LLC
Autocallable Contingent Coupon Barrier Notes Linked to
the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000®
Index
Fully and Unconditionally Guaranteed by Bank of America
Corporation
§ A
Contingent Coupon Payment of $0.2375 per unit (equal to a rate of approximately 9.50% per annum) payable on the applicable Coupon Payment
Date if the Observation Value of the Worst-Performing Market Measure, which will be one of the S&P 500® Index, the
MSCI EAFE® Index and the Russell 2000® Index (each an “Index” and collectively the “Indices”),
on the applicable quarterly Coupon Observation Date is greater than or equal to 75% of its Starting Value.
§ Automatically
callable if the Observation Value of the Worst-Performing Market Measure on any quarterly Call Observation Date, beginning
approximately six months after the pricing date, is at or above its Starting Value. If the notes are called, you will receive the
principal amount of your notes plus the Contingent Coupon Payment otherwise due on the applicable Call Payment Date. No further
amounts will be payable following a call.
§ If
not called, a maturity of approximately two years.
§ If
not called, at maturity, if the level of the Worst-Performing Market Measure has not decreased by more than 25%, a return of
principal plus the final Contingent Coupon Payment; otherwise, 1-to-1 downside exposure to decreases in the Worst-Performing Market
Measure from its Starting Value, with up to 100.00% of the principal amount at risk.
§ The
notes are not linked to a basket composed of the Indices. Any depreciation in the level of any Index will not be offset by any
appreciation in the level of any other Index.
§
All payments are subject to the credit risk of BofA Finance LLC, as issuer of the notes, and the credit risk of Bank
of America Corporation, as guarantor of the notes
§ Limited
secondary market liquidity, with no exchange listing |
The notes are being issued by BofA Finance LLC (“BofA Finance”)
and are fully and unconditionally guaranteed by Bank of America Corporation (“BAC”). Investing in the notes involves a number
of risks. There are important differences between the notes and a conventional debt security, including different investment risks and
certain additional costs. See “Risk Factors” beginning on page TS-6 of this term sheet, "Additional Risk Factors"
on page TS-7 of this term sheet, and "Risk Factors" beginning on page PS-10 of the accompanying product supplement, page S-6
of the accompanying Series A MTN prospectus supplement and page 7 of the accompanying prospectus.
The initial estimated value of the notes as of the pricing date
is $9.788 per unit, which is less than the public offering price listed below. See “Summary” on the following page, “Risk
Factors” beginning on page TS-6 of this term sheet and “Structuring the Notes” on page TS-20 of this term sheet for
additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
________________________
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 below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
|
Per Unit |
Total |
Public offering price |
$ 10.00 |
$ 6,000,000.00 |
Underwriting discount |
$ 0.10 |
$ 60,000.00 |
Proceeds, before expenses, to BofA Finance |
$ 9.90 |
$ 5,940,000.00 |
The notes and the related guarantee:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
BofA Securities
July 18, 2024
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Summary
The Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing
of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27,
2026 (the “notes”) are our senior unsecured debt securities. 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 BofA Finance’s other unsecured and unsubordinated obligations, except obligations
that are subject to any priorities or preferences by law, and the related guarantee will rank equally in right of payment with all of
BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities or preferences by law,
and senior to its subordinated obligations. Any payments due on the notes, including any repayment of principal, will be subject to the
credit risk of BofA Finance, as issuer, and BAC, as guarantor. The notes will pay a Contingent Coupon Payment of $0.2375 per unit
(equal to a rate of approximately 9.50% per annum) on the applicable Coupon Payment Date if the Observation Value of the Worst-Performing
Market Measure (as described in "Terms of the Notes" below) on the applicable quarterly Coupon Observation Date is greater than
or equal to its Coupon Barrier. The notes will be automatically called if the Observation Value of the Worst-Performing Market Measure
on any Call Observation Date is equal to or greater than its Call Value. If your notes are called, you will receive the Call Payment on
the applicable Call Payment Date, and no further amounts will be payable on the notes. If your notes are not called, at maturity, if the
Ending Value of the Worst-Performing Market Measure is greater than or equal to its Threshold Value, you will receive the principal amount
plus the final Contingent Coupon Payment; otherwise, your notes are subject to 1-to-1 downside exposure to decreases in the Worst-Performing
Market Measure from its Starting Value, with up to 100.00% of the principal amount at risk. All payments on the notes will be calculated
based on the $10 principal amount per unit and will depend on the performance of the Worst-Performing Market Measure, subject to our and
BAC’s credit risk. See “Terms of the Notes” below.
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 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 costs associated with hedging
the notes, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to these
factors, the public offering price you are paying to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided
the initial estimated value for the notes. This initial estimated value was determined based on our, BAC’s and our other affiliates’
pricing models, which take into consideration BAC’s internal funding rate and the market prices for the hedging arrangements related
to the notes. For more information about the initial estimated value and the structuring of the notes, see “Structuring the Notes”
on page TS-20 of this term sheet.
Terms of the Notes |
Issuer: |
BofA Finance LLC (“BofA Finance”) |
Guarantor: |
Bank of America Corporation (“BAC”) |
Principal Amount: |
$10.00 per unit |
Term: |
Approximately two years, if not called. |
Market Measures: |
The S&P 500® Index (Bloomberg symbol: “SPX”), the MSCI EAFE® Index (Bloomberg symbol: “MXEA”) and the Russell 2000® Index (Bloomberg symbol: “RTY”), each a price return index. |
Worst-Performing Market Measure: |
The Index with the lowest Observation Value or Ending Value, as applicable,
as compared to its Starting Value, calculated as follows:
With respect to each Index on any Coupon Observation Date or Call
Observation Date:
With respect to each Index on the Final Calculation Day:
|
Call Feature: |
Autocallable Notes |
Coupon Feature: |
Contingent Coupon Payments |
Barrier: |
Applicable |
Coupon Barrier: |
SPX: 4,158.44 (75% of its Starting Value, rounded to two decimal
places)
MXEA: 1,786.93 (75% of its Starting Value, rounded to two decimal
places)
RTY: 1,648.715 (75% of its Starting Value, rounded to three decimal
places) |
Threshold Value: |
SPX: 4,158.44 (75% of its Starting Value, rounded to two decimal
places)
MXEA: 1,786.93 (75% of its Starting Value, rounded to two decimal
places)
RTY: 1,648.715 (75% of its Starting Value, rounded to three decimal
places) |
Call Value: |
SPX: 5,544.59 (100% of its Starting Value)
MXEA: 2,382.57 (100% of its Starting Value)
RTY: 2,198.287 (100% of its Starting Value) |
Contingent Coupon Payments: |
The notes will pay a Contingent Coupon Payment of $0.2375 per unit (equal to a rate of approximately 9.50% per annum) on the applicable Coupon Payment Date if the Observation Value of the Worst-Performing Market Measure on the applicable quarterly Coupon Observation Date is greater than or equal to its Coupon Barrier. |
Call Payment: |
The principal amount plus any Contingent Coupon Payment that may otherwise be due on the applicable Call Payment Date. |
Starting Value: |
SPX: 5,544.59
MXEA: 2,382.57
RTY: 2,198.287 |
Autocallable Contingent Coupon Barrier Notes | TS-2 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Ending Value: |
With respect to each Index, its closing level on the Final Calculation Day. The scheduled Final Calculation Day is subject to postponement in the event of Market Disruption Events and non-Market Measure Business Days, as described beginning on page PS-37 of the accompanying product supplement. |
Observation Value: |
With respect to each Index, its closing level on the applicable Coupon Observation Date or Call Observation Date. |
Coupon Observation Dates: |
October 18, 2024, January 21, 2025, April 21, 2025, July 18, 2025, October 20, 2025 January 20, 2026, April 20, 2026 and July 20, 2026 (the final Coupon Observation Date), which dates occur quarterly through the final Coupon Observation Date. The scheduled Coupon Observation Dates are subject to postponement in the event of Market Disruption Events and non-Market Measure Business Days, as described beginning on page PS-35 of the accompanying product supplement. |
Call Observation Dates: |
The Coupon Observation Dates beginning on January 21, 2025 and ending on April 20, 2026. |
Final Calculation Day/Maturity Valuation Period: |
July 20, 2026 (which also is the final Coupon Observation Date). |
Coupon Payment Dates: |
Approximately the fifth business day following the applicable Coupon Observation Date, subject to postponement as described beginning on page PS-35 of the accompanying product supplement. |
Call Payment Dates: |
The Coupon Payment Dates applicable to the relevant Call Observation Dates. |
Fees and Charges: |
The underwriting discount of $0.10 per unit listed on the cover page |
Calculation Agent: |
BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance. |
Autocallable Contingent Coupon Barrier Notes | TS-3 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Determining Payments on the Notes
Contingent Coupon Payments
The notes will pay a Contingent Coupon
Payment on the applicable Coupon Payment Date if the Observation Value of the Worst-Performing Market Measure on the applicable quarterly
Coupon Observation Date is greater than or equal to its Coupon Barrier.
Automatic Call Provision
The notes will be called automatically
if the Observation Value of the Worst-Performing Market Measure on a Call Observation Date is equal to or greater than its Call Value.
If the notes are called, you will receive $10 per unit plus the Contingent Coupon Payment otherwise due on the applicable Call Payment
Date. No further amounts will be payable following an automatic call.
Redemption Amount Determination
If the notes are not automatically
called, on the maturity date, you will receive a cash payment per unit determined as follows:
You will lose all or a significant portion of the principal amount of
the notes if the Ending Value of the Worst Performing Market Measure is less than its Threshold Value. Even with any Contingent Coupon
Payments, the return on the notes could be negative.
Autocallable Contingent Coupon Barrier Notes | TS-4 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
The terms and risks of the notes are contained in this term sheet and in
the following:
These documents (together, the “Note Prospectus”) have been
filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website at www.sec.gov or obtained
from Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) or BofAS by calling 1-800-294-1322. Before you
invest, you should read the Note Prospectus, including this term sheet, for information about us, BAC and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Certain terms
used but not defined in this term sheet have the meanings set forth in the accompanying product 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.
Investor Considerations
You may wish to consider an investment in the notes if: |
The notes may not be an appropriate investment for you if: |
§ You
understand that any payment on the notes will be based solely on the performance of the Worst-Performing Market Measure.
§ You
anticipate that the Observation Value of the Worst-Performing Market Measure will be greater than or equal to its Coupon Barrier on most
or all of the Coupon Observation Dates.
§ You
anticipate that the notes will be automatically called, in which case you accept an early exit from your investment, or, if not automatically
called that the Worst-Performing Market Measure will not decrease from its Starting Value to an Ending Value that is below its Threshold
Value.
§ You
accept that the return on the notes will be limited to the return represented by the Contingent Coupon Payments even if the percentage
change in the level of the Worst-Performing Market Measure is significantly greater than such return.
§ You
are willing to lose up to 100% of the principal amount if the notes are not called.
§ You
are willing to forgo dividends or other benefits of owning the stocks included in each Index.
§ You
are willing to accept a limited or no market for sales of the notes prior to maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our and BAC’s actual and perceived creditworthiness, BAC’s internal
funding rate and fees and charges on the notes.
§ You
are willing to assume our credit risk, as issuer of the notes, and BAC’s credit risk, as guarantor of the notes, for all payments
under the notes, including the Redemption Amount. |
§ You
are unwilling to accept that any payment on the notes will be based solely on the performance of the Worst-Performing Market Measure,
regardless of the performance of the other Indices.
§ You
anticipate that the Observation Value of the Worst-Performing Market Measure will be less than its Coupon Barrier on each Coupon Observation
Date.
§ You
wish to make an investment that cannot be automatically called prior to maturity.
§ You
seek an uncapped return on your investment.
§ You
seek principal repayment or preservation of capital.
§ You
want to receive dividends or other distributions paid on the stocks included in any Index.
§ You
seek an investment for which there will be a liquid secondary market.
§ You
are unwilling or are unable to take market risk on the notes, to take our credit risk, as issuer of the notes, or to take BAC’s
credit risk, as guarantor of the notes. |
We urge you to consult your investment, legal, tax, accounting, and
other advisors before you invest in the notes.
Autocallable Contingent Coupon Barrier Notes | TS-5 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Examples of Hypothetical Payments at Maturity
The following table is for purposes of illustration only. It assumes
that the notes have not been called prior to maturity and is based on hypothetical values and shows hypothetical returns
on the notes. The table illustrates the calculation of the Redemption Amount based on the hypothetical terms set forth below. The actual
amount you receive and the resulting return will depend on the actual Starting Value, Coupon Barrier, Threshold Value, Observation Values
and Ending Value of each Index (in particular, of the Worst-Performing Market Measure), the actual Contingent Coupon Payments, whether
the notes are automatically called, and the term of your investment. The following table does not take into account any tax consequences
from investing in the notes. This table is based on the following hypothetical terms:
| 1) | a Starting Value of 100.00 for the Worst-Performing Market Measure; |
| 2) | a Coupon Barrier of 75.00 for the Worst-Performing Market Measure; |
| 3) | a Threshold Value of 75.00 for the Worst-Performing Market Measure; |
| 4) | an expected term of the notes of approximately two years if the notes are not called on any Call Observation Date; |
| 5) | the Contingent Coupon Payment of $0.2375 per unit; and |
| 6) | the Coupon Observation Dates occurring quarterly during the term of the notes. |
Ending Value of
the Worst-
Performing
Market Measure |
Percentage
Change
from the
Starting Value to
the Ending Value
of the Worst-
Performing
Market Measure |
Redemption
Amount
per Unit(3) |
Return on the
notes(4) |
0.00 |
-100.00% |
$0.0000 |
-100.000% |
20.00 |
-80.00% |
$2.0000 |
-80.000% |
30.00 |
-70.00% |
$3.0000 |
-70.000% |
40.00 |
-60.00% |
$4.0000 |
-60.000% |
50.00 |
-50.00% |
$5.0000 |
-50.000% |
74.99 |
-25.01% |
$7.4990 |
-25.010% |
75.00(1) |
-25.00% |
$10.2375 |
2.375% |
97.00 |
-3.00% |
$10.2375 |
2.375% |
100.00(2) |
0.00% |
$10.2375 |
2.375% |
102.00 |
2.00% |
$10.2375 |
2.375% |
105.00 |
5.00% |
$10.2375 |
2.375% |
107.00 |
7.00% |
$10.2375 |
2.375% |
120.00 |
20.00% |
$10.2375 |
2.375% |
150.00 |
50.00% |
$10.2375 |
2.375% |
200.00 |
100.00% |
$10.2375 |
2.375% |
| (1) | This is the hypothetical Threshold Value and Coupon Barrier. |
| (2) | The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value of each Index is specified on page TS-2 above. |
| (3) | The Redemption Amount per Unit will not exceed the principal
amount plus the final Contingent Coupon Payment. |
| (4) | The Return on the notes is calculated based on the Redemption Amount and potential final Contingent Coupon Payment, not including
any Contingent Coupon Payments paid prior to maturity. |
For recent actual levels of the Indices, see “The
Indices” section below. Each Index is a price return index and as such the levels of each Index will not include any income generated
by dividends paid on the stocks included in such Index, 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.
Autocallable Contingent Coupon Barrier Notes | TS-6 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Risk Factors
There are important differences between the notes and a conventional
debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more
detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-10 of the accompanying
product supplement, page S-6 of the Series A MTN prospectus supplement, and page 7 of the prospectus identified above. 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.
We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Structure-related Risks
| § | If the notes are not called and the Ending Value of the Worst-Performing Market Measure is less than its Threshold Value, you will
lose up to 100% of the principal amount. |
| § | Your investment return is limited to the return represented by the Contingent Coupon Payments, if any, and may be less than a comparable
investment directly in the stocks included in any Index. |
| § | Payments on the notes will not reflect changes in the values of the Indices other than on the Coupon Observation Dates, the Call Observation
Dates or the Final Calculation Day. |
| § | You may not receive any Contingent Coupon Payments. |
| § | If the notes are called, you will be subject to reinvestment risk, and you will lose the opportunity to receive Contingent Coupon
Payments, if any, that otherwise might have been payable after the date of the call. |
| § | The notes are subject to the risks of each Index, not a basket composed of the Indices, and will be negatively affected if the level
of any Index decreases below its Coupon Barrier as of any Coupon Observation Date or below its Threshold Value on the Final Calculation
Day, even if the levels of the other Indices are above their respective Coupon Barrier or Threshold Value as of those days. |
| § | You will not benefit in any way from the performance of the better performing Indices. |
| § | Because the notes are linked to three indices, as opposed to only one, it is more likely that a Contingent Coupon Payment will not
be payable on any given Coupon Payment Date or that the Ending Value of an Index will be less than its Threshold Value on the Final Calculation
Day, and consequently, you will not receive a positive return on the notes and will lose some or all of your investment. |
| § | You will be subject to risks relating to the relationship between the Indices. The less correlated the Indices, the more likely it
is that the Observation Value of one of the Indices will be below its Coupon Barrier as of each Coupon Observation Date or below its Threshold
Value on the Final Calculation Day. |
| § | Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of
comparable maturity. |
| § | Payments on the notes are subject to our credit risk, and the credit risk of BAC, and any actual or perceived changes in our or BAC’s
creditworthiness are expected to affect the value of the notes. If we and BAC become insolvent or are unable to pay our respective obligations,
you may lose your entire investment. |
| § | We are a finance subsidiary and, as such, have no independent assets, operations or revenues. |
| § | BAC’s obligations under its guarantee of the notes will be structurally subordinated to liabilities of its subsidiaries. |
| § | The notes issued by us will not have the benefit of any cross-default or cross-acceleration with other indebtedness of BofA Finance
or BAC; events of bankruptcy or insolvency or resolution proceedings relating to BAC and covenant breach by BAC will not constitute an
event of default with respect to the notes. |
Valuation- and Market-related Risks
| § | The initial estimated value of the notes considers certain assumptions and variables and relies in part on certain forecasts about
future events, which may prove to be incorrect. The initial estimated value of the notes is an estimate only, determined as of the pricing
date by reference to our and our affiliates’ pricing models. These pricing models consider certain assumptions and variables, including
our credit spreads and those of BAC, BAC’s internal funding rate on the pricing date, mid-market terms on hedging transactions,
expectations on interest rates 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. |
| § | The public offering price you are paying for the notes exceeds the initial estimated value. 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 the initial estimated value. This is due
to, among other things, changes in the levels of the Indices, changes in BAC’s internal funding rate, and the inclusion in the public
offering price of the underwriting discount and costs associated with hedging the notes, all as further described in “Structuring
the Notes” on page TS-20 of this term sheet. These factors, together with various credit, market and economic |
Autocallable Contingent Coupon Barrier Notes | TS-7 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
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, MLPF&S, 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 Indices,
our and BAC’s creditworthiness and changes in market conditions. |
| § | A trading market is not expected to develop for the notes. None of us, BAC, MLPF&S or BofAS is obligated to make a market for,
or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary
market. |
Conflict-related Risks
| § | BAC and its affiliates’ hedging and trading activities (including trades in shares of companies included in the Indices) and
any hedging and trading activities BAC or its affiliates engage in that are not for your account or on your behalf, may affect the market
value and return of the notes and may create conflicts of interest with you. |
| § | 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. |
Market Measure-related Risks
| § | An Index sponsor may adjust its applicable Index in a way that affects its level, and has no obligation to consider your interests. |
| § | You will have no rights of a holder of the securities represented by the Indices, and you will not be entitled to receive securities
or dividends or other distributions by the issuers of those securities. |
| § | While BAC and our other affiliates may from time to time own securities of companies included in the Indices, except to the extent
that BAC’s common stock is included in any Index, we, BAC and our other affiliates do not control any company included in any Index,
and have not verified any disclosure made by any other company. |
Tax-related Risks
| § | The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Summary
Tax Consequences” below and “U.S. Federal Income Tax Summary” beginning on page PS-51 of the accompanying product supplement. |
Additional Risk Factors
The notes are subject to risks associated with small-size capitalization
companies.
The stocks comprising the RTY are issued by companies with small-sized market
capitalization. The stock prices of small-size companies may be more volatile than stock prices of large capitalization companies. Small-size
capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies.
Small-size capitalization companies may also be more susceptible to adverse developments related to their products or services.
The notes are subject to risks associated with foreign securities markets.
The MXEA 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 MXEA may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may
affect foreign markets differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these
foreign securities markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets.
Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject
to the reporting requirements of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards
and requirements that differ from those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic,
financial and social factors that apply in those geographical regions. These factors, which could negatively affect those securities markets,
include the possibility of recent or future changes in a foreign government’s economic and fiscal policies, the possible imposition
of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity
securities and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility and
political instability and the possibility of natural disaster or adverse public health developments in the region. Moreover, foreign economies
may differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency.
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The notes are subject to a foreign currency exchange risk.
The MXEA includes securities traded outside of the United States. The level
of the MXEA will depend upon the values of these securities, which will in turn depend in part upon changes in the value of the currencies
in which the securities tracked by the MXEA are traded. Accordingly, investors in the notes will be exposed to currency exchange rate
risk with respect to each of the currencies in which the securities tracked by the MXEA are traded. An investor’s net exposure will
depend on the extent to which these currencies strengthen or weaken against the U.S. dollar. If the dollar strengthens against these currencies,
the level of the MXEA will be adversely affected and the value of the MXEA may decrease.
Other Terms of the Notes
With respect to the MXEA only, the provision below supersedes and replaces
the definition of “Market Measure Business Day” set forth in the accompanying product supplement.
Market Measure Business Day
A “Market Measure Business Day” means a day on which:
| (A) | each of the London Stock Exchange, Frankfurt Stock Exchange, Paris Bourse and Tokyo Stock Exchange (or any successor to the foregoing
exchanges) are open for trading; and |
| (B) | the MXEA or any successor thereto is calculated and published. |
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The Indices
All disclosures contained in this term sheet regarding each Index,
including, without limitation, its make-up, method of calculation, and changes in its components, have been derived from publicly available
sources. The information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC, the sponsor of the SPX,
MSCI Inc., the sponsor of the MXEA, and FTSE Russell, the sponsor of the RTY (collectively, the “Index sponsors”). The Index
sponsors, which license the copyright and all other rights to its applicable Index, have no obligation to continue to publish, and may
discontinue publication of, its applicable Index. The consequences of an Index sponsor discontinuing publication of the Index are discussed
in the section of the accompanying product supplement beginning on page PS-40 entitled “Description of
the Notes—Discontinuance of an Index.” None of us, BAC, the calculation agent, MLPF&S or BofAS accepts
any responsibility for the calculation, maintenance or publication of the Index or any successor index.
The S&P 500® Index
The SPX includes a representative sample of 500 companies in leading
industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price movement. The calculation
of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular
time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years
1941 through 1943.
The SPX includes companies from eleven main groups: Communication Services;
Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology; Real Estate; Materials;
and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time, in its sole discretion,
add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted company market
capitalization of $18.0 billion or more (an increase from the previous requirement of an unadjusted company market capitalization of $15.8
billion or more).
SPDJI calculates the SPX by reference to the prices of the constituent
stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on the notes will not
reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid on those stocks.
Computation of the SPX
While SPDJI currently employs the following methodology to calculate
the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect payments on the notes.
Historically, the market value of any component stock of the SPX was
calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March 2005,
SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the SPX
to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not change with the shift
to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX
reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes
shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing more than 5% of a
stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating
the SPX. Generally, these “control holders” will include officers and directors, private equity, venture capital and special
equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares, ESOPs, employee
and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all levels
(other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported
in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k)
plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds,
independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares, equity participation
units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in
countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares, are normally part of the float
unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or non-traded
class are treated as a control block.
For each stock, an investable weight factor (“IWF”) is
calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares
outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For example,
if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the company’s
shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers
and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, SPDJI would assign
an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are
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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.
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The following graph shows the daily historical performance of
the SPX in the period from January 1, 2014 through July 18, 2024. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the SPX
was 5,544.59.
Historical Performance of the SPX
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.
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License Agreement
S&P® is a registered
trademark of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by
S&P Dow Jones Indices LLC. “Standard & Poor’s®,” “S&P
500®” and “S&P®”
are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, Merrill Lynch, Pierce, Fenner
& Smith Incorporated. The SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by
Merrill Lynch, Pierce, Fenner & Smith Incorporated.
The notes are not sponsored, endorsed, sold or promoted by S&P
Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the notes or any member of the public
regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX to track general
market performance. S&P Dow Jones Indices’ only relationship to Merrill Lynch, Pierce, Fenner & Smith Incorporated with
respect to the SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or
its third party licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without regard to us, Merrill Lynch,
Pierce, Fenner & Smith Incorporated, or the notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs
or the needs of Merrill Lynch, Pierce, Fenner & Smith Incorporated or holders of the notes into consideration in determining, composing
or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices
and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which
the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration,
marketing or trading of the notes. There is no assurance that investment products based on the SPX will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a
security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security
or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, S&P Dow Jones Indices LLC 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, S&P Dow Jones Indices LLC and its affiliates may trade financial products
which are linked to the performance of the SPX. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR
WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY
DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND
EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US,
BAC, BOFAS, MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF
THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES
INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT
LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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The MSCI EAFE®
Index
The MXEA is intended to measure equity market performance in the global
emerging markets. The MXEA is a free float--adjusted market capitalization index with a base date of December 31, 1969 and an initial
value of 100. The MXEA is calculated daily in U.S. dollars and published in real time every 60 seconds during market trading hours. The
MXEA has a base value of 100.00 and a base date of December 31, 1969. The MXEA consists of the following 21 developed market country indices:
Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland and United Kingdom.
The MXEA is an “MSCI Index.”
The Country Indices
Each country’s index included in an MSCI Index is referred to
as a “Country Index.” Under the MSCI methodology, each Country Index is an “MSCI Global Standard Index.” The components
of each Country Index used to be selected by the index sponsor from among the universe of securities eligible for inclusion in the relevant
Country Index so as to target an 85% free float-adjusted market representation level within each of a number of industry groups, subject
to adjustments to (i) provide for sufficient liquidity, (ii) reflect foreign investment restrictions (only those securities that can be
held by non-residents of the country corresponding to the relevant Country Index are included) and (iii) meet certain other investibility
criteria. Following a change in the index sponsor’s methodology implemented in May 2008, the 85% target is now measured at the level
of the country universe of eligible securities rather than the industry group level-so each Country Index will seek to include the securities
that represent 85% of the free float-adjusted market capitalization of all securities eligible for inclusion-but will still be subject
to liquidity, foreign investment restrictions and other investibility adjustments. The index sponsor defines “free float”
as total shares excluding shares held by strategic investors such as governments, corporations, controlling shareholders and management,
and shares subject to foreign ownership restrictions.
Calculation of the Country Indices
Each Country Index is a free float-adjusted market capitalization index
that is designed to measure the market performance, including price performance, of the equity securities in that country. Each Country
Index is calculated in the relevant local currency as well as in U.S. dollars, with price, gross and net returns.
Each component is included in the relevant Country Index at a weight
that reflects the ratio of its free float-adjusted market capitalization (i.e., free public float multiplied by price) to the free float-adjusted
market capitalization of all the components in that Country Index. The index sponsor defines the free float of a security as the proportion
of shares outstanding that is deemed to be available for purchase in the public equity markets by international investors.
Calculation of the MSCI Indices
The performance of a MSCI Index on any given day represents the weighted
performance of all of the components included in all of the Country Indices. Each component in a MSCI Index is included at a weight that
reflects the ratio of its free float-adjusted market capitalization (i.e., free public float multiplied by price) to the free float-adjusted
market capitalization of all the components included in all of the Country Indices.
Maintenance of and Changes to the MSCI Indices
The index sponsor maintains the MSCI Indices with the objective of
reflecting, on a timely basis, the evolution of the underlying equity markets and segments. In maintaining the indices, emphasis is also
placed on continuity, continuous investibility of the constituents, replicability, index stability and low turnover in the indices.
As part of the changes to the index sponsor’s methodology which
became effective in May 2008, maintenance of the indices falls into three broad categories:
semi-annual reviews, which will occur each May and November and will
involve a comprehensive reevaluation of the market, the universe of eligible securities and other factors involved in composing the indices;
quarterly reviews, which will occur each February, May, August and
November and will focus on significant changes in the market since the last semi-annual review and on including significant new eligible
securities (such as IPOs, which were not eligible for earlier inclusion in the indices); and
ongoing event-related changes, which will generally be reflected in
the indices at the time of the event and will include changes resulting from mergers, acquisitions, spin-offs, bankruptcies, reorganizations
and other similar corporate events.
Prices and Exchange Rates
Prices
The prices used to calculate the MSCI Indices are the official exchange
closing prices or those figures accepted as such. The index sponsor reserves the right to use an alternative pricing source on any given
day.
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Exchange Rates
The index sponsor uses the closing spot rates published by WM / Reuters
at 4:00 p.m., London time. The index sponsor uses WM / Reuters rates for all countries for which it provides indices.
In case WM/Reuters does not provide rates for specific markets on given
days (for example Christmas Day and New Year’s Day), the previous business day’s rates are normally used. The index sponsor
independently monitors the exchange rates on all its indices and may, under exceptional circumstances, elect to use an alternative exchange
rate if the WM / Reuters rates are not available, or if the index sponsor determines that the WM / Reuters rates are not reflective of
market circumstances for a given currency on a particular day. In such circumstances, an announcement would be sent to clients with the
related information. If appropriate, the index sponsor may conduct a consultation with the investment community to gather feedback on
the most relevant exchange rate.
The following graph shows the daily historical performance of
the MXEA in the period from January 1, 2014 through July 18, 2024. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the MXEA
was 2,382.57.
Historical Performance of the MXEA
This historical data on the MXEA is not necessarily indicative
of the future performance of the MXEA or what the value of the notes may be. Any historical upward or downward trend in the level of the
MXEA during any period set forth above is not an indication that the level of the MXEA 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 MXEA.
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License Agreement
Our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated
has entered into a non-exclusive license agreement with MSCI whereby Merrill Lynch, Pierce, Fenner & Smith Incorporated and certain
of its affiliates, in exchange for a fee, are permitted to use the MSCI indices in connection with certain securities, including the notes.
We are not affiliated with MSCI, the only relationship between MSCI and us is any licensing of the use of MSCI’s indices and trademarks
relating to them.
The license agreement requires that the following language be stated
in this document:
THE NOTES ARE NOT SPONSORED, ENDORSED, SOLD, OR PROMOTED BY MSCI, ANY
OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS, OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING, OR CREATING
THE MXEA INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MXEA INDEX IS THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MXEA INDEX
ARE SERVICE MARKS OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED TO US FOR USE FOR CERTAIN PURPOSES. THE NOTES HAVE NOT BEEN PASSED
ON BY ANY OF THE MSCI PARTIES AS TO THEIR LEGALITY OR SUITABILITY WITH RESPECT TO ANY PERSON OR ENTITY AND NONE OF THE MSCI PARTIES MAKES
ANY WARRANTIES OR BEARS ANY LIABILITY WITH RESPECT TO THE NOTES. WITHOUT LIMITING THE GENERALITY OF THE FOREGOING, NONE OF THE MSCI PARTIES
MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO US OR OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY
OF INVESTING IN ANY SECURITIES GENERALLY OR IN THIS OFFERING PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK
MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS, AND TRADE NAMES OF THE MXEA INDEX,
WHICH ARE DETERMINED, COMPOSED, AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES, TO US, TO THE OWNERS OF THE NOTES, OR TO ANY OTHER
PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF US OR OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY
INTO CONSIDERATION IN DETERMINING, COMPOSING, OR CALCULATING THE MXEA INDEX. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS 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
AMOUNT THAT MAY BE PAID AT MATURITY ON THE NOTES. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO US OR TO OWNERS OF THE NOTES
OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR, OFFERING OF THE NOTES.
No purchaser, seller or holder of the notes, or any other person or
entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote the notes without
first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim
any affiliation with MSCI without the prior written permission of MSCI.
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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
Each company eligible for inclusion in the RTY must be classified as
a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated headquarters location,
and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the company is assigned
to its country of incorporation. If any of the three factors are not the same, FTSE Russell defines three Home Country Indicators (“HCIs”):
country of incorporation, country of headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar
trading volume) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of the company’s
assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company is assigned to the primary
location of its assets. If there is insufficient information to determine the country in which the company’s assets are primarily
located, FTSE Russell will use the country from which the company’s revenues are primarily derived for the comparison with the three
HCIs in a similar manner. FTSE Russell uses the average of two years of assets or revenues data to reduce potential turnover. If conclusive
country details cannot be derived from assets or revenues data, FTSE Russell will assign the company to the country of its headquarters,
which is defined as the address of the company’s principal executive offices, unless that country is a Benefit Driven Incorporation
(“BDI”) country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries
include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands,
Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius,
Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including Puerto Rico,
Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the RTY must trade on a major
U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the last trading day in May to be eligible
for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s closing price
is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary
exchange) during the month of May is equal to or greater than $1.00. Initial public offerings are added each quarter and must have a closing
price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion. If an existing stock does
not trade on the “rank day” (typically the last trading day in May but a confirmed timetable is announced each spring) but
does have a closing price at or above $1.00 on another eligible U.S. exchange, that stock will be eligible for inclusion.
An important criterion used to determine the list of securities eligible
for the RTY is total market capitalization, which is defined as the market price as of the last trading day in May for those securities
being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common stock, non-restricted
exchangeable shares and partnership units/membership interests are used to determine market capitalization. Any other form of shares such
as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants and rights, installment receipts
or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined. In cases where
the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately.
If multiple share classes exist, the pricing vehicle will be designated as the share class with the highest two-year trading volume as
of the rank day in May.
Companies with a total market capitalization of less than $30 million
are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace are not eligible
for the RTY. Royalty trusts, limited liability companies, closed-end investment companies (companies that are required to report Acquired
Fund Fees and Expenses, as defined by the SEC, including business development companies), blank check companies, special purpose acquisition
companies, and limited partnerships are also ineligible for inclusion. Bulletin board, pink sheets, and over-the-counter traded securities
are not eligible for inclusion. Exchange traded funds and mutual funds are also excluded.
Annual reconstitution is a process by which the RTY is completely rebuilt.
Based on closing levels of the company’s common stock on its primary exchange on the rank day of May of each year, FTSE Russell
reconstitutes the composition of the RTY using the then existing market capitalizations of eligible companies. Reconstitution of the RTY
occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the prior Friday. In
addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization ranking within
the market-adjusted capitalization breaks established during the most recent reconstitution. After membership is determined, a security’s
shares are adjusted to include only those shares
Autocallable Contingent Coupon Barrier Notes | TS-17 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
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.
The following graph shows the daily historical performance of
the RTY in the period from January 1, 2014 through July 18, 2024. We obtained this historical data from Bloomberg L.P. We have not independently
verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the RTY
was 2,198.287.
Historical Performance of the RTY
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.
Autocallable Contingent Coupon Barrier Notes | TS-18 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have been licensed
for use by our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated. The notes are not sponsored, endorsed, sold, or promoted
by FTSE Russell, and FTSE Russell makes no representation regarding the advisability of investing in the notes.
FTSE Russell and Merrill Lynch, Pierce, Fenner & Smith Incorporated
have entered into a non-exclusive license agreement providing for the license to Merrill Lynch, Pierce, Fenner & Smith Incorporated
and its affiliates, including us, in exchange for a fee, of the right to use indices owned and published by FTSE Russell in connection
with some securities, including the notes. The license agreement provides that the following language must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold, or promoted by FTSE Russell.
FTSE Russell makes no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly or the ability of the RTY to track general stock market
performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests or implies an opinion by FTSE Russell
as to the advisability of investment in any or all of the securities upon which the RTY is based. FTSE Russell’s only relationship
to Merrill Lynch, Pierce, Fenner & Smith Incorporated and to us is the licensing of certain trademarks and trade names of FTSE Russell
and of the RTY, which is determined, composed, and calculated by FTSE Russell without regard to Merrill Lynch, Pierce, Fenner & Smith
Incorporated, us, or the notes. FTSE Russell is not responsible for and has not reviewed the notes nor any associated literature or publications
and FTSE Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell
reserves the right, at any time and without notice, to alter, amend, terminate, or in any way change the RTY. FTSE Russell has no obligation
or liability in connection with the administration, marketing, or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED,
US, BAC, BOFAS, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF 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.
Autocallable Contingent Coupon Barrier Notes | TS-19 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Supplement to the Plan of Distribution; Conflicts of Interest
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 term sheet, less the indicated underwriting discount.
MLPF&S will purchase the notes from BofAS for resale, and will
receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set
forth on the cover of this term sheet.
We will pay a fee to LFT Securities, LLC for providing
certain electronic platform services with respect to this offering, which will reduce the economic terms of the notes to you. An affiliate
of BofAS has an ownership interest in LFT Securities, LLC.
MLPF&S and BofAS, each a broker-dealer subsidiary of BAC, are members
of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the case of BofAS,
and as dealer, in the case of MLPF&S, in the distribution of the notes. Accordingly, offerings of the notes will conform to the requirements
of Rule 5121 applicable to FINRA members. MLPF&S may not make sales in this offering to any of its discretionary accounts without
the prior written approval of the account holder.
We will deliver the notes against payment therefor in New York, New
York on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934,
trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree
otherwise. Accordingly, purchasers who wish to trade the notes more than one business day prior to the original issue date will be required
to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original
offering of the notes, the notes will be sold in minimum investment amounts of 25,000 units. If you place an order to purchase the notes,
you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases
and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these will include MLPF&S’s
and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making
transactions; however, neither is obligated to engage in any such transactions. At their discretion, for a short, undetermined initial
period after the issuance of the notes, MLPF&S and 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 MLPF&S or BofAS for the notes will be based on then-prevailing market
conditions and other considerations, including the performance of the Indices and the remaining term of the notes. However, neither we
nor any of our affiliates is obligated to purchase your notes at any price, or at any time, and we cannot assure you that we or any of
our affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
The value of the notes shown on your account statement will be based
on BofAS’s estimate of the value of the notes if BofAS or another of our affiliates were to make a market in the notes, which it
is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market
conditions and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher
than or lower than the initial estimated value of the notes.
Autocallable Contingent Coupon Barrier Notes | TS-20 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Structuring the Notes
The notes are our debt securities, the return on which is linked to
the performance of the Indices. 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 that is more favorable to BAC than the rate that it
might pay for a conventional fixed or floating rate debt security. This rate, which we refer to in this term sheet as BAC’s internal
funding rate, is typically lower than the rate BAC would pay when it issues conventional fixed or floating rate debt securities. This
generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with the fees and charges
associated with market-linked notes, resulted in the initial estimated value of the notes on the pricing date being less than their public
offering price.
At maturity, if not previously automatically called, we are required
to pay the Redemption Amount to holders of the notes, which will be calculated based on the performance of the Indices and the $10 per
unit principal amount. In order to meet these payment obligations, 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 by seeking bids from market participants, including MLPF&S, 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 Indices, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated
value depend in part on the terms of these hedging arrangements. These hedging arrangements are expected to result in a profit to those
engaging in the hedging activity, which could be more or less than initially expected, but could also result in a loss.
For further information, see “Risk Factors—Valuation- and
Market-related Risks” and “—Conflict-related Risks” beginning on page PS-16 and PS-19, respectively, and “Use
of Proceeds” on page PS-29 of the accompanying product supplement.
Validity of the Notes
In the opinion of McGuireWoods LLP, as counsel to BofA Finance, as issuer,
and BAC, as guarantor, when the trustee has made the appropriate entries or notations on Schedule 1 to the master global note that represents
the notes (the “Master Note”) identifying the notes offered hereby as supplemental obligations thereunder in accordance with
the instructions of BofA Finance, and the notes have been delivered against payment therefor as contemplated in this term sheet and the
related prospectus, prospectus supplement and product supplement, all in accordance with the provisions of the indenture governing the
notes and the related guarantee, such notes will be the legal, valid and binding obligations of BofA Finance, and the related guarantee
will be the legal, valid and binding obligation of BAC, subject, in each case, to the effects of applicable bankruptcy, insolvency (including
laws relating to preferences, fraudulent transfers and equitable subordination), reorganization, moratorium and other similar laws affecting
creditors’ rights generally, and to general principles of equity. This opinion is given as of the date of this term sheet and is
limited to the Delaware General Corporation Law and the Delaware Limited Liability Company Act (including the statutory provisions, all
applicable provisions of the Delaware Constitution and reported judicial decisions interpreting either of the foregoing) and the laws
of the State of New York as in effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture governing the notes and due authentication of the Master Note, the validity, binding
nature and enforceability of the indenture governing the notes and the related guarantee with respect to the trustee, the legal capacity
of individuals, the genuineness of signatures, the authenticity of all documents submitted to McGuireWoods LLP as originals, the conformity
to original documents of all documents submitted to McGuireWoods LLP as copies thereof, the authenticity of the originals of such copies
and certain factual matters, all as stated in the opinion letter of McGuireWoods LLP dated December 8, 2022, which has been filed
as an exhibit to the Registration Statement (File Nos. 333-268718 and 333-268718-01) of BAC and BofA Finance, filed with the SEC on December 8,
2022.
Autocallable Contingent Coupon Barrier Notes | TS-21 |
Autocallable Contingent Coupon Barrier Notes Linked to the Worst-Performing of the S&P 500® Index, the MSCI EAFE® Index and the Russell 2000® Index, due July 27, 2026 | |
Summary Tax Consequences
You should consider the U.S.
federal income tax consequences of an investment in the notes, including the following:
| § | There is no statutory, judicial, or administrative authority directly addressing the characterization
of the notes. |
| § | You agree with us (in the absence of an administrative determination, or judicial ruling to
the contrary) to characterize and treat the notes for all tax purposes as a contingent income-bearing single financial contract with respect
to the Indices. |
| § | No assurance can be given that the Internal Revenue Service (“IRS”) or any court
will agree with this characterization and tax treatment. |
| § | Under this characterization and tax treatment of the notes, we intend to take the position that
the Contingent Coupon Payments constitute taxable ordinary income to a U.S. Holder (as defined in the prospectus) at the time received
or accrued in accordance with the U.S. Holder’s regular method of accounting. Upon receipt of a cash payment at maturity or upon
a sale, exchange or redemption of the notes prior to maturity (other than amounts representing accrued Contingent Coupon Payments), a
U.S. Holder generally will recognize capital gain or loss. This capital gain or loss generally will be long-term capital gain or loss
if you hold the notes for more than one year. |
| § | Because the U.S. federal income tax treatment of the Contingent Coupon Payments is uncertain,
we (or the applicable paying agent) will withhold U.S. federal income tax at a 30% rate (or at a lower rate under an applicable income
tax treaty) on the entire amount of any Contingent Coupon Payment made to a Non-U.S. Holder 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 (or the applicable paying agent) will not pay any additional amounts in respect of such withholding. |
| § | Under current IRS guidance, withholding on “dividend equivalent” payments (as discussed in the product supplement), if
any, will not apply to notes that are issued as of the date of this term sheet unless such notes are “delta-one” instruments. |
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. You should review carefully the discussion under the section entitled “U.S. Federal Income Tax Summary”
beginning on page PS-51 of the accompanying product supplement.
Where You Can Find More Information
We and BAC have filed a registration statement (including a product supplement,
a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should
read the Note Prospectus, including this term sheet, and the other documents relating to this offering that we and BAC have filed with
the SEC, for more complete information about us, BAC and this offering. You may get these documents without cost by visiting EDGAR on
the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these
documents if you so request by calling MLPF&S or BofAS toll-free at 1-800-294-1322.
Autocallable Contingent Coupon Barrier Notes | TS-22 |
Exhibit 107.1
The prospectus to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price
for such offering is $6,000,000.00.
Bank of America (NYSE:BML-L)
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