10/09/2024 | Press release | Distributed by Public on 10/09/2024 04:13
•
|
The Auto-Callable Return Notes Linked to the Least Performing of the Energy Select Sector SPDR® Fund, the Nasdaq-100® Technology Sector Index and the Utilities Select Sector SPDR® Fund, due October 9, 2029 (the "Notes") priced on October 4, 2024 and will issue on October 9, 2024.
|
•
|
Approximate 5 year term if not called prior to maturity.
|
•
|
Payment on the Notes will depend on the individual performance of the Energy Select Sector SPDR® Fund, the Nasdaq-100® Technology Sector Index and the Utilities Select Sector SPDR® Fund (each an "Underlying").
|
•
|
Beginning with the October 7, 2025 Call Observation Date, automatically callable at an amount equal to the applicable Call Amount if, on the applicable Call Observation Date, the Observation Value of each Underlying is equal to or greater than its Call Value. The Call Observation Dates and Call Amounts are indicated on page PS-4.
|
•
|
Assuming the Notes are not called prior to maturity, if the Ending Value of each Underlying is greater than or equal to 100% of its Starting Value, at maturity, you will receive 100.00% upside exposure to increases in the value of the Least Performing Underlying; otherwise, at maturity, you will receive the principal amount.
|
•
|
Any payment on the Notes is subject to the credit risk of BofA Finance LLC ("BofA Finance" or the "Issuer"), as issuer of the Notes, and Bank of America Corporation ("BAC" or the "Guarantor"), as guarantor of the Notes.
|
•
|
No periodic interest payments.
|
•
|
The Notes will not be listed on any securities exchange.
|
•
|
CUSIP No. 09711FGP6.
|
Public offering price(1)
|
Underwriting discount(1)(2)
|
Proceeds, before expenses, to BofA Finance(2)
|
|
Per Note
|
$1,000.00
|
$35.25
|
$964.75
|
Total
|
$297,000.00
|
$10,469.25
|
$286,530.75
|
(1)
|
Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the Notes in these fee-based advisory accounts may be as low as $964.75 per $1,000.00 in principal amount of Notes.
|
(2)
|
The underwriting discount per $1,000.00 in principal amount of Notes may be as high as $35.25, resulting in proceeds, before expenses, to BofA Finance of as low as $964.75 per $1,000.00 in principal amount of Notes. The total underwriting discount and proceeds, before expenses, to BofA Finance specified above reflect the aggregate of the underwriting discounts per $1,000.00 in principal amount of Notes.
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
Selling Agent
|
Issuer:
|
BofA Finance
|
Guarantor:
|
BAC
|
Denominations:
|
The Notes will be issued in minimum denominations of $1,000.00 and whole multiples of $1,000.00 in excess thereof.
|
Term:
|
Approximately 5 years, unless previously automatically called.
|
Underlyings:
|
The Energy Select Sector SPDR® Fund (Bloomberg symbol: "XLE"), the Nasdaq-100® Technology Sector Index (Bloomberg symbol: "NDXT"), a price return index and the Utilities Select Sector SPDR® Fund (Bloomberg symbol: "XLU").
|
Pricing Date:
|
October 4, 2024
|
Issue Date:
|
October 9, 2024
|
Valuation Date:
|
October 4, 2029, subject to postponement as described under "Description of the Notes-Certain Terms of the Notes-Events Relating to Observation Dates" in the accompanying product supplement.
|
Maturity Date:
|
October 9, 2029
|
Starting Value:
|
XLE: $93.18
NDXT: 10,486.48
XLU: $81.31
|
Observation Value:
|
With respect to the XLE, its Closing Market Price on the applicable Call Observation Date, multiplied by its Price Multiplier.
With respect to the NDXT, its closing level on the applicable Call Observation Date.
With respect to the XLU, its Closing Market Price on the applicable Call Observation Date, multiplied by its Price Multiplier.
|
Ending Value:
|
With respect to the XLE, its Closing Market Price on the Valuation Date, multiplied by its Price Multiplier.
With respect to the NDXT, its closing level on the Valuation Date.
With respect to the XLU, its Closing Market Price on the Valuation Date, multiplied by its Price Multiplier.
|
Call Value:
|
XLE: $93.18, which is 100.00% of its Starting Value.
NDXT: 10,486.48, which is 100.00% of its Starting Value.
XLU: $81.31, which is 100.00% of its Starting Value.
|
Price Multiplier:
|
With respect to each of the XLE and the XLU, 1, subject to adjustment for certain events relating to that Underlying as described in "Description of the Notes - Anti-Dilution and Discontinuance Adjustments Relating to ETFs" beginning on page PS-28 of the accompanying product supplement.
|
Redemption Barrier:
|
XLE: $93.18, which is 100.00% of its Starting Value.
NDXT: 10,486.48, which is 100.00% of its Starting Value.
XLU: $81.31, which is 100.00% of its Starting Value.
|
Automatic Call:
|
Beginning with the October 7, 2025 Call Observation Date, all (but not less than all) of the Notes will be automatically called at an amount equal to the applicable Call Amount if the Observation Value of each Underlying is greater than or equal to its Call Value on any Call Observation Date. If the Notes are automatically called, the applicable Call Amount will be paid on the applicable Call Payment Date. No further amounts will be payable following an Automatic Call.
|
Redemption Amount:
|
If the Notes have not been automatically called prior to maturity, the Redemption Amount per $1,000.00 in principal amount of Notes will be:
|
AUTO-CALLABLE RETURN NOTES | PS-2
|
a) If the Ending Value of the Least Performing Underlying is greater than or equal to its Redemption Barrier:
b) If the Ending Value of the Least Performing Underlying is less than its Redemption Barrier:
|
|
Call Observation Dates:
|
As set forth beginning on page PS-4
|
Call Payment Dates:
|
As set forth beginning on page PS-4
|
Call Amounts (per $1,000.00 in principal amount):
|
As set forth beginning on page PS-4
|
Calculation Agent:
|
BofA Securities, Inc. ("BofAS"), an affiliate of BofA Finance.
|
Selling Agent:
|
BofAS
|
CUSIP:
|
09711FGP6
|
Underlying Return:
|
With respect to each Underlying,
|
Least Performing Underlying:
|
The Underlying with the lowest Underlying Return.
|
Events of Default and Acceleration:
|
If an Event of Default, as defined in the senior indenture relating to the Notes and in the section entitled "Description of Debt Securities of BofA Finance LLC-Events of Default and Rights of Acceleration; Covenant Breaches" on page 54 of the accompanying prospectus, with respect to the Notes occurs and is continuing, the amount payable to a holder of the Notes upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption "Redemption Amount" above, calculated as though the date of acceleration were the Maturity Date of the Notes and as though the Valuation Date were the third Trading Day prior to the date of acceleration. 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.
|
AUTO-CALLABLE RETURN NOTES | PS-3
|
Call Observation Dates*
|
Call Payment Dates
|
Call Amounts (per $1,000.00 in principal amount)
|
October 7, 2025
|
October 10, 2025
|
$1,087.50
|
October 5, 2026
|
October 8, 2026
|
$1,175.00
|
October 4, 2027
|
October 7, 2027
|
$1,262.50
|
October 4, 2028
|
October 9, 2028
|
$1,350.00
|
AUTO-CALLABLE RETURN NOTES | PS-4
|
AUTO-CALLABLE RETURN NOTES | PS-5
|
AUTO-CALLABLE RETURN NOTES | PS-6
|
Ending Value of the Least Performing Underlying
|
Underlying Return of the Least Performing Underlying
|
Redemption Amount per Note
|
Return on the Notes(1)
|
160.00
|
60.00%
|
$1,600.00
|
60.00%
|
150.00
|
50.00%
|
$1,500.00
|
50.00%
|
140.00
|
40.00%
|
$1,400.00
|
40.00%
|
130.00
|
30.00%
|
$1,300.00
|
30.00%
|
120.00
|
20.00%
|
$1,200.00
|
20.00%
|
110.00
|
10.00%
|
$1,100.00
|
10.00%
|
105.00
|
5.00%
|
$1,050.00
|
5.00%
|
102.00
|
2.00%
|
$1,020.00
|
2.00%
|
100.00(2)(3)
|
0.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
70.00
|
-30.00%
|
$1,000.00
|
0.00%
|
60.00
|
-40.00%
|
$1,000.00
|
0.00%
|
50.00
|
-50.00%
|
$1,000.00
|
0.00%
|
0.00
|
-100.00%
|
$1,000.00
|
0.00%
|
(1)
|
The "Return on the Notes" is calculated based on the Redemption Amount.
|
(2)
|
The hypothetical Starting Value of 100 used in the table above has been chosen for illustrative purposes only. The actual Starting Value of each Underlying is set forth on page PS-2 above.
|
(3)
|
This is the hypothetical Redemption Barrier of the Least Performing Underlying.
|
AUTO-CALLABLE RETURN NOTES | PS-7
|
•
|
You may not earn a return on your investment. The payment you will receive at maturity will depend on whether the value of each Underlying increases from the Starting Value to the Ending Value. If the value of each Underlying decreases from the Starting Value to the Ending Value (or if the value of each Underlying is unchanged), you will not receive any positive return on the Notes and will only receive the principal amount.
|
•
|
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 Observation Value or Ending Value of the Least Performing Underlying exceeds its Starting Value, Redemption Barrier or Call Value.
|
•
|
The Notes are subject to a potential Automatic Call, which would limit your ability to receive further payment on the Notes. The Notes are subject to a potential Automatic Call. The Notes will be automatically called if, on any Call Observation Date, the Observation Value of each Underlying is greater than or equal to its Call Value. If the Notes are automatically called prior to the Maturity Date, you will be entitled to receive the applicable Call Amount with respect to the applicable Call Observation Date and no further amounts will be payable following the Automatic Call. In this case, you will lose the opportunity to receive payment of any higher Call Amount or Redemption Amount that otherwise would be payable after the date of the Automatic Call. If the Notes are called prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that could provide a return that is similar to the Notes.
|
•
|
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.
|
•
|
The Call Amount or Redemption Amount, as applicable, will not reflect changes in the values of the Underlyings other than on the Call Observation Dates or Valuation Date, as applicable. The values of the Underlyings during the term of the Notes other than on the Call Observation Dates or Valuation Date, as applicable, will not affect payments on the Notes. Notwithstanding the foregoing, investors should generally be aware of the performance of the Underlyings while holding the Notes, as the performance of the Underlyings may influence the market value of the Notes. The calculation agent will determine whether the Notes will be automatically called and will calculate the Call Amount or the Redemption Amount, as applicable, by comparing only the Starting Value, the Call Value or the Redemption Barrier, as applicable, to the Observation Value or the Ending Value for each Underlying. No other values of the Underlyings will be taken into account. As a result, if the Notes are not automatically called prior to maturity and the Ending Value of the Least Performing Underlying is less than its Redemption Barrier, you will receive only the principal amount at maturity even if the value of each Underlying has increased at certain times during the term of the Notes before the Least Performing Underlying decreases to a value on the Valuation Date that is less than its Redemption Barrier.
|
•
|
Because the Notes are linked to the least performing (and not the average performance) of the Underlyings, you may not receive any positive return on the Notes. Your Notes are linked to the least performing of the Underlyings, and a change in the value of one Underlying may not correlate with changes in the values of the other Underlyings. The Notes are not linked to a basket composed of the Underlyings, where the depreciation in the value of one Underlying could be offset to some extent by the appreciation in the values of the other Underlyings. In the case of the Notes, the individual performance of each Underlying would not be combined, and the depreciation in the value of one Underlying would not be offset by any appreciation in the values of the other Underlyings. Even if the Observation Value of an Underlying is at or above its Call Value on a Call Observation Date, your Notes will not be automatically called if the Observation Value of another Underlying is below its Call Value on that day.
|
•
|
Any payments on the Notes are subject to our credit risk and the credit risk of the Guarantor, and any actual or perceived changes in our or the Guarantor's creditworthiness are expected to affect the value of the Notes. The Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed by the Guarantor. The Notes are not guaranteed by any entity other than the Guarantor. As a result, your receipt of any payments on the Notes will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the Notes on the applicable payment date, regardless of the performance of the Underlyings. No assurance can be given as to what our financial condition or the financial condition of the Guarantor will be at any time after the pricing date of the Notes. If we and the Guarantor become unable to meet our respective financial obligations as they become due, you may not receive the amount(s) payable under the terms of the Notes.
In addition, our credit ratings and the credit ratings of the Guarantor are assessments by ratings agencies of our respective abilities to pay our obligations. Consequently, our or the Guarantor's perceived creditworthiness and actual or anticipated decreases in our or the |
AUTO-CALLABLE RETURN NOTES | PS-8
|
Guarantor's credit ratings or increases in the spread between the yield on our respective securities and the yield on U.S. Treasury securities (the "credit spread") prior to the Maturity Date may adversely affect the market value of the Notes. However, because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective obligations, such as the values of the Underlyings, an improvement in our or the Guarantor's credit ratings will not reduce the other investment risks related to the Notes.
|
•
|
We are a finance subsidiary and, as such, have no independent assets, operations, or revenues. We are a finance subsidiary of the Guarantor, have no operations other than those related to the issuance, administration and repayment of our debt securities that are guaranteed by the Guarantor, and are dependent upon the Guarantor and/or its other subsidiaries to meet our obligations under the Notes in the ordinary course. Therefore, our ability to make payments on the Notes may be limited.
|
•
|
The public offering price you are paying for the Notes exceeds their initial estimated value. The initial estimated value of the Notes that is provided on the cover page of this pricing supplement is an estimate only, determined as of the pricing date by reference to our and our affiliates' 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 values of the Underlyings, changes in the Guarantor's internal funding rate, and the inclusion in the public offering price of the underwriting discount, if any, and the hedging related charges, all as further described in "Structuring the Notes" below. These factors, together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways.
|
•
|
The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS or any of our other affiliates would be willing to purchase your Notes in any secondary market (if any exists) at any time. The value of your Notes at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Underlyings, our and BAC's creditworthiness and changes in market conditions.
|
•
|
We cannot assure you that a trading market for your Notes will ever develop or be maintained. We will not list the Notes on any securities exchange. We cannot predict how the Notes will trade in any secondary market or whether that market will be liquid or illiquid.
|
•
|
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 shares or units of the Underlyings or the securities held by or included in the Underlyings, as applicable, 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 shares or units of the Underlyings or 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 values 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 have affected the values of the Underlyings. Consequently, the values 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 may have engaged in hedging activities that could have affected the values 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 values 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.
|
AUTO-CALLABLE RETURN NOTES | PS-9
|
•
|
Adverse conditions in the energy sector may reduce your return on the Notes. All of the stocks held by the XLE are issued by companies whose primary lines of business are directly associated with the energy sector. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims. As a result of these factors, the value of the securities may be subject to greater volatility and be more adversely affected by economic, political, or regulatory events relating to the energy sector.
|
•
|
Adverse conditions in the technology sector may reduce your return on the Notes. All of the stocks included in the NDXT are issued by companies in the technology sector. Market or economic factors impacting technology companies and companies that rely heavily on technological advances could have a major effect on the value of the NDXT's investments. The prices of stocks of technology companies and companies that rely heavily on technology are particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel. Any of these factors may have an adverse effect on the return on the Notes. Accordingly, by investing in the Notes, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple sectors.
|
•
|
Adverse conditions in the utilities sector may reduce your return on the Notes. All or substantially all of the equity securities held by the XLU are issued by companies whose primary line of business is directly associated with the utilities sector. Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil liabilities. Due to the capital intensive nature of utilities, many of these companies tend to be more greatly impacted by interest rates due to their relatively high debt ratios. Additionally, certain utility companies have experienced full or partial deregulation in recent years, and are therefore subject to greater competition. These factors could affect the utilities sector and could affect the value of the equity securities held by the XLU and the price of the XLU during the term of the Notes, which may adversely affect the value of your Notes.
|
•
|
The stocks of companies in the energy sector are subject to swift price fluctuations. The issuers of the stocks held by the XLE develop and produce, among other things, crude oil and natural gas, and provide, among other things, drilling services and other services related to energy resources production and distribution. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products in general. The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these companies. Correspondingly, the stocks of companies in the energy sector are subject to swift price fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects and tax and other governmental regulatory policies. Weak demand for the companies' products or services or for energy products and services in general, as well as negative developments in these other areas, would adversely impact the value of the stocks held by the XLE and, therefore, the price of the XLE and the value of the Notes.
|
•
|
The Notes are subject to risks associated with foreign securities markets. The NDXT 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 NDXT 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.
|
•
|
The stocks held by or included in each of the XLE, NDXT and XLU are concentrated in three sectors. The NDXT includes and the XLE and the XLU hold securities issued by companies in the technology sector, the energy sector and the utilities sector, respectively. As a result, the stocks that will determine the performance of the Notes are concentrated in three sectors. Although an investment in the Notes will not give holders any ownership or other direct interests in the securities held by or included in the XLE, the NDXT and the XLU, the return on an investment in the Notes will be subject to certain risks associated with a direct equity investment in companies in these sectors. Accordingly, by investing in the Notes, you will not benefit from the diversification which could result from an investment linked to companies
|
AUTO-CALLABLE RETURN NOTES | PS-10
|
that operate in multiple sectors.
|
•
|
The performance of the XLE or the XLU may not correlate with the performance of its respective underlying index (each an "underlying index") as well as the net asset value per share or unit of the XLE or the XLU, especially during periods of market volatility. The performance of the XLE or the XLU and that of its respective underlying index generally will vary due to, for example, transaction costs, management fees, certain corporate actions, and timing variances. Moreover, it is also possible that the performance of the XLE or the XLU may not fully replicate or may, in certain circumstances, diverge significantly from the performance of its underlying index. This could be due to, for example, the XLE or the XLU not holding all or substantially all of the underlying assets included in its underlying index and/or holding assets that are not included in its underlying index, the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments held by the XLE or the XLU, differences in trading hours between the XLE or the XLU (or its respective underlying assets) and its underlying index, or other circumstances. This variation in performance is called the "tracking error," and, at times, the tracking error may be significant. In addition, because the shares or units of the XLE or the XLU are traded on a securities exchange and are subject to market supply and investor demand, the market price of one share or unit of the XLE or the XLU may differ from its respective net asset value per share or unit; shares or units of the XLE or the XLU may trade at, above, or below its net asset value per share or unit. During periods of market volatility, securities held by the XLE or the XLU may be unavailable in the secondary market, market participants may be unable to calculate accurately the respective net asset value per share or unit of the XLE or the XLU and the liquidity of the XLE or the XLU may be adversely affected. Market volatility may also disrupt the ability of market participants to trade shares or units of the XLE or the XLU. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares or units of the XLE or the XLU. As a result, under these circumstances, the market value of shares or units of the XLE or the XLU may vary substantially from the net asset value per share or unit of the XLE or the XLU.
|
•
|
The anti-dilution adjustments will be limited. The calculation agent may adjust the Price Multiplier of the XLE or the XLU and other terms of the Notes to reflect certain actions by the XLE or the XLU, as described in the section "Description of the Notes-Anti-Dilution and Discontinuance Adjustments Relating to ETFs" in the accompanying product supplement. The calculation agent will not be required to make an adjustment for every event that may affect the XLE or the XLU and will have broad discretion to determine whether and to what extent an adjustment is required.
|
•
|
The publisher or the sponsor or investment advisor of an Underlying may adjust that Underlying in a way that affects its values, and the publisher or the sponsor or investment advisor has no obligation to consider your interests. The publisher or the sponsor or investment advisor of an Underlying can add, delete, or substitute the components included in that Underlying or make other methodological changes that could change its value. Any of these actions could adversely affect the value of your Notes.
|
•
|
You will be required to include income on the Notes over their term based on the comparable yield for the Notes. The Notes will be considered to be issued with original issue discount. You will be required to include income on the Notes over their term based on the comparable yield. You are urged to review the section entitled "U.S. Federal Income Tax Summary" and consult your own tax advisor.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.
|
AUTO-CALLABLE RETURN NOTES | PS-11
|
•
|
Each of the component stocks in a Select Sector Index (the "Component Stocks") is a constituent company of the SPX.
|
•
|
The eleven Select Sector Indices together will include all of the companies represented in the SPX and each of the stocks in the SPX will be allocated to at least one of the Select Sector Indices.
|
AUTO-CALLABLE RETURN NOTES | PS-12
|
•
|
The Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index. The Index Compilation Agent assigns a company's stock to a particular Select Sector Index based on S&P Dow Jones Indices's sector classification methodology as set forth in its Global Industry Classification Standard.
|
•
|
Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified "market capitalization" methodology. This design ensures that each of the component stocks within a Select Sector Index is represented in a proportion consistent with its percentage with respect to the total market capitalization of that Select Sector Index.
|
(i)
|
The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v) below. If any of the allowable limits are breached, the component stocks are reweighted based on their float-adjusted market capitalization weights.
|
(ii)
|
If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of the quarter-end diversification requirement date.
|
(iii)
|
All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index.
|
(iv)
|
After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%, the process is repeated iteratively until no component stock breaches the 23% weight cap.
|
(v)
|
The sum of the component stocks with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for a buffer below the 5% limit.
|
(vi)
|
If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market capitalization weights and the first component stock that causes the 50% limit to be breached has its weight reduced to 4.6%.
|
(vii)
|
This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated iteratively until step (v) is satisfied.
|
(viii)
|
Index share amounts are assigned to each component stock to arrive at the weights calculated above. Since index shares are assigned based on prices one business day prior to rebalancing, the actual weight of each component stock at the rebalancing differs somewhat from these weights due to market movements.
|
(ix)
|
If necessary, the reweighting process may take place more than once prior to the close on the last business day of March, June, September or December to ensure conformity with all diversification requirements.
|
•
|
Each Select Sector Index is calculated using the same methodology utilized by S&P Dow Jones Indices in calculating the SPX, using a base-weighted aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value of the companies in the Select Sector Index by a number called the index divisor.
|
•
|
The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its business, and should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the Index Compilation Agent notifies S&P Dow Jones Indices that a Component Stock's Select Sector Index assignment should be changed, S&P Dow Jones Indices will disseminate notice of the change following its standard procedure for announcing index changes and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently.
|
•
|
Component Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P Dow Jones Indices for additions and deletions from the SPX insofar as practicable.
|
AUTO-CALLABLE RETURN NOTES | PS-13
|
AUTO-CALLABLE RETURN NOTES | PS-14
|
AUTO-CALLABLE RETURN NOTES | PS-15
|
AUTO-CALLABLE RETURN NOTES | PS-16
|
•
|
the security's U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained such listing);
|
•
|
the security must be of a non-financial company;
|
•
|
the security may not be issued by an issuer currently in bankruptcy proceedings;
|
•
|
the security must have a minimum three-month average daily trading volume of at least 200,000 shares;
|
•
|
if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized options market in the U.S.;
|
•
|
the issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being eligible for inclusion in the NDX;
|
•
|
the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and
|
•
|
the issuer of the security must have "seasoned" on NASDAQ, the New York Stock Exchange or NYSE Amex. Generally, a company is considered to be seasoned if it has been listed on a market for at least three full months (excluding the first month of initial listing).
|
•
|
the security's U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market;
|
•
|
the security must be of a non-financial company;
|
•
|
the security may not be issued by an issuer currently in bankruptcy proceedings;
|
•
|
the security must have a minimum three-month average daily trading volume of at least 200,000 shares;
|
•
|
if the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized options market in the U.S. (measured annually during the ranking review process);
|
•
|
the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization of the NDX at each month-end. In the event a company does not meet this criterion for two consecutive month-ends, it will be removed from the NDX effective after the close of trading on the third Friday of the following month; and
|
•
|
the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.
|
AUTO-CALLABLE RETURN NOTES | PS-17
|
AUTO-CALLABLE RETURN NOTES | PS-18
|
AUTO-CALLABLE RETURN NOTES | PS-19
|
AUTO-CALLABLE RETURN NOTES | PS-20
|
•
|
Each of the component stocks in a Select Sector Index (the "Component Stocks") is a constituent company of the SPX.
|
•
|
The eleven Select Sector Indices together will include all of the companies represented in the SPX and each of the stocks in the SPX will be allocated to at least one of the Select Sector Indices.
|
•
|
The Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index. The Index Compilation Agent assigns a company's stock to a particular Select Sector Index based on S&P Dow Jones Indices's sector classification methodology as set forth in its Global Industry Classification Standard.
|
•
|
Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified "market capitalization" methodology. This design ensures that each of the component stocks within a Select Sector Index is represented in a proportion consistent with its percentage with respect to the total market capitalization of that Select Sector Index.
|
(x)
|
The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v) below. If
|
AUTO-CALLABLE RETURN NOTES | PS-21
|
any of the allowable limits are breached, the component stocks are reweighted based on their float-adjusted market capitalization weights.
|
(xi)
|
If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of the quarter-end diversification requirement date.
|
(xii)
|
All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index.
|
(xiii)
|
After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%, the process is repeated iteratively until no component stock breaches the 23% weight cap.
|
(xiv)
|
The sum of the component stocks with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for a buffer below the 5% limit.
|
(xv)
|
If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market capitalization weights and the first component stock that causes the 50% limit to be breached has its weight reduced to 4.6%.
|
(xvi)
|
This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated iteratively until step (v) is satisfied.
|
(xvii)
|
Index share amounts are assigned to each component stock to arrive at the weights calculated above. Since index shares are assigned based on prices one business day prior to rebalancing, the actual weight of each component stock at the rebalancing differs somewhat from these weights due to market movements.
|
(xviii)
|
If necessary, the reweighting process may take place more than once prior to the close on the last business day of March, June, September or December to ensure conformity with all diversification requirements.
|
•
|
Each Select Sector Index is calculated using the same methodology utilized by S&P Dow Jones Indices in calculating the SPX, using a base-weighted aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value of the companies in the Select Sector Index by a number called the index divisor.
|
•
|
The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its business, and should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the Index Compilation Agent notifies S&P Dow Jones Indices that a Component Stock's Select Sector Index assignment should be changed, S&P Dow Jones Indices will disseminate notice of the change following its standard procedure for announcing index changes and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently.
|
•
|
Component Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P Dow Jones Indices for additions and deletions from the SPX insofar as practicable.
|
AUTO-CALLABLE RETURN NOTES | PS-22
|
AUTO-CALLABLE RETURN NOTES | PS-23
|
AUTO-CALLABLE RETURN NOTES | PS-24
|
AUTO-CALLABLE RETURN NOTES | PS-25
|
AUTO-CALLABLE RETURN NOTES | PS-26
|
AUTO-CALLABLE RETURN NOTES | PS-27
|
Accrual Period
|
Interest Deemed to Accrue During Accrual Period (per $1,000.00 principal amount of the Notes)
|
Total Interest Deemed to Have Accrued from Original Issue Date (per $1,000.00 principal amount of the Notes)
|
October 9, 2024 through December 31, 2024
|
$9.6975
|
$9.6975
|
January 1, 2025 through December 31, 2025
|
$43.9869
|
$53.6844
|
January 1, 2026 through December 31, 2026
|
$45.9031
|
$99.5875
|
January 1, 2027 through December 31, 2027
|
$47.9029
|
$147.4904
|
January 1, 2028 through December 31, 2028
|
$49.9897
|
$197.4801
|
January 1, 2029 through October 9, 2029
|
$40.1654
|
$237.6455
|
AUTO-CALLABLE RETURN NOTES | PS-28
|
AUTO-CALLABLE RETURN NOTES | PS-29
|
•
|
Product Supplement EQUITY-1 dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315473/d429684d424b2.htm |
•
|
Series A MTN prospectus supplement dated December 30, 2022 and prospectus dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315195/d409418d424b3.htm |
AUTO-CALLABLE RETURN NOTES | PS-30
|